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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 02/11/2022
Most recent certification approved 2/11/22 9:37 ET
Trades at broker Israel Interactive Trading
Scaling percentage used 100%
# trading signals issued by system since certification 82
# trading signals executed in manager's Israel Interactive Trading account 82
Percent signals followed since 02/11/2022 100%
This information was last updated 3/28/24 9:59 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 02/11/2022, 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.

Markets Expected Value
(138882025)

Created by: ReplanValueFirms ReplanValueFirms
Started: 01/2022
Stocks
Last trade: 85 days ago
Trading style: Equity Non-hedged Equity

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 $20.00 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
Non-hedged Equity
Category: Equity

Non-hedged Equity

Predominantly long equities, although some hedging with short sales of stocks and/or stock index options. Commonly known as "stock-pickers."
14.2%
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.

(24.4%)
Max Drawdown
48
Num Trades
68.8%
Win Trades
4.1 : 1
Profit Factor
48.1%
Win Months
Hypothetical Monthly Returns (includes system fee and C2 Israel commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022(0.1%)(2.4%)+2.8%(8.8%)(2%)(7.6%)+10.9%(3.9%)(9.2%)+8.0%+6.3%(5.9%)(13.4%)
2023+8.0%+2.1%+1.7%(0.4%)(1.7%)+7.2%+5.4%(1.4%)(4%)(3.6%)+14.6%+7.7%+39.8%
2024(0.3%)+6.2%+4.8%                                                      +10.9%

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 82 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
8/1/23 13:27 GPS GAP LONG 214 10.59 11/30 14:30 19.93 0.67%
Trade id #145395875
Max drawdown($258)
Time8/23/23 0:00
Quant open214
Worst price9.38
Drawdown as % of equity-0.67%
$1,993
Includes Typical Broker Commissions trade costs of $5.00
8/1/23 13:14 STLA STELLANTIS NV LONG 112 20.07 11/30 14:30 21.68 0.73%
Trade id #145395764
Max drawdown($280)
Time8/18/23 0:00
Quant open112
Worst price17.57
Drawdown as % of equity-0.73%
$177
Includes Typical Broker Commissions trade costs of $2.52
8/1/23 13:25 UAL UNITED AIRLINES HOLDINGS INC LONG 43 53.10 11/30 14:30 39.59 2.19%
Trade id #145395859
Max drawdown($835)
Time10/27/23 0:00
Quant open43
Worst price33.68
Drawdown as % of equity-2.19%
($586)
Includes Typical Broker Commissions trade costs of $5.00
8/1/23 13:07 NXST NEXSTAR MEDIA GROUP LONG 12 184.24 11/30 14:29 142.78 1.61%
Trade id #145395718
Max drawdown($623)
Time10/6/23 0:00
Quant open12
Worst price132.30
Drawdown as % of equity-1.61%
($501)
Includes Typical Broker Commissions trade costs of $2.50
8/1/23 13:19 PAGS PAGSEGURO DIGITAL LONG 195 11.46 11/30 14:29 10.15 2.36%
Trade id #145395814
Max drawdown($883)
Time11/1/23 0:00
Quant open195
Worst price6.93
Drawdown as % of equity-2.36%
($258)
Includes Typical Broker Commissions trade costs of $2.54
8/1/23 13:01 CRBG COREBRIDGE FINANCIAL INC LONG 121 18.70 11/30 14:29 20.93 0.4%
Trade id #145395664
Max drawdown($156)
Time8/22/23 0:00
Quant open121
Worst price17.40
Drawdown as % of equity-0.40%
$268
Includes Typical Broker Commissions trade costs of $2.52
8/1/23 13:13 COOP MR. COOPER GROUP INC LONG 39 58.16 11/30 14:28 60.73 0.57%
Trade id #145395758
Max drawdown($222)
Time10/3/23 0:00
Quant open39
Worst price52.46
Drawdown as % of equity-0.57%
$97
Includes Typical Broker Commissions trade costs of $2.51
4/3/23 11:18 BWMX BETTERWARE DE MEXICO SA DE CV LONG 200 11.32 11/30 14:27 14.02 0.85%
Trade id #144155939
Max drawdown($309)
Time10/30/23 0:00
Quant open200
Worst price9.77
Drawdown as % of equity-0.85%
$537
Includes Typical Broker Commissions trade costs of $2.54
4/3/23 11:20 PRDO PERDOCEO EDUCATION CORPORATION LONG 170 13.31 8/1 12:49 13.57 0.85%
Trade id #144155970
Max drawdown($307)
Time5/5/23 0:00
Quant open170
Worst price11.50
Drawdown as % of equity-0.85%
$41
Includes Typical Broker Commissions trade costs of $2.53
4/3/23 11:21 WIRE ENCORE WIRE LONG 12 180.37 8/1 12:49 171.97 1.4%
Trade id #144156011
Max drawdown($506)
Time4/26/23 0:00
Quant open12
Worst price138.20
Drawdown as % of equity-1.40%
($104)
Includes Typical Broker Commissions trade costs of $2.50
4/3/23 11:25 TMHC TAYLOR MORRISON HOME CORP LONG 55 37.94 8/1 12:48 49.06 0.27%
Trade id #144156053
Max drawdown($98)
Time4/6/23 0:00
Quant open55
Worst price36.15
Drawdown as % of equity-0.27%
$608
Includes Typical Broker Commissions trade costs of $2.51
4/3/23 11:26 NSIT INSIGHT ENTERPRISES LONG 15 142.75 8/1 12:48 146.62 0.99%
Trade id #144156086
Max drawdown($371)
Time5/2/23 0:00
Quant open15
Worst price117.99
Drawdown as % of equity-0.99%
$56
Includes Typical Broker Commissions trade costs of $2.50
4/3/23 12:02 NOA NORTH AMERICAN ENERGY LONG 105 17.46 8/1 12:47 24.75 0.22%
Trade id #144157302
Max drawdown($81)
Time4/4/23 0:00
Quant open105
Worst price16.69
Drawdown as % of equity-0.22%
$762
Includes Typical Broker Commissions trade costs of $2.52
4/3/23 11:31 LZB LA-Z-BOY LONG 75 28.92 8/1 12:47 31.36 0.73%
Trade id #144156167
Max drawdown($285)
Time6/21/23 0:00
Quant open75
Worst price25.12
Drawdown as % of equity-0.73%
$180
Includes Typical Broker Commissions trade costs of $2.51
4/3/23 11:21 HLF HERBALIFE LONG 130 15.88 8/1 12:46 16.54 1.7%
Trade id #144156020
Max drawdown($616)
Time5/25/23 0:00
Quant open130
Worst price11.14
Drawdown as % of equity-1.70%
$83
Includes Typical Broker Commissions trade costs of $2.53
4/3/23 11:19 FLNT FLUENT INC. COMMON STOCK LONG 2,400 0.86 8/1 12:44 0.62 1.96%
Trade id #144155959
Max drawdown($727)
Time5/16/23 0:00
Quant open2,400
Worst price0.56
Drawdown as % of equity-1.96%
($603)
Includes Typical Broker Commissions trade costs of $24.48
11/23/22 10:26 WIRE ENCORE WIRE LONG 13 148.84 3/31/23 9:55 185.13 0.64%
Trade id #142659661
Max drawdown($214)
Time1/3/23 0:00
Quant open13
Worst price132.32
Drawdown as % of equity-0.64%
$467
Includes Typical Broker Commissions trade costs of $5.00
11/23/22 10:48 TA TRAVELCENTERS OF AMERICA LONG 35 50.02 3/31/23 9:55 86.67 0.8%
Trade id #142660014
Max drawdown($276)
Time12/22/22 0:00
Quant open35
Worst price42.13
Drawdown as % of equity-0.80%
$1,280
Includes Typical Broker Commissions trade costs of $2.51
11/23/22 10:25 JKS JINKOSOLAR HOLDING LONG 42 47.34 3/31/23 9:54 50.53 1.05%
Trade id #142659587
Max drawdown($346)
Time12/29/22 0:00
Quant open42
Worst price39.09
Drawdown as % of equity-1.05%
$131
Includes Typical Broker Commissions trade costs of $2.51
11/23/22 10:28 JBL JABIL INC LONG 28 71.16 3/31/23 9:54 87.33 0.54%
Trade id #142659732
Max drawdown($179)
Time1/5/23 0:00
Quant open28
Worst price64.74
Drawdown as % of equity-0.54%
$450
Includes Typical Broker Commissions trade costs of $2.51
11/23/22 10:35 GLP GLOBAL PARTNERS LONG 55 31.59 3/31/23 9:53 30.57 0.44%
Trade id #142659878
Max drawdown($156)
Time3/17/23 0:00
Quant open55
Worst price28.74
Drawdown as % of equity-0.44%
($59)
Includes Typical Broker Commissions trade costs of $2.51
11/23/22 10:31 FOR FORESTAR GROUP LONG 135 14.71 3/31/23 9:52 14.90 0.36%
Trade id #142659824
Max drawdown($134)
Time2/24/23 0:00
Quant open135
Worst price13.71
Drawdown as % of equity-0.36%
$23
Includes Typical Broker Commissions trade costs of $2.53
11/23/22 10:29 ETD ETHAN ALLEN INTERIORS LONG 70 28.61 3/31/23 9:52 26.95 0.64%
Trade id #142659752
Max drawdown($220)
Time12/22/22 0:00
Quant open70
Worst price25.46
Drawdown as % of equity-0.64%
($119)
Includes Typical Broker Commissions trade costs of $2.51
11/23/22 10:47 EQNR EQUINOR ASA LONG 50 36.01 3/31/23 9:51 28.59 1.38%
Trade id #142659998
Max drawdown($486)
Time3/16/23 0:00
Quant open50
Worst price26.28
Drawdown as % of equity-1.38%
($374)
Includes Typical Broker Commissions trade costs of $2.51
11/23/22 10:27 AMRK A-MARK PRECIOUS METALS INC. C LONG 60 33.83 3/31/23 9:46 35.27 1.1%
Trade id #142659694
Max drawdown($403)
Time3/10/23 0:00
Quant open60
Worst price27.10
Drawdown as % of equity-1.10%
$83
Includes Typical Broker Commissions trade costs of $2.51
2/11/22 9:54 MATW MATTHEWS INTERNATIONAL LONG 60 34.08 11/23 10:21 31.59 2.27%
Trade id #139354125
Max drawdown($717)
Time9/27/22 0:00
Quant open60
Worst price22.12
Drawdown as % of equity-2.27%
($152)
Includes Typical Broker Commissions trade costs of $2.51
2/11/22 10:02 TSLA TESLA INC. LONG 6 300.10 11/23 10:19 178.38 2.34%
Trade id #139354449
Max drawdown($803)
Time11/22/22 0:00
Quant open6
Worst price166.19
Drawdown as % of equity-2.34%
($735)
Includes Typical Broker Commissions trade costs of $5.00
2/11/22 9:58 TMHC TAYLOR MORRISON HOME CORP LONG 67 29.51 11/23 10:18 29.02 1.88%
Trade id #139354303
Max drawdown($634)
Time6/17/22 0:00
Quant open67
Worst price20.05
Drawdown as % of equity-1.88%
($38)
Includes Typical Broker Commissions trade costs of $5.00
2/11/22 9:45 ARCB ARCBEST CORPORATION COMMON STO LONG 22 88.05 11/23 10:18 80.66 1.33%
Trade id #139353819
Max drawdown($503)
Time4/8/22 0:00
Quant open22
Worst price65.16
Drawdown as % of equity-1.33%
($166)
Includes Typical Broker Commissions trade costs of $2.50
2/11/22 9:56 AGCO AGCO LONG 15 131.63 11/23 10:18 131.46 1.91%
Trade id #139354165
Max drawdown($646)
Time7/14/22 0:00
Quant open15
Worst price88.55
Drawdown as % of equity-1.91%
($6)
Includes Typical Broker Commissions trade costs of $2.50

Statistics

  • Strategy began
    1/10/2022
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    808.16
  • Age
    27 months ago
  • What it trades
    Stocks
  • # Trades
    48
  • # Profitable
    33
  • % Profitable
    68.80%
  • Avg trade duration
    211.3 days
  • Max peak-to-valley drawdown
    24.42%
  • drawdown period
    Aug 25, 2022 - Sept 24, 2022
  • Annual Return (Compounded)
    13.5%
  • Avg win
    $538.12
  • Avg loss
    $311.53
  • Model Account Values (Raw)
  • Cash
    $22,565
  • Margin Used
    $0
  • Buying Power
    $32,181
  • Ratios
  • W:L ratio
    4.10:1
  • Sharpe Ratio
    0.6
  • Sortino Ratio
    0.89
  • Calmar Ratio
    0.865
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    20.13%
  • Correlation to SP500
    0.66780
  • Return Percent SP500 (cumu) during strategy life
    12.38%
  • Return Statistics
  • Ann Return (w trading costs)
    13.5%
  • Slump
  • Current Slump as Pcnt Equity
    n/a
  • 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)
    0.135%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    15.0%
  • Automation
  • Percentage Signals Automated
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    860
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Performance-weighted percentile
    940
  • Popularity (7 days, Percentile 1000 scale)
    455
  • Trades-Own-System Certification
  • Trades Own System?
    Yes
  • TOS percent
    100%
  • Win / Loss
  • Avg Loss
    $312
  • Avg Win
    $538
  • Sum Trade PL (losers)
    $4,673.000
  • Age
  • Num Months filled monthly returns table
    27
  • Win / Loss
  • Sum Trade PL (winners)
    $17,758.000
  • # Winners
    33
  • Num Months Winners
    13
  • Dividends
  • Dividends Received in Model Acct
    1408
  • AUM
  • AUM (AutoTrader live capital)
    54435
  • Win / Loss
  • # Losers
    15
  • % Winners
    68.8%
  • Frequency
  • Avg Position Time (mins)
    304313.00
  • Avg Position Time (hrs)
    5071.88
  • Avg Trade Length
    211.3 days
  • Last Trade Ago
    85
  • Leverage
  • Daily leverage (average)
    1.09
  • Daily leverage (max)
    1.25
  • Regression
  • Alpha
    0.03
  • Beta
    0.63
  • Treynor Index
    0.05
  • 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)
    -4.10
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    1.741
  • 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
    0.714
  • Avg(MAE) / Avg(PL) - Losing trades
    -2.009
  • Hold-and-Hope Ratio
    0.234
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.14206
  • SD
    0.19490
  • Sharpe ratio (Glass type estimate)
    0.72887
  • Sharpe ratio (Hedges UMVUE)
    0.70247
  • df
    21.00000
  • t
    0.98689
  • p
    0.36697
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.74356
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.18445
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.76057
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.16550
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.25120
  • Upside Potential Ratio
    3.05153
  • Upside part of mean
    0.34646
  • Downside part of mean
    -0.20440
  • Upside SD
    0.15827
  • Downside SD
    0.11354
  • N nonnegative terms
    13.00000
  • N negative terms
    9.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    22.00000
  • Mean of predictor
    0.03183
  • Mean of criterion
    0.14206
  • SD of predictor
    0.17058
  • SD of criterion
    0.19490
  • Covariance
    0.02912
  • r
    0.87586
  • b (slope, estimate of beta)
    1.00072
  • a (intercept, estimate of alpha)
    0.11021
  • Mean Square Error
    0.00929
  • DF error
    20.00000
  • t(b)
    8.11698
  • p(b)
    0.06207
  • t(a)
    1.54600
  • p(a)
    0.33664
  • Lowerbound of 95% confidence interval for beta
    0.74355
  • Upperbound of 95% confidence interval for beta
    1.25790
  • Lowerbound of 95% confidence interval for alpha
    -0.03849
  • Upperbound of 95% confidence interval for alpha
    0.25891
  • Treynor index (mean / b)
    0.14195
  • Jensen alpha (a)
    0.11021
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.12322
  • SD
    0.19267
  • Sharpe ratio (Glass type estimate)
    0.63952
  • Sharpe ratio (Hedges UMVUE)
    0.61636
  • df
    21.00000
  • t
    0.86591
  • p
    0.38248
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.82813
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.09235
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.84312
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.07584
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.04462
  • Upside Potential Ratio
    2.83088
  • Upside part of mean
    0.33391
  • Downside part of mean
    -0.21070
  • Upside SD
    0.15095
  • Downside SD
    0.11795
  • N nonnegative terms
    13.00000
  • N negative terms
    9.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    22.00000
  • Mean of predictor
    0.01782
  • Mean of criterion
    0.12322
  • SD of predictor
    0.17108
  • SD of criterion
    0.19267
  • Covariance
    0.02889
  • r
    0.87650
  • b (slope, estimate of beta)
    0.98711
  • a (intercept, estimate of alpha)
    0.10563
  • Mean Square Error
    0.00903
  • DF error
    20.00000
  • t(b)
    8.14232
  • p(b)
    0.06175
  • t(a)
    1.50411
  • p(a)
    0.34061
  • Lowerbound of 95% confidence interval for beta
    0.73422
  • Upperbound of 95% confidence interval for beta
    1.23999
  • Lowerbound of 95% confidence interval for alpha
    -0.04086
  • Upperbound of 95% confidence interval for alpha
    0.25212
  • Treynor index (mean / b)
    0.12483
  • Jensen alpha (a)
    0.10563
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07801
  • Expected Shortfall on VaR
    0.09900
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03478
  • Expected Shortfall on VaR
    0.06780
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    22.00000
  • Minimum
    0.90385
  • Quartile 1
    0.97430
  • Median
    1.01999
  • Quartile 3
    1.05133
  • Maximum
    1.14555
  • Mean of quarter 1
    0.94727
  • Mean of quarter 2
    0.99604
  • Mean of quarter 3
    1.03720
  • Mean of quarter 4
    1.07697
  • Inter Quartile Range
    0.07702
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.21414
  • VaR(95%) (moments method)
    0.05848
  • Expected Shortfall (moments method)
    0.08925
  • Extreme Value Index (regression method)
    0.32882
  • VaR(95%) (regression method)
    0.05172
  • Expected Shortfall (regression method)
    0.08037
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.06703
  • Quartile 1
    0.09306
  • Median
    0.11908
  • Quartile 3
    0.14511
  • Maximum
    0.17114
  • Mean of quarter 1
    0.06703
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.17114
  • Inter Quartile Range
    0.05205
  • 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)
    0.17413
  • Compounded annual return (geometric extrapolation)
    0.16314
  • Calmar ratio (compounded annual return / max draw down)
    0.95327
  • Compounded annual return / average of 25% largest draw downs
    0.95327
  • Compounded annual return / Expected Shortfall lognormal
    1.64793
  • 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
    0.15230
  • SD
    0.18547
  • Sharpe ratio (Glass type estimate)
    0.82116
  • Sharpe ratio (Hedges UMVUE)
    0.81992
  • df
    496.00000
  • t
    1.13098
  • p
    0.12930
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.60319
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.24475
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.60405
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.24388
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.19060
  • Upside Potential Ratio
    8.69865
  • Upside part of mean
    1.11275
  • Downside part of mean
    -0.96044
  • Upside SD
    0.13437
  • Downside SD
    0.12792
  • N nonnegative terms
    256.00000
  • N negative terms
    241.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    497.00000
  • Mean of predictor
    0.05378
  • Mean of criterion
    0.15230
  • SD of predictor
    0.20011
  • SD of criterion
    0.18547
  • Covariance
    0.02530
  • r
    0.68175
  • b (slope, estimate of beta)
    0.63188
  • a (intercept, estimate of alpha)
    0.11800
  • Mean Square Error
    0.01845
  • DF error
    495.00000
  • t(b)
    20.73310
  • p(b)
    -0.00000
  • t(a)
    1.19963
  • p(a)
    0.11543
  • Lowerbound of 95% confidence interval for beta
    0.57200
  • Upperbound of 95% confidence interval for beta
    0.69176
  • Lowerbound of 95% confidence interval for alpha
    -0.07547
  • Upperbound of 95% confidence interval for alpha
    0.31211
  • Treynor index (mean / b)
    0.24103
  • Jensen alpha (a)
    0.11832
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.13508
  • SD
    0.18550
  • Sharpe ratio (Glass type estimate)
    0.72821
  • Sharpe ratio (Hedges UMVUE)
    0.72711
  • df
    496.00000
  • t
    1.00297
  • p
    0.15818
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.69588
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.15167
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.69666
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.15088
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.03998
  • Upside Potential Ratio
    8.49769
  • Upside part of mean
    1.10377
  • Downside part of mean
    -0.96869
  • Upside SD
    0.13243
  • Downside SD
    0.12989
  • N nonnegative terms
    256.00000
  • N negative terms
    241.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    497.00000
  • Mean of predictor
    0.03362
  • Mean of criterion
    0.13508
  • SD of predictor
    0.20140
  • SD of criterion
    0.18550
  • Covariance
    0.02547
  • r
    0.68185
  • b (slope, estimate of beta)
    0.62803
  • a (intercept, estimate of alpha)
    0.11397
  • Mean Square Error
    0.01845
  • DF error
    495.00000
  • t(b)
    20.73880
  • p(b)
    -0.00000
  • t(a)
    1.15557
  • p(a)
    0.12421
  • Lowerbound of 95% confidence interval for beta
    0.56853
  • Upperbound of 95% confidence interval for beta
    0.68753
  • Lowerbound of 95% confidence interval for alpha
    -0.07981
  • Upperbound of 95% confidence interval for alpha
    0.30774
  • Treynor index (mean / b)
    0.21509
  • Jensen alpha (a)
    0.11397
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01817
  • Expected Shortfall on VaR
    0.02285
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00824
  • Expected Shortfall on VaR
    0.01660
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    497.00000
  • Minimum
    0.93003
  • Quartile 1
    0.99500
  • Median
    1.00051
  • Quartile 3
    1.00649
  • Maximum
    1.07832
  • Mean of quarter 1
    0.98735
  • Mean of quarter 2
    0.99829
  • Mean of quarter 3
    1.00332
  • Mean of quarter 4
    1.01390
  • Inter Quartile Range
    0.01149
  • Number outliers low
    7.00000
  • Percentage of outliers low
    0.01408
  • Mean of outliers low
    0.96031
  • Number of outliers high
    10.00000
  • Percentage of outliers high
    0.02012
  • Mean of outliers high
    1.03472
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.21734
  • VaR(95%) (moments method)
    0.01243
  • Expected Shortfall (moments method)
    0.01942
  • Extreme Value Index (regression method)
    0.08748
  • VaR(95%) (regression method)
    0.01165
  • Expected Shortfall (regression method)
    0.01650
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    19.00000
  • Minimum
    0.00002
  • Quartile 1
    0.00268
  • Median
    0.01125
  • Quartile 3
    0.02170
  • Maximum
    0.20457
  • Mean of quarter 1
    0.00095
  • Mean of quarter 2
    0.00708
  • Mean of quarter 3
    0.01804
  • Mean of quarter 4
    0.08845
  • Inter Quartile Range
    0.01903
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.21053
  • Mean of outliers high
    0.10501
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -1.66072
  • VaR(95%) (moments method)
    0.06763
  • Expected Shortfall (moments method)
    0.07050
  • Extreme Value Index (regression method)
    0.33737
  • VaR(95%) (regression method)
    0.13161
  • Expected Shortfall (regression method)
    0.26456
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.19100
  • Compounded annual return (geometric extrapolation)
    0.17703
  • Calmar ratio (compounded annual return / max draw down)
    0.86535
  • Compounded annual return / average of 25% largest draw downs
    2.00148
  • Compounded annual return / Expected Shortfall lognormal
    7.74750
  • 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
    0.54767
  • SD
    0.14658
  • Sharpe ratio (Glass type estimate)
    3.73631
  • Sharpe ratio (Hedges UMVUE)
    3.71471
  • df
    130.00000
  • t
    2.64197
  • p
    0.38713
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.92069
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.53810
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.90637
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.52305
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.91993
  • Upside Potential Ratio
    12.87470
  • Upside part of mean
    1.19107
  • Downside part of mean
    -0.64341
  • Upside SD
    0.11793
  • Downside SD
    0.09251
  • 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
    0.36048
  • Mean of criterion
    0.54767
  • SD of predictor
    0.11714
  • SD of criterion
    0.14658
  • Covariance
    0.00998
  • r
    0.58113
  • b (slope, estimate of beta)
    0.72719
  • a (intercept, estimate of alpha)
    0.28553
  • Mean Square Error
    0.01434
  • DF error
    129.00000
  • t(b)
    8.11053
  • p(b)
    0.15207
  • t(a)
    1.65613
  • p(a)
    0.40846
  • Lowerbound of 95% confidence interval for beta
    0.54979
  • Upperbound of 95% confidence interval for beta
    0.90458
  • Lowerbound of 95% confidence interval for alpha
    -0.05558
  • Upperbound of 95% confidence interval for alpha
    0.62664
  • Treynor index (mean / b)
    0.75313
  • Jensen alpha (a)
    0.28553
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.53639
  • SD
    0.14660
  • Sharpe ratio (Glass type estimate)
    3.65894
  • Sharpe ratio (Hedges UMVUE)
    3.63779
  • df
    130.00000
  • t
    2.58726
  • p
    0.38935
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.84496
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.45936
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.83094
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.44465
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.74377
  • Upside Potential Ratio
    12.67910
  • Upside part of mean
    1.18406
  • Downside part of mean
    -0.64767
  • Upside SD
    0.11706
  • Downside SD
    0.09339
  • 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
    0.35341
  • Mean of criterion
    0.53639
  • SD of predictor
    0.11700
  • SD of criterion
    0.14660
  • Covariance
    0.00997
  • r
    0.58152
  • b (slope, estimate of beta)
    0.72861
  • a (intercept, estimate of alpha)
    0.27890
  • Mean Square Error
    0.01433
  • DF error
    129.00000
  • t(b)
    8.11866
  • p(b)
    0.15187
  • t(a)
    1.61906
  • p(a)
    0.41046
  • VAR (95 Confidence Intrvl)
    0.01800
  • Lowerbound of 95% confidence interval for beta
    0.55105
  • Upperbound of 95% confidence interval for beta
    0.90617
  • Lowerbound of 95% confidence interval for alpha
    -0.06192
  • Upperbound of 95% confidence interval for alpha
    0.61972
  • Treynor index (mean / b)
    0.73618
  • Jensen alpha (a)
    0.27890
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01277
  • Expected Shortfall on VaR
    0.01649
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00478
  • Expected Shortfall on VaR
    0.01026
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97025
  • Quartile 1
    0.99776
  • Median
    1.00226
  • Quartile 3
    1.00740
  • Maximum
    1.02398
  • Mean of quarter 1
    0.99111
  • Mean of quarter 2
    0.99984
  • Mean of quarter 3
    1.00490
  • Mean of quarter 4
    1.01302
  • Inter Quartile Range
    0.00964
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.03817
  • Mean of outliers low
    0.97744
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.01527
  • Mean of outliers high
    1.02385
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.35324
  • VaR(95%) (moments method)
    0.00770
  • Expected Shortfall (moments method)
    0.01463
  • Extreme Value Index (regression method)
    0.05709
  • VaR(95%) (regression method)
    0.00943
  • Expected Shortfall (regression method)
    0.01438
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    16.00000
  • Minimum
    0.00002
  • Quartile 1
    0.00304
  • Median
    0.00700
  • Quartile 3
    0.01815
  • Maximum
    0.08465
  • Mean of quarter 1
    0.00098
  • Mean of quarter 2
    0.00531
  • Mean of quarter 3
    0.01069
  • Mean of quarter 4
    0.04493
  • Inter Quartile Range
    0.01511
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.12500
  • Mean of outliers high
    0.06930
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.28388
  • VaR(95%) (moments method)
    0.04659
  • Expected Shortfall (moments method)
    0.08041
  • Extreme Value Index (regression method)
    1.55180
  • VaR(95%) (regression method)
    0.05785
  • Last 4 Months - Pcnt Negative
    0.25%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -331232000
  • Max Equity Drawdown (num days)
    30
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.65195
  • Compounded annual return (geometric extrapolation)
    0.75821
  • Calmar ratio (compounded annual return / max draw down)
    8.95674
  • Compounded annual return / average of 25% largest draw downs
    16.87700
  • Compounded annual return / Expected Shortfall lognormal
    45.97690

Strategy Description

Summary Statistics

Includes fees & commissions C2 Israel
Strategy began
2022-01-10
Suggested Minimum Capital
$15,000
# Trades
48
# Profitable
33
% Profitable
68.8%
Net Dividends
Correlation S&P500
0.668
Sharpe Ratio
0.60
Sortino Ratio
0.89
Beta
0.63
Alpha
0.03
Leverage
1.09 Average
1.25 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.