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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 10/09/2020
Most recent certification approved 10/9/20 8:33 ET
Trades at broker Israel Interactive Trading
Scaling percentage used 100%
# trading signals issued by system since certification 1,398
# trading signals executed in manager's Israel Interactive Trading account 1,398
Percent signals followed since 10/09/2020 100%
This information was last updated 4/17/21 10:53 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 10/09/2020, 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.

MasterUP
(131583374)

Created by: Master_UP Master_UP
Started: 10/2020
Stocks
Last trade: Yesterday

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 $75.00 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.

120.5%
Cumul. Return

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 Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

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

All results are hypothetical.

(24.8%)
Max Drawdown
306
Num Trades
59.2%
Win Trades
2.5 : 1
Profit Factor
57.1%
Win Months
Hypothetical Monthly Returns (includes system fee and Default (IBKR) commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020                                                               (10.8%)+77.5%+1.5%+60.8%
2021+30.7%+13.0%(5.6%)(1.6%)                                                +37.2%

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 1,398 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
4/12/21 15:26 QS QUANTUMSCAPE CORP LONG 20 42.01 4/15 12:49 35.30 0.2%
Trade id #135111049
Max drawdown($134)
Time4/15/21 12:49
Quant open20
Worst price35.27
Drawdown as % of equity-0.20%
($139)
Includes Typical Broker Commissions trade costs of $5.00
4/6/21 11:20 DDD 3D SYSTEMS LONG 40 26.29 4/12 13:54 22.34 0.23%
Trade id #135026042
Max drawdown($166)
Time4/12/21 13:23
Quant open40
Worst price22.12
Drawdown as % of equity-0.23%
($163)
Includes Typical Broker Commissions trade costs of $5.00
4/5/21 13:02 PLUG PLUG POWER LONG 30 33.38 4/12 13:54 29.01 0.19%
Trade id #135009710
Max drawdown($138)
Time4/12/21 13:45
Quant open30
Worst price28.77
Drawdown as % of equity-0.19%
($136)
Includes Typical Broker Commissions trade costs of $5.00
3/25/21 12:34 FCEL FUELCELL ENERGY LONG 130 13.28 4/12 13:54 11.95 0.31%
Trade id #134864190
Max drawdown($223)
Time4/12/21 13:41
Quant open110
Worst price11.25
Drawdown as % of equity-0.31%
($184)
Includes Typical Broker Commissions trade costs of $10.00
3/31/21 10:41 AMD ADVANCED MICRO DEVICES INC. C LONG 15 78.05 4/12 13:54 79.02 0.01%
Trade id #134947619
Max drawdown($3)
Time3/31/21 11:44
Quant open15
Worst price77.80
Drawdown as % of equity-0.01%
$10
Includes Typical Broker Commissions trade costs of $5.00
3/25/21 12:02 TLRY TILRAY INC. CLASS 2 COMMON STOCK LONG 65 22.10 4/12 9:33 18.03 0.28%
Trade id #134863472
Max drawdown($196)
Time4/8/21 0:00
Quant open65
Worst price19.08
Drawdown as % of equity-0.28%
($272)
Includes Typical Broker Commissions trade costs of $7.50
4/8/21 9:44 FB FACEBOOK SHORT 7 311.83 4/9 10:13 314.44 0.03%
Trade id #135060382
Max drawdown($20)
Time4/9/21 10:11
Quant open7
Worst price314.74
Drawdown as % of equity-0.03%
($23)
Includes Typical Broker Commissions trade costs of $5.00
3/31/21 10:44 NKLA NIKOLA CORP LONG 75 14.35 4/7 15:32 12.31 0.21%
Trade id #134947706
Max drawdown($152)
Time4/7/21 15:32
Quant open75
Worst price12.31
Drawdown as % of equity-0.21%
($158)
Includes Typical Broker Commissions trade costs of $5.00
3/25/21 12:22 LI LI AUTO INC LONG 50 23.49 4/7 12:21 22.86 0.15%
Trade id #134863962
Max drawdown($98)
Time3/30/21 0:00
Quant open50
Worst price21.52
Drawdown as % of equity-0.15%
($37)
Includes Typical Broker Commissions trade costs of $5.00
3/25/21 11:29 QQQ POWERSHARES QQQ LONG 20 313.41 4/5 12:10 326.64 0.01%
Trade id #134861788
Max drawdown($5)
Time3/25/21 14:29
Quant open8
Worst price308.49
Drawdown as % of equity-0.01%
$250
Includes Typical Broker Commissions trade costs of $15.00
3/30/21 9:57 LAZR LUMINAR TECHNOLOGIES INC LONG 40 22.37 4/1 10:33 25.07 0.01%
Trade id #134928185
Max drawdown($8)
Time3/30/21 10:21
Quant open40
Worst price22.17
Drawdown as % of equity-0.01%
$103
Includes Typical Broker Commissions trade costs of $5.00
3/4/21 13:52 NVDA NVIDIA LONG 7 485.58 4/1 10:24 542.57 0.25%
Trade id #134425420
Max drawdown($160)
Time3/8/21 0:00
Quant open7
Worst price462.66
Drawdown as % of equity-0.25%
$389
Includes Typical Broker Commissions trade costs of $10.00
3/30/21 10:38 BLNK BLINK CHARGING CO. COMMON STOCK LONG 25 35.66 4/1 10:10 43.22 0%
Trade id #134929355
Max drawdown($0)
Time3/30/21 10:42
Quant open25
Worst price35.64
Drawdown as % of equity-0.00%
$182
Includes Typical Broker Commissions trade costs of $7.50
3/25/21 14:35 ROKU ROKU INC. CLASS A COMMON STOCK SHORT 16 302.28 3/30 11:39 314.39 0.29%
Trade id #134866860
Max drawdown($200)
Time3/30/21 11:38
Quant open16
Worst price314.81
Drawdown as % of equity-0.29%
($204)
Includes Typical Broker Commissions trade costs of $10.00
3/25/21 15:26 BIDU BAIDU LONG 7 209.07 3/26 12:41 185.00 0.26%
Trade id #134868072
Max drawdown($171)
Time3/26/21 12:41
Quant open7
Worst price184.56
Drawdown as % of equity-0.26%
($174)
Includes Typical Broker Commissions trade costs of $5.00
10/28/20 15:17 AMD ADVANCED MICRO DEVICES INC. C LONG 192 86.08 3/25/21 10:57 85.91 1.41%
Trade id #131953677
Max drawdown($945)
Time3/25/21 10:57
Quant open85
Worst price74.96
Drawdown as % of equity-1.41%
($86)
Includes Typical Broker Commissions trade costs of $52.50
3/24/21 10:33 CVAC CUREVAC N.V. SHORT 10 86.51 3/25 9:41 85.27 0.02%
Trade id #134834763
Max drawdown($15)
Time3/24/21 11:01
Quant open10
Worst price88.10
Drawdown as % of equity-0.02%
$7
Includes Typical Broker Commissions trade costs of $5.00
2/25/21 10:44 M MACY'S LONG 80 16.22 3/24 15:40 15.34 0.22%
Trade id #134280928
Max drawdown($151)
Time3/5/21 0:00
Quant open80
Worst price14.33
Drawdown as % of equity-0.22%
($75)
Includes Typical Broker Commissions trade costs of $5.00
2/2/21 9:57 SPWR SUNPOWER LONG 100 38.55 3/24 14:44 34.95 1.14%
Trade id #133793203
Max drawdown($785)
Time3/5/21 0:00
Quant open60
Worst price27.39
Drawdown as % of equity-1.14%
($384)
Includes Typical Broker Commissions trade costs of $25.00
1/28/21 13:48 MAC MACERICH LONG 100 17.23 3/24 14:44 12.05 0.81%
Trade id #133674789
Max drawdown($551)
Time2/3/21 0:00
Quant open100
Worst price11.72
Drawdown as % of equity-0.81%
($526)
Includes Typical Broker Commissions trade costs of $7.50
3/5/21 12:44 CLNE CLEAN ENERGY FUELS LONG 100 11.03 3/24 14:43 13.54 0.06%
Trade id #134453357
Max drawdown($35)
Time3/5/21 13:03
Quant open100
Worst price10.68
Drawdown as % of equity-0.06%
$244
Includes Typical Broker Commissions trade costs of $7.50
3/23/21 10:31 FB FACEBOOK SHORT 7 295.41 3/24 14:43 284.27 0.03%
Trade id #134801262
Max drawdown($18)
Time3/23/21 11:07
Quant open7
Worst price298.00
Drawdown as % of equity-0.03%
$73
Includes Typical Broker Commissions trade costs of $5.00
10/22/20 13:30 WYNN WYNN RESORTS LONG 87 84.10 3/24/21 14:43 108.04 1.45%
Trade id #131848033
Max drawdown($397)
Time10/28/20 0:00
Quant open50
Worst price67.70
Drawdown as % of equity-1.45%
$2,053
Includes Typical Broker Commissions trade costs of $30.00
3/5/21 12:44 SNOW SNOWFLAKE INC LONG 7 237.88 3/24 14:43 211.68 0.27%
Trade id #134453336
Max drawdown($188)
Time3/24/21 13:07
Quant open7
Worst price210.88
Drawdown as % of equity-0.27%
($188)
Includes Typical Broker Commissions trade costs of $5.00
10/9/20 11:52 HA HAWAIIAN HOLDINGS LONG 426 19.28 3/24/21 14:43 21.91 0.17%
Trade id #131617513
Max drawdown($50)
Time10/15/20 0:00
Quant open40
Worst price12.51
Drawdown as % of equity-0.17%
$1,060
Includes Typical Broker Commissions trade costs of $60.00
10/9/20 11:52 LVS LAS VEGAS SANDS LONG 91 52.23 3/24/21 14:42 60.05 0.08%
Trade id #131617534
Max drawdown($23)
Time10/13/20 0:00
Quant open20
Worst price44.08
Drawdown as % of equity-0.08%
$682
Includes Typical Broker Commissions trade costs of $30.00
1/15/21 9:34 BLDP BALLARD POWER SYSTEMS LONG 140 29.41 3/24 14:42 28.53 0.81%
Trade id #133399446
Max drawdown($547)
Time3/24/21 14:41
Quant open80
Worst price22.56
Drawdown as % of equity-0.81%
($148)
Includes Typical Broker Commissions trade costs of $25.00
10/9/20 11:51 UAL UNITED AIRLINES HOLDINGS INC LONG 90 41.13 3/24/21 14:42 51.08 0.72%
Trade id #131617490
Max drawdown($198)
Time10/28/20 0:00
Quant open40
Worst price32.16
Drawdown as % of equity-0.72%
$866
Includes Typical Broker Commissions trade costs of $30.00
10/9/20 9:45 AAL AMERICAN AIRLINES GROUP INC. C LONG 474 15.28 3/24/21 14:42 19.09 0.66%
Trade id #131612555
Max drawdown($180)
Time10/28/20 0:00
Quant open70
Worst price10.63
Drawdown as % of equity-0.66%
$1,748
Includes Typical Broker Commissions trade costs of $60.00
1/28/21 11:52 BE BLOOM ENERGY CORP LONG 100 32.29 3/24 14:41 27.95 0.97%
Trade id #133671898
Max drawdown($669)
Time3/5/21 0:00
Quant open70
Worst price22.73
Drawdown as % of equity-0.97%
($457)
Includes Typical Broker Commissions trade costs of $22.50

Statistics

  • Strategy began
    10/8/2020
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    191.27
  • Age
    6 months ago
  • What it trades
    Stocks
  • # Trades
    306
  • # Profitable
    181
  • % Profitable
    59.20%
  • Avg trade duration
    27.2 days
  • Max peak-to-valley drawdown
    24.77%
  • drawdown period
    Feb 24, 2021 - March 05, 2021
  • Cumul. Return
    129.8%
  • Avg win
    $334.91
  • Avg loss
    $197.51
  • Model Account Values (Raw)
  • Cash
    $9,098
  • Margin Used
    $0
  • Buying Power
    $15,770
  • Ratios
  • W:L ratio
    2.48:1
  • Sharpe Ratio
    3.12
  • Sortino Ratio
    5.67
  • Calmar Ratio
    25.868
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    108.33%
  • Correlation to SP500
    0.40370
  • Return Percent SP500 (cumu) during strategy life
    21.43%
  • Return Statistics
  • Ann Return (w trading costs)
    375.8%
  • Slump
  • Current Slump as Pcnt Equity
    14.70%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.26%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    1.298%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    402.0%
  • Automation
  • Percentage Signals Automated
    n/a
  • Popularity
  • Popularity (Today)
    853
  • Popularity (Last 6 weeks)
    986
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    961
  • 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
    $198
  • Avg Win
    $358
  • Sum Trade PL (losers)
    $24,707.000
  • AUM
  • AUM (AutoTrader num accounts)
    23
  • Age
  • Num Months filled monthly returns table
    7
  • Win / Loss
  • Sum Trade PL (winners)
    $64,744.000
  • # Winners
    181
  • Num Months Winners
    4
  • Dividends
  • Dividends Received in Model Acct
    150
  • AUM
  • AUM (AutoTrader live capital)
    811183
  • Win / Loss
  • # Losers
    125
  • % Winners
    59.1%
  • Frequency
  • Avg Position Time (mins)
    39218.10
  • Avg Position Time (hrs)
    653.63
  • Avg Trade Length
    27.2 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    1.55
  • Daily leverage (max)
    2.24
  • Regression
  • Alpha
    0.35
  • Beta
    1.19
  • Treynor Index
    0.39
  • 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)
    0.16
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    1.716
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.380
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.370
  • Hold-and-Hope Ratio
    0.635
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.95652
  • SD
    0.66424
  • Sharpe ratio (Glass type estimate)
    2.94551
  • Sharpe ratio (Hedges UMVUE)
    2.47643
  • df
    5.00000
  • t
    2.08279
  • p
    0.04587
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.44387
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.13869
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.69197
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.64484
  • Statistics related to Sortino ratio
  • Sortino ratio
    13.62670
  • Upside Potential Ratio
    15.04090
  • Upside part of mean
    2.15957
  • Downside part of mean
    -0.20305
  • Upside SD
    0.81612
  • Downside SD
    0.14358
  • N nonnegative terms
    5.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    6.00000
  • Mean of predictor
    0.36041
  • Mean of criterion
    1.95652
  • SD of predictor
    0.05228
  • SD of criterion
    0.66424
  • Covariance
    -0.00700
  • r
    -0.20144
  • b (slope, estimate of beta)
    -2.55926
  • a (intercept, estimate of alpha)
    2.87890
  • Mean Square Error
    0.52914
  • DF error
    4.00000
  • t(b)
    -0.41131
  • p(b)
    0.64904
  • t(a)
    1.16685
  • p(a)
    0.15404
  • Lowerbound of 95% confidence interval for beta
    -19.83820
  • Upperbound of 95% confidence interval for beta
    14.71970
  • Lowerbound of 95% confidence interval for alpha
    -3.97258
  • Upperbound of 95% confidence interval for alpha
    9.73038
  • Treynor index (mean / b)
    -0.76449
  • Jensen alpha (a)
    2.87890
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.67078
  • SD
    0.57834
  • Sharpe ratio (Glass type estimate)
    2.88890
  • Sharpe ratio (Hedges UMVUE)
    2.42884
  • df
    5.00000
  • t
    2.04276
  • p
    0.04826
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.48158
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.06456
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.72538
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.58306
  • Statistics related to Sortino ratio
  • Sortino ratio
    11.06250
  • Upside Potential Ratio
    12.47670
  • Upside part of mean
    1.88437
  • Downside part of mean
    -0.21359
  • Upside SD
    0.69896
  • Downside SD
    0.15103
  • N nonnegative terms
    5.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    6.00000
  • Mean of predictor
    0.35322
  • Mean of criterion
    1.67078
  • SD of predictor
    0.05083
  • SD of criterion
    0.57834
  • Covariance
    -0.00609
  • r
    -0.20719
  • b (slope, estimate of beta)
    -2.35739
  • a (intercept, estimate of alpha)
    2.50345
  • Mean Square Error
    0.40015
  • DF error
    4.00000
  • t(b)
    -0.42357
  • p(b)
    0.65317
  • t(a)
    1.15909
  • p(a)
    0.15545
  • Lowerbound of 95% confidence interval for beta
    -17.81290
  • Upperbound of 95% confidence interval for beta
    13.09810
  • Lowerbound of 95% confidence interval for alpha
    -3.49437
  • Upperbound of 95% confidence interval for alpha
    8.50127
  • Treynor index (mean / b)
    -0.70874
  • Jensen alpha (a)
    2.50345
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.12662
  • Expected Shortfall on VaR
    0.18395
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01570
  • Expected Shortfall on VaR
    0.04309
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    6.00000
  • Minimum
    0.90080
  • Quartile 1
    1.05245
  • Median
    1.19762
  • Quartile 3
    1.22862
  • Maximum
    1.45317
  • Mean of quarter 1
    0.95652
  • Mean of quarter 2
    1.17307
  • Mean of quarter 3
    1.22218
  • Mean of quarter 4
    1.34197
  • Inter Quartile Range
    0.17617
  • 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)
    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
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.09920
  • Quartile 1
    0.09920
  • Median
    0.09920
  • Quartile 3
    0.09920
  • Maximum
    0.09920
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • 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)
    2.67621
  • Compounded annual return (geometric extrapolation)
    4.46674
  • Calmar ratio (compounded annual return / max draw down)
    45.02860
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    24.28260
  • 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
    1.76972
  • SD
    0.47503
  • Sharpe ratio (Glass type estimate)
    3.72545
  • Sharpe ratio (Hedges UMVUE)
    3.70408
  • df
    131.00000
  • t
    2.64433
  • p
    0.35791
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.92076
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.51643
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.90660
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.50155
  • Statistics related to Sortino ratio
  • Sortino ratio
    7.00128
  • Upside Potential Ratio
    15.39260
  • Upside part of mean
    3.89079
  • Downside part of mean
    -2.12107
  • Upside SD
    0.41474
  • Downside SD
    0.25277
  • N nonnegative terms
    75.00000
  • N negative terms
    57.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    132.00000
  • Mean of predictor
    0.36957
  • Mean of criterion
    1.76972
  • SD of predictor
    0.15407
  • SD of criterion
    0.47503
  • Covariance
    0.02943
  • r
    0.40212
  • b (slope, estimate of beta)
    1.23980
  • a (intercept, estimate of alpha)
    1.31200
  • Mean Square Error
    0.19062
  • DF error
    130.00000
  • t(b)
    5.00751
  • p(b)
    0.29894
  • t(a)
    2.10898
  • p(a)
    0.40906
  • Lowerbound of 95% confidence interval for beta
    0.74998
  • Upperbound of 95% confidence interval for beta
    1.72962
  • Lowerbound of 95% confidence interval for alpha
    0.08121
  • Upperbound of 95% confidence interval for alpha
    2.54185
  • Treynor index (mean / b)
    1.42742
  • Jensen alpha (a)
    1.31153
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.65405
  • SD
    0.46891
  • Sharpe ratio (Glass type estimate)
    3.52744
  • Sharpe ratio (Hedges UMVUE)
    3.50720
  • df
    131.00000
  • t
    2.50378
  • p
    0.36500
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.72689
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.31502
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.71345
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.30095
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.41317
  • Upside Potential Ratio
    14.76340
  • Upside part of mean
    3.80771
  • Downside part of mean
    -2.15365
  • Upside SD
    0.40266
  • Downside SD
    0.25792
  • N nonnegative terms
    75.00000
  • N negative terms
    57.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    132.00000
  • Mean of predictor
    0.35748
  • Mean of criterion
    1.65405
  • SD of predictor
    0.15428
  • SD of criterion
    0.46891
  • Covariance
    0.02912
  • r
    0.40252
  • b (slope, estimate of beta)
    1.22340
  • a (intercept, estimate of alpha)
    1.21671
  • Mean Square Error
    0.18567
  • DF error
    130.00000
  • t(b)
    5.01345
  • p(b)
    0.29874
  • t(a)
    1.98388
  • p(a)
    0.41429
  • Lowerbound of 95% confidence interval for beta
    0.74063
  • Upperbound of 95% confidence interval for beta
    1.70617
  • Lowerbound of 95% confidence interval for alpha
    0.00337
  • Upperbound of 95% confidence interval for alpha
    2.43005
  • Treynor index (mean / b)
    1.35202
  • Jensen alpha (a)
    1.21671
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04049
  • Expected Shortfall on VaR
    0.05198
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01711
  • Expected Shortfall on VaR
    0.03312
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    132.00000
  • Minimum
    0.93008
  • Quartile 1
    0.98550
  • Median
    1.00477
  • Quartile 3
    1.02481
  • Maximum
    1.11780
  • Mean of quarter 1
    0.97212
  • Mean of quarter 2
    0.99639
  • Mean of quarter 3
    1.01421
  • Mean of quarter 4
    1.04472
  • Inter Quartile Range
    0.03931
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.01515
  • Mean of outliers high
    1.10511
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.05300
  • VaR(95%) (moments method)
    0.02877
  • Expected Shortfall (moments method)
    0.03818
  • Extreme Value Index (regression method)
    0.10960
  • VaR(95%) (regression method)
    0.02705
  • Expected Shortfall (regression method)
    0.03605
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    11.00000
  • Minimum
    0.00983
  • Quartile 1
    0.03180
  • Median
    0.05676
  • Quartile 3
    0.10743
  • Maximum
    0.16917
  • Mean of quarter 1
    0.02059
  • Mean of quarter 2
    0.04717
  • Mean of quarter 3
    0.07566
  • Mean of quarter 4
    0.14173
  • Inter Quartile Range
    0.07563
  • 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)
    -0.80684
  • VaR(95%) (moments method)
    0.15885
  • Expected Shortfall (moments method)
    0.16772
  • Extreme Value Index (regression method)
    0.67241
  • VaR(95%) (regression method)
    0.17175
  • Expected Shortfall (regression method)
    0.32489
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    2.64693
  • Compounded annual return (geometric extrapolation)
    4.37607
  • Calmar ratio (compounded annual return / max draw down)
    25.86810
  • Compounded annual return / average of 25% largest draw downs
    30.87710
  • Compounded annual return / Expected Shortfall lognormal
    84.17990
  • 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
    1.79416
  • SD
    0.47654
  • Sharpe ratio (Glass type estimate)
    3.76497
  • Sharpe ratio (Hedges UMVUE)
    3.74320
  • df
    130.00000
  • t
    2.66223
  • p
    0.38631
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.94866
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.56721
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.93430
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.55210
  • Statistics related to Sortino ratio
  • Sortino ratio
    7.07432
  • Upside Potential Ratio
    15.45840
  • Upside part of mean
    3.92049
  • Downside part of mean
    -2.12633
  • Upside SD
    0.41632
  • Downside SD
    0.25362
  • N nonnegative terms
    75.00000
  • N negative terms
    56.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.35501
  • Mean of criterion
    1.79416
  • SD of predictor
    0.15432
  • SD of criterion
    0.47654
  • Covariance
    0.02984
  • r
    0.40575
  • b (slope, estimate of beta)
    1.25298
  • a (intercept, estimate of alpha)
    1.34933
  • Mean Square Error
    0.19118
  • DF error
    129.00000
  • t(b)
    5.04209
  • p(b)
    0.24897
  • t(a)
    2.16029
  • p(a)
    0.38174
  • Lowerbound of 95% confidence interval for beta
    0.76131
  • Upperbound of 95% confidence interval for beta
    1.74465
  • Lowerbound of 95% confidence interval for alpha
    0.11353
  • Upperbound of 95% confidence interval for alpha
    2.58513
  • Treynor index (mean / b)
    1.43191
  • Jensen alpha (a)
    1.34933
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.67764
  • SD
    0.47041
  • Sharpe ratio (Glass type estimate)
    3.56633
  • Sharpe ratio (Hedges UMVUE)
    3.54571
  • df
    130.00000
  • t
    2.52177
  • p
    0.39202
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.75423
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.36511
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.74060
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.35083
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.48284
  • Upside Potential Ratio
    14.82630
  • Upside part of mean
    3.83677
  • Downside part of mean
    -2.15913
  • Upside SD
    0.40419
  • Downside SD
    0.25878
  • N nonnegative terms
    75.00000
  • N negative terms
    56.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.34291
  • Mean of criterion
    1.67764
  • SD of predictor
    0.15452
  • SD of criterion
    0.47041
  • Covariance
    0.02952
  • r
    0.40608
  • b (slope, estimate of beta)
    1.23622
  • a (intercept, estimate of alpha)
    1.25372
  • Mean Square Error
    0.18623
  • DF error
    129.00000
  • t(b)
    5.04704
  • p(b)
    0.24877
  • t(a)
    2.03512
  • p(a)
    0.38830
  • VAR (95 Confidence Intrvl)
    0.04000
  • Lowerbound of 95% confidence interval for beta
    0.75160
  • Upperbound of 95% confidence interval for beta
    1.72084
  • Lowerbound of 95% confidence interval for alpha
    0.03486
  • Upperbound of 95% confidence interval for alpha
    2.47258
  • Treynor index (mean / b)
    1.35707
  • Jensen alpha (a)
    1.25372
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04055
  • Expected Shortfall on VaR
    0.05208
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01704
  • Expected Shortfall on VaR
    0.03305
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.93008
  • Quartile 1
    0.98524
  • Median
    1.00497
  • Quartile 3
    1.02499
  • Maximum
    1.11780
  • Mean of quarter 1
    0.97212
  • Mean of quarter 2
    0.99671
  • Mean of quarter 3
    1.01450
  • Mean of quarter 4
    1.04472
  • Inter Quartile Range
    0.03975
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.01527
  • Mean of outliers high
    1.10511
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.05300
  • VaR(95%) (moments method)
    0.02884
  • Expected Shortfall (moments method)
    0.03825
  • Extreme Value Index (regression method)
    0.10960
  • VaR(95%) (regression method)
    0.02711
  • Expected Shortfall (regression method)
    0.03612
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    11.00000
  • Minimum
    0.00983
  • Quartile 1
    0.03180
  • Median
    0.05676
  • Quartile 3
    0.10506
  • Maximum
    0.16917
  • Mean of quarter 1
    0.02059
  • Mean of quarter 2
    0.04717
  • Mean of quarter 3
    0.07566
  • Mean of quarter 4
    0.14015
  • Inter Quartile Range
    0.07326
  • 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)
    -1.40321
  • VaR(95%) (moments method)
    0.15896
  • Expected Shortfall (moments method)
    0.16367
  • Extreme Value Index (regression method)
    0.16292
  • VaR(95%) (regression method)
    0.17244
  • Last 4 Months - Pcnt Negative
    0.50%
  • Expected Shortfall (regression method)
    0.21864
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -292861000
  • Max Equity Drawdown (num days)
    9
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    2.69228
  • Compounded annual return (geometric extrapolation)
    4.50438
  • Calmar ratio (compounded annual return / max draw down)
    26.62660
  • Compounded annual return / average of 25% largest draw downs
    32.13980
  • Compounded annual return / Expected Shortfall lognormal
    86.48920

Strategy Description

I am trading for short term (days-weeks) and long term (months). looking for momentum in stocks and also fundamental view, i adjust positions on daily basis depends on the news and price action, technical analysis. i am also using options buyers and sellers for more clues.
i am using leverage so please contact collective team to understand the meaning for you account, when using leverage you have small interest to pay the broker and you will also see under "Cash" negative value. the maximum leverage is 1:2. contact the broker for more information.
i am very active trader so keep that in mind.
Thank You,

Summary Statistics

Includes fees & commissions Default (IBKR)
Strategy began
2020-10-08
Suggested Minimum Capital
$35,000
# Trades
306
# Profitable
181
% Profitable
59.2%
Net Dividends
Correlation S&P500
0.404
Sharpe Ratio
3.12
Sortino Ratio
5.67
Beta
1.19
Alpha
0.35
Leverage
1.55 Average
2.24 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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