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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 10/23/2023
Most recent certification approved 10/23/23 9:31 ET
Trades at broker Israel Interactive Trading
Scaling percentage used 100%
# trading signals issued by system since certification 203
# trading signals executed in manager's Israel Interactive Trading account 203
Percent signals followed since 10/23/2023 100%
This information was last updated 11/22/24 13:30 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 10/23/2023, 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.

ALL US MARKETS

Created by: Liran Liran
Started: 10/2023
Stocks
Last trade: Yesterday

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

Subscription terms. Subscriptions to this system cost $20.00 per month.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

29.3%
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.

(6.3%)
Max Drawdown
92
Num Trades
73.9%
Win Trades
6.6 : 1
Profit Factor
78.6%
Win Months
Hypothetical Monthly Returns (includes system fee and C2 Israel commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2023                                                               (1.7%)+11.2%+5.0%+14.8%
2024+0.1%+3.4%+2.4%(3.6%)+4.0%+1.5%+2.3%+3.5%+1.9%(2.9%)+2.0%      +15.5%

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

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
10/14/24 13:44 DE DEERE LONG 2 406.59 11/21 15:26 436.97 0.15%
Trade id #149655162
Max drawdown($39)
Time11/13/24 0:00
Quant open2
Worst price387.03
Drawdown as % of equity-0.15%
 $61
Includes Typical Broker Commissions trade costs of $0.10
9/9/24 15:30 RXT RACKSPACE TECHNOLOGY INC. COMMON STOCK LONG 200 2.25 11/6 12:51 2.57 0.05%
Trade id #149328297
Max drawdown($12)
Time9/10/24 0:00
Quant open200
Worst price2.19
Drawdown as % of equity-0.05%
 $59
Includes Typical Broker Commissions trade costs of $5.10
9/17/24 10:13 AVGO BROADCOM LIMITED ORDINARY SHARES LONG 4 163.35 10/17 11:41 184.36 0.04%
Trade id #149418726
Max drawdown($10)
Time9/17/24 13:45
Quant open4
Worst price160.70
Drawdown as % of equity-0.04%
 $84
Includes Typical Broker Commissions trade costs of $0.10
5/10/24 11:52 OXY OCCIDENTAL PETROLEUM LONG 12 64.01 10/15 10:53 52.00 0.65%
Trade id #148142769
Max drawdown($171)
Time9/26/24 0:00
Quant open12
Worst price49.75
Drawdown as % of equity-0.65%
 ($144)
Includes Typical Broker Commissions trade costs of $0.31
9/24/24 9:43 AAXJ ISHARES MSCI ALL COUNTRY ASIA LONG 9 76.78 10/14 13:39 79.28 0.01%
Trade id #149492073
Max drawdown($3)
Time9/24/24 10:03
Quant open9
Worst price76.37
Drawdown as % of equity-0.01%
 $23
Includes Typical Broker Commissions trade costs of $0.23
10/1/24 9:46 CVX CHEVRON LONG 5 147.84 10/7 9:59 152.08 n/a $21
Includes Typical Broker Commissions trade costs of $0.12
8/22/24 14:36 META META PLATFORMS INC. CLASS A LONG 2 531.26 10/1 9:47 577.67 0.28%
Trade id #149011378
Max drawdown($71)
Time9/11/24 0:00
Quant open2
Worst price495.60
Drawdown as % of equity-0.28%
 $93
Includes Typical Broker Commissions trade costs of $0.05
9/10/24 11:45 JPM JPMORGAN CHASE LONG 3 202.16 9/26 9:33 210.59 0.02%
Trade id #149338988
Max drawdown($4)
Time9/10/24 12:04
Quant open3
Worst price200.61
Drawdown as % of equity-0.02%
 $25
Includes Typical Broker Commissions trade costs of $0.08
9/10/24 15:41 UBER UBER TECHNOLOGIES INC LONG 8 69.10 9/23 9:30 75.06 0.06%
Trade id #149350062
Max drawdown($15)
Time9/11/24 0:00
Quant open8
Worst price67.12
Drawdown as % of equity-0.06%
 $48
Includes Typical Broker Commissions trade costs of $0.20
8/12/24 13:29 CVX CHEVRON LONG 6 144.47 9/19 12:10 146.43 0.22%
Trade id #148895201
Max drawdown($54)
Time9/11/24 0:00
Quant open6
Worst price135.37
Drawdown as % of equity-0.22%
 $12
Includes Typical Broker Commissions trade costs of $0.30
7/26/24 11:06 MU MICRON TECHNOLOGY LONG 5 108.77 9/17 9:36 87.90 0.48%
Trade id #148750113
Max drawdown($123)
Time9/12/24 0:00
Quant open5
Worst price84.12
Drawdown as % of equity-0.48%
 ($104)
Includes Typical Broker Commissions trade costs of $0.12
9/3/24 13:58 AVGO BROADCOM LIMITED ORDINARY SHARES LONG 4 153.76 9/12 12:13 162.55 0.3%
Trade id #149232032
Max drawdown($75)
Time9/9/24 0:00
Quant open4
Worst price134.90
Drawdown as % of equity-0.30%
 $35
Includes Typical Broker Commissions trade costs of $0.20
5/28/24 14:26 MA MASTERCARD LONG 2 443.12 9/10 11:47 485.21 0.11%
Trade id #148273273
Max drawdown($28)
Time7/24/24 0:00
Quant open2
Worst price428.86
Drawdown as % of equity-0.11%
 $84
Includes Typical Broker Commissions trade costs of $0.05
5/15/24 9:56 JNJ JOHNSON & JOHNSON LONG 5 151.69 9/10 11:47 167.61 0.16%
Trade id #148172630
Max drawdown($39)
Time5/29/24 0:00
Quant open5
Worst price143.71
Drawdown as % of equity-0.16%
 $80
Includes Typical Broker Commissions trade costs of $0.12
10/23/23 9:42 JPM JPMORGAN CHASE LONG 7 142.99 9/6/24 9:31 206.47 0.28%
Trade id #146204228
Max drawdown($54)
Time10/27/23 0:00
Quant open7
Worst price135.19
Drawdown as % of equity-0.28%
 $444
Includes Typical Broker Commissions trade costs of $0.37
7/8/24 11:39 ESLT ELBIT SYSTEMS LONG 4 189.43 8/26 15:35 200.83 0.19%
Trade id #148590483
Max drawdown($46)
Time8/5/24 0:00
Quant open4
Worst price177.85
Drawdown as % of equity-0.19%
 $46
Includes Typical Broker Commissions trade costs of $0.10
8/1/24 11:26 DE DEERE LONG 2 358.73 8/20 12:08 372.70 0.15%
Trade id #148796810
Max drawdown($37)
Time8/5/24 0:00
Quant open2
Worst price340.20
Drawdown as % of equity-0.15%
 $28
Includes Typical Broker Commissions trade costs of $0.10
8/2/24 9:51 PH PARKER HANNIFIN LONG 2 518.09 8/12 13:23 569.18 0.2%
Trade id #148806738
Max drawdown($48)
Time8/5/24 0:00
Quant open2
Worst price493.63
Drawdown as % of equity-0.20%
 $102
Includes Typical Broker Commissions trade costs of $0.05
5/21/24 13:25 META META PLATFORMS INC. CLASS A LONG 2 463.01 8/12 13:20 516.08 0.17%
Trade id #148218623
Max drawdown($40)
Time7/25/24 0:00
Quant open2
Worst price442.65
Drawdown as % of equity-0.17%
 $106
Includes Typical Broker Commissions trade costs of $0.10
7/15/24 9:43 FTNT FORTINET LONG 15 60.03 8/7 14:33 70.64 0.33%
Trade id #148648721
Max drawdown($81)
Time8/5/24 0:00
Quant open15
Worst price54.57
Drawdown as % of equity-0.33%
 $159
Includes Typical Broker Commissions trade costs of $0.39
5/23/24 15:28 AAPL APPLE LONG 4 187.51 8/2 9:48 223.17 0.01%
Trade id #148239164
Max drawdown($3)
Time5/23/24 15:57
Quant open4
Worst price186.62
Drawdown as % of equity-0.01%
 $143
Includes Typical Broker Commissions trade costs of $0.10
7/26/24 11:07 AMD ADVANCED MICRO DEVICES INC. C LONG 5 139.45 8/1 9:24 144.96 0.11%
Trade id #148750123
Max drawdown($27)
Time7/30/24 0:00
Quant open5
Worst price134.05
Drawdown as % of equity-0.11%
 $28
Includes Typical Broker Commissions trade costs of $0.24
6/24/24 15:16 ITA I SHARES US AEROSPACE & DEFENSE LONG 7 133.10 7/29 10:42 140.35 0.06%
Trade id #148487099
Max drawdown($15)
Time7/1/24 0:00
Quant open7
Worst price130.93
Drawdown as % of equity-0.06%
 $51
Includes Typical Broker Commissions trade costs of $0.18
6/26/24 10:10 IBM INTERNATIONAL BUSINESS MACHINES LONG 5 171.52 7/29 10:41 189.72 0.02%
Trade id #148504162
Max drawdown($5)
Time6/27/24 0:00
Quant open5
Worst price170.48
Drawdown as % of equity-0.02%
 $91
Includes Typical Broker Commissions trade costs of $0.12
6/14/24 10:31 SOXX ISHARES SEMICONDUCTOR ETF LONG 5 250.98 7/26 11:05 228.52 0.62%
Trade id #148409588
Max drawdown($151)
Time7/25/24 0:00
Quant open5
Worst price220.63
Drawdown as % of equity-0.62%
 ($112)
Includes Typical Broker Commissions trade costs of $0.12
2/26/24 10:39 LQD ISHARES IBOXX $ INVEST GRADE C LONG 20 107.81 7/15 9:43 107.63 0.31%
Trade id #147451115
Max drawdown($73)
Time4/25/24 0:00
Quant open20
Worst price104.14
Drawdown as % of equity-0.31%
 ($5)
Includes Typical Broker Commissions trade costs of $0.52
10/23/23 9:42 VCLT VANGUARD LONG-TERM CORP BOND I LONG 23 67.59 7/11/24 9:33 74.98 0.01%
Trade id #146204230
Max drawdown($2)
Time10/23/23 9:45
Quant open23
Worst price67.47
Drawdown as % of equity-0.01%
 $169
Includes Typical Broker Commissions trade costs of $0.59
6/17/24 10:46 TSLA TESLA INC. LONG 4 185.09 7/5 13:05 245.48 0.09%
Trade id #148427567
Max drawdown($21)
Time6/20/24 0:00
Quant open4
Worst price179.66
Drawdown as % of equity-0.09%
 $242
Includes Typical Broker Commissions trade costs of $0.10
6/27/24 14:45 MU MICRON TECHNOLOGY LONG 6 133.88 7/3 12:38 136.11 0.16%
Trade id #148521632
Max drawdown($39)
Time7/1/24 0:00
Quant open6
Worst price127.27
Drawdown as % of equity-0.16%
 $13
Includes Typical Broker Commissions trade costs of $0.30
5/21/24 10:25 STLA STELLANTIS NV LONG 33 22.14 6/27 10:45 20.00 0.29%
Trade id #148216310
Max drawdown($71)
Time6/27/24 9:30
Quant open33
Worst price19.97
Drawdown as % of equity-0.29%
 ($71)
Includes Typical Broker Commissions trade costs of $0.85
Next

Statistics

  • Strategy began
    10/22/2023
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    397.39
  • Age
    13 months ago
  • What it trades
    Stocks
  • # Trades
    92
  • # Profitable
    68
  • % Profitable
    73.90%
  • Avg trade duration
    75.1 days
  • Max peak-to-valley drawdown
    6.31%
  • drawdown period
    July 16, 2024 - Aug 05, 2024
  • Annual Return (Compounded)
    27.4%
  • Avg win
    $111.88
  • Avg loss
    $51.42
  • Model Account Values (Raw)
  • Cash
    $13,512
  • Margin Used
    $0
  • Buying Power
    $15,355
  • Ratios
  • W:L ratio
    6.55:1
  • Sharpe Ratio
    2.08
  • Sortino Ratio
    3.53
  • Calmar Ratio
    6.382
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -10.35%
  • Correlation to SP500
    0.74760
  • Return Percent SP500 (cumu) during strategy life
    40.83%
  • Return Statistics
  • Ann Return (w trading costs)
    27.4%
  • Slump
  • Current Slump as Pcnt Equity
    1.50%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.14%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.274%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    31.0%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    n/a
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    652
  • Popularity (Last 6 weeks)
    976
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Performance-weighted percentile
    457
  • Popularity (7 days, Percentile 1000 scale)
    942
  • Trades-Own-System Certification
  • Trades Own System?
    Yes
  • TOS percent
    100%
  • Win / Loss
  • Avg Loss
    $51
  • Avg Win
    $112
  • Sum Trade PL (losers)
    $1,234.000
  • Age
  • Num Months filled monthly returns table
    14
  • Win / Loss
  • Sum Trade PL (winners)
    $7,608.000
  • # Winners
    68
  • Num Months Winners
    10
  • Dividends
  • Dividends Received in Model Acct
    480
  • AUM
  • AUM (AutoTrader live capital)
    1435870
  • Win / Loss
  • # Losers
    24
  • % Winners
    73.9%
  • Frequency
  • Avg Position Time (mins)
    108145.00
  • Avg Position Time (hrs)
    1802.42
  • Avg Trade Length
    75.1 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    0.84
  • Daily leverage (max)
    0.97
  • Regression
  • Alpha
    0.02
  • Beta
    0.53
  • Treynor Index
    0.12
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.02
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    0.750
  • 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
    0.289
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.511
  • Hold-and-Hope Ratio
    1.597
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.26316
  • SD
    0.09748
  • Sharpe ratio (Glass type estimate)
    2.69973
  • Sharpe ratio (Hedges UMVUE)
    2.51064
  • df
    11.00000
  • t
    2.69973
  • p
    0.01033
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.39942
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.90873
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.28756
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.73373
  • Statistics related to Sortino ratio
  • Sortino ratio
    8.79609
  • Upside Potential Ratio
    10.10270
  • Upside part of mean
    0.30225
  • Downside part of mean
    -0.03909
  • Upside SD
    0.11656
  • Downside SD
    0.02992
  • N nonnegative terms
    10.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    12.00000
  • Mean of predictor
    0.32518
  • Mean of criterion
    0.26316
  • SD of predictor
    0.12760
  • SD of criterion
    0.09748
  • Covariance
    0.00968
  • r
    0.77809
  • b (slope, estimate of beta)
    0.59439
  • a (intercept, estimate of alpha)
    0.06988
  • Mean Square Error
    0.00412
  • DF error
    10.00000
  • t(b)
    3.91705
  • p(b)
    0.00144
  • t(a)
    0.86280
  • p(a)
    0.20423
  • Lowerbound of 95% confidence interval for beta
    0.25628
  • Upperbound of 95% confidence interval for beta
    0.93250
  • Lowerbound of 95% confidence interval for alpha
    -0.11058
  • Upperbound of 95% confidence interval for alpha
    0.25033
  • Treynor index (mean / b)
    0.44274
  • Jensen alpha (a)
    0.06988
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.25558
  • SD
    0.09486
  • Sharpe ratio (Glass type estimate)
    2.69425
  • Sharpe ratio (Hedges UMVUE)
    2.50555
  • df
    11.00000
  • t
    2.69425
  • p
    0.01043
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.39510
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.90221
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.28347
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.72762
  • Statistics related to Sortino ratio
  • Sortino ratio
    8.45428
  • Upside Potential Ratio
    9.75936
  • Upside part of mean
    0.29504
  • Downside part of mean
    -0.03945
  • Upside SD
    0.11304
  • Downside SD
    0.03023
  • N nonnegative terms
    10.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    12.00000
  • Mean of predictor
    0.31282
  • Mean of criterion
    0.25558
  • SD of predictor
    0.12729
  • SD of criterion
    0.09486
  • Covariance
    0.00938
  • r
    0.77664
  • b (slope, estimate of beta)
    0.57881
  • a (intercept, estimate of alpha)
    0.07452
  • Mean Square Error
    0.00393
  • DF error
    10.00000
  • t(b)
    3.89871
  • p(b)
    0.00148
  • t(a)
    0.95529
  • p(a)
    0.18098
  • Lowerbound of 95% confidence interval for beta
    0.24802
  • Upperbound of 95% confidence interval for beta
    0.90961
  • Lowerbound of 95% confidence interval for alpha
    -0.09929
  • Upperbound of 95% confidence interval for alpha
    0.24833
  • Treynor index (mean / b)
    0.44157
  • Jensen alpha (a)
    0.07452
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02347
  • Expected Shortfall on VaR
    0.03453
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00297
  • Expected Shortfall on VaR
    0.00835
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    12.00000
  • Minimum
    0.97469
  • Quartile 1
    1.00860
  • Median
    1.02790
  • Quartile 3
    1.03670
  • Maximum
    1.08592
  • Mean of quarter 1
    0.99017
  • Mean of quarter 2
    1.01806
  • Mean of quarter 3
    1.03412
  • Mean of quarter 4
    1.05469
  • Inter Quartile Range
    0.02811
  • 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
    1.08592
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -0.79694
  • VaR(95%) (regression method)
    0.02940
  • Expected Shortfall (regression method)
    0.03579
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.00913
  • Quartile 1
    0.01317
  • Median
    0.01722
  • Quartile 3
    0.02126
  • Maximum
    0.02531
  • Mean of quarter 1
    0.00913
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.02531
  • Inter Quartile Range
    0.00809
  • 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)
    0.32776
  • Compounded annual return (geometric extrapolation)
    0.32776
  • Calmar ratio (compounded annual return / max draw down)
    12.94960
  • Compounded annual return / average of 25% largest draw downs
    12.94960
  • Compounded annual return / Expected Shortfall lognormal
    9.49303
  • 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
    0.25125
  • SD
    0.09069
  • Sharpe ratio (Glass type estimate)
    2.77056
  • Sharpe ratio (Hedges UMVUE)
    2.76294
  • df
    273.00000
  • t
    2.83330
  • p
    0.00248
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.83751
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.69866
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.83242
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.69346
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.79242
  • Upside Potential Ratio
    12.19830
  • Upside part of mean
    0.63952
  • Downside part of mean
    -0.38827
  • Upside SD
    0.07541
  • Downside SD
    0.05243
  • N nonnegative terms
    165.00000
  • N negative terms
    109.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    274.00000
  • Mean of predictor
    0.30983
  • Mean of criterion
    0.25125
  • SD of predictor
    0.13118
  • SD of criterion
    0.09069
  • Covariance
    0.00893
  • r
    0.75079
  • b (slope, estimate of beta)
    0.51904
  • a (intercept, estimate of alpha)
    0.09000
  • Mean Square Error
    0.00360
  • DF error
    272.00000
  • t(b)
    18.74570
  • p(b)
    0.00000
  • t(a)
    1.52486
  • p(a)
    0.06423
  • Lowerbound of 95% confidence interval for beta
    0.46453
  • Upperbound of 95% confidence interval for beta
    0.57356
  • Lowerbound of 95% confidence interval for alpha
    -0.02632
  • Upperbound of 95% confidence interval for alpha
    0.20719
  • Treynor index (mean / b)
    0.48407
  • Jensen alpha (a)
    0.09044
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.24703
  • SD
    0.09030
  • Sharpe ratio (Glass type estimate)
    2.73584
  • Sharpe ratio (Hedges UMVUE)
    2.72832
  • df
    273.00000
  • t
    2.79779
  • p
    0.00276
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.80314
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.66365
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.79814
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.65849
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.68866
  • Upside Potential Ratio
    12.08330
  • Upside part of mean
    0.63664
  • Downside part of mean
    -0.38961
  • Upside SD
    0.07470
  • Downside SD
    0.05269
  • N nonnegative terms
    165.00000
  • N negative terms
    109.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    274.00000
  • Mean of predictor
    0.30107
  • Mean of criterion
    0.24703
  • SD of predictor
    0.13101
  • SD of criterion
    0.09030
  • Covariance
    0.00888
  • r
    0.75104
  • b (slope, estimate of beta)
    0.51764
  • a (intercept, estimate of alpha)
    0.09119
  • Mean Square Error
    0.00357
  • DF error
    272.00000
  • t(b)
    18.76000
  • p(b)
    0.00000
  • t(a)
    1.54578
  • p(a)
    0.06166
  • Lowerbound of 95% confidence interval for beta
    0.46332
  • Upperbound of 95% confidence interval for beta
    0.57196
  • Lowerbound of 95% confidence interval for alpha
    -0.02495
  • Upperbound of 95% confidence interval for alpha
    0.20733
  • Treynor index (mean / b)
    0.47723
  • Jensen alpha (a)
    0.09119
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00820
  • Expected Shortfall on VaR
    0.01051
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00291
  • Expected Shortfall on VaR
    0.00609
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    274.00000
  • Minimum
    0.98427
  • Quartile 1
    0.99828
  • Median
    1.00115
  • Quartile 3
    1.00372
  • Maximum
    1.04205
  • Mean of quarter 1
    0.99475
  • Mean of quarter 2
    0.99978
  • Mean of quarter 3
    1.00228
  • Mean of quarter 4
    1.00745
  • Inter Quartile Range
    0.00543
  • Number outliers low
    7.00000
  • Percentage of outliers low
    0.02555
  • Mean of outliers low
    0.98620
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.01460
  • Mean of outliers high
    1.02251
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.14028
  • VaR(95%) (moments method)
    0.00466
  • Expected Shortfall (moments method)
    0.00703
  • Extreme Value Index (regression method)
    -0.05672
  • VaR(95%) (regression method)
    0.00528
  • Expected Shortfall (regression method)
    0.00726
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    28.00000
  • Minimum
    0.00026
  • Quartile 1
    0.00203
  • Median
    0.00502
  • Quartile 3
    0.00959
  • Maximum
    0.04959
  • Mean of quarter 1
    0.00120
  • Mean of quarter 2
    0.00282
  • Mean of quarter 3
    0.00700
  • Mean of quarter 4
    0.03096
  • Inter Quartile Range
    0.00756
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.21429
  • Mean of outliers high
    0.03416
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -5.38672
  • VaR(95%) (moments method)
    0.02607
  • Expected Shortfall (moments method)
    0.02608
  • Extreme Value Index (regression method)
    -1.01091
  • VaR(95%) (regression method)
    0.03486
  • Expected Shortfall (regression method)
    0.03783
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.31855
  • Compounded annual return (geometric extrapolation)
    0.31645
  • Calmar ratio (compounded annual return / max draw down)
    6.38168
  • Compounded annual return / average of 25% largest draw downs
    10.22150
  • Compounded annual return / Expected Shortfall lognormal
    30.12060
  • 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
    0.14482
  • SD
    0.08664
  • Sharpe ratio (Glass type estimate)
    1.67146
  • Sharpe ratio (Hedges UMVUE)
    1.66180
  • df
    130.00000
  • t
    1.18190
  • p
    0.44845
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.11093
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.44756
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.11735
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.44096
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.35062
  • Upside Potential Ratio
    9.42895
  • Upside part of mean
    0.58093
  • Downside part of mean
    -0.43610
  • Upside SD
    0.06111
  • Downside SD
    0.06161
  • N nonnegative terms
    76.00000
  • N negative terms
    55.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.22439
  • Mean of criterion
    0.14482
  • SD of predictor
    0.13514
  • SD of criterion
    0.08664
  • Covariance
    0.00915
  • r
    0.78132
  • b (slope, estimate of beta)
    0.50093
  • a (intercept, estimate of alpha)
    0.03242
  • Mean Square Error
    0.00295
  • DF error
    129.00000
  • t(b)
    14.21850
  • p(b)
    0.05932
  • t(a)
    0.42005
  • p(a)
    0.47648
  • Lowerbound of 95% confidence interval for beta
    0.43123
  • Upperbound of 95% confidence interval for beta
    0.57064
  • Lowerbound of 95% confidence interval for alpha
    -0.12028
  • Upperbound of 95% confidence interval for alpha
    0.18512
  • Treynor index (mean / b)
    0.28911
  • Jensen alpha (a)
    0.03242
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.14104
  • SD
    0.08675
  • Sharpe ratio (Glass type estimate)
    1.62578
  • Sharpe ratio (Hedges UMVUE)
    1.61638
  • df
    130.00000
  • t
    1.14960
  • p
    0.44984
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.15609
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.40160
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.16238
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.39514
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.27555
  • Upside Potential Ratio
    9.34182
  • Upside part of mean
    0.57901
  • Downside part of mean
    -0.43797
  • Upside SD
    0.06085
  • Downside SD
    0.06198
  • N nonnegative terms
    76.00000
  • N negative terms
    55.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.21520
  • Mean of criterion
    0.14104
  • SD of predictor
    0.13533
  • SD of criterion
    0.08675
  • Covariance
    0.00919
  • r
    0.78277
  • b (slope, estimate of beta)
    0.50180
  • a (intercept, estimate of alpha)
    0.03305
  • Mean Square Error
    0.00294
  • DF error
    129.00000
  • t(b)
    14.28620
  • p(b)
    0.05875
  • t(a)
    0.42914
  • p(a)
    0.47597
  • VAR (95 Confidence Intrvl)
    0.00800
  • Lowerbound of 95% confidence interval for beta
    0.43231
  • Upperbound of 95% confidence interval for beta
    0.57130
  • Lowerbound of 95% confidence interval for alpha
    -0.11933
  • Upperbound of 95% confidence interval for alpha
    0.18543
  • Treynor index (mean / b)
    0.28107
  • Jensen alpha (a)
    0.03305
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00824
  • Expected Shortfall on VaR
    0.01046
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00338
  • Expected Shortfall on VaR
    0.00713
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.98427
  • Quartile 1
    0.99831
  • Median
    1.00096
  • Quartile 3
    1.00363
  • Maximum
    1.01222
  • Mean of quarter 1
    0.99412
  • Mean of quarter 2
    0.99964
  • Mean of quarter 3
    1.00212
  • Mean of quarter 4
    1.00680
  • Inter Quartile Range
    0.00532
  • Number outliers low
    7.00000
  • Percentage of outliers low
    0.05344
  • Mean of outliers low
    0.98620
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.01527
  • Mean of outliers high
    1.01197
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.54711
  • VaR(95%) (moments method)
    0.00602
  • Expected Shortfall (moments method)
    0.01492
  • Extreme Value Index (regression method)
    -0.02464
  • VaR(95%) (regression method)
    0.00506
  • Expected Shortfall (regression method)
    0.00704
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    13.00000
  • Minimum
    0.00075
  • Quartile 1
    0.00204
  • Median
    0.00619
  • Quartile 3
    0.00903
  • Maximum
    0.04959
  • Mean of quarter 1
    0.00151
  • Mean of quarter 2
    0.00401
  • Mean of quarter 3
    0.00734
  • Mean of quarter 4
    0.03639
  • Inter Quartile Range
    0.00699
  • 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
    0.23077
  • Mean of outliers high
    0.03639
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -14.20580
  • VaR(95%) (moments method)
    0.02221
  • Expected Shortfall (moments method)
    0.02221
  • Extreme Value Index (regression method)
    -0.54429
  • VaR(95%) (regression method)
    0.03045
  • Last 4 Months - Pcnt Negative
    0.25%
  • Expected Shortfall (regression method)
    0.03522
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -332117000
  • Max Equity Drawdown (num days)
    20
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.17629
  • Compounded annual return (geometric extrapolation)
    0.18406
  • Calmar ratio (compounded annual return / max draw down)
    3.71172
  • Compounded annual return / average of 25% largest draw downs
    5.05787
  • Compounded annual return / Expected Shortfall lognormal
    17.59650

Strategy Description

Our investment strategy focuses on a dual approach: engaging in the US stock market and leveraging opportunities in the bond market. By strategically investing in a mix of short and long-term bonds, we capitalize on market distortions and opportunities within the bond channel. Concurrently, in the equity channel, we diversify across a broad range of sectors. This sectoral dispersion is key to minimizing standard deviations and overall risk in our portfolio, ensuring a balanced and resilient investment approach.

Summary Statistics

Includes fees & commissions C2 Israel
Strategy began
2023-10-22
Risk Score
High
Suggested Minimum Capital
$15,000
# Trades
92
# Profitable
68
% Profitable
73.9%
Net Dividends
$479
Correlation S&P500
0.748
Sharpe Ratio
2.08
Sortino Ratio
3.53
Beta
0.53
Alpha
0.02
Leverage
0.84 Average
0.97 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

Collective2 calculates the maximum leverage used by a strategy in each day. We then display the average of these measurements (i.e. the average daily maximum leverage) and the greatest of these measurements (maximum daily leverage).

Leverage is the ratio of total notional value controlled by a strategy divided by its Model Account equity. Generally higher leverage implies greater risk.

Example of calculation:
The Strategy buys 100 shares of stock at $12 per share.
The Model Account equity during that day is $5,000.
The leverage is: $1200 / $5,000 = 0.24

This is a useful measurement, but it should be considered in context. This measurement doesn't take into account important factors, such as when multiple positions are held that are inversely correlated. Nor does the measurement take into account the volatility of the instruments being held.

In addition, certain asset classes are inherently more leveraged than others. For example, futures contracts are highly leveraged. Forex positions are often even more leveraged than futures.

Latest Activity

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

Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.

Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

Material assumptions and methods used when calculating results

The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.

  • Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
  • Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been re-scaled downward to make current go-forward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
  • All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any per-trade AutoTrade fees, plus estimated broker commissions if any.
  • "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.

Trading is risky

There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.

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Suggested Minimum Capital

This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.

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