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These are hypothetical performance results that have certain inherent limitations. Learn more

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 05/21/2021
Most recent certification approved 5/28/21 9:36 ET
Trades at broker Interactive Brokers (Stocks, Options, Futures)
Scaling percentage used 180%
# trading signals issued by system since certification 2,250
# trading signals executed in manager's Interactive Brokers (Stocks, Options, Futures) account 2,231
Percent signals followed since 05/21/2021 99.2%
This information was last updated 11/29/21 15:35 ET

Warning: System trading results are still hypothetical.

Even though the system developer is currently trading his own system in a real-life brokerage account, the trading results presented on this Web site must still be regarded as purely hypothetical results. This is because (among other reasons) the system developer may not have traded all signals, particularly those that occurred before 05/21/2021, 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 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.

You may be interested to learn more technical details about how Collective2 calculates the hypothetical results you see on this web site.

PainlessPortfolio
(134597838)

Created by: PainlessPortfolio PainlessPortfolio
Started: 03/2021
Stocks
Last trade: Today
Trading style: Equity Hedged Equity Event-driven

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 $100.00 per month.

C2Star

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

You can read more about C2Star certification requirements here.

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

Trading Category: Equity
Hedged Equity
Category: Equity

Hedged Equity

Core holding of long equities hedged at all times with short sales of stocks and/or stock index options.
Event-driven
Category: Equity

Event-driven

Seeks to exploit pricing inefficiencies that may occur before or after a corporate event, such as an earnings call, bankruptcy, merger, acquisition, or spinoff.
20.9%
Cumul. Return

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 Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.

All results are hypothetical.

(7.8%)
Max Drawdown
903
Num Trades
48.0%
Win Trades
1.4 : 1
Profit Factor
66.7%
Win Months
Hypothetical Monthly Returns (includes system fee and C2 Israel commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2021              +1.1%+3.1%+1.7%+3.9%(1.7%)+11.0%(3.6%)+4.3%(0.1%)      +20.9%

Model Account Details

A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.

Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.

Trading Record

This strategy has placed 2,670 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
11/26/21 9:30 NVDA NVIDIA LONG 80 326.00 11/29 15:34 332.02 0.32%
Trade id #138350959
Max drawdown($1,000)
Time11/26/21 11:21
Quant open80
Worst price313.50
Drawdown as % of equity-0.32%
$477
Includes Typical Broker Commissions trade costs of $5.00
11/26/21 9:30 COOK TRAEGER INC LONG 2,030 13.79 11/29 15:34 12.97 0.52%
Trade id #138350954
Max drawdown($1,608)
Time11/26/21 11:00
Quant open2,030
Worst price13.00
Drawdown as % of equity-0.52%
($1,706)
Includes Typical Broker Commissions trade costs of $43.00
11/26/21 9:30 ZBRA ZEBRA TECHNOLOGIES LONG 40 595.64 11/29 15:34 606.61 0.12%
Trade id #138350961
Max drawdown($364)
Time11/26/21 10:18
Quant open40
Worst price586.53
Drawdown as % of equity-0.12%
$434
Includes Typical Broker Commissions trade costs of $5.00
11/24/21 15:34 WISH CONTEXTLOGIC INC. CLASS A COMMON STOCK LONG 4,890 4.00 11/26 9:30 3.84 0.32%
Trade id #138334463
Max drawdown($1,011)
Time11/26/21 9:30
Quant open4,890
Worst price3.79
Drawdown as % of equity-0.32%
($865)
Includes Typical Broker Commissions trade costs of $97.80
11/24/21 15:34 GOEV CANOO INC LONG 280 12.31 11/26 9:30 11.46 0.09%
Trade id #138334448
Max drawdown($282)
Time11/26/21 9:30
Quant open280
Worst price11.30
Drawdown as % of equity-0.09%
($244)
Includes Typical Broker Commissions trade costs of $5.60
11/24/21 15:34 MU MICRON TECHNOLOGY LONG 40 86.31 11/26 9:30 83.18 0.04%
Trade id #138334454
Max drawdown($131)
Time11/26/21 9:30
Quant open40
Worst price83.03
Drawdown as % of equity-0.04%
($130)
Includes Typical Broker Commissions trade costs of $5.00
11/24/21 15:34 BABA ALIBABA GROUP HOLDING LIMITED LONG 30 136.40 11/26 9:30 133.00 0.04%
Trade id #138334427
Max drawdown($132)
Time11/26/21 9:30
Quant open30
Worst price132.00
Drawdown as % of equity-0.04%
($107)
Includes Typical Broker Commissions trade costs of $5.00
11/24/21 9:35 ZBRA ZEBRA TECHNOLOGIES LONG 40 597.29 11/24 15:34 597.31 0.16%
Trade id #138326192
Max drawdown($485)
Time11/24/21 9:47
Quant open40
Worst price585.15
Drawdown as % of equity-0.16%
($4)
Includes Typical Broker Commissions trade costs of $5.00
11/24/21 9:35 COOK TRAEGER INC LONG 2,010 13.60 11/24 15:34 13.70 0.24%
Trade id #138326166
Max drawdown($739)
Time11/24/21 10:00
Quant open2,010
Worst price13.23
Drawdown as % of equity-0.24%
$165
Includes Typical Broker Commissions trade costs of $40.20
11/24/21 9:35 NVDA NVIDIA LONG 80 311.12 11/24 15:33 325.73 0.05%
Trade id #138326184
Max drawdown($147)
Time11/24/21 9:46
Quant open80
Worst price309.28
Drawdown as % of equity-0.05%
$1,164
Includes Typical Broker Commissions trade costs of $5.00
11/23/21 15:34 ZM ZOOM VIDEO COMMUNICATIONS INC. CLASS A COMMON STO LONG 30 208.38 11/24 9:35 206.72 0.06%
Trade id #138318877
Max drawdown($190)
Time11/24/21 0:00
Quant open30
Worst price202.02
Drawdown as % of equity-0.06%
($55)
Includes Typical Broker Commissions trade costs of $5.00
11/23/21 15:34 AMC AMC ENTERTAINMENT HOLDINGS INC LONG 120 38.88 11/24 9:35 37.92 0.05%
Trade id #138318862
Max drawdown($159)
Time11/24/21 0:00
Quant open120
Worst price37.55
Drawdown as % of equity-0.05%
($120)
Includes Typical Broker Commissions trade costs of $5.00
11/23/21 15:34 BB BLACKBERRY LIMITED COMMON STOC LONG 490 10.10 11/24 9:35 9.89 0.04%
Trade id #138318867
Max drawdown($110)
Time11/24/21 0:00
Quant open490
Worst price9.87
Drawdown as % of equity-0.04%
($110)
Includes Typical Broker Commissions trade costs of $9.80
11/23/21 15:34 RIVN RIVIAN AUTOMOTIVE INC. CLASS A COMMON S LONG 50 117.33 11/24 9:35 116.13 0.05%
Trade id #138318872
Max drawdown($152)
Time11/24/21 0:00
Quant open50
Worst price114.29
Drawdown as % of equity-0.05%
($65)
Includes Typical Broker Commissions trade costs of $5.00
11/23/21 9:35 NVDA NVIDIA LONG 80 315.21 11/23 15:34 315.02 0.17%
Trade id #138307500
Max drawdown($512)
Time11/23/21 13:44
Quant open80
Worst price308.80
Drawdown as % of equity-0.17%
($20)
Includes Typical Broker Commissions trade costs of $5.00
11/23/21 9:35 ZBRA ZEBRA TECHNOLOGIES LONG 40 599.39 11/23 15:34 599.51 0.11%
Trade id #138307505
Max drawdown($348)
Time11/23/21 12:18
Quant open40
Worst price590.67
Drawdown as % of equity-0.11%
$0
Includes Typical Broker Commissions trade costs of $5.00
11/23/21 9:35 COOK TRAEGER INC LONG 2,010 13.71 11/23 15:34 13.84 0.33%
Trade id #138307495
Max drawdown($1,018)
Time11/23/21 11:09
Quant open2,010
Worst price13.20
Drawdown as % of equity-0.33%
$219
Includes Typical Broker Commissions trade costs of $40.20
11/22/21 15:34 ZIM ZIM INTEGRATED SHIPPING SERVICES LTD LONG 70 57.36 11/23 9:35 55.87 0.05%
Trade id #138299603
Max drawdown($161)
Time11/23/21 0:00
Quant open70
Worst price55.05
Drawdown as % of equity-0.05%
($109)
Includes Typical Broker Commissions trade costs of $5.00
11/22/21 15:34 SPCE VIRGIN GALACTIC HOLDINGS INC LONG 210 17.27 11/23 9:35 17.18 0.02%
Trade id #138299592
Max drawdown($68)
Time11/23/21 0:00
Quant open210
Worst price16.95
Drawdown as % of equity-0.02%
($26)
Includes Typical Broker Commissions trade costs of $5.00
11/22/21 15:34 ASTS AST SPACEMOBILE INC LONG 150 11.59 11/23 9:35 11.16 0.03%
Trade id #138299585
Max drawdown($86)
Time11/23/21 0:00
Quant open150
Worst price11.01
Drawdown as % of equity-0.03%
($68)
Includes Typical Broker Commissions trade costs of $5.00
11/22/21 15:34 WISH CONTEXTLOGIC INC. CLASS A COMMON STOCK LONG 3,070 4.17 11/23 9:35 4.07 0.14%
Trade id #138299597
Max drawdown($445)
Time11/23/21 0:00
Quant open3,070
Worst price4.02
Drawdown as % of equity-0.14%
($353)
Includes Typical Broker Commissions trade costs of $61.40
11/22/21 9:35 NVDA NVIDIA LONG 60 338.49 11/22 15:34 325.02 0.32%
Trade id #138291682
Max drawdown($1,021)
Time11/22/21 12:03
Quant open60
Worst price321.46
Drawdown as % of equity-0.32%
($813)
Includes Typical Broker Commissions trade costs of $5.00
11/22/21 9:35 WSM WILLIAMS-SONOMA LONG 90 214.96 11/22 15:34 220.02 n/a $450
Includes Typical Broker Commissions trade costs of $5.00
11/22/21 9:35 PANW PALO ALTO NETWORKS LONG 40 522.99 11/22 15:34 547.95 0.01%
Trade id #138291688
Max drawdown($45)
Time11/22/21 9:45
Quant open40
Worst price521.85
Drawdown as % of equity-0.01%
$993
Includes Typical Broker Commissions trade costs of $5.00
11/22/21 9:35 LEVI LEVI STRAUSS & CO LONG 760 27.78 11/22 15:34 28.41 0.07%
Trade id #138291674
Max drawdown($214)
Time11/22/21 11:58
Quant open760
Worst price27.50
Drawdown as % of equity-0.07%
$461
Includes Typical Broker Commissions trade costs of $15.20
11/19/21 15:34 HOOD ROBINHOOD MARKETS INC LONG 80 29.30 11/22 9:35 28.57 0.02%
Trade id #138273540
Max drawdown($62)
Time11/22/21 9:35
Quant open80
Worst price28.52
Drawdown as % of equity-0.02%
($63)
Includes Typical Broker Commissions trade costs of $5.00
11/19/21 15:34 TLRY TILRAY INC. CLASS 2 COMMON STOCK LONG 550 10.93 11/22 9:35 10.82 0.02%
Trade id #138273549
Max drawdown($70)
Time11/22/21 9:35
Quant open550
Worst price10.80
Drawdown as % of equity-0.02%
($70)
Includes Typical Broker Commissions trade costs of $11.00
11/19/21 15:34 AUR AURORA INNOVATION INC. CLASS A COMMON STOCK LONG 220 15.98 11/22 9:35 14.29 0.14%
Trade id #138273535
Max drawdown($457)
Time11/22/21 9:30
Quant open220
Worst price13.90
Drawdown as % of equity-0.14%
($375)
Includes Typical Broker Commissions trade costs of $5.00
11/19/21 15:34 WISH CONTEXTLOGIC INC. CLASS A COMMON STOCK LONG 3,880 4.28 11/22 9:35 4.20 0.12%
Trade id #138273561
Max drawdown($368)
Time11/22/21 9:35
Quant open3,880
Worst price4.18
Drawdown as % of equity-0.12%
($363)
Includes Typical Broker Commissions trade costs of $77.60
11/19/21 15:34 UWMC UWM HOLDINGS CORP LONG 540 6.46 11/22 9:35 6.30 0.03%
Trade id #138273555
Max drawdown($102)
Time11/22/21 9:35
Quant open540
Worst price6.27
Drawdown as % of equity-0.03%
($100)
Includes Typical Broker Commissions trade costs of $10.80

Statistics

  • Strategy began
    3/13/2021
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    261.36
  • Age
    9 months ago
  • What it trades
    Stocks
  • # Trades
    903
  • # Profitable
    433
  • % Profitable
    48.00%
  • Avg trade duration
    3.3 days
  • Max peak-to-valley drawdown
    7.83%
  • drawdown period
    April 26, 2021 - May 19, 2021
  • Cumul. Return
    24.9%
  • Avg win
    $542.07
  • Avg loss
    $355.32
  • Model Account Values (Raw)
  • Cash
    $106,603
  • Margin Used
    $0
  • Buying Power
    $156,715
  • Ratios
  • W:L ratio
    1.41:1
  • Sharpe Ratio
    1.58
  • Sortino Ratio
    2.46
  • Calmar Ratio
    6.746
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    6.85%
  • Correlation to SP500
    0.34890
  • Return Percent SP500 (cumu) during strategy life
    18.40%
  • Return Statistics
  • Ann Return (w trading costs)
    35.9%
  • Slump
  • Current Slump as Pcnt Equity
    5.60%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.09%
  • Return Statistics
  • Return Pcnt Since TOS Status
    24.890%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.249%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    39.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    4.50%
  • 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
    99.67%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    696
  • Popularity (Last 6 weeks)
    871
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    906
  • Popularity (7 days, Percentile 1000 scale)
    565
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Strat abandoned?
    0
  • Trades-Own-System Certification
  • Trades Own System?
    Yes
  • TOS percent
    180%
  • Win / Loss
  • Avg Loss
    $355
  • Avg Win
    $542
  • Sum Trade PL (losers)
    $166,999.000
  • AUM
  • AUM (AutoTrader num accounts)
    1
  • Age
  • Num Months filled monthly returns table
    9
  • Win / Loss
  • Sum Trade PL (winners)
    $234,717.000
  • # Winners
    433
  • Num Months Winners
    6
  • Dividends
  • Dividends Received in Model Acct
    89
  • AUM
  • AUM (AutoTrader live capital)
    564186
  • Win / Loss
  • # Losers
    470
  • % Winners
    48.0%
  • Frequency
  • Avg Position Time (mins)
    4765.40
  • Avg Position Time (hrs)
    79.42
  • Avg Trade Length
    3.3 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    1.41
  • Daily leverage (max)
    1.76
  • Regression
  • Alpha
    0.05
  • Beta
    0.47
  • Treynor Index
    0.17
  • 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)
    0.28
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    16.509
  • 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
    0.394
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.635
  • Hold-and-Hope Ratio
    0.128
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.35491
  • SD
    0.12312
  • Sharpe ratio (Glass type estimate)
    2.88273
  • Sharpe ratio (Hedges UMVUE)
    2.56045
  • df
    7.00000
  • t
    2.35374
  • p
    0.02540
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.00951
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.63122
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.18929
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.31019
  • Statistics related to Sortino ratio
  • Sortino ratio
    15.70720
  • Upside Potential Ratio
    17.01420
  • Upside part of mean
    0.38444
  • Downside part of mean
    -0.02953
  • Upside SD
    0.15248
  • Downside SD
    0.02260
  • N nonnegative terms
    6.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    8.00000
  • Mean of predictor
    0.22484
  • Mean of criterion
    0.35491
  • SD of predictor
    0.07011
  • SD of criterion
    0.12312
  • Covariance
    0.00193
  • r
    0.22396
  • b (slope, estimate of beta)
    0.39330
  • a (intercept, estimate of alpha)
    0.26648
  • Mean Square Error
    0.01680
  • DF error
    6.00000
  • t(b)
    0.56287
  • p(b)
    0.29696
  • t(a)
    1.19321
  • p(a)
    0.13891
  • Lowerbound of 95% confidence interval for beta
    -1.31648
  • Upperbound of 95% confidence interval for beta
    2.10308
  • Lowerbound of 95% confidence interval for alpha
    -0.28000
  • Upperbound of 95% confidence interval for alpha
    0.81296
  • Treynor index (mean / b)
    0.90239
  • Jensen alpha (a)
    0.26648
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.34278
  • SD
    0.11871
  • Sharpe ratio (Glass type estimate)
    2.88747
  • Sharpe ratio (Hedges UMVUE)
    2.56466
  • df
    7.00000
  • t
    2.35761
  • p
    0.02526
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.00612
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.63711
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.18615
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.31547
  • Statistics related to Sortino ratio
  • Sortino ratio
    15.06610
  • Upside Potential Ratio
    16.37240
  • Upside part of mean
    0.37250
  • Downside part of mean
    -0.02972
  • Upside SD
    0.14699
  • Downside SD
    0.02275
  • N nonnegative terms
    6.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    8.00000
  • Mean of predictor
    0.22019
  • Mean of criterion
    0.34278
  • SD of predictor
    0.06850
  • SD of criterion
    0.11871
  • Covariance
    0.00188
  • r
    0.23086
  • b (slope, estimate of beta)
    0.40010
  • a (intercept, estimate of alpha)
    0.25468
  • Mean Square Error
    0.01557
  • DF error
    6.00000
  • t(b)
    0.58118
  • p(b)
    0.29114
  • t(a)
    1.18327
  • p(a)
    0.14073
  • Lowerbound of 95% confidence interval for beta
    -1.28444
  • Upperbound of 95% confidence interval for beta
    2.08465
  • Lowerbound of 95% confidence interval for alpha
    -0.27198
  • Upperbound of 95% confidence interval for alpha
    0.78134
  • Treynor index (mean / b)
    0.85672
  • Jensen alpha (a)
    0.25468
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02742
  • Expected Shortfall on VaR
    0.04117
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00329
  • Expected Shortfall on VaR
    0.00811
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    8.00000
  • Minimum
    0.98392
  • Quartile 1
    1.00898
  • Median
    1.02670
  • Quartile 3
    1.05167
  • Maximum
    1.09109
  • Mean of quarter 1
    0.99248
  • Mean of quarter 2
    1.01533
  • Mean of quarter 3
    1.04031
  • Mean of quarter 4
    1.07949
  • Inter Quartile Range
    0.04270
  • 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)
    0.00000
  • 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
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.01608
  • Quartile 1
    0.01608
  • Median
    0.01608
  • Quartile 3
    0.01608
  • Maximum
    0.01608
  • 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)
    0.42051
  • Compounded annual return (geometric extrapolation)
    0.44873
  • Calmar ratio (compounded annual return / max draw down)
    27.91260
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    10.89920
  • 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
    0.31354
  • SD
    0.14682
  • Sharpe ratio (Glass type estimate)
    2.13545
  • Sharpe ratio (Hedges UMVUE)
    2.12673
  • df
    184.00000
  • t
    1.79442
  • p
    0.43443
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.21002
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.47525
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.21582
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.46928
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.42818
  • Upside Potential Ratio
    11.43310
  • Upside part of mean
    1.04565
  • Downside part of mean
    -0.73212
  • Upside SD
    0.11598
  • Downside SD
    0.09146
  • N nonnegative terms
    102.00000
  • N negative terms
    83.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    185.00000
  • Mean of predictor
    0.20442
  • Mean of criterion
    0.31354
  • SD of predictor
    0.11289
  • SD of criterion
    0.14682
  • Covariance
    0.00594
  • r
    0.35820
  • b (slope, estimate of beta)
    0.46587
  • a (intercept, estimate of alpha)
    0.21800
  • Mean Square Error
    0.01889
  • DF error
    183.00000
  • t(b)
    5.18995
  • p(b)
    0.27694
  • t(a)
    1.32620
  • p(a)
    0.43799
  • Lowerbound of 95% confidence interval for beta
    0.28877
  • Upperbound of 95% confidence interval for beta
    0.64298
  • Lowerbound of 95% confidence interval for alpha
    -0.10647
  • Upperbound of 95% confidence interval for alpha
    0.54307
  • Treynor index (mean / b)
    0.67300
  • Jensen alpha (a)
    0.21830
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.30263
  • SD
    0.14651
  • Sharpe ratio (Glass type estimate)
    2.06558
  • Sharpe ratio (Hedges UMVUE)
    2.05715
  • df
    184.00000
  • t
    1.73571
  • p
    0.43654
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.27915
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.40481
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.28475
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.39905
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.28352
  • Upside Potential Ratio
    11.27180
  • Upside part of mean
    1.03890
  • Downside part of mean
    -0.73626
  • Upside SD
    0.11491
  • Downside SD
    0.09217
  • N nonnegative terms
    102.00000
  • N negative terms
    83.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    185.00000
  • Mean of predictor
    0.19798
  • Mean of criterion
    0.30263
  • SD of predictor
    0.11299
  • SD of criterion
    0.14651
  • Covariance
    0.00598
  • r
    0.36129
  • b (slope, estimate of beta)
    0.46850
  • a (intercept, estimate of alpha)
    0.20988
  • Mean Square Error
    0.01877
  • DF error
    183.00000
  • t(b)
    5.24156
  • p(b)
    0.27510
  • t(a)
    1.27991
  • p(a)
    0.44012
  • Lowerbound of 95% confidence interval for beta
    0.29215
  • Upperbound of 95% confidence interval for beta
    0.64485
  • Lowerbound of 95% confidence interval for alpha
    -0.11366
  • Upperbound of 95% confidence interval for alpha
    0.53342
  • Treynor index (mean / b)
    0.64597
  • Jensen alpha (a)
    0.20988
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01364
  • Expected Shortfall on VaR
    0.01736
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00602
  • Expected Shortfall on VaR
    0.01188
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    185.00000
  • Minimum
    0.97276
  • Quartile 1
    0.99595
  • Median
    1.00131
  • Quartile 3
    1.00627
  • Maximum
    1.03967
  • Mean of quarter 1
    0.99038
  • Mean of quarter 2
    0.99892
  • Mean of quarter 3
    1.00350
  • Mean of quarter 4
    1.01264
  • Inter Quartile Range
    0.01032
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.01622
  • Mean of outliers low
    0.97648
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.01622
  • Mean of outliers high
    1.02798
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.02814
  • VaR(95%) (moments method)
    0.00906
  • Expected Shortfall (moments method)
    0.01235
  • Extreme Value Index (regression method)
    0.09380
  • VaR(95%) (regression method)
    0.01011
  • Expected Shortfall (regression method)
    0.01456
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    12.00000
  • Minimum
    0.00131
  • Quartile 1
    0.00667
  • Median
    0.02328
  • Quartile 3
    0.04862
  • Maximum
    0.05807
  • Mean of quarter 1
    0.00419
  • Mean of quarter 2
    0.01427
  • Mean of quarter 3
    0.03729
  • Mean of quarter 4
    0.05503
  • Inter Quartile Range
    0.04195
  • 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)
    -19.69060
  • VaR(95%) (moments method)
    0.05701
  • Expected Shortfall (moments method)
    0.05701
  • Extreme Value Index (regression method)
    -2.33201
  • VaR(95%) (regression method)
    0.06187
  • Expected Shortfall (regression method)
    0.06209
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.37230
  • Compounded annual return (geometric extrapolation)
    0.39172
  • Calmar ratio (compounded annual return / max draw down)
    6.74568
  • Compounded annual return / average of 25% largest draw downs
    7.11800
  • Compounded annual return / Expected Shortfall lognormal
    22.56760
  • 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
    0.31755
  • SD
    0.14515
  • Sharpe ratio (Glass type estimate)
    2.18771
  • Sharpe ratio (Hedges UMVUE)
    2.17506
  • df
    130.00000
  • t
    1.54694
  • p
    0.43278
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.60095
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.96812
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.60933
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.95945
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.61467
  • Upside Potential Ratio
    11.79050
  • Upside part of mean
    1.03581
  • Downside part of mean
    -0.71825
  • Upside SD
    0.11652
  • Downside SD
    0.08785
  • N nonnegative terms
    72.00000
  • N negative terms
    59.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.18182
  • Mean of criterion
    0.31755
  • SD of predictor
    0.10776
  • SD of criterion
    0.14515
  • Covariance
    0.00396
  • r
    0.25302
  • b (slope, estimate of beta)
    0.34084
  • a (intercept, estimate of alpha)
    0.25558
  • Mean Square Error
    0.01987
  • DF error
    129.00000
  • t(b)
    2.97044
  • p(b)
    0.34066
  • t(a)
    1.27501
  • p(a)
    0.42913
  • Lowerbound of 95% confidence interval for beta
    0.11382
  • Upperbound of 95% confidence interval for beta
    0.56787
  • Lowerbound of 95% confidence interval for alpha
    -0.14102
  • Upperbound of 95% confidence interval for alpha
    0.65219
  • Treynor index (mean / b)
    0.93168
  • Jensen alpha (a)
    0.25558
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.30692
  • SD
    0.14474
  • Sharpe ratio (Glass type estimate)
    2.12050
  • Sharpe ratio (Hedges UMVUE)
    2.10824
  • df
    130.00000
  • t
    1.49942
  • p
    0.43481
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.66726
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.90027
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.67538
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.89187
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.46751
  • Upside Potential Ratio
    11.62530
  • Upside part of mean
    1.02900
  • Downside part of mean
    -0.72208
  • Upside SD
    0.11539
  • Downside SD
    0.08851
  • N nonnegative terms
    72.00000
  • N negative terms
    59.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.17597
  • Mean of criterion
    0.30692
  • SD of predictor
    0.10791
  • SD of criterion
    0.14474
  • Covariance
    0.00401
  • r
    0.25676
  • b (slope, estimate of beta)
    0.34441
  • a (intercept, estimate of alpha)
    0.24632
  • Mean Square Error
    0.01972
  • DF error
    129.00000
  • t(b)
    3.01743
  • p(b)
    0.33835
  • t(a)
    1.23399
  • p(a)
    0.43137
  • VAR (95 Confidence Intrvl)
    0.01400
  • Lowerbound of 95% confidence interval for beta
    0.11858
  • Upperbound of 95% confidence interval for beta
    0.57024
  • Lowerbound of 95% confidence interval for alpha
    -0.14862
  • Upperbound of 95% confidence interval for alpha
    0.64125
  • Treynor index (mean / b)
    0.89115
  • Jensen alpha (a)
    0.24632
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01345
  • Expected Shortfall on VaR
    0.01712
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00593
  • Expected Shortfall on VaR
    0.01158
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97276
  • Quartile 1
    0.99599
  • Median
    1.00105
  • Quartile 3
    1.00633
  • Maximum
    1.03967
  • Mean of quarter 1
    0.99079
  • Mean of quarter 2
    0.99864
  • Mean of quarter 3
    1.00329
  • Mean of quarter 4
    1.01262
  • Inter Quartile Range
    0.01035
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.00763
  • Mean of outliers low
    0.97276
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.01527
  • Mean of outliers high
    1.03099
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.00370
  • VaR(95%) (moments method)
    0.00870
  • Expected Shortfall (moments method)
    0.01161
  • Extreme Value Index (regression method)
    0.03164
  • VaR(95%) (regression method)
    0.00914
  • Expected Shortfall (regression method)
    0.01250
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00487
  • Quartile 1
    0.01634
  • Median
    0.03778
  • Quartile 3
    0.04940
  • Maximum
    0.05605
  • Mean of quarter 1
    0.00564
  • Mean of quarter 2
    0.03202
  • Mean of quarter 3
    0.04783
  • Mean of quarter 4
    0.05351
  • Inter Quartile Range
    0.03306
  • 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
  • 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?
    -299973000
  • Max Equity Drawdown (num days)
    23
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.36449
  • Compounded annual return (geometric extrapolation)
    0.39770
  • Calmar ratio (compounded annual return / max draw down)
    7.09514
  • Compounded annual return / average of 25% largest draw downs
    7.43179
  • Compounded annual return / Expected Shortfall lognormal
    23.23060

Strategy Description

***This is a HIGH RISK, HIGH REWARD system, please invest responsibly***

The core of the strategy is a natural language processing algorithm that selects individual equities that are potential high-return, short-term holdings. These individual equities are held for around 8-24 hours to capture that short-term potential. This is what drives the majority of the system's returns.

The remainder of the strategy is a hedge to help keep returns more consistent. The hedge consists of leveraged long positions in equity indexes, long-term bonds, and gold. Additionally, the hedge is short positions in energy/agricultural commodities and volatility. This provides the trading strategy incremental returns and enhanced stability.

I primarily use this strategy for trading my own account. Please reach out if you have any questions, and I am always happy to meet other members of the community!

REQUIREMENTS:
1. Margin & shorting enabled account required.
2. Both large and small accounts can use the strategy, however, smaller account may have to rescale every few months.
3. When starting the system make sure to Enter Existing Open Positions
4. High risk system using leverage ETFs, please invest only what you can afford to lose.

Summary Statistics

Includes fees & commissions C2 Israel
Strategy began
2021-03-13
Suggested Minimum Capital
$35,000
# Trades
903
# Profitable
433
% Profitable
48.0%
Net Dividends
Correlation S&P500
0.349
Sharpe Ratio
1.58
Sortino Ratio
2.46
Beta
0.47
Alpha
0.05
Leverage
1.41 Average
1.76 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.

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.

0