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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 (server 4)
Scaling percentage used 100%
# trading signals issued by system since certification 181
# trading signals executed in manager's Israel Interactive Trading (server 4) account 179
Percent signals followed since 03/09/2022 98.9%
This information was last updated 4/23/24 21:31 ET

Warning: System trading results are still hypothetical.

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

Materials Trend
(139624923)

Created by: Collective2-israel Collective2-israel
Started: 03/2022
Stocks
Last trade: 97 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.

-5.8%
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.

(42.0%)
Max Drawdown
90
Num Trades
43.3%
Win Trades
0.8 : 1
Profit Factor
53.8%
Win Months
Hypothetical Monthly Returns (includes system fee and C2 Israel commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022              +11.2%+0.9%(0.6%)(11.8%)+7.2%(4%)(15.8%)+8.8%+4.1%(7.1%)(10.3%)
2023+6.8%+1.2%(22%)+12.3%(4.2%)+13.8%+5.1%(6.1%)(6.4%)(9.1%)+8.1%+11.0%+4.0%
2024(10%)+5.3%+5.0%(5.2%)                                                (5.7%)

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

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
8/2/23 11:20 LTHM LIVENT CORP LONG 63 23.22 1/4/24 9:31 8.26 3.86%
Trade id #145406510
Max drawdown($659)
Time11/13/23 0:00
Quant open63
Worst price12.76
Drawdown as % of equity-3.86%
 ($1,891)
Includes Typical Broker Commissions trade costs of $5.01
6/22/23 9:31 METCB RAMACO RESOURCES INC. CLASS B LONG 27 9.14 8/2 10:48 13.32 0.04%
Trade id #144996394
Max drawdown($7)
Time6/22/23 9:37
Quant open27
Worst price8.87
Drawdown as % of equity-0.04%
 $110
Includes Typical Broker Commissions trade costs of $2.51
2/7/23 11:43 RYAM RAYONIER ADVANCED MATERIALS IN LONG 191 7.18 8/2 10:48 4.58 4.31%
Trade id #143489082
Max drawdown($744)
Time6/1/23 0:00
Quant open191
Worst price3.28
Drawdown as % of equity-4.31%
 ($499)
Includes Typical Broker Commissions trade costs of $2.54
2/7/23 11:43 PTVE PACTIV EVERGREEN INC. LONG 122 11.02 8/2 10:48 8.39 2.89%
Trade id #143489065
Max drawdown($508)
Time5/4/23 0:00
Quant open122
Worst price6.85
Drawdown as % of equity-2.89%
 ($323)
Includes Typical Broker Commissions trade costs of $2.52
2/7/23 11:43 ALB ALBEMARLE LONG 5 274.79 8/2 10:48 201.39 2.72%
Trade id #143489026
Max drawdown($514)
Time4/21/23 0:00
Quant open5
Worst price171.82
Drawdown as % of equity-2.72%
 ($372)
Includes Typical Broker Commissions trade costs of $5.00
2/7/23 11:43 METC RAMACO RESOURCES INC. COMMON STOCK LONG 138 10.05 8/2 10:48 9.07 2.23%
Trade id #143489061
Max drawdown($384)
Time6/1/23 0:00
Quant open138
Worst price7.26
Drawdown as % of equity-2.23%
 ($138)
Includes Typical Broker Commissions trade costs of $2.53
2/7/23 11:43 ATI ALLEGHENY TECHNOLOGIES LONG 36 39.08 8/2 10:48 45.00 1.01%
Trade id #143489057
Max drawdown($179)
Time5/31/23 0:00
Quant open36
Worst price34.10
Drawdown as % of equity-1.01%
 $210
Includes Typical Broker Commissions trade costs of $2.51
2/7/23 11:43 CMC COMMERCIAL METALS LONG 24 56.07 8/2 10:48 57.06 1.88%
Trade id #143489042
Max drawdown($341)
Time3/16/23 0:00
Quant open24
Worst price41.83
Drawdown as % of equity-1.88%
 $22
Includes Typical Broker Commissions trade costs of $2.50
2/7/23 11:45 AVY AVERY DENNISON LONG 9 178.76 8/2 10:48 183.90 1.03%
Trade id #143489693
Max drawdown($178)
Time6/1/23 0:00
Quant open9
Worst price158.93
Drawdown as % of equity-1.03%
 $44
Includes Typical Broker Commissions trade costs of $2.50
2/7/23 11:43 FF FUTUREFUEL LONG 153 9.11 8/2 10:48 9.60 1.81%
Trade id #143489080
Max drawdown($330)
Time3/24/23 0:00
Quant open153
Worst price6.95
Drawdown as % of equity-1.81%
 $72
Includes Typical Broker Commissions trade costs of $2.53
2/7/23 11:43 AMR ALPHA METALLURGICAL RESOURCES INC LONG 9 155.05 8/2 10:48 168.88 1.12%
Trade id #143489040
Max drawdown($200)
Time5/30/23 0:00
Quant open9
Worst price132.72
Drawdown as % of equity-1.12%
 $119
Includes Typical Broker Commissions trade costs of $5.00
2/7/23 11:43 HCC WARRIOR MET COAL INC. LONG 37 37.42 8/2 10:48 43.66 1.12%
Trade id #143489051
Max drawdown($201)
Time5/30/23 0:00
Quant open37
Worst price31.97
Drawdown as % of equity-1.12%
 $228
Includes Typical Broker Commissions trade costs of $2.51
2/7/23 11:43 USLM UNITED STATES LIME LONG 9 154.58 8/2 10:48 203.73 0.62%
Trade id #143489076
Max drawdown($116)
Time3/14/23 0:00
Quant open9
Worst price141.59
Drawdown as % of equity-0.62%
 $440
Includes Typical Broker Commissions trade costs of $2.50
2/7/23 11:43 SQM SOCIEDAD QUIMICA Y MINERA LONG 15 94.53 8/2 10:48 70.20 2.72%
Trade id #143489053
Max drawdown($514)
Time4/21/23 0:00
Quant open15
Worst price60.21
Drawdown as % of equity-2.72%
 ($368)
Includes Typical Broker Commissions trade costs of $2.50
2/7/23 11:43 GPK GRAPHIC PACKAGING HOLDING LONG 61 22.05 8/2 10:48 23.37 0.04%
Trade id #143489086
Max drawdown($7)
Time2/7/23 11:51
Quant open61
Worst price21.92
Drawdown as % of equity-0.04%
 $78
Includes Typical Broker Commissions trade costs of $2.51
2/7/23 11:43 IOSP INNOSPEC LONG 12 114.22 8/2 10:48 106.91 1.56%
Trade id #143489070
Max drawdown($269)
Time6/1/23 0:00
Quant open12
Worst price91.73
Drawdown as % of equity-1.56%
 ($91)
Includes Typical Broker Commissions trade costs of $2.50
2/7/23 11:43 LTHM LIVENT CORP LONG 55 24.76 8/2 10:48 23.33 1.72%
Trade id #143489036
Max drawdown($310)
Time3/20/23 0:00
Quant open55
Worst price19.11
Drawdown as % of equity-1.72%
 ($84)
Includes Typical Broker Commissions trade costs of $5.00
10/27/22 12:11 HCC WARRIOR MET COAL INC. LONG 34 38.53 2/7/23 10:04 38.22 1.34%
Trade id #142347231
Max drawdown($254)
Time1/4/23 0:00
Quant open34
Worst price31.04
Drawdown as % of equity-1.34%
 ($16)
Includes Typical Broker Commissions trade costs of $5.00
10/27/22 12:11 AMR ALPHA METALLURGICAL RESOURCES INC LONG 7 170.10 2/7/23 10:04 157.94 1.45%
Trade id #142347228
Max drawdown($276)
Time1/4/23 0:00
Quant open7
Worst price130.54
Drawdown as % of equity-1.45%
 ($90)
Includes Typical Broker Commissions trade costs of $5.00
10/27/22 12:08 ARNC ARCONIC CORP LONG 100 21.13 2/7/23 10:04 23.94 1.48%
Trade id #142347192
Max drawdown($278)
Time11/3/22 0:00
Quant open100
Worst price18.35
Drawdown as % of equity-1.48%
 $278
Includes Typical Broker Commissions trade costs of $2.52
10/27/22 12:08 RPM RPM INTERNATIONAL LONG 14 93.02 2/7/23 10:04 90.30 0.66%
Trade id #142347190
Max drawdown($132)
Time1/19/23 0:00
Quant open14
Worst price83.56
Drawdown as % of equity-0.66%
 ($41)
Includes Typical Broker Commissions trade costs of $2.50
10/27/22 12:08 MTRN MATERION LONG 15 84.88 2/7/23 10:04 88.19 1.6%
Trade id #142347188
Max drawdown($299)
Time11/3/22 0:00
Quant open15
Worst price64.89
Drawdown as % of equity-1.60%
 $48
Includes Typical Broker Commissions trade costs of $2.50
10/27/22 12:06 SON SONOCO PRODUCTS LONG 20 63.76 2/7/23 10:04 60.34 0.91%
Trade id #142347163
Max drawdown($170)
Time11/3/22 0:00
Quant open20
Worst price55.25
Drawdown as % of equity-0.91%
 ($71)
Includes Typical Broker Commissions trade costs of $2.50
10/27/22 12:06 MYE MYERS INDUSTRIES LONG 66 20.25 2/7/23 10:04 24.23 0.65%
Trade id #142347159
Max drawdown($127)
Time10/28/22 0:00
Quant open66
Worst price18.32
Drawdown as % of equity-0.65%
 $260
Includes Typical Broker Commissions trade costs of $2.51
10/27/22 12:03 LXU LSB INDUSTRIES LONG 80 16.68 2/7/23 10:04 11.84 2.01%
Trade id #142347118
Max drawdown($401)
Time1/20/23 0:00
Quant open80
Worst price11.67
Drawdown as % of equity-2.01%
 ($391)
Includes Typical Broker Commissions trade costs of $2.52
10/27/22 12:03 CLW CLEARWATER LONG 30 43.59 2/7/23 10:04 39.00 1.4%
Trade id #142347116
Max drawdown($283)
Time1/23/23 0:00
Quant open30
Worst price34.15
Drawdown as % of equity-1.40%
 ($141)
Includes Typical Broker Commissions trade costs of $2.51
10/27/22 12:03 LTHM LIVENT CORP LONG 43 31.12 2/7/23 10:04 24.70 2.87%
Trade id #142347114
Max drawdown($552)
Time1/3/23 0:00
Quant open43
Worst price18.26
Drawdown as % of equity-2.87%
 ($281)
Includes Typical Broker Commissions trade costs of $5.00
10/27/22 12:01 FUL H.B. FULLER COMPANY LONG 19 68.81 2/7/23 10:04 72.80 0.25%
Trade id #142347067
Max drawdown($45)
Time11/3/22 0:00
Quant open19
Worst price66.39
Drawdown as % of equity-0.25%
 $74
Includes Typical Broker Commissions trade costs of $2.50
10/27/22 12:01 PPG PPG INDUSTRIES LONG 11 113.80 2/7/23 10:04 129.46 0.37%
Trade id #142347065
Max drawdown($70)
Time11/3/22 0:00
Quant open11
Worst price107.42
Drawdown as % of equity-0.37%
 $167
Includes Typical Broker Commissions trade costs of $5.00
10/27/22 12:01 WOR WORTHINGTON ENTERPRISES INC LONG 28 46.47 2/7/23 10:04 60.48 0.11%
Trade id #142347063
Max drawdown($21)
Time10/28/22 0:00
Quant open28
Worst price45.69
Drawdown as % of equity-0.11%
 $389
Includes Typical Broker Commissions trade costs of $2.51
Next

Statistics

  • Strategy began
    3/3/2022
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    782.56
  • Age
    26 months ago
  • What it trades
    Stocks
  • # Trades
    90
  • # Profitable
    39
  • % Profitable
    43.30%
  • Avg trade duration
    135.0 days
  • Max peak-to-valley drawdown
    41.96%
  • drawdown period
    April 21, 2022 - Oct 01, 2023
  • Annual Return (Compounded)
    -8.1%
  • Avg win
    $248.08
  • Avg loss
    $251.84
  • Model Account Values (Raw)
  • Cash
    $9,788
  • Margin Used
    $2,062
  • Buying Power
    $8,138
  • Ratios
  • W:L ratio
    0.81:1
  • Sharpe Ratio
    -0.25
  • Sortino Ratio
    -0.36
  • Calmar Ratio
    -0.161
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -32.86%
  • Correlation to SP500
    0.38220
  • Return Percent SP500 (cumu) during strategy life
    16.20%
  • Return Statistics
  • Ann Return (w trading costs)
    -8.1%
  • Slump
  • Current Slump as Pcnt Equity
    44.90%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.94%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.081%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -5.2%
  • Automation
  • Percentage Signals Automated
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    688
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Performance-weighted percentile
    254
  • Popularity (7 days, Percentile 1000 scale)
    700
  • Trades-Own-System Certification
  • Trades Own System?
    Yes
  • TOS percent
    100%
  • Win / Loss
  • Avg Loss
    $252
  • Avg Win
    $248
  • Sum Trade PL (losers)
    $12,844.000
  • Age
  • Num Months filled monthly returns table
    26
  • Win / Loss
  • Sum Trade PL (winners)
    $9,675.000
  • # Winners
    39
  • Num Months Winners
    14
  • Dividends
  • Dividends Received in Model Acct
    792
  • AUM
  • AUM (AutoTrader live capital)
    22029
  • Win / Loss
  • # Losers
    51
  • % Winners
    43.3%
  • Frequency
  • Avg Position Time (mins)
    194470.00
  • Avg Position Time (hrs)
    3241.18
  • Avg Trade Length
    135.0 days
  • Last Trade Ago
    97
  • Leverage
  • Daily leverage (average)
    1.08
  • Daily leverage (max)
    1.39
  • Regression
  • Alpha
    -0.03
  • Beta
    0.51
  • 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)
    -0.95
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    -4.601
  • 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
    0.602
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.281
  • Hold-and-Hope Ratio
    -0.277
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.03152
  • SD
    0.27721
  • Sharpe ratio (Glass type estimate)
    -0.11371
  • Sharpe ratio (Hedges UMVUE)
    -0.10978
  • df
    22.00000
  • t
    -0.15743
  • p
    0.56183
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.52857
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.30365
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.52587
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.30630
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.17349
  • Upside Potential Ratio
    2.07623
  • Upside part of mean
    0.37725
  • Downside part of mean
    -0.40878
  • Upside SD
    0.20143
  • Downside SD
    0.18170
  • 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
    0.08359
  • Mean of criterion
    -0.03152
  • SD of predictor
    0.19628
  • SD of criterion
    0.27721
  • Covariance
    0.03642
  • r
    0.66939
  • b (slope, estimate of beta)
    0.94540
  • a (intercept, estimate of alpha)
    -0.11055
  • Mean Square Error
    0.04443
  • DF error
    21.00000
  • t(b)
    4.12912
  • p(b)
    0.10826
  • t(a)
    -0.72039
  • p(a)
    0.59847
  • Lowerbound of 95% confidence interval for beta
    0.46925
  • Upperbound of 95% confidence interval for beta
    1.42155
  • Lowerbound of 95% confidence interval for alpha
    -0.42967
  • Upperbound of 95% confidence interval for alpha
    0.20858
  • Treynor index (mean / b)
    -0.03334
  • Jensen alpha (a)
    -0.11055
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.06742
  • SD
    0.27268
  • Sharpe ratio (Glass type estimate)
    -0.24727
  • Sharpe ratio (Hedges UMVUE)
    -0.23873
  • df
    22.00000
  • t
    -0.34233
  • p
    0.63233
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.66207
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.17305
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.65620
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.17874
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.35431
  • Upside Potential Ratio
    1.88087
  • Upside part of mean
    0.35793
  • Downside part of mean
    -0.42535
  • Upside SD
    0.18784
  • Downside SD
    0.19030
  • 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
    0.06418
  • Mean of criterion
    -0.06742
  • SD of predictor
    0.20123
  • SD of criterion
    0.27268
  • Covariance
    0.03791
  • r
    0.69085
  • b (slope, estimate of beta)
    0.93612
  • a (intercept, estimate of alpha)
    -0.12751
  • Mean Square Error
    0.04072
  • DF error
    21.00000
  • t(b)
    4.37886
  • p(b)
    0.09824
  • t(a)
    -0.87098
  • p(a)
    0.61818
  • Lowerbound of 95% confidence interval for beta
    0.49154
  • Upperbound of 95% confidence interval for beta
    1.38071
  • Lowerbound of 95% confidence interval for alpha
    -0.43195
  • Upperbound of 95% confidence interval for alpha
    0.17694
  • Treynor index (mean / b)
    -0.07203
  • Jensen alpha (a)
    -0.12751
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.12637
  • Expected Shortfall on VaR
    0.15428
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.08455
  • Expected Shortfall on VaR
    0.13184
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    23.00000
  • Minimum
    0.87485
  • Quartile 1
    0.93891
  • Median
    0.98988
  • Quartile 3
    1.04690
  • Maximum
    1.20637
  • Mean of quarter 1
    0.91140
  • Mean of quarter 2
    0.96446
  • Mean of quarter 3
    1.02811
  • Mean of quarter 4
    1.09957
  • Inter Quartile Range
    0.10800
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -1.13914
  • VaR(95%) (moments method)
    0.09943
  • Expected Shortfall (moments method)
    0.10414
  • Extreme Value Index (regression method)
    -0.35498
  • VaR(95%) (regression method)
    0.10140
  • Expected Shortfall (regression method)
    0.11509
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.35146
  • Quartile 1
    0.35146
  • Median
    0.35146
  • Quartile 3
    0.35146
  • Maximum
    0.35146
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • 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)
    -0.03806
  • Compounded annual return (geometric extrapolation)
    -0.03875
  • Calmar ratio (compounded annual return / max draw down)
    -0.11025
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -0.25116
  • 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
    -0.06437
  • SD
    0.21081
  • Sharpe ratio (Glass type estimate)
    -0.30533
  • Sharpe ratio (Hedges UMVUE)
    -0.30489
  • df
    516.00000
  • t
    -0.42891
  • p
    0.66592
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.70059
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.09017
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.70026
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.09049
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.43157
  • Upside Potential Ratio
    8.14422
  • Upside part of mean
    1.21467
  • Downside part of mean
    -1.27903
  • Upside SD
    0.14875
  • Downside SD
    0.14914
  • N nonnegative terms
    241.00000
  • N negative terms
    276.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    517.00000
  • Mean of predictor
    0.06665
  • Mean of criterion
    -0.06437
  • SD of predictor
    0.19238
  • SD of criterion
    0.21081
  • Covariance
    0.01919
  • r
    0.47313
  • b (slope, estimate of beta)
    0.51846
  • a (intercept, estimate of alpha)
    -0.09900
  • Mean Square Error
    0.03456
  • DF error
    515.00000
  • t(b)
    12.18730
  • p(b)
    -0.00000
  • t(a)
    -0.74732
  • p(a)
    0.77239
  • Lowerbound of 95% confidence interval for beta
    0.43489
  • Upperbound of 95% confidence interval for beta
    0.60204
  • Lowerbound of 95% confidence interval for alpha
    -0.35898
  • Upperbound of 95% confidence interval for alpha
    0.16113
  • Treynor index (mean / b)
    -0.12415
  • Jensen alpha (a)
    -0.09892
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.08653
  • SD
    0.21068
  • Sharpe ratio (Glass type estimate)
    -0.41071
  • Sharpe ratio (Hedges UMVUE)
    -0.41011
  • df
    516.00000
  • t
    -0.57694
  • p
    0.71788
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.80600
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.98496
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.80559
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.98537
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.57267
  • Upside Potential Ratio
    7.96650
  • Upside part of mean
    1.20369
  • Downside part of mean
    -1.29021
  • Upside SD
    0.14662
  • Downside SD
    0.15109
  • N nonnegative terms
    241.00000
  • N negative terms
    276.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    517.00000
  • Mean of predictor
    0.04820
  • Mean of criterion
    -0.08653
  • SD of predictor
    0.19218
  • SD of criterion
    0.21068
  • Covariance
    0.01921
  • r
    0.47456
  • b (slope, estimate of beta)
    0.52023
  • a (intercept, estimate of alpha)
    -0.11160
  • Mean Square Error
    0.03446
  • DF error
    515.00000
  • t(b)
    12.23490
  • p(b)
    -0.00000
  • t(a)
    -0.84446
  • p(a)
    0.80060
  • Lowerbound of 95% confidence interval for beta
    0.43669
  • Upperbound of 95% confidence interval for beta
    0.60376
  • Lowerbound of 95% confidence interval for alpha
    -0.37123
  • Upperbound of 95% confidence interval for alpha
    0.14803
  • Treynor index (mean / b)
    -0.16633
  • Jensen alpha (a)
    -0.11160
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02150
  • Expected Shortfall on VaR
    0.02680
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01178
  • Expected Shortfall on VaR
    0.02183
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    517.00000
  • Minimum
    0.94538
  • Quartile 1
    0.99268
  • Median
    0.99965
  • Quartile 3
    1.00721
  • Maximum
    1.06879
  • Mean of quarter 1
    0.98448
  • Mean of quarter 2
    0.99631
  • Mean of quarter 3
    1.00315
  • Mean of quarter 4
    1.01561
  • Inter Quartile Range
    0.01453
  • Number outliers low
    11.00000
  • Percentage of outliers low
    0.02128
  • Mean of outliers low
    0.96273
  • Number of outliers high
    10.00000
  • Percentage of outliers high
    0.01934
  • Mean of outliers high
    1.04042
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.18260
  • VaR(95%) (moments method)
    0.01604
  • Expected Shortfall (moments method)
    0.02370
  • Extreme Value Index (regression method)
    0.05335
  • VaR(95%) (regression method)
    0.01492
  • Expected Shortfall (regression method)
    0.02012
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00823
  • Quartile 1
    0.01381
  • Median
    0.01681
  • Quartile 3
    0.10165
  • Maximum
    0.35273
  • Mean of quarter 1
    0.00823
  • Mean of quarter 2
    0.01567
  • Mean of quarter 3
    0.01795
  • Mean of quarter 4
    0.35273
  • Inter Quartile Range
    0.08784
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.25000
  • Mean of outliers high
    0.35273
  • 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)
    -0.05536
  • Compounded annual return (geometric extrapolation)
    -0.05693
  • Calmar ratio (compounded annual return / max draw down)
    -0.16141
  • Compounded annual return / average of 25% largest draw downs
    -0.16141
  • Compounded annual return / Expected Shortfall lognormal
    -2.12439
  • 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
    0.18881
  • SD
    0.17041
  • Sharpe ratio (Glass type estimate)
    1.10797
  • Sharpe ratio (Hedges UMVUE)
    1.10157
  • df
    130.00000
  • t
    0.78345
  • p
    0.46572
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.66916
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.88099
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.67347
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.87660
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.82505
  • Upside Potential Ratio
    10.64080
  • Upside part of mean
    1.10081
  • Downside part of mean
    -0.91201
  • Upside SD
    0.13509
  • Downside SD
    0.10345
  • N nonnegative terms
    64.00000
  • N negative terms
    67.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.31911
  • Mean of criterion
    0.18881
  • SD of predictor
    0.11771
  • SD of criterion
    0.17041
  • Covariance
    0.00784
  • r
    0.39067
  • b (slope, estimate of beta)
    0.56559
  • a (intercept, estimate of alpha)
    0.00832
  • Mean Square Error
    0.02480
  • DF error
    129.00000
  • t(b)
    4.82024
  • p(b)
    0.25777
  • t(a)
    0.03685
  • p(a)
    0.49794
  • Lowerbound of 95% confidence interval for beta
    0.33344
  • Upperbound of 95% confidence interval for beta
    0.79775
  • Lowerbound of 95% confidence interval for alpha
    -0.43848
  • Upperbound of 95% confidence interval for alpha
    0.45512
  • Treynor index (mean / b)
    0.33382
  • Jensen alpha (a)
    0.00832
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.17440
  • SD
    0.16965
  • Sharpe ratio (Glass type estimate)
    1.02800
  • Sharpe ratio (Hedges UMVUE)
    1.02206
  • df
    130.00000
  • t
    0.72691
  • p
    0.46819
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.74855
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.80069
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.75253
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.79665
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.67186
  • Upside Potential Ratio
    10.46550
  • Upside part of mean
    1.09172
  • Downside part of mean
    -0.91732
  • Upside SD
    0.13340
  • Downside SD
    0.10432
  • N nonnegative terms
    64.00000
  • N negative terms
    67.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.31202
  • Mean of criterion
    0.17440
  • SD of predictor
    0.11755
  • SD of criterion
    0.16965
  • Covariance
    0.00781
  • r
    0.39177
  • b (slope, estimate of beta)
    0.56540
  • a (intercept, estimate of alpha)
    -0.00201
  • Mean Square Error
    0.02455
  • DF error
    129.00000
  • t(b)
    4.83631
  • p(b)
    0.25712
  • t(a)
    -0.00897
  • p(a)
    0.50050
  • VAR (95 Confidence Intrvl)
    0.02200
  • Lowerbound of 95% confidence interval for beta
    0.33410
  • Upperbound of 95% confidence interval for beta
    0.79670
  • Lowerbound of 95% confidence interval for alpha
    -0.44635
  • Upperbound of 95% confidence interval for alpha
    0.44232
  • Treynor index (mean / b)
    0.30846
  • Jensen alpha (a)
    -0.00201
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01644
  • Expected Shortfall on VaR
    0.02073
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00821
  • Expected Shortfall on VaR
    0.01502
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96874
  • Quartile 1
    0.99428
  • Median
    0.99974
  • Quartile 3
    1.00607
  • Maximum
    1.04348
  • Mean of quarter 1
    0.98902
  • Mean of quarter 2
    0.99738
  • Mean of quarter 3
    1.00304
  • Mean of quarter 4
    1.01393
  • Inter Quartile Range
    0.01179
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.01527
  • Mean of outliers low
    0.97213
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.03053
  • Mean of outliers high
    1.03437
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.05590
  • VaR(95%) (moments method)
    0.01110
  • Expected Shortfall (moments method)
    0.01412
  • Extreme Value Index (regression method)
    0.16497
  • VaR(95%) (regression method)
    0.01089
  • Expected Shortfall (regression method)
    0.01519
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.00332
  • Quartile 1
    0.00666
  • Median
    0.01230
  • Quartile 3
    0.02699
  • Maximum
    0.12400
  • Mean of quarter 1
    0.00445
  • Mean of quarter 2
    0.00861
  • Mean of quarter 3
    0.02018
  • Mean of quarter 4
    0.07704
  • Inter Quartile Range
    0.02033
  • 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
    0.12400
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    0.50%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -343424000
  • Max Equity Drawdown (num days)
    528
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.21290
  • Compounded annual return (geometric extrapolation)
    0.22423
  • Calmar ratio (compounded annual return / max draw down)
    1.80834
  • Compounded annual return / average of 25% largest draw downs
    2.91045
  • Compounded annual return / Expected Shortfall lognormal
    10.81730

Strategy Description

This strategy invests in the most probable companies to over-perform from the Basic Materials Sector, aiming to beat the IYM benchmark_ 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
90
# Profitable
39
% Profitable
43.3%
Net Dividends
$792
Correlation S&P500
0.382
Sharpe Ratio
-0.25
Sortino Ratio
-0.36
Beta
0.51
Alpha
-0.03
Leverage
1.08 Average
1.39 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.