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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 08/16/2021
Most recent certification approved 8/16/21 9:30 ET
Trades at broker Israel Interactive Trading (server 3)
Scaling percentage used 100%
# trading signals issued by system since certification 150
# trading signals executed in manager's Israel Interactive Trading (server 3) account 150
Percent signals followed since 08/16/2021 100%
This information was last updated 7/6/22 2:31 ET

Warning: System trading results are still hypothetical.

Even though the system developer is currently trading his own system in a real-life brokerage account, the trading results presented on this Web site must still be regarded as purely hypothetical results. This is because (among other reasons) the system developer may not have traded all signals, particularly those that occurred before 08/16/2021, 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.

Deshe ESG AI
(136548974)

Created by: Deshe Deshe
Started: 07/2021
Stocks
Last trade: 49 days ago

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

Subscription terms. Subscriptions to this system cost $10.00 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.

-3.6%
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.

(33.7%)
Max Drawdown
75
Num Trades
44.0%
Win Trades
1.0 : 1
Profit Factor
53.8%
Win Months
Hypothetical Monthly Returns (includes system fee and C2 Israel commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2021                                          (0.1%)+3.1%(3.4%)+4.0%+13.8%+3.8%+22.3%
2022(3.5%)+2.4%+1.3%(7.5%)(2.4%)(14.5%)+2.1%                              (21.1%)

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 150 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 48 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
3/8/22 9:43 RDUS RADIUS HEALTH INC. COMMON STO LONG 131 8.46 5/18 9:46 6.60 2.7%
Trade id #139693878
Max drawdown($276)
Time5/12/22 0:00
Quant open89
Worst price5.35
Drawdown as % of equity-2.70%
($252)
Includes Typical Broker Commissions trade costs of $7.50
3/8/22 9:43 FICO FAIR ISAAC LONG 2 480.32 5/18 9:46 425.61 1.29%
Trade id #139693876
Max drawdown($139)
Time5/9/22 0:00
Quant open1
Worst price340.48
Drawdown as % of equity-1.29%
($117)
Includes Typical Broker Commissions trade costs of $7.50
3/8/22 9:43 FMC FMC LONG 9 117.93 5/18 9:46 118.50 0.37%
Trade id #139693874
Max drawdown($38)
Time5/10/22 0:00
Quant open6
Worst price111.44
Drawdown as % of equity-0.37%
($3)
Includes Typical Broker Commissions trade costs of $7.50
3/8/22 9:45 AMKR AMKOR TECHNOLOGY LONG 37 20.10 5/18 9:43 19.85 0.74%
Trade id #139694015
Max drawdown($75)
Time5/12/22 0:00
Quant open37
Worst price18.05
Drawdown as % of equity-0.74%
($15)
Includes Typical Broker Commissions trade costs of $5.00
3/8/22 9:40 GPRO GOPRO INC. CLASS A COMMON STO LONG 135 7.57 5/18 9:43 7.14 1.3%
Trade id #139693738
Max drawdown($135)
Time5/10/22 0:00
Quant open105
Worst price6.28
Drawdown as % of equity-1.30%
($66)
Includes Typical Broker Commissions trade costs of $7.50
3/8/22 9:40 MCK MCKESSON LONG 4 276.61 5/18 9:43 303.56 0.19%
Trade id #139693734
Max drawdown($21)
Time3/8/22 11:36
Quant open4
Worst price271.12
Drawdown as % of equity-0.19%
$101
Includes Typical Broker Commissions trade costs of $7.50
3/8/22 9:40 KNSL KINSALE CAPITAL GROUP INC LONG 5 207.97 5/18 9:41 209.67 0.47%
Trade id #139693731
Max drawdown($47)
Time5/12/22 0:00
Quant open4
Worst price196.00
Drawdown as % of equity-0.47%
$2
Includes Typical Broker Commissions trade costs of $7.50
3/8/22 9:38 AA ALCOA LONG 12 79.27 5/18 9:41 67.09 2.02%
Trade id #139693583
Max drawdown($207)
Time5/12/22 0:00
Quant open8
Worst price53.34
Drawdown as % of equity-2.02%
($154)
Includes Typical Broker Commissions trade costs of $7.50
3/8/22 9:38 PLCE CHILDRENS PLACE INC. LONG 20 53.67 5/18 9:41 48.01 1.42%
Trade id #139693581
Max drawdown($145)
Time5/12/22 0:00
Quant open14
Worst price43.26
Drawdown as % of equity-1.42%
($121)
Includes Typical Broker Commissions trade costs of $7.50
3/8/22 9:38 BLMN BLOOMIN BRANDS LONG 49 18.42 5/18 9:38 20.65 0.24%
Trade id #139693579
Max drawdown($26)
Time3/8/22 10:06
Quant open49
Worst price17.88
Drawdown as % of equity-0.24%
$102
Includes Typical Broker Commissions trade costs of $7.50
3/8/22 9:36 SYBT STOCK YARDS BANCORP INC. COMM LONG 21 51.92 5/18 9:38 52.20 0.2%
Trade id #139693448
Max drawdown($22)
Time3/8/22 11:35
Quant open21
Worst price50.85
Drawdown as % of equity-0.20%
($2)
Includes Typical Broker Commissions trade costs of $7.50
3/8/22 9:36 GDDY GODADDY INC LONG 14 76.88 5/18 9:38 74.72 1.02%
Trade id #139693446
Max drawdown($104)
Time5/12/22 0:00
Quant open10
Worst price66.43
Drawdown as % of equity-1.02%
($38)
Includes Typical Broker Commissions trade costs of $7.50
3/8/22 9:36 LOW LOWE'S COMPANIES LONG 5 225.22 5/18 9:36 204.16 1.07%
Trade id #139693443
Max drawdown($116)
Time5/18/22 9:31
Quant open3
Worst price186.41
Drawdown as % of equity-1.07%
($113)
Includes Typical Broker Commissions trade costs of $7.50
3/8/22 9:33 INTU INTUIT LONG 2 439.31 5/18 9:36 411.69 0.97%
Trade id #139693150
Max drawdown($99)
Time5/12/22 0:00
Quant open1
Worst price339.36
Drawdown as % of equity-0.97%
($63)
Includes Typical Broker Commissions trade costs of $7.50
3/8/22 9:33 SEE SEALED AIR LONG 17 61.02 5/18 9:36 63.66 0.3%
Trade id #139693148
Max drawdown($33)
Time3/8/22 10:10
Quant open17
Worst price59.04
Drawdown as % of equity-0.30%
$38
Includes Typical Broker Commissions trade costs of $7.50
3/8/22 9:33 OI O-I GLASS INC LONG 90 11.86 5/18 9:33 13.75 0.28%
Trade id #139693142
Max drawdown($31)
Time3/8/22 10:34
Quant open90
Worst price11.51
Drawdown as % of equity-0.28%
$163
Includes Typical Broker Commissions trade costs of $7.50
11/16/21 9:36 DDD 3D SYSTEMS LONG 28 25.37 5/18/22 9:33 10.67 4.53%
Trade id #138210139
Max drawdown($464)
Time5/12/22 0:00
Quant open28
Worst price8.79
Drawdown as % of equity-4.53%
($417)
Includes Typical Broker Commissions trade costs of $5.00
11/16/21 9:32 BHLB BERKSHIRE HILLS BANCORP LONG 26 27.75 5/18/22 9:33 27.30 0.56%
Trade id #138209884
Max drawdown($62)
Time5/2/22 0:00
Quant open18
Worst price24.25
Drawdown as % of equity-0.56%
($20)
Includes Typical Broker Commissions trade costs of $7.50
11/16/21 9:40 MXL MAXLINEAR INC. COMMON STOCK LONG 11 69.05 3/8/22 9:43 51.86 1.73%
Trade id #138210384
Max drawdown($200)
Time1/28/22 0:00
Quant open11
Worst price50.83
Drawdown as % of equity-1.73%
($194)
Includes Typical Broker Commissions trade costs of $5.00
11/16/21 9:40 PRA PROASSURANCE LONG 29 24.56 3/8/22 9:43 24.90 0.51%
Trade id #138210376
Max drawdown($60)
Time12/20/21 0:00
Quant open29
Worst price22.46
Drawdown as % of equity-0.51%
$5
Includes Typical Broker Commissions trade costs of $5.00
11/16/21 9:40 BAP CREDICORP LONG 6 127.10 3/8/22 9:43 150.53 0.96%
Trade id #138210372
Max drawdown($114)
Time12/15/21 0:00
Quant open6
Worst price108.05
Drawdown as % of equity-0.96%
$136
Includes Typical Broker Commissions trade costs of $5.00
11/16/21 9:38 TEAM ATLASSIAN CORPORATION PLC CLASS A ORDINARY SHARES LONG 2 436.18 3/8/22 9:40 235.75 3.55%
Trade id #138210297
Max drawdown($401)
Time3/8/22 9:40
Quant open2
Worst price235.36
Drawdown as % of equity-3.55%
($406)
Includes Typical Broker Commissions trade costs of $5.00
11/16/21 9:38 WLK WESTLAKE CORP LONG 7 103.03 3/8/22 9:40 109.06 0.87%
Trade id #138210291
Max drawdown($102)
Time12/20/21 0:00
Quant open7
Worst price88.41
Drawdown as % of equity-0.87%
$37
Includes Typical Broker Commissions trade costs of $5.00
11/16/21 9:38 HMST HOMESTREET INC LONG 14 52.46 3/8/22 9:40 50.12 0.69%
Trade id #138210286
Max drawdown($79)
Time1/28/22 0:00
Quant open14
Worst price46.77
Drawdown as % of equity-0.69%
($38)
Includes Typical Broker Commissions trade costs of $5.00
11/16/21 9:36 MAC MACERICH LONG 34 20.86 3/8/22 9:38 14.83 1.99%
Trade id #138210130
Max drawdown($232)
Time2/24/22 0:00
Quant open34
Worst price14.02
Drawdown as % of equity-1.99%
($210)
Includes Typical Broker Commissions trade costs of $5.00
11/16/21 9:32 NBR NABORS INDUSTRIES LONG 7 96.07 3/8/22 9:38 147.43 1.44%
Trade id #138209891
Max drawdown($165)
Time12/2/21 0:00
Quant open7
Worst price72.46
Drawdown as % of equity-1.44%
$355
Includes Typical Broker Commissions trade costs of $5.00
11/16/21 9:32 REGN REGENERON PHARMACEUTICALS LONG 1 647.07 3/8/22 9:38 612.87 0.45%
Trade id #138209886
Max drawdown($54)
Time1/7/22 0:00
Quant open1
Worst price592.86
Drawdown as % of equity-0.45%
($39)
Includes Typical Broker Commissions trade costs of $5.00
11/4/21 9:31 LAZ LAZARD LONG 12 48.90 3/8/22 9:36 32.88 1.71%
Trade id #138072762
Max drawdown($193)
Time3/8/22 9:30
Quant open12
Worst price32.76
Drawdown as % of equity-1.71%
($197)
Includes Typical Broker Commissions trade costs of $5.00
11/2/21 11:07 CRUS CIRRUS LOGIC LONG 7 83.61 3/8/22 9:36 81.18 0.47%
Trade id #138043829
Max drawdown($54)
Time12/2/21 0:00
Quant open7
Worst price75.89
Drawdown as % of equity-0.47%
($22)
Includes Typical Broker Commissions trade costs of $5.00
11/2/21 11:07 TROX TRONOX HOLDINGS PLC LONG 23 24.12 3/8/22 9:36 15.89 1.74%
Trade id #138043826
Max drawdown($197)
Time3/8/22 9:36
Quant open23
Worst price15.54
Drawdown as % of equity-1.74%
($194)
Includes Typical Broker Commissions trade costs of $5.00

Statistics

  • Strategy began
    7/19/2021
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    351.88
  • Age
    12 months ago
  • What it trades
    Stocks
  • # Trades
    75
  • # Profitable
    33
  • % Profitable
    44.00%
  • Avg trade duration
    76.6 days
  • Max peak-to-valley drawdown
    33.69%
  • drawdown period
    Nov 08, 2021 - May 10, 2022
  • Cumul. Return
    -4.1%
  • Avg win
    $146.94
  • Avg loss
    $115.38
  • Model Account Values (Raw)
  • Cash
    $5,174
  • Margin Used
    $0
  • Buying Power
    $4,125
  • Ratios
  • W:L ratio
    1.03:1
  • Sharpe Ratio
    -0.07
  • Sortino Ratio
    -0.12
  • Calmar Ratio
    0.058
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    5.96%
  • Correlation to SP500
    0.53990
  • Return Percent SP500 (cumu) during strategy life
    -10.03%
  • Return Statistics
  • Ann Return (w trading costs)
    -4.2%
  • Slump
  • Current Slump as Pcnt Equity
    37.00%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.68%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.041%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    1.4%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    n/a
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    796
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    750
  • Popularity (7 days, Percentile 1000 scale)
    462
  • Trades-Own-System Certification
  • Trades Own System?
    Yes
  • TOS percent
    100%
  • Win / Loss
  • Avg Loss
    $115
  • Avg Win
    $147
  • Sum Trade PL (losers)
    $4,846.000
  • Age
  • Num Months filled monthly returns table
    13
  • Win / Loss
  • Sum Trade PL (winners)
    $4,849.000
  • # Winners
    33
  • Num Months Winners
    7
  • Dividends
  • Dividends Received in Model Acct
    136
  • AUM
  • AUM (AutoTrader live capital)
    103923
  • Win / Loss
  • # Losers
    42
  • % Winners
    44.0%
  • Frequency
  • Avg Position Time (mins)
    110319.00
  • Avg Position Time (hrs)
    1838.65
  • Avg Trade Length
    76.6 days
  • Last Trade Ago
    49
  • Leverage
  • Daily leverage (average)
    1.01
  • Daily leverage (max)
    1.69
  • Regression
  • Alpha
    0.02
  • Beta
    0.74
  • Treynor Index
    -0.01
  • 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)
    -0.25
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    -22.204
  • 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
    0.334
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.278
  • Hold-and-Hope Ratio
    0.173
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.01920
  • SD
    0.28029
  • Sharpe ratio (Glass type estimate)
    0.06850
  • Sharpe ratio (Hedges UMVUE)
    0.06320
  • df
    10.00000
  • t
    0.06558
  • p
    0.47450
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.98046
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.11414
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.98410
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.11051
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.11507
  • Upside Potential Ratio
    2.11929
  • Upside part of mean
    0.35359
  • Downside part of mean
    -0.33439
  • Upside SD
    0.20884
  • Downside SD
    0.16684
  • N nonnegative terms
    5.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    11.00000
  • Mean of predictor
    -0.13175
  • Mean of criterion
    0.01920
  • SD of predictor
    0.16504
  • SD of criterion
    0.28029
  • Covariance
    0.03193
  • r
    0.69024
  • b (slope, estimate of beta)
    1.17227
  • a (intercept, estimate of alpha)
    0.17365
  • Mean Square Error
    0.04570
  • DF error
    9.00000
  • t(b)
    2.86173
  • p(b)
    0.00936
  • t(a)
    0.75590
  • p(a)
    0.23452
  • Lowerbound of 95% confidence interval for beta
    0.24561
  • Upperbound of 95% confidence interval for beta
    2.09893
  • Lowerbound of 95% confidence interval for alpha
    -0.34602
  • Upperbound of 95% confidence interval for alpha
    0.69331
  • Treynor index (mean / b)
    0.01638
  • Jensen alpha (a)
    0.17365
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.01548
  • SD
    0.27457
  • Sharpe ratio (Glass type estimate)
    -0.05637
  • Sharpe ratio (Hedges UMVUE)
    -0.05201
  • df
    10.00000
  • t
    -0.05397
  • p
    0.52099
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.10225
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.99228
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.09926
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.99523
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.08792
  • Upside Potential Ratio
    1.89206
  • Upside part of mean
    0.33306
  • Downside part of mean
    -0.34854
  • Upside SD
    0.19382
  • Downside SD
    0.17603
  • N nonnegative terms
    5.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    11.00000
  • Mean of predictor
    -0.14493
  • Mean of criterion
    -0.01548
  • SD of predictor
    0.16807
  • SD of criterion
    0.27457
  • Covariance
    0.03253
  • r
    0.70501
  • b (slope, estimate of beta)
    1.15170
  • a (intercept, estimate of alpha)
    0.15144
  • Mean Square Error
    0.04213
  • DF error
    9.00000
  • t(b)
    2.98227
  • p(b)
    0.00770
  • t(a)
    0.68348
  • p(a)
    0.25576
  • Lowerbound of 95% confidence interval for beta
    0.27809
  • Upperbound of 95% confidence interval for beta
    2.02531
  • Lowerbound of 95% confidence interval for alpha
    -0.34978
  • Upperbound of 95% confidence interval for alpha
    0.65266
  • Treynor index (mean / b)
    -0.01344
  • Jensen alpha (a)
    0.15144
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.12336
  • Expected Shortfall on VaR
    0.15156
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.06833
  • Expected Shortfall on VaR
    0.11879
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    11.00000
  • Minimum
    0.87259
  • Quartile 1
    0.96682
  • Median
    0.99356
  • Quartile 3
    1.03190
  • Maximum
    1.18078
  • Mean of quarter 1
    0.92047
  • Mean of quarter 2
    0.98201
  • Mean of quarter 3
    1.01592
  • Mean of quarter 4
    1.10131
  • Inter Quartile Range
    0.06509
  • 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
    0.09091
  • Mean of outliers high
    1.18078
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -3.35102
  • VaR(95%) (moments method)
    0.08419
  • Expected Shortfall (moments method)
    0.08466
  • Extreme Value Index (regression method)
    -0.21105
  • VaR(95%) (regression method)
    0.13531
  • Expected Shortfall (regression method)
    0.17661
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.02690
  • Quartile 1
    0.03628
  • Median
    0.04565
  • Quartile 3
    0.12617
  • Maximum
    0.20669
  • Mean of quarter 1
    0.02690
  • Mean of quarter 2
    0.04565
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.20669
  • Inter Quartile Range
    0.08990
  • 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)
    0.01250
  • Compounded annual return (geometric extrapolation)
    0.01251
  • Calmar ratio (compounded annual return / max draw down)
    0.06051
  • Compounded annual return / average of 25% largest draw downs
    0.06051
  • Compounded annual return / Expected Shortfall lognormal
    0.08252
  • 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
    0.02215
  • SD
    0.26867
  • Sharpe ratio (Glass type estimate)
    0.08244
  • Sharpe ratio (Hedges UMVUE)
    0.08218
  • df
    241.00000
  • t
    0.07923
  • p
    0.46846
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.95699
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.12174
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.95718
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.12154
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.13595
  • Upside Potential Ratio
    8.46604
  • Upside part of mean
    1.37930
  • Downside part of mean
    -1.35716
  • Upside SD
    0.21294
  • Downside SD
    0.16292
  • N nonnegative terms
    103.00000
  • N negative terms
    139.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    242.00000
  • Mean of predictor
    -0.12211
  • Mean of criterion
    0.02215
  • SD of predictor
    0.20097
  • SD of criterion
    0.26867
  • Covariance
    0.02956
  • r
    0.54741
  • b (slope, estimate of beta)
    0.73181
  • a (intercept, estimate of alpha)
    0.11200
  • Mean Square Error
    0.05076
  • DF error
    240.00000
  • t(b)
    10.13360
  • p(b)
    0.00000
  • t(a)
    0.47533
  • p(a)
    0.31749
  • Lowerbound of 95% confidence interval for beta
    0.58956
  • Upperbound of 95% confidence interval for beta
    0.87408
  • Lowerbound of 95% confidence interval for alpha
    -0.35062
  • Upperbound of 95% confidence interval for alpha
    0.57364
  • Treynor index (mean / b)
    0.03027
  • Jensen alpha (a)
    0.11151
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.01296
  • SD
    0.26408
  • Sharpe ratio (Glass type estimate)
    -0.04908
  • Sharpe ratio (Hedges UMVUE)
    -0.04893
  • df
    241.00000
  • t
    -0.04717
  • p
    0.51879
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.08843
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.99027
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.08828
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.99042
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.07839
  • Upside Potential Ratio
    8.21008
  • Upside part of mean
    1.35758
  • Downside part of mean
    -1.37055
  • Upside SD
    0.20521
  • Downside SD
    0.16536
  • N nonnegative terms
    103.00000
  • N negative terms
    139.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    242.00000
  • Mean of predictor
    -0.14233
  • Mean of criterion
    -0.01296
  • SD of predictor
    0.20162
  • SD of criterion
    0.26408
  • Covariance
    0.02970
  • r
    0.55774
  • b (slope, estimate of beta)
    0.73055
  • a (intercept, estimate of alpha)
    0.09102
  • Mean Square Error
    0.04825
  • DF error
    240.00000
  • t(b)
    10.41010
  • p(b)
    0.00000
  • t(a)
    0.39786
  • p(a)
    0.34554
  • Lowerbound of 95% confidence interval for beta
    0.59231
  • Upperbound of 95% confidence interval for beta
    0.86879
  • Lowerbound of 95% confidence interval for alpha
    -0.35963
  • Upperbound of 95% confidence interval for alpha
    0.54166
  • Treynor index (mean / b)
    -0.01774
  • Jensen alpha (a)
    0.09102
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02653
  • Expected Shortfall on VaR
    0.03312
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01303
  • Expected Shortfall on VaR
    0.02434
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    242.00000
  • Minimum
    0.94353
  • Quartile 1
    0.99262
  • Median
    1.00000
  • Quartile 3
    1.00658
  • Maximum
    1.13612
  • Mean of quarter 1
    0.98312
  • Mean of quarter 2
    0.99651
  • Mean of quarter 3
    1.00248
  • Mean of quarter 4
    1.01863
  • Inter Quartile Range
    0.01396
  • Number outliers low
    7.00000
  • Percentage of outliers low
    0.02893
  • Mean of outliers low
    0.96035
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.02479
  • Mean of outliers high
    1.05716
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.03071
  • VaR(95%) (moments method)
    0.01604
  • Expected Shortfall (moments method)
    0.02175
  • Extreme Value Index (regression method)
    0.10876
  • VaR(95%) (regression method)
    0.01649
  • Expected Shortfall (regression method)
    0.02339
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00229
  • Quartile 1
    0.01093
  • Median
    0.03468
  • Quartile 3
    0.04931
  • Maximum
    0.26069
  • Mean of quarter 1
    0.00281
  • Mean of quarter 2
    0.03368
  • Mean of quarter 3
    0.03567
  • Mean of quarter 4
    0.15728
  • Inter Quartile Range
    0.03838
  • 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
    0.26069
  • 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)
    0.01505
  • Compounded annual return (geometric extrapolation)
    0.01506
  • Calmar ratio (compounded annual return / max draw down)
    0.05776
  • Compounded annual return / average of 25% largest draw downs
    0.09574
  • Compounded annual return / Expected Shortfall lognormal
    0.45458
  • 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
    -0.40623
  • SD
    0.25270
  • Sharpe ratio (Glass type estimate)
    -1.60755
  • Sharpe ratio (Hedges UMVUE)
    -1.59825
  • df
    130.00000
  • t
    -1.13671
  • p
    0.54960
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.38321
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.17417
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.37686
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.18035
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.05286
  • Upside Potential Ratio
    6.74361
  • Upside part of mean
    1.33445
  • Downside part of mean
    -1.74068
  • Upside SD
    0.15761
  • Downside SD
    0.19788
  • N nonnegative terms
    60.00000
  • N negative terms
    71.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.41741
  • Mean of criterion
    -0.40623
  • SD of predictor
    0.24445
  • SD of criterion
    0.25270
  • Covariance
    0.04211
  • r
    0.68161
  • b (slope, estimate of beta)
    0.70461
  • a (intercept, estimate of alpha)
    -0.11211
  • Mean Square Error
    0.03445
  • DF error
    129.00000
  • t(b)
    10.58020
  • p(b)
    0.10252
  • t(a)
    -0.42472
  • p(a)
    0.52378
  • Lowerbound of 95% confidence interval for beta
    0.57285
  • Upperbound of 95% confidence interval for beta
    0.83638
  • Lowerbound of 95% confidence interval for alpha
    -0.63439
  • Upperbound of 95% confidence interval for alpha
    0.41016
  • Treynor index (mean / b)
    -0.57653
  • Jensen alpha (a)
    -0.11211
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.43841
  • SD
    0.25387
  • Sharpe ratio (Glass type estimate)
    -1.72693
  • Sharpe ratio (Hedges UMVUE)
    -1.71695
  • df
    130.00000
  • t
    -1.22112
  • p
    0.55324
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.50341
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.05608
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.49660
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.06270
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.17976
  • Upside Potential Ratio
    6.57341
  • Upside part of mean
    1.32209
  • Downside part of mean
    -1.76050
  • Upside SD
    0.15568
  • Downside SD
    0.20113
  • N nonnegative terms
    60.00000
  • N negative terms
    71.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.44752
  • Mean of criterion
    -0.43841
  • SD of predictor
    0.24532
  • SD of criterion
    0.25387
  • Covariance
    0.04239
  • r
    0.68067
  • b (slope, estimate of beta)
    0.70439
  • a (intercept, estimate of alpha)
    -0.12318
  • Mean Square Error
    0.03486
  • DF error
    129.00000
  • t(b)
    10.55280
  • p(b)
    0.10296
  • t(a)
    -0.46358
  • p(a)
    0.52595
  • VAR (95 Confidence Intrvl)
    0.02700
  • Lowerbound of 95% confidence interval for beta
    0.57232
  • Upperbound of 95% confidence interval for beta
    0.83645
  • Lowerbound of 95% confidence interval for alpha
    -0.64891
  • Upperbound of 95% confidence interval for alpha
    0.40255
  • Treynor index (mean / b)
    -0.62240
  • Jensen alpha (a)
    -0.12318
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02710
  • Expected Shortfall on VaR
    0.03344
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01620
  • Expected Shortfall on VaR
    0.02947
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.94353
  • Quartile 1
    0.98896
  • Median
    0.99852
  • Quartile 3
    1.00721
  • Maximum
    1.04373
  • Mean of quarter 1
    0.97916
  • Mean of quarter 2
    0.99474
  • Mean of quarter 3
    1.00333
  • Mean of quarter 4
    1.01714
  • Inter Quartile Range
    0.01825
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.02290
  • Mean of outliers low
    0.95180
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.00763
  • Mean of outliers high
    1.04373
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.23784
  • VaR(95%) (moments method)
    0.02270
  • Expected Shortfall (moments method)
    0.03419
  • Extreme Value Index (regression method)
    0.16928
  • VaR(95%) (regression method)
    0.02019
  • Expected Shortfall (regression method)
    0.02794
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00369
  • Quartile 1
    0.00431
  • Median
    0.00790
  • Quartile 3
    0.06811
  • Maximum
    0.23861
  • Mean of quarter 1
    0.00369
  • Mean of quarter 2
    0.00452
  • Mean of quarter 3
    0.01127
  • Mean of quarter 4
    0.23861
  • Inter Quartile Range
    0.06380
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.25000
  • Mean of outliers high
    0.23861
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    0.75%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -409191000
  • Max Equity Drawdown (num days)
    183
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.37111
  • Compounded annual return (geometric extrapolation)
    -0.33668
  • Calmar ratio (compounded annual return / max draw down)
    -1.41105
  • Compounded annual return / average of 25% largest draw downs
    -1.41105
  • Compounded annual return / Expected Shortfall lognormal
    -10.06950

Strategy Description

AI-powered, rules-based strategy with exposure to leading innovative and emerging companies exhibiting the best corporate social responsibility practices, according to environmental, social, and governance (ESG) parameters, which allows investors to align their values with their investments. Strategy components are assigned an equal weight, capped at 6% per stock, subject to a liquidity overlay. Components are reviewed quarterly for eligibility, with weights reset accordingly.

Summary Statistics

Includes fees & commissions C2 Israel
Strategy began
2021-07-19
Suggested Minimum Capital
$15,000
# Trades
75
# Profitable
33
% Profitable
44.0%
Net Dividends
Correlation S&P500
0.540
Sharpe Ratio
-0.07
Sortino Ratio
-0.12
Beta
0.74
Alpha
0.02
Leverage
1.01 Average
1.69 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

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

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

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

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

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

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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Suggested Minimum Capital

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

0