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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 11/25/2020
Most recent certification approved 11/25/20 10:30 ET
Trades at broker Israel Interactive Trading
Scaling percentage used 100%
# trading signals issued by system since certification 133
# trading signals executed in manager's Israel Interactive Trading account 133
Percent signals followed since 11/25/2020 100%
This information was last updated 4/17/21 11:23 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 11/25/2020, 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.

Tedeschi stock rating
(132446310)

Created by: YoramTadeski YoramTadeski
Started: 11/2020
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 $52.00 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.

36.1%
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.

(18.8%)
Max Drawdown
61
Num Trades
47.5%
Win Trades
2.3 : 1
Profit Factor
100.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Default (IBKR) commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020                                                                      +1.6%+12.5%+14.4%
2021+11.1%+0.4%+1.7%+4.9%                                                +19.0%

Model Account Details

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

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

Trading Record

This strategy has placed 78 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
4/15/21 15:33 AGL AGILON HEALTH INC LONG 100 30.90 4/16 9:42 29.60 1.6%
Trade id #135174832
Max drawdown($218)
Time4/16/21 0:00
Quant open100
Worst price28.71
Drawdown as % of equity-1.60%
($135)
Includes Typical Broker Commissions trade costs of $5.00
4/14/21 15:51 ALKT ALKAMI TECHNOLOGY INC. COMMON STOCK LONG 78 43.22 4/15 9:32 41.68 0.93%
Trade id #135153997
Max drawdown($126)
Time4/15/21 0:00
Quant open78
Worst price41.60
Drawdown as % of equity-0.93%
($125)
Includes Typical Broker Commissions trade costs of $5.00
4/1/21 15:45 ULCC FRONTIER GROUP HOLDINGS INC. COMMON STOCK LONG 180 18.89 4/8 15:30 20.03 0.39%
Trade id #134976087
Max drawdown($49)
Time4/1/21 15:59
Quant open180
Worst price18.62
Drawdown as % of equity-0.39%
$197
Includes Typical Broker Commissions trade costs of $7.50
3/26/21 15:59 TDUP THREDUP INC. CLASS A COMMON STOCK LONG 150 20.14 3/30 15:08 22.57 1.38%
Trade id #134891207
Max drawdown($162)
Time3/29/21 0:00
Quant open150
Worst price19.05
Drawdown as % of equity-1.38%
$358
Includes Typical Broker Commissions trade costs of $7.50
3/25/21 15:50 VZIO VIZIO HOLDING CORP LONG 200 18.95 3/30 9:33 20.98 0.34%
Trade id #134869210
Max drawdown($40)
Time3/25/21 15:53
Quant open200
Worst price18.75
Drawdown as % of equity-0.34%
$399
Includes Typical Broker Commissions trade costs of $7.50
3/25/21 15:44 DSEY DIVERSEY HOLDINGS LTD. ORDINARY SHARES LONG 150 14.67 3/29 11:32 14.47 1.15%
Trade id #134868871
Max drawdown($136)
Time3/26/21 0:00
Quant open150
Worst price13.76
Drawdown as % of equity-1.15%
($38)
Includes Typical Broker Commissions trade costs of $7.50
3/24/21 15:36 ACVA ACV AUCTIONS INC. CLASS A COMMON STOCK LONG 66 34.11 3/26 13:27 29.70 4.26%
Trade id #134843378
Max drawdown($503)
Time3/25/21 0:00
Quant open66
Worst price26.49
Drawdown as % of equity-4.26%
($299)
Includes Typical Broker Commissions trade costs of $7.50
3/24/21 15:59 DOCN DIGITAL OCEAN HOLDINGS INC LONG 76 42.73 3/26 9:50 42.31 2.08%
Trade id #134844616
Max drawdown($245)
Time3/25/21 0:00
Quant open76
Worst price39.50
Drawdown as % of equity-2.08%
($40)
Includes Typical Broker Commissions trade costs of $7.50
3/8/21 13:27 GTN GRAY TELEVISION LONG 80 19.89 3/23 15:25 19.05 0.54%
Trade id #134491246
Max drawdown($67)
Time3/23/21 15:23
Quant open80
Worst price19.05
Drawdown as % of equity-0.54%
($72)
Includes Typical Broker Commissions trade costs of $5.00
2/25/21 9:30 SPSC SPS COMMERCE LONG 20 104.65 3/23 13:42 100.76 1.45%
Trade id #134276422
Max drawdown($188)
Time3/4/21 0:00
Quant open20
Worst price95.24
Drawdown as % of equity-1.45%
($83)
Includes Typical Broker Commissions trade costs of $5.00
3/19/21 15:59 TIL INSTIL BIO INC. COMMON STOCK LONG 180 26.38 3/23 11:28 26.21 1.68%
Trade id #134741463
Max drawdown($210)
Time3/23/21 11:25
Quant open90
Worst price24.04
Drawdown as % of equity-1.68%
($38)
Includes Typical Broker Commissions trade costs of $7.50
3/12/21 9:41 CHEK CHECK-CAP LTD. ORDINARY SHARE LONG 202 1.47 3/18 9:34 2.17 0.02%
Trade id #134585297
Max drawdown($3)
Time3/12/21 10:26
Quant open202
Worst price1.45
Drawdown as % of equity-0.02%
$136
Includes Typical Broker Commissions trade costs of $5.00
3/1/21 12:13 FTNT FORTINET LONG 8 172.42 3/17 12:01 184.27 0.73%
Trade id #134343121
Max drawdown($90)
Time3/5/21 0:00
Quant open8
Worst price161.13
Drawdown as % of equity-0.73%
$90
Includes Typical Broker Commissions trade costs of $5.00
3/12/21 15:51 JOAN JOANN INC. COMMON STOCK LONG 330 12.46 3/17 9:42 11.94 1.3%
Trade id #134594551
Max drawdown($159)
Time3/16/21 0:00
Quant open165
Worst price11.49
Drawdown as % of equity-1.30%
($178)
Includes Typical Broker Commissions trade costs of $8.30
12/3/20 10:05 RMNI RIMINI STREET INC LONG 140 4.75 3/8/21 11:43 7.81 0.54%
Trade id #132617709
Max drawdown($61)
Time12/30/20 0:00
Quant open140
Worst price4.31
Drawdown as % of equity-0.54%
$424
Includes Typical Broker Commissions trade costs of $5.00
2/3/21 11:39 CYBR CYBERARK SOFTWARE LTD. ORDINAR LONG 8 163.95 3/5 11:21 134.30 1.93%
Trade id #133823270
Max drawdown($239)
Time3/5/21 11:19
Quant open8
Worst price134.01
Drawdown as % of equity-1.93%
($242)
Includes Typical Broker Commissions trade costs of $5.00
2/9/21 13:46 INTU INTUIT LONG 3 389.73 3/4 13:24 377.59 0.32%
Trade id #133948387
Max drawdown($39)
Time3/4/21 13:22
Quant open3
Worst price376.65
Drawdown as % of equity-0.32%
($41)
Includes Typical Broker Commissions trade costs of $5.00
11/25/20 10:36 ENTG ENTEGRIS LONG 21 88.67 3/4/21 10:07 97.79 0.05%
Trade id #132455468
Max drawdown($5)
Time11/25/20 11:39
Quant open21
Worst price88.43
Drawdown as % of equity-0.05%
$187
Includes Typical Broker Commissions trade costs of $5.00
11/25/20 10:30 VEEV VEEVA SYSTEMS INC LONG 4 267.95 3/4/21 9:56 252.36 0.51%
Trade id #132455219
Max drawdown($65)
Time3/4/21 9:56
Quant open4
Worst price251.46
Drawdown as % of equity-0.51%
($67)
Includes Typical Broker Commissions trade costs of $5.00
2/10/21 10:01 PCTY PAYLOCITY HOLDING CORPORATION LONG 5 213.13 3/3 9:47 180.00 1.25%
Trade id #133966554
Max drawdown($161)
Time3/3/21 9:46
Quant open5
Worst price180.77
Drawdown as % of equity-1.25%
($171)
Includes Typical Broker Commissions trade costs of $5.00
2/17/21 15:13 ISNS IMAGE SENSING SYSTEMS LONG 221 5.98 2/23 12:57 4.93 1.76%
Trade id #134117175
Max drawdown($231)
Time2/23/21 12:56
Quant open221
Worst price4.93
Drawdown as % of equity-1.76%
($236)
Includes Typical Broker Commissions trade costs of $5.00
1/8/21 10:16 CHEK CHECK-CAP LTD. ORDINARY SHARE LONG 240 1.69 2/23 9:42 1.33 0.74%
Trade id #133272941
Max drawdown($100)
Time2/23/21 9:40
Quant open240
Worst price1.27
Drawdown as % of equity-0.74%
($91)
Includes Typical Broker Commissions trade costs of $5.00
1/8/21 10:11 NIO NIO INC LONG 8 56.87 2/23 9:38 42.76 0.88%
Trade id #133272497
Max drawdown($119)
Time2/23/21 9:38
Quant open8
Worst price41.92
Drawdown as % of equity-0.88%
($118)
Includes Typical Broker Commissions trade costs of $5.00
11/25/20 10:34 NFLX NETFLIX LONG 2 481.70 2/22/21 9:32 533.96 0.03%
Trade id #132455377
Max drawdown($3)
Time11/25/20 11:42
Quant open2
Worst price480.01
Drawdown as % of equity-0.03%
$100
Includes Typical Broker Commissions trade costs of $5.00
12/23/20 9:32 FCEL FUELCELL ENERGY LONG 17 12.10 2/18/21 10:24 18.64 0.29%
Trade id #132982902
Max drawdown($33)
Time1/5/21 0:00
Quant open17
Worst price10.13
Drawdown as % of equity-0.29%
$106
Includes Typical Broker Commissions trade costs of $5.00
2/10/21 15:24 DSP VIANT TECHNOLOGY INC. CLASS A COMMON STOCK LONG 80 47.49 2/12 9:42 52.19 0.83%
Trade id #133993488
Max drawdown($118)
Time2/10/21 15:56
Quant open80
Worst price46.01
Drawdown as % of equity-0.83%
$369
Includes Typical Broker Commissions trade costs of $7.50
1/28/21 10:14 LGND LIGAND PHARMACEUTICALS LONG 14 166.64 2/10 10:23 203.64 1.18%
Trade id #133668028
Max drawdown($148)
Time1/28/21 11:32
Quant open14
Worst price156.01
Drawdown as % of equity-1.18%
$513
Includes Typical Broker Commissions trade costs of $5.00
2/9/21 13:42 INTU INTUIT SHORT 3 389.29 2/9 13:45 389.53 0.01%
Trade id #133948264
Max drawdown($0)
Time2/9/21 13:45
Quant open3
Worst price389.59
Drawdown as % of equity-0.01%
($6)
Includes Typical Broker Commissions trade costs of $5.00
1/28/21 15:55 OCDX ORTHO CLINICAL DIAGNOSTICS PLC ORDINARY SHARES LONG 180 16.00 2/1 13:54 16.71 1.13%
Trade id #133680318
Max drawdown($147)
Time1/29/21 0:00
Quant open180
Worst price15.18
Drawdown as % of equity-1.13%
$121
Includes Typical Broker Commissions trade costs of $7.50
1/8/21 10:16 ARRY ARRAY TECHNOLOGIES INC. COMMON STOCK LONG 12 52.58 1/29 12:50 40.59 1.11%
Trade id #133272939
Max drawdown($144)
Time1/29/21 12:49
Quant open12
Worst price40.56
Drawdown as % of equity-1.11%
($149)
Includes Typical Broker Commissions trade costs of $5.00

Statistics

  • Strategy began
    11/25/2020
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    141.35
  • Age
    143 days ago
  • What it trades
    Stocks
  • # Trades
    61
  • # Profitable
    29
  • % Profitable
    47.50%
  • Avg trade duration
    29.5 days
  • Max peak-to-valley drawdown
    18.82%
  • drawdown period
    Feb 16, 2021 - March 24, 2021
  • Cumul. Return
    36.9%
  • Avg win
    $230.38
  • Avg loss
    $90.22
  • Model Account Values (Raw)
  • Cash
    $6,714
  • Margin Used
    $0
  • Buying Power
    $8,505
  • Ratios
  • W:L ratio
    2.32:1
  • Sharpe Ratio
    2.36
  • Sortino Ratio
    4.47
  • Calmar Ratio
    18.177
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    22.13%
  • Correlation to SP500
    0.44570
  • Return Percent SP500 (cumu) during strategy life
    15.31%
  • Return Statistics
  • Ann Return (w trading costs)
    121.0%
  • Slump
  • Current Slump as Pcnt Equity
    6.30%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.41%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.369%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    142.6%
  • Automation
  • Percentage Signals Automated
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    859
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    781
  • 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
    $90
  • Avg Win
    $244
  • Sum Trade PL (losers)
    $2,888.000
  • AUM
  • AUM (AutoTrader num accounts)
    1
  • Age
  • Num Months filled monthly returns table
    6
  • Win / Loss
  • Sum Trade PL (winners)
    $7,066.000
  • # Winners
    29
  • Num Months Winners
    6
  • Dividends
  • Dividends Received in Model Acct
    8
  • AUM
  • AUM (AutoTrader live capital)
    6950
  • Win / Loss
  • # Losers
    32
  • % Winners
    47.5%
  • Frequency
  • Avg Position Time (mins)
    42481.00
  • Avg Position Time (hrs)
    708.02
  • Avg Trade Length
    29.5 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    1.31
  • Daily leverage (max)
    2.03
  • Regression
  • Alpha
    0.15
  • Beta
    0.94
  • Treynor Index
    0.26
  • 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)
    -0.83
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    1.663
  • 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
    0.294
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.524
  • Hold-and-Hope Ratio
    0.462
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.50901
  • SD
    0.47384
  • Sharpe ratio (Glass type estimate)
    3.18462
  • Sharpe ratio (Hedges UMVUE)
    1.79673
  • df
    2.00000
  • t
    1.59231
  • p
    0.12616
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.89008
  • Upperbound of 95% confidence interval for Sharpe Ratio
    7.85177
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.50049
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.09395
  • Statistics related to Sortino ratio
  • Sortino ratio
    24.54690
  • Upside Potential Ratio
    26.54690
  • Upside part of mean
    1.63196
  • Downside part of mean
    -0.12295
  • Upside SD
    0.57937
  • Downside SD
    0.06147
  • N nonnegative terms
    2.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    3.00000
  • Mean of predictor
    0.52311
  • Mean of criterion
    1.50901
  • SD of predictor
    0.04568
  • SD of criterion
    0.47384
  • Covariance
    -0.01401
  • r
    -0.64743
  • b (slope, estimate of beta)
    -6.71636
  • a (intercept, estimate of alpha)
    5.02242
  • Mean Square Error
    0.26083
  • DF error
    1.00000
  • t(b)
    -0.84950
  • p(b)
    0.72415
  • t(a)
    1.17894
  • p(a)
    0.22392
  • Lowerbound of 95% confidence interval for beta
    -107.17500
  • Upperbound of 95% confidence interval for beta
    93.74190
  • Lowerbound of 95% confidence interval for alpha
    -49.10730
  • Upperbound of 95% confidence interval for alpha
    59.15210
  • Treynor index (mean / b)
    -0.22468
  • Jensen alpha (a)
    5.02242
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.35934
  • SD
    0.43677
  • Sharpe ratio (Glass type estimate)
    3.11227
  • Sharpe ratio (Hedges UMVUE)
    1.75591
  • df
    2.00000
  • t
    1.55613
  • p
    0.12998
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.92409
  • Upperbound of 95% confidence interval for Sharpe Ratio
    7.74089
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.52508
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.03689
  • Statistics related to Sortino ratio
  • Sortino ratio
    21.77050
  • Upside Potential Ratio
    23.77050
  • Upside part of mean
    1.48421
  • Downside part of mean
    -0.12488
  • Upside SD
    0.52656
  • Downside SD
    0.06244
  • N nonnegative terms
    2.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    3.00000
  • Mean of predictor
    0.51139
  • Mean of criterion
    1.35934
  • SD of predictor
    0.04386
  • SD of criterion
    0.43677
  • Covariance
    -0.01256
  • r
    -0.65544
  • b (slope, estimate of beta)
    -6.52643
  • a (intercept, estimate of alpha)
    4.69688
  • Mean Square Error
    0.21763
  • DF error
    1.00000
  • t(b)
    -0.86785
  • p(b)
    0.72752
  • t(a)
    1.18688
  • p(a)
    0.22287
  • Lowerbound of 95% confidence interval for beta
    -102.08000
  • Upperbound of 95% confidence interval for beta
    89.02740
  • Lowerbound of 95% confidence interval for alpha
    -45.58580
  • Upperbound of 95% confidence interval for alpha
    54.97960
  • Treynor index (mean / b)
    -0.20828
  • Jensen alpha (a)
    4.69688
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.08982
  • Expected Shortfall on VaR
    0.13560
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01865
  • Expected Shortfall on VaR
    0.03512
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    3.00000
  • Minimum
    0.96926
  • Quartile 1
    1.07735
  • Median
    1.18544
  • Quartile 3
    1.20400
  • Maximum
    1.22255
  • Mean of quarter 1
    0.96926
  • Mean of quarter 2
    1.18544
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    1.22255
  • Inter Quartile Range
    0.12664
  • 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
    0.03074
  • Quartile 1
    0.03074
  • Median
    0.03074
  • Quartile 3
    0.03074
  • Maximum
    0.03074
  • 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)
    1.61886
  • Compounded annual return (geometric extrapolation)
    2.89361
  • Calmar ratio (compounded annual return / max draw down)
    94.13950
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    21.33870
  • 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
    1.43537
  • SD
    0.37607
  • Sharpe ratio (Glass type estimate)
    3.81679
  • Sharpe ratio (Hedges UMVUE)
    3.77326
  • df
    66.00000
  • t
    1.93013
  • p
    0.02895
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.12707
  • Upperbound of 95% confidence interval for Sharpe Ratio
    7.73267
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.15563
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    7.70214
  • Statistics related to Sortino ratio
  • Sortino ratio
    7.21002
  • Upside Potential Ratio
    14.62010
  • Upside part of mean
    2.91057
  • Downside part of mean
    -1.47520
  • Upside SD
    0.32794
  • Downside SD
    0.19908
  • N nonnegative terms
    41.00000
  • N negative terms
    26.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    67.00000
  • Mean of predictor
    0.55632
  • Mean of criterion
    1.43537
  • SD of predictor
    0.18215
  • SD of criterion
    0.37607
  • Covariance
    0.03269
  • r
    0.47723
  • b (slope, estimate of beta)
    0.98531
  • a (intercept, estimate of alpha)
    0.88700
  • Mean Square Error
    0.11090
  • DF error
    65.00000
  • t(b)
    4.37832
  • p(b)
    0.00002
  • t(a)
    1.32357
  • p(a)
    0.09514
  • Lowerbound of 95% confidence interval for beta
    0.53587
  • Upperbound of 95% confidence interval for beta
    1.43476
  • Lowerbound of 95% confidence interval for alpha
    -0.45151
  • Upperbound of 95% confidence interval for alpha
    2.22594
  • Treynor index (mean / b)
    1.45676
  • Jensen alpha (a)
    0.88721
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.36323
  • SD
    0.37131
  • Sharpe ratio (Glass type estimate)
    3.67144
  • Sharpe ratio (Hedges UMVUE)
    3.62956
  • df
    66.00000
  • t
    1.85662
  • p
    0.03391
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.26790
  • Upperbound of 95% confidence interval for Sharpe Ratio
    7.58390
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.29538
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    7.55451
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.72671
  • Upside Potential Ratio
    14.10610
  • Upside part of mean
    2.85872
  • Downside part of mean
    -1.49549
  • Upside SD
    0.31911
  • Downside SD
    0.20266
  • N nonnegative terms
    41.00000
  • N negative terms
    26.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    67.00000
  • Mean of predictor
    0.53948
  • Mean of criterion
    1.36323
  • SD of predictor
    0.18159
  • SD of criterion
    0.37131
  • Covariance
    0.03249
  • r
    0.48181
  • b (slope, estimate of beta)
    0.98515
  • a (intercept, estimate of alpha)
    0.83176
  • Mean Square Error
    0.10749
  • DF error
    65.00000
  • t(b)
    4.43290
  • p(b)
    0.00002
  • t(a)
    1.26151
  • p(a)
    0.10582
  • Lowerbound of 95% confidence interval for beta
    0.54131
  • Upperbound of 95% confidence interval for beta
    1.42899
  • Lowerbound of 95% confidence interval for alpha
    -0.48502
  • Upperbound of 95% confidence interval for alpha
    2.14853
  • Treynor index (mean / b)
    1.38377
  • Jensen alpha (a)
    0.83176
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03201
  • Expected Shortfall on VaR
    0.04120
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01089
  • Expected Shortfall on VaR
    0.02284
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    67.00000
  • Minimum
    0.95355
  • Quartile 1
    0.99296
  • Median
    1.00466
  • Quartile 3
    1.01863
  • Maximum
    1.08869
  • Mean of quarter 1
    0.97922
  • Mean of quarter 2
    0.99944
  • Mean of quarter 3
    1.01009
  • Mean of quarter 4
    1.03344
  • Inter Quartile Range
    0.02567
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.01493
  • Mean of outliers low
    0.95355
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.02985
  • Mean of outliers high
    1.08325
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.16445
  • VaR(95%) (moments method)
    0.01996
  • Expected Shortfall (moments method)
    0.03031
  • Extreme Value Index (regression method)
    -0.16827
  • VaR(95%) (regression method)
    0.01618
  • Expected Shortfall (regression method)
    0.01996
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00250
  • Quartile 1
    0.01561
  • Median
    0.02613
  • Quartile 3
    0.04686
  • Maximum
    0.16002
  • Mean of quarter 1
    0.00754
  • Mean of quarter 2
    0.02473
  • Mean of quarter 3
    0.02754
  • Mean of quarter 4
    0.10666
  • Inter Quartile Range
    0.03125
  • 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
    0.16667
  • Mean of outliers high
    0.16002
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.63105
  • Compounded annual return (geometric extrapolation)
    2.90880
  • Calmar ratio (compounded annual return / max draw down)
    18.17730
  • Compounded annual return / average of 25% largest draw downs
    27.27130
  • Compounded annual return / Expected Shortfall lognormal
    70.59330
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess log return rates
  • Statistics related to linear regression on benchmark
  • VAR (95 Confidence Intrvl)
    0.03200
  • DRAW DOWN STATISTICS
  • Risk estimates based on draw downs (based on Extreme Value T
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • Last 4 Months - Pcnt Negative
    n/a
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -306950000
  • Max Equity Drawdown (num days)
    36

Strategy Description

Trading only Stocks: I have made a moral decision not to participate in a deal, which is not worthwhile for all participants in it. So I never trade options. "Collective2" does not allow options trading. And it's not difficult for me, because even before I joined Collective2 I had become familier in trading "stocks only".
Diversification: In order not to take too many risks, the investment must be spread over a number of shares. I avoid investing more than 25% of the portfolio in one stock. Even if it seems to me a very successful investment.
Strategies: I try to use more than one strategy, thus avoiding big shocks. Using a single strategy (e.g. with a 90% correlation to s & p) can lead to a large drop in the value of the portfolio when the market behaves unexpectedly.

Summary Statistics

Includes fees & commissions Default (IBKR)
Strategy began
2020-11-25
Suggested Minimum Capital
$35,000
# Trades
61
# Profitable
29
% Profitable
47.5%
Net Dividends
Correlation S&P500
0.446
Sharpe Ratio
2.36
Sortino Ratio
4.47
Beta
0.94
Alpha
0.15
Leverage
1.31 Average
2.03 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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