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Trades-Own-Strategy Certification

This system has earned Trades-Own-Strategy (TOS) Certification. This means that the manager of this system trades his own strategy in a real-life, funded brokerage account.

Trades-Own-Strategy (TOS) Certification Details
Certification process started 03/08/2022
Most recent certification approved 3/8/22 11:17 ET
Trades at broker Israel Interactive Trading
Scaling percentage used 100%
# trading signals issued by system since certification 176
# trading signals executed in manager's Israel Interactive Trading account 176
Percent signals followed since 03/08/2022 100%
This information was last updated 4/19/24 19:35 ET

Warning: System trading results are still hypothetical.

Even though the system developer is currently trading his own system in a real-life brokerage account, the trading results presented on this Web site must still be regarded as purely hypothetical results. This is because (among other reasons) the system developer may not have traded all signals, particularly those that occurred before 03/08/2022, 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.

Small Cap Double Alpha
(139624875)

Created by: Collective2-israel Collective2-israel
Started: 03/2022
Stocks
Last trade: 154 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.

-2.0%
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.

(38.3%)
Max Drawdown
92
Num Trades
48.9%
Win Trades
1.0 : 1
Profit Factor
57.7%
Win Months
Hypothetical Monthly Returns (includes system fee and C2 Israel commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022              (4.3%)(13.1%)+1.6%(22.3%)+12.7%+2.5%(12.7%)+13.8%+8.3%+4.4%(14.8%)
2023+8.1%+2.0%(4.7%)(5.4%)(1.6%)+7.2%+8.3%(4.7%)(5.4%)(7.5%)+9.1%+6.8%+10.4%
2024+1.9%+7.0%+1.5%(8%)                                                +1.9%

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 176 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
Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
2/7/23 11:43 IDT IDT LONG 44 31.26 8/2 10:47 22.98 1.8%
Trade id #143489055
Max drawdown($374)
Time8/2/23 9:30
Quant open44
Worst price22.76
Drawdown as % of equity-1.80%
 ($367)
Includes Typical Broker Commissions trade costs of $2.51
10/27/22 12:11 CALM CAL-MAINE FOODS LONG 24 57.33 8/2/23 10:47 45.95 1.65%
Trade id #142347224
Max drawdown($337)
Time7/17/23 0:00
Quant open24
Worst price43.29
Drawdown as % of equity-1.65%
 ($276)
Includes Typical Broker Commissions trade costs of $2.50
2/7/23 11:43 CPLP CAPITAL PRODUCT PARTNERS LONG 100 13.77 8/2 10:47 14.77 0.98%
Trade id #143489063
Max drawdown($184)
Time3/17/23 0:00
Quant open100
Worst price11.93
Drawdown as % of equity-0.98%
 $97
Includes Typical Broker Commissions trade costs of $2.52
2/7/23 11:43 NXST NEXSTAR MEDIA GROUP LONG 7 200.90 8/2 10:47 180.94 2.01%
Trade id #143489088
Max drawdown($370)
Time5/31/23 0:00
Quant open7
Worst price148.00
Drawdown as % of equity-2.01%
 ($143)
Includes Typical Broker Commissions trade costs of $2.50
2/7/23 11:44 GRAB GRAB HOLDINGS LIMITED CLASS A LONG 400 3.46 8/2 10:47 3.65 1.73%
Trade id #143489175
Max drawdown($322)
Time3/24/23 0:00
Quant open400
Worst price2.65
Drawdown as % of equity-1.73%
 $74
Includes Typical Broker Commissions trade costs of $4.08
2/7/23 11:42 RIVN RIVIAN AUTOMOTIVE INC. CLASS A LONG 100 19.29 8/2 10:47 25.78 4.13%
Trade id #143488959
Max drawdown($760)
Time4/26/23 0:00
Quant open100
Worst price11.68
Drawdown as % of equity-4.13%
 $645
Includes Typical Broker Commissions trade costs of $5.00
2/27/23 9:30 CUBE CUBESMART LONG 30 46.49 8/2 10:47 42.40 0.61%
Trade id #143705763
Max drawdown($128)
Time8/2/23 9:31
Quant open30
Worst price42.22
Drawdown as % of equity-0.61%
 ($126)
Includes Typical Broker Commissions trade costs of $2.51
2/7/23 11:43 LYTS LSI INDUSTRIES LONG 98 13.92 8/2 10:47 12.55 1.29%
Trade id #143489091
Max drawdown($240)
Time5/30/23 0:00
Quant open98
Worst price11.47
Drawdown as % of equity-1.29%
 ($137)
Includes Typical Broker Commissions trade costs of $2.52
10/27/22 12:11 RLI RLI LONG 10 126.63 8/2/23 10:47 134.82 0.2%
Trade id #142347226
Max drawdown($35)
Time6/1/23 0:00
Quant open10
Worst price123.05
Drawdown as % of equity-0.20%
 $80
Includes Typical Broker Commissions trade costs of $2.50
2/7/23 11:43 RRC RANGE RESOURCES LONG 59 23.48 8/2 10:46 30.57 0.25%
Trade id #143489078
Max drawdown($51)
Time2/21/23 0:00
Quant open59
Worst price22.61
Drawdown as % of equity-0.25%
 $416
Includes Typical Broker Commissions trade costs of $2.51
2/7/23 11:43 NETI ENETI INC LONG 141 9.92 8/2 10:46 12.11 1.67%
Trade id #143489072
Max drawdown($306)
Time5/2/23 0:00
Quant open141
Worst price7.75
Drawdown as % of equity-1.67%
 $306
Includes Typical Broker Commissions trade costs of $2.53
2/27/23 9:30 ACGL ARCH CAPITAL GROUP LONG 20 69.36 8/2 10:46 77.54 0.79%
Trade id #143705770
Max drawdown($145)
Time3/16/23 0:00
Quant open20
Worst price62.10
Drawdown as % of equity-0.79%
 $159
Includes Typical Broker Commissions trade costs of $5.00
2/7/23 11:43 ALB ALBEMARLE LONG 5 274.79 8/2 10:46 201.82 2.7%
Trade id #143489022
Max drawdown($514)
Time4/21/23 0:00
Quant open5
Worst price171.82
Drawdown as % of equity-2.70%
 ($370)
Includes Typical Broker Commissions trade costs of $5.00
2/7/23 11:43 STNG SCORPIO TANKERS LONG 26 54.36 8/2 10:46 48.17 1.75%
Trade id #143489047
Max drawdown($364)
Time7/21/23 0:00
Quant open26
Worst price40.34
Drawdown as % of equity-1.75%
 ($164)
Includes Typical Broker Commissions trade costs of $2.51
2/27/23 9:30 VVNT VIVINT SMART HOME INC LONG 100 11.46 3/13 15:16 12.00 0.16%
Trade id #143705768
Max drawdown($31)
Time2/28/23 0:00
Quant open100
Worst price11.14
Drawdown as % of equity-0.16%
 $51
Includes Typical Broker Commissions trade costs of $2.52
2/6/23 10:09 AVGO BROADCOM LIMITED ORDINARY SHARES LONG 3 598.70 2/7 10:02 603.39 0.07%
Trade id #143470730
Max drawdown($14)
Time2/6/23 10:24
Quant open3
Worst price594.01
Drawdown as % of equity-0.07%
 $9
Includes Typical Broker Commissions trade costs of $5.00
2/6/23 10:14 ENPH ENPHASE ENERGY LONG 6 227.31 2/7 10:02 221.53 0.2%
Trade id #143471046
Max drawdown($40)
Time2/6/23 15:16
Quant open6
Worst price220.57
Drawdown as % of equity-0.20%
 ($38)
Includes Typical Broker Commissions trade costs of $2.50
2/6/23 10:13 EOG EOG RESOURCES LONG 11 123.48 2/7 10:02 124.12 0.07%
Trade id #143471016
Max drawdown($14)
Time2/6/23 10:40
Quant open11
Worst price122.13
Drawdown as % of equity-0.07%
 $5
Includes Typical Broker Commissions trade costs of $2.50
2/6/23 10:14 DHI DR HORTON LONG 14 98.08 2/7 10:02 97.42 0.07%
Trade id #143471051
Max drawdown($14)
Time2/7/23 9:30
Quant open14
Worst price97.05
Drawdown as % of equity-0.07%
 ($12)
Includes Typical Broker Commissions trade costs of $2.50
2/6/23 10:12 GM GENERAL MOTORS LONG 33 41.04 2/7 10:02 41.10 0.04%
Trade id #143470999
Max drawdown($9)
Time2/6/23 10:23
Quant open33
Worst price40.77
Drawdown as % of equity-0.04%
 ($3)
Includes Typical Broker Commissions trade costs of $5.00
2/6/23 10:11 AMAT APPLIED MATERIALS LONG 11 119.15 2/7 10:02 118.03 0.12%
Trade id #143470909
Max drawdown($24)
Time2/6/23 15:30
Quant open11
Worst price116.91
Drawdown as % of equity-0.12%
 ($15)
Includes Typical Broker Commissions trade costs of $2.50
2/6/23 10:10 A AGILENT TECHNOLOGIES LONG 9 154.12 2/7 10:02 151.64 0.13%
Trade id #143470840
Max drawdown($26)
Time2/7/23 9:36
Quant open9
Worst price151.22
Drawdown as % of equity-0.13%
 ($25)
Includes Typical Broker Commissions trade costs of $2.50
2/6/23 10:14 TSLA TESLA INC. LONG 7 194.60 2/7 10:02 192.78 0.16%
Trade id #143471032
Max drawdown($32)
Time2/6/23 10:37
Quant open7
Worst price189.92
Drawdown as % of equity-0.16%
 ($18)
Includes Typical Broker Commissions trade costs of $5.00
2/6/23 10:11 ALB ALBEMARLE LONG 5 285.01 2/7 10:02 275.26 0.26%
Trade id #143470962
Max drawdown($52)
Time2/7/23 10:02
Quant open5
Worst price274.49
Drawdown as % of equity-0.26%
 ($54)
Includes Typical Broker Commissions trade costs of $5.00
2/6/23 10:11 NDSN NORDSON LONG 6 247.01 2/7 10:02 242.95 0.13%
Trade id #143470874
Max drawdown($26)
Time2/7/23 9:54
Quant open6
Worst price242.65
Drawdown as % of equity-0.13%
 ($27)
Includes Typical Broker Commissions trade costs of $2.50
2/6/23 10:10 DE DEERE LONG 3 409.37 2/7 10:02 412.83 0.03%
Trade id #143470813
Max drawdown($5)
Time2/6/23 15:30
Quant open3
Worst price407.63
Drawdown as % of equity-0.03%
 $8
Includes Typical Broker Commissions trade costs of $2.50
2/6/23 10:13 XOM EXXON MOBIL LONG 12 110.94 2/7 10:02 113.00 0.04%
Trade id #143471023
Max drawdown($7)
Time2/6/23 10:39
Quant open12
Worst price110.32
Drawdown as % of equity-0.04%
 $23
Includes Typical Broker Commissions trade costs of $2.50
2/6/23 10:10 KEYS KEYSIGHT TECHNOLOGIES INC LONG 7 180.01 2/7 10:02 178.79 0.08%
Trade id #143470756
Max drawdown($16)
Time2/7/23 9:40
Quant open7
Worst price177.67
Drawdown as % of equity-0.08%
 ($12)
Includes Typical Broker Commissions trade costs of $2.50
10/27/22 12:08 GNE GENIE ENERGY LONG 148 9.38 2/6/23 10:08 12.33 1.05%
Trade id #142347184
Max drawdown($181)
Time11/14/22 0:00
Quant open148
Worst price8.16
Drawdown as % of equity-1.05%
 $433
Includes Typical Broker Commissions trade costs of $2.53
10/27/22 12:18 LRCX LAM RESEARCH LONG 3 390.64 2/6/23 10:07 528.97 0.11%
Trade id #142347346
Max drawdown($17)
Time11/3/22 0:00
Quant open3
Worst price384.72
Drawdown as % of equity-0.11%
 $413
Includes Typical Broker Commissions trade costs of $2.50
Next

Statistics

  • Strategy began
    3/3/2022
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    778.46
  • Age
    26 months ago
  • What it trades
    Stocks
  • # Trades
    92
  • # Profitable
    45
  • % Profitable
    48.90%
  • Avg trade duration
    127.2 days
  • Max peak-to-valley drawdown
    38.31%
  • drawdown period
    March 24, 2022 - Sept 27, 2022
  • Annual Return (Compounded)
    -3.0%
  • Avg win
    $240.69
  • Avg loss
    $249.09
  • Model Account Values (Raw)
  • Cash
    $10,477
  • Margin Used
    $0
  • Buying Power
    $10,788
  • Ratios
  • W:L ratio
    0.99:1
  • Sharpe Ratio
    -0.08
  • Sortino Ratio
    -0.11
  • Calmar Ratio
    -0.017
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -20.18%
  • Correlation to SP500
    0.41580
  • Return Percent SP500 (cumu) during strategy life
    13.84%
  • Return Statistics
  • Ann Return (w trading costs)
    -3.0%
  • Slump
  • Current Slump as Pcnt Equity
    10.20%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.96%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.030%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -0.3%
  • Automation
  • Percentage Signals Automated
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    659
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Performance-weighted percentile
    109
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    Yes
  • TOS percent
    100%
  • Win / Loss
  • Avg Loss
    $249
  • Avg Win
    $241
  • Sum Trade PL (losers)
    $11,707.000
  • Age
  • Num Months filled monthly returns table
    26
  • Win / Loss
  • Sum Trade PL (winners)
    $10,831.000
  • # Winners
    45
  • Num Months Winners
    15
  • Dividends
  • Dividends Received in Model Acct
    736
  • AUM
  • AUM (AutoTrader live capital)
    26066
  • Win / Loss
  • # Losers
    47
  • % Winners
    48.9%
  • Frequency
  • Avg Position Time (mins)
    183231.00
  • Avg Position Time (hrs)
    3053.85
  • Avg Trade Length
    127.2 days
  • Last Trade Ago
    154
  • Leverage
  • Daily leverage (average)
    1.10
  • Daily leverage (max)
    1.40
  • Regression
  • Alpha
    -0.02
  • Beta
    0.58
  • 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)
    -0.29
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    -18.702
  • 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
    0.04
  • Avg(MAE) / Avg(PL) - Winning trades
    0.730
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.334
  • Hold-and-Hope Ratio
    -0.064
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.00950
  • SD
    0.22123
  • Sharpe ratio (Glass type estimate)
    -0.04294
  • Sharpe ratio (Hedges UMVUE)
    -0.04146
  • df
    22.00000
  • t
    -0.05945
  • p
    0.52343
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.45827
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.37327
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.45722
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.37431
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.06136
  • Upside Potential Ratio
    1.91467
  • Upside part of mean
    0.29644
  • Downside part of mean
    -0.30594
  • Upside SD
    0.15116
  • Downside SD
    0.15483
  • N nonnegative terms
    11.00000
  • N negative terms
    12.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    23.00000
  • Mean of predictor
    0.05583
  • Mean of criterion
    -0.00950
  • SD of predictor
    0.14502
  • SD of criterion
    0.22123
  • Covariance
    0.01948
  • r
    0.60712
  • b (slope, estimate of beta)
    0.92617
  • a (intercept, estimate of alpha)
    -0.06120
  • Mean Square Error
    0.03237
  • DF error
    21.00000
  • t(b)
    3.50131
  • p(b)
    0.13876
  • t(a)
    -0.46792
  • p(a)
    0.56456
  • Lowerbound of 95% confidence interval for beta
    0.37607
  • Upperbound of 95% confidence interval for beta
    1.47627
  • Lowerbound of 95% confidence interval for alpha
    -0.33321
  • Upperbound of 95% confidence interval for alpha
    0.21081
  • Treynor index (mean / b)
    -0.01026
  • Jensen alpha (a)
    -0.06120
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.03309
  • SD
    0.22293
  • Sharpe ratio (Glass type estimate)
    -0.14845
  • Sharpe ratio (Hedges UMVUE)
    -0.14332
  • df
    22.00000
  • t
    -0.20552
  • p
    0.58047
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.56318
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.26956
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.55966
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.27303
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.20282
  • Upside Potential Ratio
    1.74656
  • Upside part of mean
    0.28497
  • Downside part of mean
    -0.31806
  • Upside SD
    0.14493
  • Downside SD
    0.16316
  • N nonnegative terms
    11.00000
  • N negative terms
    12.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    23.00000
  • Mean of predictor
    0.04545
  • Mean of criterion
    -0.03309
  • SD of predictor
    0.14621
  • SD of criterion
    0.22293
  • Covariance
    0.01933
  • r
    0.59320
  • b (slope, estimate of beta)
    0.90447
  • a (intercept, estimate of alpha)
    -0.07420
  • Mean Square Error
    0.03374
  • DF error
    21.00000
  • t(b)
    3.37667
  • p(b)
    0.14585
  • t(a)
    -0.55688
  • p(a)
    0.57661
  • Lowerbound of 95% confidence interval for beta
    0.34743
  • Upperbound of 95% confidence interval for beta
    1.46151
  • Lowerbound of 95% confidence interval for alpha
    -0.35129
  • Upperbound of 95% confidence interval for alpha
    0.20289
  • Treynor index (mean / b)
    -0.03659
  • Jensen alpha (a)
    -0.07420
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.10292
  • Expected Shortfall on VaR
    0.12647
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.06095
  • Expected Shortfall on VaR
    0.10773
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    23.00000
  • Minimum
    0.86049
  • Quartile 1
    0.96048
  • Median
    0.99455
  • Quartile 3
    1.06042
  • Maximum
    1.09760
  • Mean of quarter 1
    0.92582
  • Mean of quarter 2
    0.98111
  • Mean of quarter 3
    1.01792
  • Mean of quarter 4
    1.08403
  • Inter Quartile Range
    0.09994
  • 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)
    0.20790
  • VaR(95%) (moments method)
    0.08231
  • Expected Shortfall (moments method)
    0.12254
  • Extreme Value Index (regression method)
    0.63235
  • VaR(95%) (regression method)
    0.09583
  • Expected Shortfall (regression method)
    0.24095
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.04924
  • Quartile 1
    0.10728
  • Median
    0.16531
  • Quartile 3
    0.22335
  • Maximum
    0.28139
  • Mean of quarter 1
    0.04924
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.28139
  • Inter Quartile Range
    0.11607
  • 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)
    -0.00516
  • Compounded annual return (geometric extrapolation)
    -0.00517
  • Calmar ratio (compounded annual return / max draw down)
    -0.01838
  • Compounded annual return / average of 25% largest draw downs
    -0.01838
  • Compounded annual return / Expected Shortfall lognormal
    -0.04090
  • 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
    -0.00925
  • SD
    0.22207
  • Sharpe ratio (Glass type estimate)
    -0.04163
  • Sharpe ratio (Hedges UMVUE)
    -0.04157
  • df
    503.00000
  • t
    -0.05775
  • p
    0.52301
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.45477
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.37150
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.45471
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.37156
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.05729
  • Upside Potential Ratio
    7.29861
  • Upside part of mean
    1.17783
  • Downside part of mean
    -1.18707
  • Upside SD
    0.15223
  • Downside SD
    0.16138
  • N nonnegative terms
    252.00000
  • N negative terms
    252.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    504.00000
  • Mean of predictor
    0.05662
  • Mean of criterion
    -0.00925
  • SD of predictor
    0.18541
  • SD of criterion
    0.22207
  • Covariance
    0.02068
  • r
    0.50236
  • b (slope, estimate of beta)
    0.60169
  • a (intercept, estimate of alpha)
    -0.04300
  • Mean Square Error
    0.03694
  • DF error
    502.00000
  • t(b)
    13.01740
  • p(b)
    0.00000
  • t(a)
    -0.31249
  • p(a)
    0.62260
  • Lowerbound of 95% confidence interval for beta
    0.51088
  • Upperbound of 95% confidence interval for beta
    0.69250
  • Lowerbound of 95% confidence interval for alpha
    -0.31563
  • Upperbound of 95% confidence interval for alpha
    0.22900
  • Treynor index (mean / b)
    -0.01537
  • Jensen alpha (a)
    -0.04331
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.03394
  • SD
    0.22272
  • Sharpe ratio (Glass type estimate)
    -0.15241
  • Sharpe ratio (Hedges UMVUE)
    -0.15218
  • df
    503.00000
  • t
    -0.21138
  • p
    0.58366
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.56551
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.26082
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.56534
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.26099
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.20606
  • Upside Potential Ratio
    7.08074
  • Upside part of mean
    1.16638
  • Downside part of mean
    -1.20033
  • Upside SD
    0.14958
  • Downside SD
    0.16473
  • N nonnegative terms
    252.00000
  • N negative terms
    252.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    504.00000
  • Mean of predictor
    0.03946
  • Mean of criterion
    -0.03394
  • SD of predictor
    0.18538
  • SD of criterion
    0.22272
  • Covariance
    0.02055
  • r
    0.49783
  • b (slope, estimate of beta)
    0.59809
  • a (intercept, estimate of alpha)
    -0.05754
  • Mean Square Error
    0.03739
  • DF error
    502.00000
  • t(b)
    12.86090
  • p(b)
    0.00000
  • t(a)
    -0.41274
  • p(a)
    0.66001
  • Lowerbound of 95% confidence interval for beta
    0.50672
  • Upperbound of 95% confidence interval for beta
    0.68945
  • Lowerbound of 95% confidence interval for alpha
    -0.33146
  • Upperbound of 95% confidence interval for alpha
    0.21637
  • Treynor index (mean / b)
    -0.05675
  • Jensen alpha (a)
    -0.05754
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02251
  • Expected Shortfall on VaR
    0.02810
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01037
  • Expected Shortfall on VaR
    0.02099
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    504.00000
  • Minimum
    0.92785
  • Quartile 1
    0.99433
  • Median
    1.00009
  • Quartile 3
    1.00661
  • Maximum
    1.08441
  • Mean of quarter 1
    0.98457
  • Mean of quarter 2
    0.99752
  • Mean of quarter 3
    1.00294
  • Mean of quarter 4
    1.01526
  • Inter Quartile Range
    0.01228
  • Number outliers low
    13.00000
  • Percentage of outliers low
    0.02579
  • Mean of outliers low
    0.95563
  • Number of outliers high
    10.00000
  • Percentage of outliers high
    0.01984
  • Mean of outliers high
    1.04373
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.23395
  • VaR(95%) (moments method)
    0.01474
  • Expected Shortfall (moments method)
    0.02358
  • Extreme Value Index (regression method)
    0.02309
  • VaR(95%) (regression method)
    0.01312
  • Expected Shortfall (regression method)
    0.01794
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.00396
  • Quartile 1
    0.00964
  • Median
    0.01553
  • Quartile 3
    0.06465
  • Maximum
    0.36108
  • Mean of quarter 1
    0.00539
  • Mean of quarter 2
    0.01132
  • Mean of quarter 3
    0.03867
  • Mean of quarter 4
    0.22234
  • Inter Quartile Range
    0.05501
  • 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
    0.12500
  • Mean of outliers high
    0.36108
  • 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)
    -0.00600
  • Compounded annual return (geometric extrapolation)
    -0.00602
  • Calmar ratio (compounded annual return / max draw down)
    -0.01667
  • Compounded annual return / average of 25% largest draw downs
    -0.02707
  • Compounded annual return / Expected Shortfall lognormal
    -0.21421
  • 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
    0.19101
  • SD
    0.14845
  • Sharpe ratio (Glass type estimate)
    1.28671
  • Sharpe ratio (Hedges UMVUE)
    1.27927
  • df
    130.00000
  • t
    0.90984
  • p
    0.46023
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.49192
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.06051
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.49689
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.05544
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.17399
  • Upside Potential Ratio
    11.06930
  • Upside part of mean
    0.97257
  • Downside part of mean
    -0.78156
  • Upside SD
    0.11953
  • Downside SD
    0.08786
  • N nonnegative terms
    66.00000
  • N negative terms
    65.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.23395
  • Mean of criterion
    0.19101
  • SD of predictor
    0.11882
  • SD of criterion
    0.14845
  • Covariance
    0.00839
  • r
    0.47572
  • b (slope, estimate of beta)
    0.59434
  • a (intercept, estimate of alpha)
    0.05197
  • Mean Square Error
    0.01718
  • DF error
    129.00000
  • t(b)
    6.14280
  • p(b)
    0.20899
  • t(a)
    0.27826
  • p(a)
    0.48441
  • Lowerbound of 95% confidence interval for beta
    0.40291
  • Upperbound of 95% confidence interval for beta
    0.78577
  • Lowerbound of 95% confidence interval for alpha
    -0.31753
  • Upperbound of 95% confidence interval for alpha
    0.42146
  • Treynor index (mean / b)
    0.32138
  • Jensen alpha (a)
    0.05197
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.18006
  • SD
    0.14779
  • Sharpe ratio (Glass type estimate)
    1.21832
  • Sharpe ratio (Hedges UMVUE)
    1.21127
  • df
    130.00000
  • t
    0.86148
  • p
    0.46233
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.55974
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.99178
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.56444
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.98699
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.03640
  • Upside Potential Ratio
    10.91870
  • Upside part of mean
    0.96543
  • Downside part of mean
    -0.78537
  • Upside SD
    0.11824
  • Downside SD
    0.08842
  • N nonnegative terms
    66.00000
  • N negative terms
    65.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.22683
  • Mean of criterion
    0.18006
  • SD of predictor
    0.11870
  • SD of criterion
    0.14779
  • Covariance
    0.00837
  • r
    0.47697
  • b (slope, estimate of beta)
    0.59388
  • a (intercept, estimate of alpha)
    0.04535
  • Mean Square Error
    0.01700
  • DF error
    129.00000
  • t(b)
    6.16368
  • p(b)
    0.20829
  • t(a)
    0.24420
  • p(a)
    0.48632
  • VAR (95 Confidence Intrvl)
    0.02300
  • Lowerbound of 95% confidence interval for beta
    0.40325
  • Upperbound of 95% confidence interval for beta
    0.78451
  • Lowerbound of 95% confidence interval for alpha
    -0.32207
  • Upperbound of 95% confidence interval for alpha
    0.41277
  • Treynor index (mean / b)
    0.30319
  • Jensen alpha (a)
    0.04535
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01423
  • Expected Shortfall on VaR
    0.01798
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00691
  • Expected Shortfall on VaR
    0.01263
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.98157
  • Quartile 1
    0.99558
  • Median
    1.00013
  • Quartile 3
    1.00502
  • Maximum
    1.04104
  • Mean of quarter 1
    0.99051
  • Mean of quarter 2
    0.99786
  • Mean of quarter 3
    1.00230
  • Mean of quarter 4
    1.01271
  • Inter Quartile Range
    0.00945
  • 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
    0.03053
  • Mean of outliers high
    1.02822
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.05051
  • VaR(95%) (moments method)
    0.00940
  • Expected Shortfall (moments method)
    0.01215
  • Extreme Value Index (regression method)
    -0.35315
  • VaR(95%) (regression method)
    0.00875
  • Expected Shortfall (regression method)
    0.01016
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    16.00000
  • Minimum
    0.00029
  • Quartile 1
    0.00646
  • Median
    0.01132
  • Quartile 3
    0.01806
  • Maximum
    0.08360
  • Mean of quarter 1
    0.00248
  • Mean of quarter 2
    0.00899
  • Mean of quarter 3
    0.01525
  • Mean of quarter 4
    0.05396
  • Inter Quartile Range
    0.01159
  • 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
    0.08203
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -1.92578
  • VaR(95%) (moments method)
    0.04977
  • Expected Shortfall (moments method)
    0.05150
  • Extreme Value Index (regression method)
    -2.62275
  • VaR(95%) (regression method)
    0.08774
  • Last 4 Months - Pcnt Negative
    0.25%
  • Expected Shortfall (regression method)
    0.08861
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -341985000
  • Max Equity Drawdown (num days)
    187
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.21916
  • Compounded annual return (geometric extrapolation)
    0.23117
  • Calmar ratio (compounded annual return / max draw down)
    2.76516
  • Compounded annual return / average of 25% largest draw downs
    4.28383
  • Compounded annual return / Expected Shortfall lognormal
    12.85890

Strategy Description

This trading strategy is managed by the investment managers of Interactive Israel Investment House.

Summary Statistics

Includes fees & commissions C2 Israel
Strategy began
2022-03-03
Suggested Minimum Capital
$15,000
# Trades
92
# Profitable
45
% Profitable
48.9%
Net Dividends
$736
Correlation S&P500
0.416
Sharpe Ratio
-0.08
Sortino Ratio
-0.11
Beta
0.58
Alpha
-0.02
Leverage
1.10 Average
1.40 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.