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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 08/12/2021
Most recent certification approved 8/12/21 15:20 ET
Trades at broker Israel Interactive Trading
Scaling percentage used 100%
# trading signals issued by system since certification 1,788
# trading signals executed in manager's Israel Interactive Trading account 1,788
Percent signals followed since 08/12/2021 100%
This information was last updated 11/22/24 13:41 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 08/12/2021, 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.

MASTER BEST ETFʼs

Created by: ilan_guri ilan_guri
Started: 08/2021
Stocks
Last trade: Today

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 $50.00 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.

11.9%
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.

(55.0%)
Max Drawdown
615
Num Trades
53.8%
Win Trades
1.1 : 1
Profit Factor
52.5%
Win Months
Hypothetical Monthly Returns (includes system fee and C2 Israel commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2021                                                 +1.5%  -  +4.6%(35.7%)+8.3%(26.1%)
2022+18.8%+1.7%+0.8%(30%)+12.4%+58.4%(18.6%)(21.4%)(14.6%)+32.1%+16.6%+7.0%+36.8%
2023+33.6%(16.3%)(20.1%)(19.7%)+6.9%+23.2%+31.0%(13.4%)(11.4%)(3.6%)(5.5%)(1.6%)(14.9%)
2024+3.6%+40.4%+0.2%(30.1%)+25.7%+26.3%(9.8%)(12.2%)(5.1%)(12.5%)+58.1%      +68.2%

Model Account Details

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

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

Trading Record

This strategy has placed 1,784 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
11/13/24 14:07 GDXU MICROSECTORS GOLD MINERS 3X LEVERAGED ETN LONG 135 32.39 11/22 12:57 39.21 n/a $914
Includes Typical Broker Commissions trade costs of $6.75
11/19/24 12:25 MSTU OPPTY TRUST T-REX 2X LONG MSTR DAILY TARGET SHORT 16 207.77 11/21 15:50 173.62 5.27%
Trade id #150124531
Max drawdown($1,715)
Time11/21/24 9:31
Quant open16
Worst price315.00
Drawdown as % of equity-5.27%
 $545
Includes Typical Broker Commissions trade costs of $0.80
11/18/24 14:47 SMCI SUPER MICRO COMPUTER LONG 200 22.93 11/19 13:09 28.02 1.46%
Trade id #150115753
Max drawdown($480)
Time11/18/24 15:41
Quant open200
Worst price20.53
Drawdown as % of equity-1.46%
 $1,012
Includes Typical Broker Commissions trade costs of $5.10
11/14/24 14:25 TSLR GRANITESHARES 1.75X LONG TSLA DAILY ETF LONG 150 27.41 11/18 14:41 30.87 0.24%
Trade id #150089447
Max drawdown($75)
Time11/15/24 0:00
Quant open150
Worst price26.90
Drawdown as % of equity-0.24%
 $515
Includes Typical Broker Commissions trade costs of $3.82
11/13/24 9:55 MSTU OPPTY TRUST T-REX 2X LONG MSTR DAILY TARGET SHORT 26 161.34 11/14 12:59 127.53 0.03%
Trade id #150075045
Max drawdown($8)
Time11/13/24 9:58
Quant open6
Worst price173.00
Drawdown as % of equity-0.03%
 $878
Includes Typical Broker Commissions trade costs of $1.30
11/7/24 12:20 ASTS AST SPACEMOBILE INC LONG 170 20.71 11/11 9:40 23.46 0.3%
Trade id #150030681
Max drawdown($87)
Time11/7/24 13:35
Quant open170
Worst price20.20
Drawdown as % of equity-0.30%
 $458
Includes Typical Broker Commissions trade costs of $8.50
11/6/24 13:30 NVDL GRANITESHARES 1.5X LONG NVDA DAILY ETF LONG 35 81.64 11/7 12:19 83.56 0.1%
Trade id #150013624
Max drawdown($29)
Time11/6/24 16:00
Quant open35
Worst price80.81
Drawdown as % of equity-0.10%
 $65
Includes Typical Broker Commissions trade costs of $1.76
11/1/24 15:47 SMCI SUPER MICRO COMPUTER LONG 180 26.34 11/6 11:10 20.94 4.09%
Trade id #149935462
Max drawdown($1,105)
Time11/6/24 9:56
Quant open180
Worst price20.20
Drawdown as % of equity-4.09%
 ($982)
Includes Typical Broker Commissions trade costs of $9.00
10/15/24 15:11 TEVA TEVA PHARMACEUTICAL LONG 280 18.08 11/5 12:13 18.60 0.37%
Trade id #149666652
Max drawdown($96)
Time10/18/24 0:00
Quant open280
Worst price17.73
Drawdown as % of equity-0.37%
 $140
Includes Typical Broker Commissions trade costs of $7.14
10/31/24 15:59 SOXL DIREXION DAILY SEMICONDCT BULL LONG 100 30.15 11/5 11:46 31.25 0.01%
Trade id #149924212
Max drawdown($1)
Time11/4/24 0:00
Quant open60
Worst price30.01
Drawdown as % of equity-0.01%
 $106
Includes Typical Broker Commissions trade costs of $5.00
10/4/24 12:41 PYPL PAYPAL HOLDINGS CORP LONG 64 79.28 10/29 11:08 79.18 0.57%
Trade id #149581700
Max drawdown($148)
Time10/29/24 9:49
Quant open60
Worst price76.81
Drawdown as % of equity-0.57%
 ($9)
Includes Typical Broker Commissions trade costs of $3.20
10/14/24 12:17 TSLR GRANITESHARES 1.75X LONG TSLA DAILY ETF LONG 300 14.63 10/23 14:23 13.80 1.1%
Trade id #149654562
Max drawdown($277)
Time10/23/24 14:04
Quant open300
Worst price13.70
Drawdown as % of equity-1.10%
 ($257)
Includes Typical Broker Commissions trade costs of $7.65
10/21/24 15:20 NVDL GRANITESHARES 1.5X LONG NVDA DAILY ETF LONG 25 78.60 10/23 14:01 73.65 0.54%
Trade id #149748391
Max drawdown($140)
Time10/23/24 13:41
Quant open25
Worst price72.99
Drawdown as % of equity-0.54%
 ($125)
Includes Typical Broker Commissions trade costs of $1.24
10/17/24 15:08 NFLX NETFLIX LONG 7 690.06 10/21 15:18 769.70 0.57%
Trade id #149688765
Max drawdown($147)
Time10/17/24 16:00
Quant open7
Worst price669.00
Drawdown as % of equity-0.57%
 $557
Includes Typical Broker Commissions trade costs of $0.18
10/1/24 14:58 XPEV XPENG INC LONG 400 12.73 10/17 15:01 10.15 4.05%
Trade id #149553862
Max drawdown($1,041)
Time10/17/24 15:01
Quant open400
Worst price10.13
Drawdown as % of equity-4.05%
 ($1,043)
Includes Typical Broker Commissions trade costs of $10.20
10/9/24 13:51 NVDL GRANITESHARES 1.5X LONG NVDA DAILY ETF LONG 60 68.27 10/15 13:22 67.01 0.88%
Trade id #149619696
Max drawdown($238)
Time10/15/24 10:40
Quant open60
Worst price64.30
Drawdown as % of equity-0.88%
 ($78)
Includes Typical Broker Commissions trade costs of $3.00
10/8/24 15:46 NIO NIO INC LONG 700 6.26 10/14 12:10 5.92 1.13%
Trade id #149609593
Max drawdown($307)
Time10/14/24 11:30
Quant open700
Worst price5.82
Drawdown as % of equity-1.13%
 ($259)
Includes Typical Broker Commissions trade costs of $17.85
10/4/24 12:42 PTIR GRANITESHARES 2X LONG PLTR DAILY ETF LONG 120 41.81 10/14 11:34 48.43 1.29%
Trade id #149581723
Max drawdown($338)
Time10/7/24 0:00
Quant open120
Worst price38.99
Drawdown as % of equity-1.29%
 $791
Includes Typical Broker Commissions trade costs of $3.06
9/26/24 14:52 INMD INMODE LTD. ORDINARY SHARES LONG 300 16.97 10/10 9:45 15.87 2.56%
Trade id #149517851
Max drawdown($628)
Time10/8/24 0:00
Quant open300
Worst price14.87
Drawdown as % of equity-2.56%
 ($337)
Includes Typical Broker Commissions trade costs of $7.65
10/1/24 14:58 BABA ALIBABA GROUP HOLDING LIMITED LONG 45 111.97 10/9 14:54 108.65 1.14%
Trade id #149553859
Max drawdown($285)
Time10/9/24 9:30
Quant open45
Worst price105.62
Drawdown as % of equity-1.14%
 ($151)
Includes Typical Broker Commissions trade costs of $2.24
10/3/24 15:05 BOIL PROSHARES ULTRA BLOOMBERG NATU SHORT 300 12.07 10/9 9:43 9.86 0.09%
Trade id #149572385
Max drawdown($22)
Time10/3/24 15:35
Quant open300
Worst price12.14
Drawdown as % of equity-0.09%
 $654
Includes Typical Broker Commissions trade costs of $7.65
9/30/24 14:56 SEDG SOLAREDGE TECHNOLOGIES INC. C SHORT 200 22.68 10/4 12:40 20.49 0.23%
Trade id #149543781
Max drawdown($61)
Time9/30/24 15:54
Quant open200
Worst price22.99
Drawdown as % of equity-0.23%
 $434
Includes Typical Broker Commissions trade costs of $5.10
9/18/24 9:45 INTC INTEL SHORT 240 21.72 10/4 9:53 22.60 2.61%
Trade id #149428923
Max drawdown($704)
Time9/27/24 0:00
Quant open240
Worst price24.66
Drawdown as % of equity-2.61%
 ($222)
Includes Typical Broker Commissions trade costs of $12.00
7/30/24 14:47 SVIX VS TR -1X SHORT VIX FUTURES ETF LONG 1,223 33.06 10/1 11:33 26.37 53.42%
Trade id #148776723
Max drawdown($13,773)
Time8/5/24 0:00
Quant open663
Worst price17.50
Drawdown as % of equity-53.42%
 ($8,231)
Includes Typical Broker Commissions trade costs of $55.31
9/18/24 9:30 GDXU MICROSECTORS GOLD MINERS 3X LEVERAGED ETN SHORT 80 47.81 9/26 14:47 54.73 2.24%
Trade id #149427023
Max drawdown($606)
Time9/26/24 11:57
Quant open80
Worst price55.40
Drawdown as % of equity-2.24%
 ($558)
Includes Typical Broker Commissions trade costs of $4.01
9/17/24 15:36 SEDG SOLAREDGE TECHNOLOGIES INC. C SHORT 220 22.36 9/25 11:37 21.30 1.16%
Trade id #149422840
Max drawdown($315)
Time9/18/24 0:00
Quant open220
Worst price23.79
Drawdown as % of equity-1.16%
 $221
Includes Typical Broker Commissions trade costs of $11.00
9/16/24 15:02 CBOE CBOE GLOBAL MARKETS INC LONG 25 212.43 9/19 12:47 207.10 0.53%
Trade id #149412888
Max drawdown($147)
Time9/19/24 10:22
Quant open25
Worst price206.51
Drawdown as % of equity-0.53%
 ($134)
Includes Typical Broker Commissions trade costs of $0.63
9/17/24 15:35 GDXU MICROSECTORS GOLD MINERS 3X LEVERAGED ETN LONG 50 46.28 9/18 9:30 47.72 0.01%
Trade id #149422836
Max drawdown($3)
Time9/17/24 15:45
Quant open50
Worst price46.21
Drawdown as % of equity-0.01%
 $70
Includes Typical Broker Commissions trade costs of $2.50
9/13/24 14:38 GDXU MICROSECTORS GOLD MINERS 3X LEVERAGED ETN SHORT 50 48.57 9/17 15:35 46.28 0.1%
Trade id #149388715
Max drawdown($28)
Time9/16/24 0:00
Quant open50
Worst price49.13
Drawdown as % of equity-0.10%
 $112
Includes Typical Broker Commissions trade costs of $2.50
9/11/24 15:17 SMCI SUPER MICRO COMPUTER LONG 12 440.79 9/16 10:10 452.94 0.39%
Trade id #149364407
Max drawdown($108)
Time9/12/24 0:00
Quant open12
Worst price431.72
Drawdown as % of equity-0.39%
 $145
Includes Typical Broker Commissions trade costs of $0.60
Next

Statistics

  • Strategy began
    8/10/2021
  • Suggested Minimum Cap
    $5,000
  • Strategy Age (days)
    1200.04
  • Age
    40 months ago
  • What it trades
    Stocks
  • # Trades
    615
  • # Profitable
    331
  • % Profitable
    53.80%
  • Avg trade duration
    7.0 days
  • Max peak-to-valley drawdown
    54.99%
  • drawdown period
    Feb 02, 2023 - May 15, 2023
  • Annual Return (Compounded)
    16.7%
  • Avg win
    $506.66
  • Avg loss
    $519.98
  • Model Account Values (Raw)
  • Cash
    $34,829
  • Margin Used
    $12,369
  • Buying Power
    $28,200
  • Ratios
  • W:L ratio
    1.14:1
  • Sharpe Ratio
    0.44
  • Sortino Ratio
    0.64
  • Calmar Ratio
    0.538
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    32.17%
  • Correlation to SP500
    0.24870
  • Return Percent SP500 (cumu) during strategy life
    34.54%
  • Return Statistics
  • Ann Return (w trading costs)
    16.7%
  • Slump
  • Current Slump as Pcnt Equity
    0.10%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    n/a
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.167%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    22.5%
  • Automation
  • Percentage Signals Automated
    n/a
  • Popularity
  • Popularity (Today)
    762
  • Popularity (Last 6 weeks)
    857
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Performance-weighted percentile
    436
  • Popularity (7 days, Percentile 1000 scale)
    718
  • Trades-Own-System Certification
  • Trades Own System?
    Yes
  • TOS percent
    100%
  • Win / Loss
  • Avg Loss
    $520
  • Avg Win
    $507
  • Sum Trade PL (losers)
    $147,673.000
  • Age
  • Num Months filled monthly returns table
    40
  • Win / Loss
  • Sum Trade PL (winners)
    $167,705.000
  • # Winners
    331
  • Num Months Winners
    21
  • Dividends
  • Dividends Received in Model Acct
    -74
  • AUM
  • AUM (AutoTrader live capital)
    81481
  • Win / Loss
  • # Losers
    284
  • % Winners
    53.8%
  • Frequency
  • Avg Position Time (mins)
    10128.20
  • Avg Position Time (hrs)
    168.80
  • Avg Trade Length
    7.0 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    2.20
  • Daily leverage (max)
    5.00
  • Regression
  • Alpha
    0.07
  • Beta
    0.86
  • Treynor Index
    0.10
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.38
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.04
  • Avg(MAE) / Avg(PL) - All trades
    31.327
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.578
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.392
  • Hold-and-Hope Ratio
    0.027
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.27899
  • SD
    0.60894
  • Sharpe ratio (Glass type estimate)
    0.45815
  • Sharpe ratio (Hedges UMVUE)
    0.44796
  • df
    34.00000
  • t
    0.78244
  • p
    0.21969
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.69790
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.60759
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.70461
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.60052
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.74615
  • Upside Potential Ratio
    2.75140
  • Upside part of mean
    1.02875
  • Downside part of mean
    -0.74976
  • Upside SD
    0.47634
  • Downside SD
    0.37390
  • N nonnegative terms
    18.00000
  • N negative terms
    17.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    35.00000
  • Mean of predictor
    0.07391
  • Mean of criterion
    0.27899
  • SD of predictor
    0.17700
  • SD of criterion
    0.60894
  • Covariance
    0.03154
  • r
    0.29260
  • b (slope, estimate of beta)
    1.00661
  • a (intercept, estimate of alpha)
    0.20458
  • Mean Square Error
    0.34934
  • DF error
    33.00000
  • t(b)
    1.75778
  • p(b)
    0.04403
  • t(a)
    0.58677
  • p(a)
    0.28068
  • Lowerbound of 95% confidence interval for beta
    -0.15848
  • Upperbound of 95% confidence interval for beta
    2.17170
  • Lowerbound of 95% confidence interval for alpha
    -0.50477
  • Upperbound of 95% confidence interval for alpha
    0.91394
  • Treynor index (mean / b)
    0.27715
  • Jensen alpha (a)
    0.20458
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.09800
  • SD
    0.61008
  • Sharpe ratio (Glass type estimate)
    0.16063
  • Sharpe ratio (Hedges UMVUE)
    0.15706
  • df
    34.00000
  • t
    0.27433
  • p
    0.39274
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.98880
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.30775
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.99118
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.30530
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.23015
  • Upside Potential Ratio
    2.18157
  • Upside part of mean
    0.92894
  • Downside part of mean
    -0.83094
  • Upside SD
    0.42549
  • Downside SD
    0.42581
  • N nonnegative terms
    18.00000
  • N negative terms
    17.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    35.00000
  • Mean of predictor
    0.05832
  • Mean of criterion
    0.09800
  • SD of predictor
    0.17759
  • SD of criterion
    0.61008
  • Covariance
    0.03146
  • r
    0.29040
  • b (slope, estimate of beta)
    0.99763
  • a (intercept, estimate of alpha)
    0.03982
  • Mean Square Error
    0.35113
  • DF error
    33.00000
  • t(b)
    1.74336
  • p(b)
    0.04529
  • t(a)
    0.11423
  • p(a)
    0.45487
  • Lowerbound of 95% confidence interval for beta
    -0.16662
  • Upperbound of 95% confidence interval for beta
    2.16187
  • Lowerbound of 95% confidence interval for alpha
    -0.66936
  • Upperbound of 95% confidence interval for alpha
    0.74899
  • Treynor index (mean / b)
    0.09823
  • Jensen alpha (a)
    0.03982
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.24536
  • Expected Shortfall on VaR
    0.29745
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.14350
  • Expected Shortfall on VaR
    0.25331
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    35.00000
  • Minimum
    0.68049
  • Quartile 1
    0.91898
  • Median
    1.00623
  • Quartile 3
    1.16315
  • Maximum
    1.30446
  • Mean of quarter 1
    0.81083
  • Mean of quarter 2
    0.95128
  • Mean of quarter 3
    1.09263
  • Mean of quarter 4
    1.25502
  • Inter Quartile Range
    0.24418
  • 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)
    -1.56519
  • VaR(95%) (moments method)
    0.18535
  • Expected Shortfall (moments method)
    0.19177
  • Extreme Value Index (regression method)
    -0.77169
  • VaR(95%) (regression method)
    0.25142
  • Expected Shortfall (regression method)
    0.28132
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.20841
  • Quartile 1
    0.21962
  • Median
    0.36068
  • Quartile 3
    0.36413
  • Maximum
    0.37028
  • Mean of quarter 1
    0.21401
  • Mean of quarter 2
    0.36068
  • Mean of quarter 3
    0.36413
  • Mean of quarter 4
    0.37028
  • Inter Quartile Range
    0.14452
  • 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)
    0.15213
  • Compounded annual return (geometric extrapolation)
    0.13418
  • Calmar ratio (compounded annual return / max draw down)
    0.36236
  • Compounded annual return / average of 25% largest draw downs
    0.36236
  • Compounded annual return / Expected Shortfall lognormal
    0.45109
  • 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
    0.36210
  • SD
    0.57689
  • Sharpe ratio (Glass type estimate)
    0.62768
  • Sharpe ratio (Hedges UMVUE)
    0.62707
  • df
    779.00000
  • t
    1.08301
  • p
    0.13957
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.50888
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.76387
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.50928
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.76343
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.92371
  • Upside Potential Ratio
    8.41597
  • Upside part of mean
    3.29911
  • Downside part of mean
    -2.93701
  • Upside SD
    0.42333
  • Downside SD
    0.39201
  • N nonnegative terms
    428.00000
  • N negative terms
    352.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    780.00000
  • Mean of predictor
    0.08709
  • Mean of criterion
    0.36210
  • SD of predictor
    0.18153
  • SD of criterion
    0.57689
  • Covariance
    0.02679
  • r
    0.25581
  • b (slope, estimate of beta)
    0.81293
  • a (intercept, estimate of alpha)
    0.29100
  • Mean Square Error
    0.31142
  • DF error
    778.00000
  • t(b)
    7.38085
  • p(b)
    0.00000
  • t(a)
    0.90026
  • p(a)
    0.18413
  • Lowerbound of 95% confidence interval for beta
    0.59672
  • Upperbound of 95% confidence interval for beta
    1.02914
  • Lowerbound of 95% confidence interval for alpha
    -0.34388
  • Upperbound of 95% confidence interval for alpha
    0.92648
  • Treynor index (mean / b)
    0.44543
  • Jensen alpha (a)
    0.29130
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.19617
  • SD
    0.57646
  • Sharpe ratio (Glass type estimate)
    0.34030
  • Sharpe ratio (Hedges UMVUE)
    0.33997
  • df
    779.00000
  • t
    0.58716
  • p
    0.27863
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.79584
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.47627
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.79608
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.47603
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.47707
  • Upside Potential Ratio
    7.81790
  • Upside part of mean
    3.21471
  • Downside part of mean
    -3.01854
  • Upside SD
    0.40366
  • Downside SD
    0.41120
  • N nonnegative terms
    428.00000
  • N negative terms
    352.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    780.00000
  • Mean of predictor
    0.07060
  • Mean of criterion
    0.19617
  • SD of predictor
    0.18173
  • SD of criterion
    0.57646
  • Covariance
    0.02704
  • r
    0.25813
  • b (slope, estimate of beta)
    0.81881
  • a (intercept, estimate of alpha)
    0.13836
  • Mean Square Error
    0.31056
  • DF error
    778.00000
  • t(b)
    7.45251
  • p(b)
    0.00000
  • t(a)
    0.42828
  • p(a)
    0.33428
  • Lowerbound of 95% confidence interval for beta
    0.60313
  • Upperbound of 95% confidence interval for beta
    1.03448
  • Lowerbound of 95% confidence interval for alpha
    -0.49584
  • Upperbound of 95% confidence interval for alpha
    0.77257
  • Treynor index (mean / b)
    0.23958
  • Jensen alpha (a)
    0.13836
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05619
  • Expected Shortfall on VaR
    0.07005
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02404
  • Expected Shortfall on VaR
    0.04899
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    780.00000
  • Minimum
    0.79631
  • Quartile 1
    0.98538
  • Median
    1.00260
  • Quartile 3
    1.01752
  • Maximum
    1.25803
  • Mean of quarter 1
    0.96087
  • Mean of quarter 2
    0.99475
  • Mean of quarter 3
    1.00916
  • Mean of quarter 4
    1.04118
  • Inter Quartile Range
    0.03214
  • Number outliers low
    30.00000
  • Percentage of outliers low
    0.03846
  • Mean of outliers low
    0.91267
  • Number of outliers high
    27.00000
  • Percentage of outliers high
    0.03462
  • Mean of outliers high
    1.10122
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.24249
  • VaR(95%) (moments method)
    0.03813
  • Expected Shortfall (moments method)
    0.06137
  • Extreme Value Index (regression method)
    0.04821
  • VaR(95%) (regression method)
    0.03715
  • Expected Shortfall (regression method)
    0.05237
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    16.00000
  • Minimum
    0.00016
  • Quartile 1
    0.00371
  • Median
    0.02054
  • Quartile 3
    0.15075
  • Maximum
    0.46706
  • Mean of quarter 1
    0.00217
  • Mean of quarter 2
    0.01083
  • Mean of quarter 3
    0.04795
  • Mean of quarter 4
    0.41255
  • Inter Quartile Range
    0.14704
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.18750
  • Mean of outliers high
    0.43246
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -5.24201
  • VaR(95%) (moments method)
    0.43752
  • Expected Shortfall (moments method)
    0.43759
  • Extreme Value Index (regression method)
    -1.04842
  • VaR(95%) (regression method)
    0.46334
  • Expected Shortfall (regression method)
    0.47723
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.31862
  • Compounded annual return (geometric extrapolation)
    0.25117
  • Calmar ratio (compounded annual return / max draw down)
    0.53776
  • Compounded annual return / average of 25% largest draw downs
    0.60881
  • Compounded annual return / Expected Shortfall lognormal
    3.58549
  • 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
    0.67519
  • SD
    0.46244
  • Sharpe ratio (Glass type estimate)
    1.46004
  • Sharpe ratio (Hedges UMVUE)
    1.45160
  • df
    130.00000
  • t
    1.03241
  • p
    0.45491
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.32022
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.23474
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.32581
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.22902
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.84383
  • Upside Potential Ratio
    7.45718
  • Upside part of mean
    2.73071
  • Downside part of mean
    -2.05552
  • Upside SD
    0.28261
  • Downside SD
    0.36618
  • N nonnegative terms
    79.00000
  • N negative terms
    52.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.22439
  • Mean of criterion
    0.67519
  • SD of predictor
    0.13514
  • SD of criterion
    0.46244
  • Covariance
    0.03818
  • r
    0.61087
  • b (slope, estimate of beta)
    2.09030
  • a (intercept, estimate of alpha)
    0.20614
  • Mean Square Error
    0.13509
  • DF error
    129.00000
  • t(b)
    8.76326
  • p(b)
    0.13687
  • t(a)
    0.39449
  • p(a)
    0.47791
  • Lowerbound of 95% confidence interval for beta
    1.61836
  • Upperbound of 95% confidence interval for beta
    2.56224
  • Lowerbound of 95% confidence interval for alpha
    -0.82772
  • Upperbound of 95% confidence interval for alpha
    1.23999
  • Treynor index (mean / b)
    0.32301
  • Jensen alpha (a)
    0.20614
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.56182
  • SD
    0.48403
  • Sharpe ratio (Glass type estimate)
    1.16071
  • Sharpe ratio (Hedges UMVUE)
    1.15400
  • df
    130.00000
  • t
    0.82074
  • p
    0.46410
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.61686
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.93393
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.62135
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.92935
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.41893
  • Upside Potential Ratio
    6.79760
  • Upside part of mean
    2.69147
  • Downside part of mean
    -2.12965
  • Upside SD
    0.27736
  • Downside SD
    0.39594
  • N nonnegative terms
    79.00000
  • N negative terms
    52.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.21520
  • Mean of criterion
    0.56182
  • SD of predictor
    0.13533
  • SD of criterion
    0.48403
  • Covariance
    0.04000
  • r
    0.61065
  • b (slope, estimate of beta)
    2.18419
  • a (intercept, estimate of alpha)
    0.09178
  • Mean Square Error
    0.14806
  • DF error
    129.00000
  • t(b)
    8.75831
  • p(b)
    0.13698
  • t(a)
    0.16784
  • p(a)
    0.49059
  • VAR (95 Confidence Intrvl)
    0.05600
  • Lowerbound of 95% confidence interval for beta
    1.69078
  • Upperbound of 95% confidence interval for beta
    2.67761
  • Lowerbound of 95% confidence interval for alpha
    -0.99010
  • Upperbound of 95% confidence interval for alpha
    1.17366
  • Treynor index (mean / b)
    0.25722
  • Jensen alpha (a)
    0.09178
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04595
  • Expected Shortfall on VaR
    0.05774
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01493
  • Expected Shortfall on VaR
    0.03412
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.80093
  • Quartile 1
    0.99074
  • Median
    1.00368
  • Quartile 3
    1.01662
  • Maximum
    1.06113
  • Mean of quarter 1
    0.97199
  • Mean of quarter 2
    0.99786
  • Mean of quarter 3
    1.01033
  • Mean of quarter 4
    1.03078
  • Inter Quartile Range
    0.02588
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.02290
  • Mean of outliers low
    0.88136
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.01527
  • Mean of outliers high
    1.05838
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.58835
  • VaR(95%) (moments method)
    0.02886
  • Expected Shortfall (moments method)
    0.07492
  • Extreme Value Index (regression method)
    1.01450
  • VaR(95%) (regression method)
    0.02084
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00049
  • Quartile 1
    0.00332
  • Median
    0.00361
  • Quartile 3
    0.02460
  • Maximum
    0.35281
  • Mean of quarter 1
    0.00190
  • Mean of quarter 2
    0.00361
  • Mean of quarter 3
    0.02460
  • Mean of quarter 4
    0.35281
  • Inter Quartile Range
    0.02128
  • 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
    0.20000
  • Mean of outliers high
    0.35281
  • 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?
    -339821000
  • Max Equity Drawdown (num days)
    102
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.68588
  • Compounded annual return (geometric extrapolation)
    0.80349
  • Calmar ratio (compounded annual return / max draw down)
    2.27739
  • Compounded annual return / average of 25% largest draw downs
    2.27739
  • Compounded annual return / Expected Shortfall lognormal
    13.91510

Strategy Description

The strategy uses leveraged ETFs in order to achieve double and triple returns on the market using long and short positions. To mitigate risk, I use hedging strategies and hold opposite positions when market volatility is high. I also employ a technique called "averaging down" to minimize losses, by purchasing additional shares of a stock at a lower price to offset any losses on my initial investment. I generally focus on a small number of stocks and ETFs at a time, holding them for a period of one to two weeks.

Summary Statistics

Includes fees & commissions C2 Israel
Strategy began
2021-08-10
Risk Score
Extreme
Suggested Minimum Capital
$5,000
# Trades
615
# Profitable
331
% Profitable
53.8%
Net Dividends
($74)
Correlation S&P500
0.249
Sharpe Ratio
0.44
Sortino Ratio
0.64
Beta
0.86
Alpha
0.07
Leverage
2.20 Average
5.00 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.

Latest Activity

#PERSONNAME# from #FROMWHERE#
started following started following #SUBSCRIBEDDATE#

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.

The risk profile is set by the investment/trading style, types of assets and level of leverage. These factors place strategies into five risk levels: Low, Moderate, Medium, High, and Extreme.