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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 03/24/2020
Most recent certification approved 3/24/20 14:59 ET
Trades at broker Interactive Brokers (Server 5)
Scaling percentage used 100%
# trading signals issued by system since certification 1,199
# trading signals executed in manager's Interactive Brokers (Server 5) account 1,199
Percent signals followed since 03/24/2020 100%
This information was last updated 9/20/21 23:09 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 03/24/2020, 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.

Long only Stock and ETF
(128133665)

Created by: Tatsuya Tatsuya
Started: 03/2020
Stocks
Last trade: 89 days ago

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 $90.00 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.

47.3%
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.

(12.1%)
Max Drawdown
194
Num Trades
79.4%
Win Trades
4.4 : 1
Profit Factor
68.4%
Win Months
Hypothetical Monthly Returns (includes system fee and C2 Israel commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020              +3.6%+17.4%+5.6%+2.4%+1.2%+7.8%+0.3%(0.8%)+16.8%+6.9%+78.1%
2021+0.8%+1.2%(2.1%)+2.7%(2%)+0.1%  -    -    -                    +0.6%

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 168 hours.

Trading Record

This strategy has placed 399 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
8/4/20 10:56 DJCO DAILY JOURNAL LONG 15 296.98 6/23/21 13:03 331.95 0.91%
Trade id #130446658
Max drawdown($935)
Time9/16/20 0:00
Quant open15
Worst price234.59
Drawdown as % of equity-0.91%
$520
Includes Typical Broker Commissions trade costs of $5.00
12/9/20 13:59 TQQQ PROSHARES ULTRAPRO QQQ LONG 120 86.71 5/10/21 15:40 97.87 0.75%
Trade id #132726807
Max drawdown($934)
Time3/5/21 0:00
Quant open80
Worst price75.03
Drawdown as % of equity-0.75%
$1,329
Includes Typical Broker Commissions trade costs of $10.00
6/10/20 12:21 GOOGL ALPHABET INC CLASS A LONG 9 1614.44 5/10/21 15:39 2299.11 0.47%
Trade id #129472864
Max drawdown($428)
Time6/29/20 0:00
Quant open4
Worst price1351.65
Drawdown as % of equity-0.47%
$6,155
Includes Typical Broker Commissions trade costs of $7.50
11/12/20 12:27 SPXL DIREXION DAILY S&P500 BULL 3X LONG 25 61.39 5/10/21 14:22 100.45 0.04%
Trade id #132227273
Max drawdown($44)
Time11/12/20 15:08
Quant open25
Worst price59.63
Drawdown as % of equity-0.04%
$971
Includes Typical Broker Commissions trade costs of $5.00
1/29/21 12:26 PDD PINDUODUO INC. AMERICAN DEPOSITARY SHARES LONG 40 168.66 5/10 9:30 127.43 1.54%
Trade id #133709169
Max drawdown($1,897)
Time3/25/21 0:00
Quant open40
Worst price121.22
Drawdown as % of equity-1.54%
($1,654)
Includes Typical Broker Commissions trade costs of $5.00
2/2/21 9:57 BIDU BAIDU LONG 20 243.07 5/10 9:30 190.18 1.12%
Trade id #133793197
Max drawdown($1,380)
Time3/26/21 0:00
Quant open20
Worst price174.05
Drawdown as % of equity-1.12%
($1,063)
Includes Typical Broker Commissions trade costs of $5.00
1/29/21 12:26 TSLA TESLA INC. LONG 9 805.38 5/4 11:46 662.13 1.92%
Trade id #133709144
Max drawdown($2,392)
Time3/5/21 0:00
Quant open9
Worst price539.49
Drawdown as % of equity-1.92%
($1,294)
Includes Typical Broker Commissions trade costs of $5.00
1/29/21 12:26 MELI MERCADOLIBRE LONG 2 1786.29 5/4 11:46 1490.69 0.73%
Trade id #133709179
Max drawdown($896)
Time3/25/21 0:00
Quant open2
Worst price1337.95
Drawdown as % of equity-0.73%
($596)
Includes Typical Broker Commissions trade costs of $5.00
1/27/21 12:28 PTON PELOTON INTERACTIVE INC. CLASS A COMMON STOCK LONG 27 149.02 5/4 11:46 93.68 1.19%
Trade id #133635862
Max drawdown($1,520)
Time5/4/21 9:32
Quant open27
Worst price92.72
Drawdown as % of equity-1.19%
($1,499)
Includes Typical Broker Commissions trade costs of $5.00
4/6/21 9:32 INVZ INNOVIZ TECHNOLOGIES LTD. ORDINARY SHARES LONG 1,000 11.15 4/14 11:33 10.67 0.77%
Trade id #135022300
Max drawdown($980)
Time4/6/21 15:13
Quant open1,000
Worst price10.17
Drawdown as % of equity-0.77%
($504)
Includes Typical Broker Commissions trade costs of $20.00
3/31/21 16:41 CGRO COLLECTIVE GROWTH CORP LONG 1,000 9.96 4/6 9:32 9.76 0.56%
Trade id #134956526
Max drawdown($696)
Time4/1/21 0:00
Quant open1,000
Worst price9.26
Drawdown as % of equity-0.56%
($216)
Includes Typical Broker Commissions trade costs of $20.00
1/27/21 12:29 ALGN ALIGN TECHNOLOGY LONG 6 526.56 4/1 9:31 548.77 0.15%
Trade id #133635877
Max drawdown($192)
Time3/8/21 0:00
Quant open6
Worst price494.45
Drawdown as % of equity-0.15%
$128
Includes Typical Broker Commissions trade costs of $5.00
3/9/21 13:44 FTCV FINTECH ACQUISITION CORP. V CLASS A COMMON STOCK LONG 300 10.30 3/16 10:12 12.25 0.03%
Trade id #134518891
Max drawdown($43)
Time3/9/21 14:33
Quant open300
Worst price10.16
Drawdown as % of equity-0.03%
$578
Includes Typical Broker Commissions trade costs of $6.00
1/13/21 10:18 WPF FOLEY TRASIMENE ACQUISITION CORP LONG 500 11.18 2/19 10:39 11.00 0.28%
Trade id #133350323
Max drawdown($381)
Time2/11/21 0:00
Quant open500
Worst price10.42
Drawdown as % of equity-0.28%
($101)
Includes Typical Broker Commissions trade costs of $10.00
2/8/21 9:40 DG DOLLAR GENERAL LONG 48 196.78 2/9 11:18 201.08 0.02%
Trade id #133910162
Max drawdown($28)
Time2/8/21 9:43
Quant open48
Worst price196.18
Drawdown as % of equity-0.02%
$201
Includes Typical Broker Commissions trade costs of $5.00
1/14/21 10:16 VGAC VG ACQUISITION CORP LONG 500 12.15 2/2 9:52 13.35 0.06%
Trade id #133375731
Max drawdown($75)
Time1/15/21 0:00
Quant open500
Worst price12.00
Drawdown as % of equity-0.06%
$590
Includes Typical Broker Commissions trade costs of $10.00
1/27/21 12:45 QCOM QUALCOMM LONG 25 157.15 2/2 9:30 164.67 0.09%
Trade id #133636591
Max drawdown($111)
Time1/27/21 15:37
Quant open25
Worst price152.69
Drawdown as % of equity-0.09%
$183
Includes Typical Broker Commissions trade costs of $5.00
1/13/21 10:06 THCB TUSCAN HOLDINGS CORP. LONG 200 15.65 1/20 4:44 16.00 0.14%
Trade id #133349744
Max drawdown($170)
Time1/19/21 0:00
Quant open200
Worst price14.80
Drawdown as % of equity-0.14%
$65
Includes Typical Broker Commissions trade costs of $5.00
1/7/21 9:30 RMO ROMEO POWER INC LONG 500 21.23 1/19 9:55 21.25 1.05%
Trade id #133241110
Max drawdown($1,314)
Time1/12/21 0:00
Quant open500
Worst price18.60
Drawdown as % of equity-1.05%
($2)
Includes Typical Broker Commissions trade costs of $10.00
1/7/21 9:30 CRM SALESFORCE.COM LONG 50 217.44 1/13 10:27 217.10 0.13%
Trade id #133240840
Max drawdown($167)
Time1/12/21 0:00
Quant open50
Worst price214.09
Drawdown as % of equity-0.13%
($22)
Includes Typical Broker Commissions trade costs of $5.00
1/6/21 9:30 NIO NIO INC LONG 200 53.77 1/8 11:46 58.97 0.76%
Trade id #133206604
Max drawdown($938)
Time1/6/21 14:45
Quant open200
Worst price49.08
Drawdown as % of equity-0.76%
$1,034
Includes Typical Broker Commissions trade costs of $5.00
1/6/21 9:54 AGO ASSURED GUARANTY SHORT 100 33.10 1/6 10:05 33.47 0.03%
Trade id #133209093
Max drawdown($36)
Time1/6/21 10:05
Quant open100
Worst price33.47
Drawdown as % of equity-0.03%
($41)
Includes Typical Broker Commissions trade costs of $5.00
12/22/20 9:49 MLHR HERMAN MILLER LONG 295 33.82 1/4/21 9:58 33.63 0.26%
Trade id #132961559
Max drawdown($325)
Time12/29/20 0:00
Quant open295
Worst price32.72
Drawdown as % of equity-0.26%
($63)
Includes Typical Broker Commissions trade costs of $5.90
12/16/20 11:32 MRNA MODERNA INC. COMMON STOCK LONG 67 137.52 1/4/21 9:58 107.39 1.86%
Trade id #132852123
Max drawdown($2,335)
Time12/31/20 0:00
Quant open67
Worst price102.66
Drawdown as % of equity-1.86%
($2,024)
Includes Typical Broker Commissions trade costs of $5.00
12/16/20 10:56 PFE PFIZER LONG 260 37.97 1/4/21 9:58 36.68 0.35%
Trade id #132850986
Max drawdown($436)
Time12/31/20 0:00
Quant open260
Worst price36.29
Drawdown as % of equity-0.35%
($340)
Includes Typical Broker Commissions trade costs of $5.20
12/7/20 11:02 QCOM QUALCOMM LONG 40 157.81 1/4/21 9:56 153.63 0.52%
Trade id #132673835
Max drawdown($636)
Time12/11/20 0:00
Quant open40
Worst price141.89
Drawdown as % of equity-0.52%
($175)
Includes Typical Broker Commissions trade costs of $7.50
12/2/20 9:30 ZM ZOOM VIDEO COMMUNICATIONS INC. CLASS A COMMON STO LONG 19 405.84 1/4/21 9:56 352.42 1.05%
Trade id #132592969
Max drawdown($1,325)
Time12/31/20 0:00
Quant open19
Worst price336.10
Drawdown as % of equity-1.05%
($1,023)
Includes Typical Broker Commissions trade costs of $7.50
6/10/20 12:16 AGO ASSURED GUARANTY LONG 100 29.12 1/4/21 9:56 31.39 1.05%
Trade id #129472755
Max drawdown($1,067)
Time9/21/20 0:00
Quant open100
Worst price18.45
Drawdown as % of equity-1.05%
$222
Includes Typical Broker Commissions trade costs of $5.00
12/24/20 9:33 THBR THUNDER BRIDGE ACQUISITION II LTD. CL A LONG 550 12.90 1/4/21 9:40 13.10 0.26%
Trade id #133004753
Max drawdown($323)
Time12/24/20 11:26
Quant open550
Worst price12.31
Drawdown as % of equity-0.26%
$100
Includes Typical Broker Commissions trade costs of $11.00
12/22/20 9:42 XL XL FLEET CORP LONG 200 18.74 1/4/21 9:40 21.87 0.24%
Trade id #132961227
Max drawdown($298)
Time12/22/20 11:43
Quant open200
Worst price17.25
Drawdown as % of equity-0.24%
$621
Includes Typical Broker Commissions trade costs of $5.00

Statistics

  • Strategy began
    3/24/2020
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    545.34
  • Age
    18 months ago
  • What it trades
    Stocks
  • # Trades
    194
  • # Profitable
    154
  • % Profitable
    79.40%
  • Avg trade duration
    42.0 days
  • Max peak-to-valley drawdown
    12.06%
  • drawdown period
    Feb 16, 2021 - March 27, 2021
  • Annual Return (Compounded)
    47.8%
  • Avg win
    $489.34
  • Avg loss
    $434.20
  • Model Account Values (Raw)
  • Cash
    $128,429
  • Margin Used
    $0
  • Buying Power
    $127,245
  • Ratios
  • W:L ratio
    4.40:1
  • Sharpe Ratio
    2.01
  • Sortino Ratio
    3.51
  • Calmar Ratio
    5.672
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    1.89%
  • Correlation to SP500
    0.44070
  • Return Percent SP500 (cumu) during strategy life
    78.06%
  • Return Statistics
  • Ann Return (w trading costs)
    47.8%
  • Slump
  • Current Slump as Pcnt Equity
    7.90%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.40%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.478%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    50.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    31.00%
  • Chance of 20% account loss
    4.00%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    595
  • Popularity (Last 6 weeks)
    836
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    709
  • 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
    $434
  • Avg Win
    $489
  • Sum Trade PL (losers)
    $17,368.000
  • Age
  • Num Months filled monthly returns table
    19
  • Win / Loss
  • Sum Trade PL (winners)
    $75,359.000
  • # Winners
    154
  • Num Months Winners
    13
  • Dividends
  • Dividends Received in Model Acct
    551
  • Win / Loss
  • # Losers
    40
  • % Winners
    79.4%
  • Frequency
  • Avg Position Time (mins)
    59671.00
  • Avg Position Time (hrs)
    994.52
  • Avg Trade Length
    41.4 days
  • Last Trade Ago
    89
  • Leverage
  • Daily leverage (average)
    0.92
  • Daily leverage (max)
    3.09
  • Regression
  • Alpha
    0.07
  • Beta
    0.36
  • Treynor Index
    0.29
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    2.56
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    1.669
  • 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
    0.822
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.573
  • Hold-and-Hope Ratio
    0.582
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.42540
  • SD
    0.18994
  • Sharpe ratio (Glass type estimate)
    2.23969
  • Sharpe ratio (Hedges UMVUE)
    2.13275
  • df
    16.00000
  • t
    2.66576
  • p
    0.22271
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.39346
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.02883
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.32785
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.93765
  • Statistics related to Sortino ratio
  • Sortino ratio
    8.48457
  • Upside Potential Ratio
    10.02870
  • Upside part of mean
    0.50282
  • Downside part of mean
    -0.07742
  • Upside SD
    0.21569
  • Downside SD
    0.05014
  • N nonnegative terms
    9.00000
  • N negative terms
    8.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    17.00000
  • Mean of predictor
    0.42040
  • Mean of criterion
    0.42540
  • SD of predictor
    0.14179
  • SD of criterion
    0.18994
  • Covariance
    0.01677
  • r
    0.62268
  • b (slope, estimate of beta)
    0.83414
  • a (intercept, estimate of alpha)
    0.07473
  • Mean Square Error
    0.02356
  • DF error
    15.00000
  • t(b)
    3.08203
  • p(b)
    0.13095
  • t(a)
    0.43451
  • p(a)
    0.42917
  • Lowerbound of 95% confidence interval for beta
    0.25727
  • Upperbound of 95% confidence interval for beta
    1.41102
  • Lowerbound of 95% confidence interval for alpha
    -0.29184
  • Upperbound of 95% confidence interval for alpha
    0.44129
  • Treynor index (mean / b)
    0.50999
  • Jensen alpha (a)
    0.07473
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.40143
  • SD
    0.18206
  • Sharpe ratio (Glass type estimate)
    2.20497
  • Sharpe ratio (Hedges UMVUE)
    2.09970
  • df
    16.00000
  • t
    2.62444
  • p
    0.22571
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.36402
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.98939
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.29946
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.89994
  • Statistics related to Sortino ratio
  • Sortino ratio
    7.85786
  • Upside Potential Ratio
    9.39501
  • Upside part of mean
    0.47996
  • Downside part of mean
    -0.07853
  • Upside SD
    0.20497
  • Downside SD
    0.05109
  • N nonnegative terms
    9.00000
  • N negative terms
    8.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    17.00000
  • Mean of predictor
    0.40350
  • Mean of criterion
    0.40143
  • SD of predictor
    0.13636
  • SD of criterion
    0.18206
  • Covariance
    0.01517
  • r
    0.61095
  • b (slope, estimate of beta)
    0.81569
  • a (intercept, estimate of alpha)
    0.07230
  • Mean Square Error
    0.02216
  • DF error
    15.00000
  • t(b)
    2.98886
  • p(b)
    0.13683
  • t(a)
    0.43386
  • p(a)
    0.42928
  • Lowerbound of 95% confidence interval for beta
    0.23400
  • Upperbound of 95% confidence interval for beta
    1.39739
  • Lowerbound of 95% confidence interval for alpha
    -0.28288
  • Upperbound of 95% confidence interval for alpha
    0.42747
  • Treynor index (mean / b)
    0.49213
  • Jensen alpha (a)
    0.07230
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05161
  • Expected Shortfall on VaR
    0.07204
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01417
  • Expected Shortfall on VaR
    0.02916
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    17.00000
  • Minimum
    0.95298
  • Quartile 1
    0.99897
  • Median
    1.02289
  • Quartile 3
    1.07777
  • Maximum
    1.14181
  • Mean of quarter 1
    0.98138
  • Mean of quarter 2
    1.00623
  • Mean of quarter 3
    1.06678
  • Mean of quarter 4
    1.11081
  • Inter Quartile Range
    0.07880
  • 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)
    -4.11687
  • VaR(95%) (moments method)
    0.00467
  • Expected Shortfall (moments method)
    0.00467
  • Extreme Value Index (regression method)
    0.05249
  • VaR(95%) (regression method)
    0.03798
  • Expected Shortfall (regression method)
    0.06177
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00679
  • Quartile 1
    0.01071
  • Median
    0.01912
  • Quartile 3
    0.03166
  • Maximum
    0.04800
  • Mean of quarter 1
    0.00679
  • Mean of quarter 2
    0.01202
  • Mean of quarter 3
    0.02622
  • Mean of quarter 4
    0.04800
  • Inter Quartile Range
    0.02095
  • 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)
    0.59094
  • Compounded annual return (geometric extrapolation)
    0.53624
  • Calmar ratio (compounded annual return / max draw down)
    11.17160
  • Compounded annual return / average of 25% largest draw downs
    11.17160
  • Compounded annual return / Expected Shortfall lognormal
    7.44379
  • 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
    0.39547
  • SD
    0.15096
  • Sharpe ratio (Glass type estimate)
    2.61962
  • Sharpe ratio (Hedges UMVUE)
    2.61452
  • df
    386.00000
  • t
    3.18378
  • p
    0.00079
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.99476
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.24119
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.99135
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.23769
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.67290
  • Upside Potential Ratio
    11.70260
  • Upside part of mean
    0.99040
  • Downside part of mean
    -0.59493
  • Upside SD
    0.12715
  • Downside SD
    0.08463
  • N nonnegative terms
    185.00000
  • N negative terms
    202.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    387.00000
  • Mean of predictor
    0.38217
  • Mean of criterion
    0.39547
  • SD of predictor
    0.19635
  • SD of criterion
    0.15096
  • Covariance
    0.01311
  • r
    0.44219
  • b (slope, estimate of beta)
    0.33999
  • a (intercept, estimate of alpha)
    0.26600
  • Mean Square Error
    0.01838
  • DF error
    385.00000
  • t(b)
    9.67365
  • p(b)
    -0.00000
  • t(a)
    2.36325
  • p(a)
    0.00931
  • Lowerbound of 95% confidence interval for beta
    0.27089
  • Upperbound of 95% confidence interval for beta
    0.40909
  • Lowerbound of 95% confidence interval for alpha
    0.04462
  • Upperbound of 95% confidence interval for alpha
    0.48645
  • Treynor index (mean / b)
    1.16318
  • Jensen alpha (a)
    0.26554
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.38386
  • SD
    0.15011
  • Sharpe ratio (Glass type estimate)
    2.55714
  • Sharpe ratio (Hedges UMVUE)
    2.55217
  • df
    386.00000
  • t
    3.10784
  • p
    0.00101
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.93282
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.17821
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.92949
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.17485
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.49867
  • Upside Potential Ratio
    11.51260
  • Upside part of mean
    0.98235
  • Downside part of mean
    -0.59849
  • Upside SD
    0.12553
  • Downside SD
    0.08533
  • N nonnegative terms
    185.00000
  • N negative terms
    202.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    387.00000
  • Mean of predictor
    0.36269
  • Mean of criterion
    0.38386
  • SD of predictor
    0.19601
  • SD of criterion
    0.15011
  • Covariance
    0.01306
  • r
    0.44394
  • b (slope, estimate of beta)
    0.33999
  • a (intercept, estimate of alpha)
    0.26055
  • Mean Square Error
    0.01814
  • DF error
    385.00000
  • t(b)
    9.72113
  • p(b)
    -0.00000
  • t(a)
    2.33589
  • p(a)
    0.01000
  • Lowerbound of 95% confidence interval for beta
    0.27122
  • Upperbound of 95% confidence interval for beta
    0.40875
  • Lowerbound of 95% confidence interval for alpha
    0.04124
  • Upperbound of 95% confidence interval for alpha
    0.47986
  • Treynor index (mean / b)
    1.12905
  • Jensen alpha (a)
    0.26055
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01369
  • Expected Shortfall on VaR
    0.01750
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00532
  • Expected Shortfall on VaR
    0.01091
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    387.00000
  • Minimum
    0.96770
  • Quartile 1
    0.99814
  • Median
    1.00000
  • Quartile 3
    1.00512
  • Maximum
    1.05571
  • Mean of quarter 1
    0.99145
  • Mean of quarter 2
    0.99971
  • Mean of quarter 3
    1.00217
  • Mean of quarter 4
    1.01314
  • Inter Quartile Range
    0.00699
  • Number outliers low
    21.00000
  • Percentage of outliers low
    0.05426
  • Mean of outliers low
    0.98219
  • Number of outliers high
    25.00000
  • Percentage of outliers high
    0.06460
  • Mean of outliers high
    1.02352
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.15420
  • VaR(95%) (moments method)
    0.00594
  • Expected Shortfall (moments method)
    0.00787
  • Extreme Value Index (regression method)
    -0.06818
  • VaR(95%) (regression method)
    0.00836
  • Expected Shortfall (regression method)
    0.01191
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    19.00000
  • Minimum
    0.00002
  • Quartile 1
    0.00665
  • Median
    0.01394
  • Quartile 3
    0.04662
  • Maximum
    0.08983
  • Mean of quarter 1
    0.00204
  • Mean of quarter 2
    0.00981
  • Mean of quarter 3
    0.02738
  • Mean of quarter 4
    0.06470
  • Inter Quartile Range
    0.03997
  • 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)
    0.22611
  • VaR(95%) (moments method)
    0.07157
  • Expected Shortfall (moments method)
    0.08843
  • Extreme Value Index (regression method)
    0.85426
  • VaR(95%) (regression method)
    0.06798
  • Expected Shortfall (regression method)
    0.16543
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.56676
  • Compounded annual return (geometric extrapolation)
    0.50949
  • Calmar ratio (compounded annual return / max draw down)
    5.67196
  • Compounded annual return / average of 25% largest draw downs
    7.87489
  • Compounded annual return / Expected Shortfall lognormal
    29.10730
  • 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
    -0.00629
  • SD
    0.05320
  • Sharpe ratio (Glass type estimate)
    -0.11830
  • Sharpe ratio (Hedges UMVUE)
    -0.11762
  • df
    130.00000
  • t
    -0.08365
  • p
    0.50367
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.89003
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.65366
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.88946
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.65422
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.16031
  • Upside Potential Ratio
    5.24929
  • Upside part of mean
    0.20610
  • Downside part of mean
    -0.21239
  • Upside SD
    0.03560
  • Downside SD
    0.03926
  • N nonnegative terms
    33.00000
  • N negative terms
    98.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.19327
  • Mean of criterion
    -0.00629
  • SD of predictor
    0.10856
  • SD of criterion
    0.05320
  • Covariance
    0.00128
  • r
    0.22146
  • b (slope, estimate of beta)
    0.10853
  • a (intercept, estimate of alpha)
    -0.02727
  • Mean Square Error
    0.00271
  • DF error
    129.00000
  • t(b)
    2.57931
  • p(b)
    0.36018
  • t(a)
    -0.36801
  • p(a)
    0.52061
  • Lowerbound of 95% confidence interval for beta
    0.02528
  • Upperbound of 95% confidence interval for beta
    0.19179
  • Lowerbound of 95% confidence interval for alpha
    -0.17388
  • Upperbound of 95% confidence interval for alpha
    0.11934
  • Treynor index (mean / b)
    -0.05799
  • Jensen alpha (a)
    -0.02727
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.00770
  • SD
    0.05325
  • Sharpe ratio (Glass type estimate)
    -0.14458
  • Sharpe ratio (Hedges UMVUE)
    -0.14375
  • df
    130.00000
  • t
    -0.10224
  • p
    0.50448
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.91620
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.62752
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.91561
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.62812
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.19510
  • Upside Potential Ratio
    5.20566
  • Upside part of mean
    0.20544
  • Downside part of mean
    -0.21314
  • Upside SD
    0.03546
  • Downside SD
    0.03947
  • N nonnegative terms
    33.00000
  • N negative terms
    98.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.18734
  • Mean of criterion
    -0.00770
  • SD of predictor
    0.10856
  • SD of criterion
    0.05325
  • Covariance
    0.00128
  • r
    0.22079
  • b (slope, estimate of beta)
    0.10832
  • a (intercept, estimate of alpha)
    -0.02799
  • Mean Square Error
    0.00272
  • DF error
    129.00000
  • t(b)
    2.57120
  • p(b)
    0.36059
  • t(a)
    -0.37744
  • p(a)
    0.52114
  • VAR (95 Confidence Intrvl)
    0.01400
  • Lowerbound of 95% confidence interval for beta
    0.02497
  • Upperbound of 95% confidence interval for beta
    0.19167
  • Lowerbound of 95% confidence interval for alpha
    -0.17472
  • Upperbound of 95% confidence interval for alpha
    0.11874
  • Treynor index (mean / b)
    -0.07108
  • Jensen alpha (a)
    -0.02799
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00543
  • Expected Shortfall on VaR
    0.00679
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00236
  • Expected Shortfall on VaR
    0.00501
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.98460
  • Quartile 1
    0.99998
  • Median
    1.00000
  • Quartile 3
    1.00013
  • Maximum
    1.01181
  • Mean of quarter 1
    0.99709
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00323
  • Inter Quartile Range
    0.00015
  • Number outliers low
    26.00000
  • Percentage of outliers low
    0.19847
  • Mean of outliers low
    0.99634
  • Number of outliers high
    30.00000
  • Percentage of outliers high
    0.22901
  • Mean of outliers high
    1.00353
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.92151
  • VaR(95%) (moments method)
    0.00262
  • Expected Shortfall (moments method)
    0.00333
  • Extreme Value Index (regression method)
    -0.09304
  • VaR(95%) (regression method)
    0.00405
  • Expected Shortfall (regression method)
    0.00714
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.01379
  • Quartile 1
    0.01934
  • Median
    0.02489
  • Quartile 3
    0.02920
  • Maximum
    0.03351
  • Mean of quarter 1
    0.01379
  • Mean of quarter 2
    0.02489
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.03351
  • Inter Quartile Range
    0.00986
  • 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
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -312378000
  • Max Equity Drawdown (num days)
    39
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.02031
  • Compounded annual return (geometric extrapolation)
    0.02041
  • Calmar ratio (compounded annual return / max draw down)
    0.60909
  • Compounded annual return / average of 25% largest draw downs
    0.60909
  • Compounded annual return / Expected Shortfall lognormal
    3.00544

Strategy Description

We are Long

This strtagy has 3 wave

1)swing tardes
2)18 month trade mustly small stocks that might grow
3)buy and incress SPY UPRO SPLX QQQ QLD TQQQ we buy them and never sell just incress

Summary Statistics

Includes fees & commissions C2 Israel
Strategy began
2020-03-24
Suggested Minimum Capital
$15,000
# Trades
194
# Profitable
154
% Profitable
79.4%
Net Dividends
Correlation S&P500
0.441
Sharpe Ratio
2.01
Sortino Ratio
3.51
Beta
0.36
Alpha
0.07
Leverage
0.92 Average
3.09 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.

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