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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 03/09/2021
Most recent certification approved 3/9/21 11:25 ET
Trades at broker Interactive Brokers (Stocks, Options, Futures)
Scaling percentage used 100%
# trading signals issued by system since certification 356
# trading signals executed in manager's Interactive Brokers (Stocks, Options, Futures) account 356
Percent signals followed since 03/09/2021 100%
This information was last updated 7/6/22 3:32 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 03/09/2021, 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. Hypothetical performance results have many inherent limitations, some of which are described below. No representation is being made that any account will or is likely to achieve profits or losses similar to those shown. In fact, there are frequently sharp differences between hypothetical performance results and the actual results subsequently achieved by any particular trading program.

One of the limitations of hypothetical performance results is that they are generally prepared with the benefit of hindsight. 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.

Sirius A
(134380408)

Created by: swingtrade swingtrade
Started: 03/2021
Stocks
Last trade: 12 days ago
Trading style: Equity Trend-following

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 $39.00 per month.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

Trading Category: Equity
Trend-following
Category: Equity

Trend-following

Tries to take advantage of long, medium or short-term moves that seem to play out in various markets. Typically, trend-following analysis is backward looking; that is, it attempts to recognize and profit from already-established trends.
-5.4%
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.

(30.2%)
Max Drawdown
158
Num Trades
38.0%
Win Trades
1.1 : 1
Profit Factor
31.2%
Win Months
Hypothetical Monthly Returns (includes system fee and C2 Israel commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2021              (2.9%)(7.5%)+7.1%+4.0%(8.1%)+15.9%(5.8%)+17.7%+0.9%(3.1%)+15.5%
2022(2.4%)(1.5%)(0.5%)(10%)(3.8%)(2.9%)                                    

Model Account Details

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

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

Trading Record

This strategy has placed 193 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 50 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
3/3/22 12:52 CANE TEUCRIUM SUGAR LONG 55 9.34 6/24 9:36 9.17 0.1%
Trade id #139633151
Max drawdown($9)
Time6/24/22 9:30
Quant open55
Worst price9.16
Drawdown as % of equity-0.10%
($14)
Includes Typical Broker Commissions trade costs of $5.00
4/12/22 9:30 PM PHILIP MORRIS LONG 10 101.04 6/13 11:12 98.95 0.45%
Trade id #140108396
Max drawdown($45)
Time5/2/22 0:00
Quant open10
Worst price96.49
Drawdown as % of equity-0.45%
($26)
Includes Typical Broker Commissions trade costs of $5.00
5/16/22 9:30 MMM 3M LONG 6 148.63 6/13 9:35 137.85 0.78%
Trade id #140484873
Max drawdown($75)
Time6/13/22 9:30
Quant open6
Worst price136.01
Drawdown as % of equity-0.78%
($70)
Includes Typical Broker Commissions trade costs of $5.00
4/5/22 10:33 MA MASTERCARD LONG 3 364.23 6/13 9:35 321.73 1.61%
Trade id #140030482
Max drawdown($154)
Time5/12/22 0:00
Quant open3
Worst price312.77
Drawdown as % of equity-1.61%
($133)
Includes Typical Broker Commissions trade costs of $5.00
4/12/22 9:30 YUMC YUM CHINA HOLDINGS INC LONG 25 41.16 6/2 9:41 44.07 1.33%
Trade id #140108424
Max drawdown($127)
Time5/12/22 0:00
Quant open25
Worst price36.05
Drawdown as % of equity-1.33%
$68
Includes Typical Broker Commissions trade costs of $5.00
4/12/22 9:30 RLX RLX TECHNOLOGY INC LONG 500 1.97 5/19 9:55 1.92 1.52%
Trade id #140108429
Max drawdown($150)
Time5/9/22 0:00
Quant open500
Worst price1.67
Drawdown as % of equity-1.52%
($35)
Includes Typical Broker Commissions trade costs of $10.00
1/28/22 9:30 KO COCA-COLA LONG 15 59.39 5/19 9:36 60.43 0.25%
Trade id #139144199
Max drawdown($28)
Time3/10/22 0:00
Quant open15
Worst price57.50
Drawdown as % of equity-0.25%
$11
Includes Typical Broker Commissions trade costs of $5.00
4/12/22 9:30 IAC IAC/INTERACTIVECORP COMMON STOCK LONG 10 100.87 5/18 12:13 79.58 2.9%
Trade id #140108460
Max drawdown($285)
Time5/9/22 0:00
Quant open10
Worst price72.29
Drawdown as % of equity-2.90%
($218)
Includes Typical Broker Commissions trade costs of $5.00
5/16/22 9:30 M MACY'S LONG 40 21.39 5/18 9:36 18.95 1.07%
Trade id #140484848
Max drawdown($107)
Time5/18/22 9:35
Quant open40
Worst price18.71
Drawdown as % of equity-1.07%
($103)
Includes Typical Broker Commissions trade costs of $5.00
4/12/22 9:30 CRM SALESFORCE INC LONG 5 199.75 5/17 10:30 160.56 2.35%
Trade id #140108435
Max drawdown($225)
Time5/12/22 0:00
Quant open5
Worst price154.64
Drawdown as % of equity-2.35%
($201)
Includes Typical Broker Commissions trade costs of $5.00
4/12/22 9:30 TWLO TWILIO INC LONG 7 148.01 5/16 11:29 101.14 4.4%
Trade id #140108431
Max drawdown($422)
Time5/12/22 0:00
Quant open7
Worst price87.67
Drawdown as % of equity-4.40%
($333)
Includes Typical Broker Commissions trade costs of $5.00
3/3/22 12:57 JO IPATH SER B BLOOMBERG COFFEE SUBINDEX TOT RET LONG 10 60.43 5/6 9:36 57.53 0.31%
Trade id #139633240
Max drawdown($34)
Time3/15/22 0:00
Quant open10
Worst price57.02
Drawdown as % of equity-0.31%
($34)
Includes Typical Broker Commissions trade costs of $5.00
1/28/22 9:32 BRK.B BERKSHIRE HATHAWAY CL B LONG 4 308.36 4/29 10:53 326.33 0.31%
Trade id #139144406
Max drawdown($35)
Time2/24/22 0:00
Quant open4
Worst price299.51
Drawdown as % of equity-0.31%
$67
Includes Typical Broker Commissions trade costs of $5.00
3/1/22 10:52 COST COSTCO WHOLESALE LONG 2 525.84 4/28 9:48 551.93 0.25%
Trade id #139591143
Max drawdown($28)
Time3/4/22 0:00
Quant open2
Worst price511.78
Drawdown as % of equity-0.25%
$47
Includes Typical Broker Commissions trade costs of $5.00
3/23/22 9:38 FSLR FIRST SOLAR INC LONG 12 79.46 4/21 13:17 74.57 0.55%
Trade id #139887091
Max drawdown($59)
Time4/21/22 13:11
Quant open12
Worst price74.50
Drawdown as % of equity-0.55%
($64)
Includes Typical Broker Commissions trade costs of $5.00
3/23/22 9:38 RIO RIO TINTO LONG 13 77.04 4/21 12:53 74.83 0.27%
Trade id #139887089
Max drawdown($28)
Time4/21/22 12:53
Quant open13
Worst price74.83
Drawdown as % of equity-0.27%
($34)
Includes Typical Broker Commissions trade costs of $5.00
3/23/22 9:38 ALB ALBEMARLE LONG 5 206.06 4/11 9:38 203.95 0.11%
Trade id #139887093
Max drawdown($12)
Time4/11/22 9:33
Quant open5
Worst price203.59
Drawdown as % of equity-0.11%
($16)
Includes Typical Broker Commissions trade costs of $5.00
3/23/22 9:36 BLDP BALLARD POWER SYSTEMS LONG 80 12.28 4/6 10:06 11.18 0.78%
Trade id #139887032
Max drawdown($87)
Time4/6/22 10:05
Quant open80
Worst price11.19
Drawdown as % of equity-0.78%
($93)
Includes Typical Broker Commissions trade costs of $5.00
3/23/22 9:36 CCJ CAMECO LONG 33 29.89 4/6 9:36 28.02 1.13%
Trade id #139887036
Max drawdown($123)
Time3/29/22 0:00
Quant open33
Worst price26.16
Drawdown as % of equity-1.13%
($67)
Includes Typical Broker Commissions trade costs of $5.00
3/23/22 9:36 LAC LITHIUM AMERICAS INC LONG 30 32.79 4/5 15:36 34.45 0.36%
Trade id #139887034
Max drawdown($39)
Time3/23/22 9:52
Quant open30
Worst price31.47
Drawdown as % of equity-0.36%
$45
Includes Typical Broker Commissions trade costs of $5.00
3/21/22 12:46 ZIM ZIM INTEGRATED SHIPPING SERVICES LTD LONG 11 86.90 4/5 10:33 64.07 2.2%
Trade id #139860180
Max drawdown($253)
Time4/5/22 10:33
Quant open11
Worst price63.87
Drawdown as % of equity-2.20%
($256)
Includes Typical Broker Commissions trade costs of $5.00
3/1/22 10:52 LMT LOCKHEED MARTIN LONG 2 451.13 3/16 9:38 428.04 0.42%
Trade id #139591145
Max drawdown($46)
Time3/16/22 9:38
Quant open2
Worst price428.01
Drawdown as % of equity-0.42%
($51)
Includes Typical Broker Commissions trade costs of $5.00
3/2/22 11:46 FSLR FIRST SOLAR INC LONG 15 68.38 3/14 9:38 72.80 0.26%
Trade id #139612875
Max drawdown($28)
Time3/4/22 0:00
Quant open15
Worst price66.45
Drawdown as % of equity-0.26%
$61
Includes Typical Broker Commissions trade costs of $5.00
1/28/22 9:30 CBOE CBOE GLOBAL MARKETS INC LONG 8 114.11 3/10 9:36 112.72 0.13%
Trade id #139144135
Max drawdown($14)
Time2/24/22 0:00
Quant open8
Worst price112.24
Drawdown as % of equity-0.13%
($16)
Includes Typical Broker Commissions trade costs of $5.00
3/1/22 10:52 NOC NORTHROP GRUMMAN LONG 2 451.48 3/9 9:36 440.02 0.27%
Trade id #139591141
Max drawdown($30)
Time3/2/22 0:00
Quant open2
Worst price436.06
Drawdown as % of equity-0.27%
($28)
Includes Typical Broker Commissions trade costs of $5.00
2/25/22 10:01 PTR PETROCHINA LONG 20 51.55 3/9 9:36 51.34 0.12%
Trade id #139546138
Max drawdown($13)
Time2/25/22 11:35
Quant open20
Worst price50.89
Drawdown as % of equity-0.12%
($9)
Includes Typical Broker Commissions trade costs of $5.00
1/28/22 9:30 CL COLGATE-PALMOLIVE LONG 13 81.96 3/8 15:34 74.86 0.81%
Trade id #139144147
Max drawdown($92)
Time3/8/22 15:34
Quant open13
Worst price74.84
Drawdown as % of equity-0.81%
($97)
Includes Typical Broker Commissions trade costs of $5.00
1/10/22 7:19 ANDE ANDERSONS LONG 26 39.16 3/8 10:04 45.15 0.67%
Trade id #138883017
Max drawdown($76)
Time2/4/22 0:00
Quant open26
Worst price36.20
Drawdown as % of equity-0.67%
$149
Includes Typical Broker Commissions trade costs of $7.50
3/2/22 11:49 HIVE HIVE BLOCKCHAIN TECHNOLOGIES LTD LONG 400 2.09 3/4 10:59 1.78 1.1%
Trade id #139612922
Max drawdown($124)
Time3/4/22 10:56
Quant open400
Worst price1.78
Drawdown as % of equity-1.10%
($132)
Includes Typical Broker Commissions trade costs of $8.00
3/2/22 11:45 UEC URANIUM ENERGY LONG 200 4.08 3/4 10:15 3.83 0.45%
Trade id #139612852
Max drawdown($51)
Time3/4/22 10:13
Quant open200
Worst price3.82
Drawdown as % of equity-0.45%
($54)
Includes Typical Broker Commissions trade costs of $5.00

Statistics

  • Strategy began
    3/3/2021
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    483.15
  • Age
    16 months ago
  • What it trades
    Stocks
  • # Trades
    158
  • # Profitable
    60
  • % Profitable
    38.00%
  • Avg trade duration
    32.2 days
  • Max peak-to-valley drawdown
    30.18%
  • drawdown period
    Nov 09, 2021 - June 24, 2022
  • Annual Return (Compounded)
    -3.6%
  • Avg win
    $117.92
  • Avg loss
    $67.66
  • Model Account Values (Raw)
  • Cash
    $10,823
  • Margin Used
    $0
  • Buying Power
    $10,823
  • Ratios
  • W:L ratio
    1.12:1
  • Sharpe Ratio
    -0.07
  • Sortino Ratio
    -0.11
  • Calmar Ratio
    0.325
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -4.87%
  • Correlation to SP500
    0.25140
  • Return Percent SP500 (cumu) during strategy life
    0.31%
  • Return Statistics
  • Ann Return (w trading costs)
    -3.6%
  • Slump
  • Current Slump as Pcnt Equity
    43.20%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.48%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.036%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    6.1%
  • Automation
  • Percentage Signals Automated
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    454
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    Yes
  • TOS percent
    100%
  • Win / Loss
  • Avg Loss
    $68
  • Avg Win
    $118
  • Sum Trade PL (losers)
    $6,631.000
  • Age
  • Num Months filled monthly returns table
    16
  • Win / Loss
  • Sum Trade PL (winners)
    $7,075.000
  • # Winners
    60
  • Num Months Winners
    5
  • Dividends
  • Dividends Received in Model Acct
    376
  • Win / Loss
  • # Losers
    98
  • % Winners
    38.0%
  • Frequency
  • Avg Position Time (mins)
    46298.00
  • Avg Position Time (hrs)
    771.63
  • Avg Trade Length
    32.2 days
  • Last Trade Ago
    5
  • Leverage
  • Daily leverage (average)
    0.87
  • Daily leverage (max)
    2.08
  • Regression
  • Alpha
    -0.01
  • Beta
    0.34
  • Treynor Index
    -0.02
  • 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)
    0.30
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    55.956
  • 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
    0.02
  • Avg(MAE) / Avg(PL) - Winning trades
    0.384
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.301
  • Hold-and-Hope Ratio
    0.018
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.19027
  • SD
    0.49661
  • Sharpe ratio (Glass type estimate)
    0.38313
  • Sharpe ratio (Hedges UMVUE)
    0.35629
  • df
    11.00000
  • t
    0.38313
  • p
    0.35446
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.59171
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.34099
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.60932
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.32190
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.76938
  • Upside Potential Ratio
    2.90131
  • Upside part of mean
    0.71749
  • Downside part of mean
    -0.52723
  • Upside SD
    0.40980
  • Downside SD
    0.24730
  • N nonnegative terms
    6.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    12.00000
  • Mean of predictor
    0.05312
  • Mean of criterion
    0.19027
  • SD of predictor
    0.16518
  • SD of criterion
    0.49661
  • Covariance
    0.04202
  • r
    0.51222
  • b (slope, estimate of beta)
    1.53997
  • a (intercept, estimate of alpha)
    0.10847
  • Mean Square Error
    0.20011
  • DF error
    10.00000
  • t(b)
    1.88596
  • p(b)
    0.04432
  • t(a)
    0.24134
  • p(a)
    0.40708
  • Lowerbound of 95% confidence interval for beta
    -0.27940
  • Upperbound of 95% confidence interval for beta
    3.35934
  • Lowerbound of 95% confidence interval for alpha
    -0.89294
  • Upperbound of 95% confidence interval for alpha
    1.10988
  • Treynor index (mean / b)
    0.12355
  • Jensen alpha (a)
    0.10847
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.08426
  • SD
    0.47142
  • Sharpe ratio (Glass type estimate)
    0.17874
  • Sharpe ratio (Hedges UMVUE)
    0.16622
  • df
    11.00000
  • t
    0.17874
  • p
    0.43070
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.78660
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.13610
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.79498
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.12741
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.31577
  • Upside Potential Ratio
    2.41360
  • Upside part of mean
    0.64404
  • Downside part of mean
    -0.55978
  • Upside SD
    0.36484
  • Downside SD
    0.26684
  • N nonnegative terms
    6.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    12.00000
  • Mean of predictor
    0.04018
  • Mean of criterion
    0.08426
  • SD of predictor
    0.16766
  • SD of criterion
    0.47142
  • Covariance
    0.03914
  • r
    0.49524
  • b (slope, estimate of beta)
    1.39253
  • a (intercept, estimate of alpha)
    0.02831
  • Mean Square Error
    0.18451
  • DF error
    10.00000
  • t(b)
    1.80268
  • p(b)
    0.05080
  • t(a)
    0.06573
  • p(a)
    0.47444
  • Lowerbound of 95% confidence interval for beta
    -0.32866
  • Upperbound of 95% confidence interval for beta
    3.11372
  • Lowerbound of 95% confidence interval for alpha
    -0.93127
  • Upperbound of 95% confidence interval for alpha
    0.98789
  • Treynor index (mean / b)
    0.06051
  • Jensen alpha (a)
    0.02831
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.19493
  • Expected Shortfall on VaR
    0.23848
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.10279
  • Expected Shortfall on VaR
    0.17166
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    12.00000
  • Minimum
    0.81357
  • Quartile 1
    0.92882
  • Median
    0.98305
  • Quartile 3
    1.06216
  • Maximum
    1.30496
  • Mean of quarter 1
    0.87893
  • Mean of quarter 2
    0.94999
  • Mean of quarter 3
    1.01064
  • Mean of quarter 4
    1.23319
  • Inter Quartile Range
    0.13334
  • 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
    0.08333
  • Mean of outliers high
    1.30496
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.63215
  • VaR(95%) (moments method)
    0.13759
  • Expected Shortfall (moments method)
    0.15824
  • Extreme Value Index (regression method)
    0.89661
  • VaR(95%) (regression method)
    0.18263
  • Expected Shortfall (regression method)
    1.41275
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.04342
  • Quartile 1
    0.11493
  • Median
    0.18643
  • Quartile 3
    0.19547
  • Maximum
    0.20451
  • Mean of quarter 1
    0.04342
  • Mean of quarter 2
    0.18643
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.20451
  • Inter Quartile Range
    0.08054
  • 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)
    0.11870
  • Compounded annual return (geometric extrapolation)
    0.11870
  • Calmar ratio (compounded annual return / max draw down)
    0.58042
  • Compounded annual return / average of 25% largest draw downs
    0.58042
  • Compounded annual return / Expected Shortfall lognormal
    0.49773
  • 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
    0.07992
  • SD
    0.26249
  • Sharpe ratio (Glass type estimate)
    0.30447
  • Sharpe ratio (Hedges UMVUE)
    0.30365
  • df
    279.00000
  • t
    0.31476
  • p
    0.37659
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.59184
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.20033
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.59243
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.19974
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.50156
  • Upside Potential Ratio
    9.38772
  • Upside part of mean
    1.49589
  • Downside part of mean
    -1.41597
  • Upside SD
    0.20806
  • Downside SD
    0.15934
  • N nonnegative terms
    128.00000
  • N negative terms
    152.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    280.00000
  • Mean of predictor
    -0.00523
  • Mean of criterion
    0.07992
  • SD of predictor
    0.21023
  • SD of criterion
    0.26249
  • Covariance
    0.01566
  • r
    0.28370
  • b (slope, estimate of beta)
    0.35424
  • a (intercept, estimate of alpha)
    0.08200
  • Mean Square Error
    0.06358
  • DF error
    278.00000
  • t(b)
    4.93299
  • p(b)
    0.00000
  • t(a)
    0.33525
  • p(a)
    0.36884
  • Lowerbound of 95% confidence interval for beta
    0.21288
  • Upperbound of 95% confidence interval for beta
    0.49560
  • Lowerbound of 95% confidence interval for alpha
    -0.39839
  • Upperbound of 95% confidence interval for alpha
    0.56194
  • Treynor index (mean / b)
    0.22561
  • Jensen alpha (a)
    0.08177
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.04610
  • SD
    0.25956
  • Sharpe ratio (Glass type estimate)
    0.17759
  • Sharpe ratio (Hedges UMVUE)
    0.17712
  • df
    279.00000
  • t
    0.18359
  • p
    0.42723
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.71850
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.07346
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.71886
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.07309
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.28591
  • Upside Potential Ratio
    9.14739
  • Upside part of mean
    1.47481
  • Downside part of mean
    -1.42871
  • Upside SD
    0.20285
  • Downside SD
    0.16123
  • N nonnegative terms
    128.00000
  • N negative terms
    152.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    280.00000
  • Mean of predictor
    -0.02746
  • Mean of criterion
    0.04610
  • SD of predictor
    0.21175
  • SD of criterion
    0.25956
  • Covariance
    0.01576
  • r
    0.28671
  • b (slope, estimate of beta)
    0.35146
  • a (intercept, estimate of alpha)
    0.05575
  • Mean Square Error
    0.06206
  • DF error
    278.00000
  • t(b)
    4.98994
  • p(b)
    0.00000
  • t(a)
    0.23134
  • p(a)
    0.40861
  • Lowerbound of 95% confidence interval for beta
    0.21281
  • Upperbound of 95% confidence interval for beta
    0.49011
  • Lowerbound of 95% confidence interval for alpha
    -0.41863
  • Upperbound of 95% confidence interval for alpha
    0.53013
  • Treynor index (mean / b)
    0.13116
  • Jensen alpha (a)
    0.05575
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02586
  • Expected Shortfall on VaR
    0.03235
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01320
  • Expected Shortfall on VaR
    0.02384
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    280.00000
  • Minimum
    0.95698
  • Quartile 1
    0.99173
  • Median
    0.99977
  • Quartile 3
    1.00789
  • Maximum
    1.11260
  • Mean of quarter 1
    0.98242
  • Mean of quarter 2
    0.99619
  • Mean of quarter 3
    1.00243
  • Mean of quarter 4
    1.02060
  • Inter Quartile Range
    0.01617
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.01429
  • Mean of outliers low
    0.96264
  • Number of outliers high
    9.00000
  • Percentage of outliers high
    0.03214
  • Mean of outliers high
    1.04992
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.50596
  • VaR(95%) (moments method)
    0.01770
  • Expected Shortfall (moments method)
    0.02023
  • Extreme Value Index (regression method)
    -0.15797
  • VaR(95%) (regression method)
    0.01760
  • Expected Shortfall (regression method)
    0.02197
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00809
  • Quartile 1
    0.00908
  • Median
    0.01862
  • Quartile 3
    0.14557
  • Maximum
    0.23605
  • Mean of quarter 1
    0.00822
  • Mean of quarter 2
    0.01421
  • Mean of quarter 3
    0.07612
  • Mean of quarter 4
    0.22554
  • Inter Quartile Range
    0.13649
  • 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)
    0.07701
  • Compounded annual return (geometric extrapolation)
    0.07681
  • Calmar ratio (compounded annual return / max draw down)
    0.32540
  • Compounded annual return / average of 25% largest draw downs
    0.34057
  • Compounded annual return / Expected Shortfall lognormal
    2.37444
  • 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
    -0.44525
  • SD
    0.16235
  • Sharpe ratio (Glass type estimate)
    -2.74243
  • Sharpe ratio (Hedges UMVUE)
    -2.72658
  • df
    130.00000
  • t
    -1.93919
  • p
    0.58383
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -5.52898
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.05446
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -5.51812
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.06497
  • Statistics related to Sortino ratio
  • Sortino ratio
    -3.71653
  • Upside Potential Ratio
    5.69782
  • Upside part of mean
    0.68261
  • Downside part of mean
    -1.12785
  • Upside SD
    0.11208
  • Downside SD
    0.11980
  • N nonnegative terms
    53.00000
  • N negative terms
    78.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.39492
  • Mean of criterion
    -0.44525
  • SD of predictor
    0.27521
  • SD of criterion
    0.16235
  • Covariance
    0.01668
  • r
    0.37339
  • b (slope, estimate of beta)
    0.22028
  • a (intercept, estimate of alpha)
    -0.35825
  • Mean Square Error
    0.02286
  • DF error
    129.00000
  • t(b)
    4.57160
  • p(b)
    0.26793
  • t(a)
    -1.66888
  • p(a)
    0.59222
  • Lowerbound of 95% confidence interval for beta
    0.12495
  • Upperbound of 95% confidence interval for beta
    0.31561
  • Lowerbound of 95% confidence interval for alpha
    -0.78297
  • Upperbound of 95% confidence interval for alpha
    0.06647
  • Treynor index (mean / b)
    -2.02128
  • Jensen alpha (a)
    -0.35825
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.45860
  • SD
    0.16170
  • Sharpe ratio (Glass type estimate)
    -2.83603
  • Sharpe ratio (Hedges UMVUE)
    -2.81963
  • df
    130.00000
  • t
    -2.00537
  • p
    0.58661
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -5.62384
  • Upperbound of 95% confidence interval for Sharpe Ratio
    -0.03764
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -5.61255
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.02672
  • Statistics related to Sortino ratio
  • Sortino ratio
    -3.79848
  • Upside Potential Ratio
    5.60234
  • Upside part of mean
    0.67638
  • Downside part of mean
    -1.13498
  • Upside SD
    0.11034
  • Downside SD
    0.12073
  • N nonnegative terms
    53.00000
  • N negative terms
    78.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.43322
  • Mean of criterion
    -0.45860
  • SD of predictor
    0.27755
  • SD of criterion
    0.16170
  • Covariance
    0.01682
  • r
    0.37480
  • b (slope, estimate of beta)
    0.21836
  • a (intercept, estimate of alpha)
    -0.36400
  • Mean Square Error
    0.02265
  • DF error
    129.00000
  • t(b)
    4.59157
  • p(b)
    0.26711
  • t(a)
    -1.70228
  • p(a)
    0.59401
  • VAR (95 Confidence Intrvl)
    0.02600
  • Lowerbound of 95% confidence interval for beta
    0.12427
  • Upperbound of 95% confidence interval for beta
    0.31246
  • Lowerbound of 95% confidence interval for alpha
    -0.78707
  • Upperbound of 95% confidence interval for alpha
    0.05907
  • Treynor index (mean / b)
    -2.10016
  • Jensen alpha (a)
    -0.36400
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01802
  • Expected Shortfall on VaR
    0.02210
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01107
  • Expected Shortfall on VaR
    0.01896
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97440
  • Quartile 1
    0.99322
  • Median
    0.99923
  • Quartile 3
    1.00198
  • Maximum
    1.05100
  • Mean of quarter 1
    0.98666
  • Mean of quarter 2
    0.99657
  • Mean of quarter 3
    1.00061
  • Mean of quarter 4
    1.00985
  • Inter Quartile Range
    0.00876
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.01527
  • Mean of outliers low
    0.97669
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.04580
  • Mean of outliers high
    1.02613
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.64194
  • VaR(95%) (moments method)
    0.01387
  • Expected Shortfall (moments method)
    0.01542
  • Extreme Value Index (regression method)
    -0.29581
  • VaR(95%) (regression method)
    0.01356
  • Expected Shortfall (regression method)
    0.01608
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.23605
  • Quartile 1
    0.23605
  • Median
    0.23605
  • Quartile 3
    0.23605
  • Maximum
    0.23605
  • 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
  • Last 4 Months - Pcnt Negative
    1.00%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -294297000
  • Max Equity Drawdown (num days)
    227
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.38748
  • Compounded annual return (geometric extrapolation)
    -0.34994
  • Calmar ratio (compounded annual return / max draw down)
    -1.48245
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -15.83270

Strategy Description

The fund focuses on combining large value companies with low volatility along with small companies.
The fund's investment range ranges from a few weeks to months.
The distribution of shares in the portfolio will determine according to the market risk, combined with strict risk management.

Summary Statistics

Includes fees & commissions C2 Israel
Strategy began
2021-03-03
Suggested Minimum Capital
$15,000
# Trades
158
# Profitable
60
% Profitable
38.0%
Net Dividends
Correlation S&P500
0.251
Sharpe Ratio
-0.07
Sortino Ratio
-0.11
Beta
0.34
Alpha
-0.01
Leverage
0.87 Average
2.08 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

Collective2 calculates the maximum leverage used by a strategy in each day. We then display the average of these measurements (i.e. the average daily maximum leverage) and the greatest of these measurements (maximum daily leverage).

Leverage is the ratio of total notional value controlled by a strategy divided by its Model Account equity. Generally higher leverage implies greater risk.

Example of calculation:
The Strategy buys 100 shares of stock at $12 per share.
The Model Account equity during that day is $5,000.
The leverage is: $1200 / $5,000 = 0.24

This is a useful measurement, but it should be considered in context. This measurement doesn't take into account important factors, such as when multiple positions are held that are inversely correlated. Nor does the measurement take into account the volatility of the instruments being held.

In addition, certain asset classes are inherently more leveraged than others. For example, futures contracts are highly leveraged. Forex positions are often even more leveraged than futures.

Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.

Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

Material assumptions and methods used when calculating results

The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.

  • Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
  • Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been re-scaled downward to make current go-forward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
  • All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any per-trade AutoTrade fees, plus estimated broker commissions if any.
  • "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.

Trading is risky

There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.

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Suggested Minimum Capital

This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.