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Trades-Own-Strategy Certification

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

Trades-Own-Strategy (TOS) Certification Details
Certification process started 03/09/2022
Most recent certification approved 3/9/22 9:33 ET
Trades at broker Israel Interactive Trading (Server2)
Scaling percentage used 100%
# trading signals issued by system since certification 228
# trading signals executed in manager's Israel Interactive Trading (Server2) account 228
Percent signals followed since 03/09/2022 100%
This information was last updated 4/12/24 16:28 ET

Warning: System trading results are still hypothetical.

Even though the system developer is currently trading his own system in a real-life brokerage account, the trading results presented on this Web site must still be regarded as purely hypothetical results. This is because (among other reasons) the system developer may not have traded all signals, particularly those that occurred before 03/09/2022, 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.

BridgeWise SP500 Best
(139624881)

Created by: Collective2-israel Collective2-israel
Started: 03/2022
Stocks
Last trade: 45 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.

7.2%
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.

(19.0%)
Max Drawdown
119
Num Trades
55.5%
Win Trades
1.6 : 1
Profit Factor
53.8%
Win Months
Hypothetical Monthly Returns (includes system fee and C2 Israel commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022              +6.2%(2.8%)(1%)(6.3%)+5.0%(0.1%)(7.2%)+10.8%+4.5%(4.4%)+3.1%
2023+4.8%(3.1%)+0.4%(4.3%)+1.8%+9.3%+1.6%(3.8%)(4.8%)(3.6%)+6.2%+4.3%+7.9%
2024+0.4%+5.4%+3.0%(4.3%)                                                +4.3%

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 228 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
8/3/23 10:00 ALB ALBEMARLE LONG 7 207.67 2/27/24 10:17 126.81 2.81%
Trade id #145416975
Max drawdown($694)
Time2/5/24 0:00
Quant open7
Worst price108.39
Drawdown as % of equity-2.81%
($569)
Includes Typical Broker Commissions trade costs of $2.50
8/3/23 9:58 CNC CENTENE LONG 22 66.27 2/27/24 10:17 80.05 0.5%
Trade id #145416908
Max drawdown($119)
Time9/1/23 0:00
Quant open22
Worst price60.83
Drawdown as % of equity-0.50%
$301
Includes Typical Broker Commissions trade costs of $2.50
8/3/23 9:58 VICI VICI PPTYS INC COMMON STOCK LONG 48 30.95 2/27/24 10:17 29.74 0.97%
Trade id #145416906
Max drawdown($207)
Time10/30/23 0:00
Quant open48
Worst price26.62
Drawdown as % of equity-0.97%
($61)
Includes Typical Broker Commissions trade costs of $2.51
8/3/23 9:55 NVDA NVIDIA LONG 3 446.86 2/27/24 10:14 787.66 0.77%
Trade id #145416852
Max drawdown($163)
Time10/31/23 0:00
Quant open3
Worst price392.30
Drawdown as % of equity-0.77%
$1,017
Includes Typical Broker Commissions trade costs of $5.00
8/3/23 9:55 ACGL ARCH CAPITAL GROUP LONG 19 77.60 2/27/24 10:14 86.75 0.37%
Trade id #145416847
Max drawdown($90)
Time12/15/23 0:00
Quant open19
Worst price72.85
Drawdown as % of equity-0.37%
$172
Includes Typical Broker Commissions trade costs of $2.50
8/3/23 9:54 BRK.B BERKSHIRE HATHAWAY CL B LONG 3 350.14 2/27/24 10:14 402.87 0.27%
Trade id #145416822
Max drawdown($58)
Time10/27/23 0:00
Quant open3
Worst price330.58
Drawdown as % of equity-0.27%
$156
Includes Typical Broker Commissions trade costs of $2.50
8/3/23 9:53 PPG PPG INDUSTRIES LONG 9 141.01 2/27/24 10:12 142.20 0.87%
Trade id #145416811
Max drawdown($186)
Time10/27/23 0:00
Quant open9
Worst price120.33
Drawdown as % of equity-0.87%
$9
Includes Typical Broker Commissions trade costs of $2.50
8/3/23 9:53 BR BROADRIDGE LONG 9 166.21 2/27/24 10:12 199.79 0.05%
Trade id #145416809
Max drawdown($11)
Time8/3/23 10:54
Quant open9
Worst price164.99
Drawdown as % of equity-0.05%
$300
Includes Typical Broker Commissions trade costs of $2.50
8/3/23 9:51 MPWR MONOLITHIC POWER SYSTEMS LONG 2 529.26 2/27/24 10:12 725.42 1.29%
Trade id #145416730
Max drawdown($274)
Time10/30/23 0:00
Quant open2
Worst price392.10
Drawdown as % of equity-1.29%
$390
Includes Typical Broker Commissions trade costs of $2.50
8/3/23 9:50 ROK ROCKWELL AUTOMATION LONG 5 303.09 2/27/24 10:10 280.38 1.03%
Trade id #145416666
Max drawdown($254)
Time1/31/24 0:00
Quant open5
Worst price252.11
Drawdown as % of equity-1.03%
($117)
Includes Typical Broker Commissions trade costs of $2.50
8/3/23 9:49 HUM HUMANA LONG 3 485.64 2/27/24 10:10 359.05 1.74%
Trade id #145416647
Max drawdown($428)
Time1/25/24 0:00
Quant open3
Worst price342.69
Drawdown as % of equity-1.74%
($385)
Includes Typical Broker Commissions trade costs of $5.00
8/2/23 11:38 SEDG SOLAREDGE TECHNOLOGIES INC. C LONG 6 195.24 2/27/24 10:10 67.25 3.61%
Trade id #145406810
Max drawdown($791)
Time11/2/23 0:00
Quant open6
Worst price63.25
Drawdown as % of equity-3.61%
($771)
Includes Typical Broker Commissions trade costs of $2.50
8/3/23 9:58 PANW PALO ALTO NETWORKS LONG 6 237.38 2/27/24 10:07 321.44 0.94%
Trade id #145416904
Max drawdown($217)
Time8/18/23 0:00
Quant open6
Worst price201.17
Drawdown as % of equity-0.94%
$499
Includes Typical Broker Commissions trade costs of $5.00
8/3/23 9:53 AAL AMERICAN AIRLINES GROUP INC. C LONG 88 15.88 2/27/24 10:07 15.41 2.07%
Trade id #145416806
Max drawdown($441)
Time10/31/23 0:00
Quant open88
Worst price10.86
Drawdown as % of equity-2.07%
($46)
Includes Typical Broker Commissions trade costs of $5.00
8/3/23 9:51 FTNT FORTINET LONG 17 75.14 2/27/24 10:07 70.05 2.39%
Trade id #145416733
Max drawdown($527)
Time11/3/23 0:00
Quant open17
Worst price44.12
Drawdown as % of equity-2.39%
($90)
Includes Typical Broker Commissions trade costs of $2.50
8/2/23 11:00 ENPH ENPHASE ENERGY LONG 9 142.12 8/3 9:47 143.24 0.08%
Trade id #145405924
Max drawdown($20)
Time8/2/23 12:04
Quant open9
Worst price139.89
Drawdown as % of equity-0.08%
$8
Includes Typical Broker Commissions trade costs of $2.50
8/2/23 11:00 KEYS KEYSIGHT TECHNOLOGIES INC LONG 8 159.94 8/3 9:47 158.00 0.07%
Trade id #145405928
Max drawdown($16)
Time8/3/23 9:47
Quant open8
Worst price157.82
Drawdown as % of equity-0.07%
($19)
Includes Typical Broker Commissions trade costs of $2.50
8/2/23 10:59 GM GENERAL MOTORS LONG 37 37.42 8/3 9:47 36.86 0.1%
Trade id #145405921
Max drawdown($24)
Time8/3/23 9:43
Quant open37
Worst price36.76
Drawdown as % of equity-0.10%
($26)
Includes Typical Broker Commissions trade costs of $5.00
8/2/23 10:59 XOM EXXON MOBIL LONG 13 104.71 8/3 9:47 105.54 0.01%
Trade id #145405903
Max drawdown($1)
Time8/2/23 11:50
Quant open13
Worst price104.57
Drawdown as % of equity-0.01%
$6
Includes Typical Broker Commissions trade costs of $5.00
8/2/23 10:59 DE DEERE LONG 3 431.80 8/3 9:47 423.98 0.11%
Trade id #145405907
Max drawdown($25)
Time8/3/23 9:46
Quant open3
Worst price423.16
Drawdown as % of equity-0.11%
($26)
Includes Typical Broker Commissions trade costs of $2.50
8/2/23 11:00 AVGO BROADCOM LIMITED ORDINARY SHARES LONG 1 902.93 8/3 9:47 890.31 0.09%
Trade id #145405944
Max drawdown($21)
Time8/3/23 9:30
Quant open1
Worst price881.08
Drawdown as % of equity-0.09%
($18)
Includes Typical Broker Commissions trade costs of $5.00
8/2/23 10:59 EOG EOG RESOURCES LONG 10 128.93 8/3 9:47 130.56 n/a $14
Includes Typical Broker Commissions trade costs of $2.50
8/2/23 10:59 DHI DR HORTON LONG 11 124.82 8/3 9:47 124.33 0.06%
Trade id #145405912
Max drawdown($14)
Time8/3/23 9:35
Quant open11
Worst price123.51
Drawdown as % of equity-0.06%
($8)
Includes Typical Broker Commissions trade costs of $2.50
8/2/23 11:00 GWW W.W. GRAINGER LONG 1 723.15 8/3 9:47 719.46 0.04%
Trade id #145405934
Max drawdown($10)
Time8/3/23 9:33
Quant open1
Worst price713.00
Drawdown as % of equity-0.04%
($7)
Includes Typical Broker Commissions trade costs of $2.50
8/2/23 11:00 HST HOST HOTELS & RESORTS LONG 77 18.04 8/3 9:47 16.59 0.73%
Trade id #145405937
Max drawdown($178)
Time8/3/23 9:30
Quant open77
Worst price15.72
Drawdown as % of equity-0.73%
($115)
Includes Typical Broker Commissions trade costs of $2.52
8/2/23 10:59 AMAT APPLIED MATERIALS LONG 9 147.81 8/3 9:47 146.39 0.09%
Trade id #145405914
Max drawdown($22)
Time8/3/23 9:34
Quant open9
Worst price145.36
Drawdown as % of equity-0.09%
($18)
Includes Typical Broker Commissions trade costs of $5.00
8/2/23 11:00 ALB ALBEMARLE LONG 6 201.28 8/3 9:47 205.34 0.01%
Trade id #145405952
Max drawdown($1)
Time8/2/23 11:08
Quant open6
Worst price201.00
Drawdown as % of equity-0.01%
$19
Includes Typical Broker Commissions trade costs of $5.00
8/2/23 10:59 NDSN NORDSON LONG 5 248.31 8/3 9:47 245.79 0.04%
Trade id #145405918
Max drawdown($8)
Time8/3/23 9:44
Quant open5
Worst price246.54
Drawdown as % of equity-0.04%
($16)
Includes Typical Broker Commissions trade costs of $2.50
8/2/23 11:00 A AGILENT TECHNOLOGIES LONG 11 125.68 8/3 9:47 126.29 0.01%
Trade id #145405931
Max drawdown($2)
Time8/2/23 11:08
Quant open11
Worst price125.47
Drawdown as % of equity-0.01%
$5
Includes Typical Broker Commissions trade costs of $2.50
8/2/23 11:00 TSLA TESLA INC. LONG 5 254.70 8/3 9:47 256.14 0.09%
Trade id #145405947
Max drawdown($21)
Time8/2/23 12:11
Quant open5
Worst price250.49
Drawdown as % of equity-0.09%
$2
Includes Typical Broker Commissions trade costs of $5.00

Statistics

  • Strategy began
    3/3/2022
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    771.33
  • Age
    26 months ago
  • What it trades
    Stocks
  • # Trades
    119
  • # Profitable
    66
  • % Profitable
    55.50%
  • Avg trade duration
    98.7 days
  • Max peak-to-valley drawdown
    18.97%
  • drawdown period
    July 19, 2023 - Oct 16, 2023
  • Annual Return (Compounded)
    6.5%
  • Avg win
    $165.05
  • Avg loss
    $135.04
  • Model Account Values (Raw)
  • Cash
    $15,067
  • Margin Used
    $0
  • Buying Power
    $15,397
  • Ratios
  • W:L ratio
    1.61:1
  • Sharpe Ratio
    0.38
  • Sortino Ratio
    0.55
  • Calmar Ratio
    0.775
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -2.99%
  • Correlation to SP500
    0.60110
  • Return Percent SP500 (cumu) during strategy life
    17.44%
  • Return Statistics
  • Ann Return (w trading costs)
    6.5%
  • Slump
  • Current Slump as Pcnt Equity
    5.30%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.03%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.065%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    8.9%
  • Automation
  • Percentage Signals Automated
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    677
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Performance-weighted percentile
    349
  • Popularity (7 days, Percentile 1000 scale)
    345
  • Trades-Own-System Certification
  • Trades Own System?
    Yes
  • TOS percent
    100%
  • Win / Loss
  • Avg Loss
    $135
  • Avg Win
    $165
  • Sum Trade PL (losers)
    $7,157.000
  • Age
  • Num Months filled monthly returns table
    26
  • Win / Loss
  • Sum Trade PL (winners)
    $10,893.000
  • # Winners
    66
  • Num Months Winners
    14
  • Dividends
  • Dividends Received in Model Acct
    601
  • AUM
  • AUM (AutoTrader live capital)
    47877
  • Win / Loss
  • # Losers
    53
  • % Winners
    55.5%
  • Frequency
  • Avg Position Time (mins)
    142106.00
  • Avg Position Time (hrs)
    2368.43
  • Avg Trade Length
    98.7 days
  • Last Trade Ago
    45
  • Leverage
  • Daily leverage (average)
    0.92
  • Daily leverage (max)
    2.05
  • Regression
  • Alpha
    0.01
  • Beta
    0.45
  • Treynor Index
    0.04
  • 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)
    -0.15
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    4.466
  • 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
    0.549
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.627
  • Hold-and-Hope Ratio
    0.203
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.08410
  • SD
    0.13812
  • Sharpe ratio (Glass type estimate)
    0.60884
  • Sharpe ratio (Hedges UMVUE)
    0.58780
  • df
    22.00000
  • t
    0.84290
  • p
    0.20418
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.82486
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.02904
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.83852
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.01413
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.17562
  • Upside Potential Ratio
    3.44593
  • Upside part of mean
    0.24650
  • Downside part of mean
    -0.16240
  • Upside SD
    0.11714
  • Downside SD
    0.07153
  • N nonnegative terms
    10.00000
  • N negative terms
    13.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    23.00000
  • Mean of predictor
    0.07443
  • Mean of criterion
    0.08410
  • SD of predictor
    0.14693
  • SD of criterion
    0.13812
  • Covariance
    0.01236
  • r
    0.60915
  • b (slope, estimate of beta)
    0.57266
  • a (intercept, estimate of alpha)
    0.04147
  • Mean Square Error
    0.01257
  • DF error
    21.00000
  • t(b)
    3.51987
  • p(b)
    0.13774
  • t(a)
    0.50648
  • p(a)
    0.43021
  • Lowerbound of 95% confidence interval for beta
    0.23432
  • Upperbound of 95% confidence interval for beta
    0.91100
  • Lowerbound of 95% confidence interval for alpha
    -0.12882
  • Upperbound of 95% confidence interval for alpha
    0.21176
  • Treynor index (mean / b)
    0.14685
  • Jensen alpha (a)
    0.04147
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.07473
  • SD
    0.13598
  • Sharpe ratio (Glass type estimate)
    0.54953
  • Sharpe ratio (Hedges UMVUE)
    0.53055
  • df
    22.00000
  • t
    0.76079
  • p
    0.22743
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.88146
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.96831
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.89382
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.95491
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.02900
  • Upside Potential Ratio
    3.29600
  • Upside part of mean
    0.23936
  • Downside part of mean
    -0.16463
  • Upside SD
    0.11349
  • Downside SD
    0.07262
  • N nonnegative terms
    10.00000
  • N negative terms
    13.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    23.00000
  • Mean of predictor
    0.06350
  • Mean of criterion
    0.07473
  • SD of predictor
    0.14971
  • SD of criterion
    0.13598
  • Covariance
    0.01233
  • r
    0.60588
  • b (slope, estimate of beta)
    0.55035
  • a (intercept, estimate of alpha)
    0.03978
  • Mean Square Error
    0.01226
  • DF error
    21.00000
  • t(b)
    3.49004
  • p(b)
    0.13939
  • t(a)
    0.49349
  • p(a)
    0.43197
  • Lowerbound of 95% confidence interval for beta
    0.22241
  • Upperbound of 95% confidence interval for beta
    0.87829
  • Lowerbound of 95% confidence interval for alpha
    -0.12785
  • Upperbound of 95% confidence interval for alpha
    0.20741
  • Treynor index (mean / b)
    0.13578
  • Jensen alpha (a)
    0.03978
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05667
  • Expected Shortfall on VaR
    0.07192
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03354
  • Expected Shortfall on VaR
    0.05180
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    23.00000
  • Minimum
    0.95938
  • Quartile 1
    0.97231
  • Median
    0.99926
  • Quartile 3
    1.04545
  • Maximum
    1.08395
  • Mean of quarter 1
    0.96650
  • Mean of quarter 2
    0.98636
  • Mean of quarter 3
    1.02640
  • Mean of quarter 4
    1.06092
  • Inter Quartile Range
    0.07314
  • 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)
    -0.19397
  • VaR(95%) (moments method)
    0.03639
  • Expected Shortfall (moments method)
    0.04027
  • Extreme Value Index (regression method)
    -0.49631
  • VaR(95%) (regression method)
    0.03580
  • Expected Shortfall (regression method)
    0.03778
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.07602
  • Quartile 1
    0.08134
  • Median
    0.08666
  • Quartile 3
    0.09141
  • Maximum
    0.09615
  • Mean of quarter 1
    0.07602
  • Mean of quarter 2
    0.08666
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.09615
  • Inter Quartile Range
    0.01007
  • 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)
    0.11342
  • Compounded annual return (geometric extrapolation)
    0.10809
  • Calmar ratio (compounded annual return / max draw down)
    1.12409
  • Compounded annual return / average of 25% largest draw downs
    1.12409
  • Compounded annual return / Expected Shortfall lognormal
    1.50283
  • 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
    0.08198
  • SD
    0.13501
  • Sharpe ratio (Glass type estimate)
    0.60720
  • Sharpe ratio (Hedges UMVUE)
    0.60630
  • df
    502.00000
  • t
    0.84133
  • p
    0.20028
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.80809
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.02199
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.80874
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.02133
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.87723
  • Upside Potential Ratio
    9.32473
  • Upside part of mean
    0.87142
  • Downside part of mean
    -0.78944
  • Upside SD
    0.09739
  • Downside SD
    0.09345
  • N nonnegative terms
    262.00000
  • N negative terms
    241.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    503.00000
  • Mean of predictor
    0.07299
  • Mean of criterion
    0.08198
  • SD of predictor
    0.18675
  • SD of criterion
    0.13501
  • Covariance
    0.01545
  • r
    0.61279
  • b (slope, estimate of beta)
    0.44302
  • a (intercept, estimate of alpha)
    0.05000
  • Mean Square Error
    0.01141
  • DF error
    501.00000
  • t(b)
    17.35680
  • p(b)
    -0.00000
  • t(a)
    0.64389
  • p(a)
    0.25997
  • Lowerbound of 95% confidence interval for beta
    0.39288
  • Upperbound of 95% confidence interval for beta
    0.49317
  • Lowerbound of 95% confidence interval for alpha
    -0.10183
  • Upperbound of 95% confidence interval for alpha
    0.20112
  • Treynor index (mean / b)
    0.18504
  • Jensen alpha (a)
    0.04964
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.07287
  • SD
    0.13494
  • Sharpe ratio (Glass type estimate)
    0.54000
  • Sharpe ratio (Hedges UMVUE)
    0.53920
  • df
    502.00000
  • t
    0.74822
  • p
    0.22734
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.87518
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.95469
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.87573
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.95413
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.77408
  • Upside Potential Ratio
    9.20595
  • Upside part of mean
    0.86663
  • Downside part of mean
    -0.79376
  • Upside SD
    0.09660
  • Downside SD
    0.09414
  • N nonnegative terms
    262.00000
  • N negative terms
    241.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    503.00000
  • Mean of predictor
    0.05557
  • Mean of criterion
    0.07287
  • SD of predictor
    0.18676
  • SD of criterion
    0.13494
  • Covariance
    0.01543
  • r
    0.61218
  • b (slope, estimate of beta)
    0.44234
  • a (intercept, estimate of alpha)
    0.04829
  • Mean Square Error
    0.01141
  • DF error
    501.00000
  • t(b)
    17.32910
  • p(b)
    -0.00000
  • t(a)
    0.62634
  • p(a)
    0.26569
  • Lowerbound of 95% confidence interval for beta
    0.39219
  • Upperbound of 95% confidence interval for beta
    0.49249
  • Lowerbound of 95% confidence interval for alpha
    -0.10319
  • Upperbound of 95% confidence interval for alpha
    0.19977
  • Treynor index (mean / b)
    0.16474
  • Jensen alpha (a)
    0.04829
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01334
  • Expected Shortfall on VaR
    0.01677
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00680
  • Expected Shortfall on VaR
    0.01291
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    503.00000
  • Minimum
    0.97348
  • Quartile 1
    0.99519
  • Median
    1.00048
  • Quartile 3
    1.00579
  • Maximum
    1.04348
  • Mean of quarter 1
    0.98995
  • Mean of quarter 2
    0.99826
  • Mean of quarter 3
    1.00294
  • Mean of quarter 4
    1.01055
  • Inter Quartile Range
    0.01059
  • Number outliers low
    6.00000
  • Percentage of outliers low
    0.01193
  • Mean of outliers low
    0.97624
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.00994
  • Mean of outliers high
    1.02764
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.12120
  • VaR(95%) (moments method)
    0.01023
  • Expected Shortfall (moments method)
    0.01446
  • Extreme Value Index (regression method)
    0.04357
  • VaR(95%) (regression method)
    0.00954
  • Expected Shortfall (regression method)
    0.01272
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    16.00000
  • Minimum
    0.00221
  • Quartile 1
    0.01036
  • Median
    0.01717
  • Quartile 3
    0.04303
  • Maximum
    0.13684
  • Mean of quarter 1
    0.00643
  • Mean of quarter 2
    0.01311
  • Mean of quarter 3
    0.02809
  • Mean of quarter 4
    0.10480
  • Inter Quartile Range
    0.03267
  • 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
    0.12219
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -23.68280
  • VaR(95%) (moments method)
    0.09846
  • Expected Shortfall (moments method)
    0.09846
  • Extreme Value Index (regression method)
    -2.40334
  • VaR(95%) (regression method)
    0.16586
  • Expected Shortfall (regression method)
    0.16784
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.11119
  • Compounded annual return (geometric extrapolation)
    0.10603
  • Calmar ratio (compounded annual return / max draw down)
    0.77482
  • Compounded annual return / average of 25% largest draw downs
    1.01172
  • Compounded annual return / Expected Shortfall lognormal
    6.32210
  • 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
    0.18997
  • SD
    0.12297
  • Sharpe ratio (Glass type estimate)
    1.54480
  • Sharpe ratio (Hedges UMVUE)
    1.53587
  • df
    130.00000
  • t
    1.09234
  • p
    0.45232
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.23627
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.32005
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.24222
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.31395
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.28659
  • Upside Potential Ratio
    10.17530
  • Upside part of mean
    0.84535
  • Downside part of mean
    -0.65538
  • Upside SD
    0.09079
  • Downside SD
    0.08308
  • N nonnegative terms
    74.00000
  • N negative terms
    57.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.30208
  • Mean of criterion
    0.18997
  • SD of predictor
    0.11765
  • SD of criterion
    0.12297
  • Covariance
    0.00794
  • r
    0.54881
  • b (slope, estimate of beta)
    0.57364
  • a (intercept, estimate of alpha)
    0.01668
  • Mean Square Error
    0.01065
  • DF error
    129.00000
  • t(b)
    7.45650
  • p(b)
    0.16905
  • t(a)
    0.11289
  • p(a)
    0.49367
  • Lowerbound of 95% confidence interval for beta
    0.42142
  • Upperbound of 95% confidence interval for beta
    0.72584
  • Lowerbound of 95% confidence interval for alpha
    -0.27570
  • Upperbound of 95% confidence interval for alpha
    0.30907
  • Treynor index (mean / b)
    0.33116
  • Jensen alpha (a)
    0.01668
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.18238
  • SD
    0.12301
  • Sharpe ratio (Glass type estimate)
    1.48263
  • Sharpe ratio (Hedges UMVUE)
    1.47406
  • df
    130.00000
  • t
    1.04838
  • p
    0.45422
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.29781
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.25751
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.30353
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.25165
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.17869
  • Upside Potential Ratio
    10.04880
  • Upside part of mean
    0.84117
  • Downside part of mean
    -0.65880
  • Upside SD
    0.09020
  • Downside SD
    0.08371
  • N nonnegative terms
    74.00000
  • N negative terms
    57.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.29502
  • Mean of criterion
    0.18238
  • SD of predictor
    0.11751
  • SD of criterion
    0.12301
  • Covariance
    0.00794
  • r
    0.54957
  • b (slope, estimate of beta)
    0.57527
  • a (intercept, estimate of alpha)
    0.01266
  • Mean Square Error
    0.01064
  • DF error
    129.00000
  • t(b)
    7.47134
  • p(b)
    0.16864
  • t(a)
    0.08572
  • p(a)
    0.49520
  • VAR (95 Confidence Intrvl)
    0.01300
  • Lowerbound of 95% confidence interval for beta
    0.42293
  • Upperbound of 95% confidence interval for beta
    0.72761
  • Lowerbound of 95% confidence interval for alpha
    -0.27948
  • Upperbound of 95% confidence interval for alpha
    0.30479
  • Treynor index (mean / b)
    0.31702
  • Jensen alpha (a)
    0.01266
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01173
  • Expected Shortfall on VaR
    0.01486
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00527
  • Expected Shortfall on VaR
    0.01054
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97531
  • Quartile 1
    0.99697
  • Median
    1.00094
  • Quartile 3
    1.00578
  • Maximum
    1.02478
  • Mean of quarter 1
    0.99153
  • Mean of quarter 2
    0.99890
  • Mean of quarter 3
    1.00288
  • Mean of quarter 4
    1.01007
  • Inter Quartile Range
    0.00881
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.01527
  • Mean of outliers low
    0.97623
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.00763
  • Mean of outliers high
    1.02478
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.03478
  • VaR(95%) (moments method)
    0.00744
  • Expected Shortfall (moments method)
    0.01001
  • Extreme Value Index (regression method)
    -0.15217
  • VaR(95%) (regression method)
    0.00889
  • Expected Shortfall (regression method)
    0.01165
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    12.00000
  • Minimum
    0.00481
  • Quartile 1
    0.00610
  • Median
    0.01517
  • Quartile 3
    0.02368
  • Maximum
    0.07974
  • Mean of quarter 1
    0.00509
  • Mean of quarter 2
    0.00940
  • Mean of quarter 3
    0.02001
  • Mean of quarter 4
    0.05019
  • Inter Quartile Range
    0.01758
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.08333
  • Mean of outliers high
    0.07974
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.38601
  • VaR(95%) (moments method)
    0.05572
  • Expected Shortfall (moments method)
    0.06737
  • Extreme Value Index (regression method)
    1.17518
  • VaR(95%) (regression method)
    0.07799
  • 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?
    -349253000
  • Max Equity Drawdown (num days)
    89
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.22173
  • Compounded annual return (geometric extrapolation)
    0.23403
  • Calmar ratio (compounded annual return / max draw down)
    2.93500
  • Compounded annual return / average of 25% largest draw downs
    4.66316
  • Compounded annual return / Expected Shortfall lognormal
    15.74460

Strategy Description

Summary Statistics

Includes fees & commissions C2 Israel
Strategy began
2022-03-03
Suggested Minimum Capital
$15,000
# Trades
119
# Profitable
66
% Profitable
55.5%
Net Dividends
Correlation S&P500
0.601
Sharpe Ratio
0.38
Sortino Ratio
0.55
Beta
0.45
Alpha
0.01
Leverage
0.92 Average
2.05 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.