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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 05/23/2022
Most recent certification approved 5/23/22 9:32 ET
Trades at broker C2 Gateway
Scaling percentage used 100%
# trading signals issued by system since certification 3,203
# trading signals executed in manager's C2 Gateway account 3,203
Percent signals followed since 05/23/2022 100%
This information was last updated 10/18/24 3:19 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 05/23/2022, 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.

SP500 Stocks spike Live

Created by: FabianKlare FabianKlare
Started: 05/2022
Stocks
Last trade: 3 days ago
Trading style: Equity Short-term Reversal

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 $49.00 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
Short-term Reversal
Category: Equity

Short-term Reversal

Exploits the tendency of stocks with strong gains and stocks with strong losses to reverse in a short-term time frame (up to one month).
13.2%
Annual Return (Compounded)

Rate of Return Calculations

Overview

To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.

How Annualized (Compounded) Rate of Return is calculated

= ((Ending_equity / Starting_equity) ^ (1 / age_in_years)) - 1

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

All results are hypothetical.

(20.8%)
Max Drawdown
1593
Num Trades
58.9%
Win Trades
1.2 : 1
Profit Factor
56.7%
Win Months
Hypothetical Monthly Returns (includes system fee and C2 Israel commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022                            +13.7%+3.9%+7.1%(0.6%)(4.8%)+20.8%+12.4%(1.1%)+60.9%
2023+0.9%(0.5%)(9.3%)+1.6%+0.7%(0.3%)+3.0%(4.5%)(3.9%)(0.6%)+8.0%+4.5%(1.8%)
2024(4%)+4.6%+3.2%(5.7%)+2.4%+0.8%+3.9%(14.8%)+0.9%(5%)            (14.5%)

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.

System developer has asked us to delay this information by 48 hours.

Trading Record

This strategy has placed 3,203 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
9/25/24 15:47 LUV SOUTHWEST AIRLINES LONG 169 28.44 10/14 15:59 30.36 0.02%
Trade id #149507462
Max drawdown($14)
Time9/25/24 15:56
Quant open169
Worst price28.36
Drawdown as % of equity-0.02%
 $321
Includes Typical Broker Commissions trade costs of $4.31
10/7/24 14:30 VST VISTRA CORP LONG 36 129.37 10/14 9:37 129.80 0.62%
Trade id #149597339
Max drawdown($535)
Time10/11/24 0:00
Quant open36
Worst price114.50
Drawdown as % of equity-0.62%
 $13
Includes Typical Broker Commissions trade costs of $1.80
10/11/24 9:32 CEG CONSTELLATION ENERGY CORPORATION LONG 19 249.97 10/14 9:30 267.48 n/a $333
Includes Typical Broker Commissions trade costs of $0.49
10/10/24 9:48 @MESZ4 MICRO E-MINI S&P 500 LONG 5 5814.00 10/11 15:59 5860.75 0.07%
Trade id #149627358
Max drawdown($56)
Time10/10/24 14:43
Quant open5
Worst price5811.75
Drawdown as % of equity-0.07%
 $1,149
Includes Typical Broker Commissions trade costs of $20.00
10/10/24 13:40 FSLR FIRST SOLAR INC LONG 22 203.50 10/11 9:30 207.61 0.01%
Trade id #149631103
Max drawdown($7)
Time10/10/24 13:50
Quant open22
Worst price203.18
Drawdown as % of equity-0.01%
 $89
Includes Typical Broker Commissions trade costs of $0.56
10/4/24 10:39 SWK STANLEY BLACK & DECKER LONG 46 106.56 10/9 9:42 106.88 0.07%
Trade id #149579279
Max drawdown($58)
Time10/8/24 0:00
Quant open46
Worst price105.28
Drawdown as % of equity-0.07%
 $14
Includes Typical Broker Commissions trade costs of $1.17
10/8/24 9:41 SMCI SUPER MICRO COMPUTER LONG 100 45.76 10/9 9:30 46.38 0.2%
Trade id #149604449
Max drawdown($170)
Time10/8/24 14:34
Quant open100
Worst price44.06
Drawdown as % of equity-0.20%
 $59
Includes Typical Broker Commissions trade costs of $2.55
10/8/24 10:50 MPC MARATHON PETROLEUM LONG 29 157.96 10/9 9:30 158.85 0.03%
Trade id #149605990
Max drawdown($23)
Time10/8/24 11:07
Quant open29
Worst price157.15
Drawdown as % of equity-0.03%
 $25
Includes Typical Broker Commissions trade costs of $0.74
10/7/24 14:05 @MESZ4 MICRO E-MINI S&P 500 SHORT 5 5764.25 10/8 9:30 5772.75 0.3%
Trade id #149597158
Max drawdown($256)
Time10/8/24 9:29
Quant open5
Worst price5774.50
Drawdown as % of equity-0.30%
 ($233)
Includes Typical Broker Commissions trade costs of $20.00
10/4/24 9:54 @MESZ4 MICRO E-MINI S&P 500 LONG 5 5782.50 10/7 14:04 5764.00 0.92%
Trade id #149578272
Max drawdown($793)
Time10/4/24 10:37
Quant open5
Worst price5750.75
Drawdown as % of equity-0.92%
 ($483)
Includes Typical Broker Commissions trade costs of $20.00
10/4/24 10:37 URI UNITED RENTALS LONG 6 784.18 10/7 10:51 795.35 0.03%
Trade id #149579269
Max drawdown($22)
Time10/7/24 9:30
Quant open6
Worst price780.42
Drawdown as % of equity-0.03%
 $67
Includes Typical Broker Commissions trade costs of $0.15
10/1/24 12:43 INTC INTEL LONG 215 22.43 10/4 15:59 22.59 0.19%
Trade id #149552440
Max drawdown($167)
Time10/3/24 0:00
Quant open215
Worst price21.65
Drawdown as % of equity-0.19%
 $24
Includes Typical Broker Commissions trade costs of $10.76
9/25/24 14:08 TECH BIO-TECHNE CORP COMMON STOCK LONG 64 74.65 10/4 15:59 74.76 0.06%
Trade id #149506416
Max drawdown($48)
Time10/3/24 0:00
Quant open64
Worst price73.89
Drawdown as % of equity-0.06%
 $5
Includes Typical Broker Commissions trade costs of $1.63
10/3/24 12:42 DAL DELTA AIR LINES LONG 104 47.21 10/4 9:30 49.40 0.04%
Trade id #149571098
Max drawdown($32)
Time10/3/24 13:00
Quant open104
Worst price46.90
Drawdown as % of equity-0.04%
 $225
Includes Typical Broker Commissions trade costs of $2.65
10/2/24 9:40 FSLR FIRST SOLAR INC LONG 21 232.73 10/4 9:30 239.92 0.11%
Trade id #149559047
Max drawdown($97)
Time10/2/24 9:56
Quant open21
Worst price228.10
Drawdown as % of equity-0.11%
 $150
Includes Typical Broker Commissions trade costs of $1.06
10/1/24 14:39 HUM HUMANA LONG 16 291.37 10/3 15:59 242.10 1.44%
Trade id #149553702
Max drawdown($1,248)
Time10/2/24 0:00
Quant open16
Worst price213.31
Drawdown as % of equity-1.44%
 ($788)
Includes Typical Broker Commissions trade costs of $0.41
10/1/24 10:28 TSLA TESLA INC. LONG 19 251.11 10/3 15:59 241.02 0.29%
Trade id #149549874
Max drawdown($252)
Time10/3/24 14:31
Quant open19
Worst price237.81
Drawdown as % of equity-0.29%
 ($193)
Includes Typical Broker Commissions trade costs of $0.96
10/2/24 9:36 @MESZ4 MICRO E-MINI S&P 500 LONG 5 5740.25 10/3 15:59 5751.75 0.45%
Trade id #149558921
Max drawdown($393)
Time10/2/24 9:45
Quant open5
Worst price5724.50
Drawdown as % of equity-0.45%
 $268
Includes Typical Broker Commissions trade costs of $20.00
9/26/24 10:55 CRWD CROWDSTRIKE HOLDINGS INC. CLASS A LONG 17 278.44 10/2 15:59 280.25 0.11%
Trade id #149514656
Max drawdown($98)
Time10/1/24 0:00
Quant open17
Worst price272.67
Drawdown as % of equity-0.11%
 $30
Includes Typical Broker Commissions trade costs of $0.86
10/1/24 13:29 NCLH NORWEGIAN CRUISE LINE HOLDINGS LONG 247 19.60 10/2 15:59 19.85 0.07%
Trade id #149552831
Max drawdown($61)
Time10/2/24 9:31
Quant open247
Worst price19.35
Drawdown as % of equity-0.07%
 $57
Includes Typical Broker Commissions trade costs of $6.30
9/20/24 15:17 QCOM QUALCOMM LONG 29 165.08 10/2 15:59 168.42 0.03%
Trade id #149472285
Max drawdown($29)
Time10/1/24 0:00
Quant open29
Worst price164.08
Drawdown as % of equity-0.03%
 $96
Includes Typical Broker Commissions trade costs of $0.74
9/26/24 13:21 VST VISTRA CORP LONG 42 114.72 10/2 12:37 127.50 0.05%
Trade id #149517011
Max drawdown($46)
Time9/26/24 15:40
Quant open42
Worst price113.62
Drawdown as % of equity-0.05%
 $535
Includes Typical Broker Commissions trade costs of $2.10
9/30/24 14:21 ULTA ULTA BEAUTY INC LONG 12 386.61 10/1 15:59 379.05 0.13%
Trade id #149543431
Max drawdown($114)
Time10/1/24 11:15
Quant open12
Worst price377.07
Drawdown as % of equity-0.13%
 ($91)
Includes Typical Broker Commissions trade costs of $0.31
9/30/24 9:32 CCL CARNIVAL LONG 271 17.77 10/1 15:59 18.02 0.07%
Trade id #149539624
Max drawdown($65)
Time9/30/24 9:35
Quant open271
Worst price17.53
Drawdown as % of equity-0.07%
 $52
Includes Typical Broker Commissions trade costs of $13.56
9/23/24 13:01 @MESZ4 MICRO E-MINI S&P 500 LONG 5 5762.00 10/1 11:08 5737.75 0.71%
Trade id #149485737
Max drawdown($612)
Time10/1/24 11:08
Quant open5
Worst price5737.50
Drawdown as % of equity-0.71%
 ($626)
Includes Typical Broker Commissions trade costs of $20.00
9/27/24 9:35 UHS UNIVERSAL HEALTH SERVICES LONG 21 229.01 9/30 15:59 229.28 0.41%
Trade id #149523434
Max drawdown($355)
Time9/30/24 9:41
Quant open21
Worst price212.07
Drawdown as % of equity-0.41%
 $5
Includes Typical Broker Commissions trade costs of $0.54
9/26/24 12:40 TRGP TARGA RESOURCES LONG 32 146.68 9/27 15:59 146.88 0.09%
Trade id #149516505
Max drawdown($76)
Time9/27/24 9:48
Quant open32
Worst price144.30
Drawdown as % of equity-0.09%
 $5
Includes Typical Broker Commissions trade costs of $0.82
9/26/24 10:24 PAYC PAYCOM SOFTWARE INC LONG 29 162.75 9/27 15:59 167.69 0.16%
Trade id #149513797
Max drawdown($137)
Time9/26/24 10:53
Quant open29
Worst price158.03
Drawdown as % of equity-0.16%
 $142
Includes Typical Broker Commissions trade costs of $0.74
9/25/24 10:26 CRL CHARLES RIVER LONG 25 191.67 9/26 15:59 198.38 0.03%
Trade id #149502731
Max drawdown($23)
Time9/25/24 10:50
Quant open25
Worst price190.72
Drawdown as % of equity-0.03%
 $167
Includes Typical Broker Commissions trade costs of $1.24
9/20/24 9:31 GEV GE VERNOVA INC SHORT 20 246.01 9/24 9:30 252.82 0.19%
Trade id #149466041
Max drawdown($168)
Time9/24/24 9:30
Quant open20
Worst price254.45
Drawdown as % of equity-0.19%
 ($137)
Includes Typical Broker Commissions trade costs of $0.51
Next

Statistics

  • Strategy began
    5/18/2022
  • Suggested Minimum Cap
    $90,000
  • Strategy Age (days)
    883.93
  • Age
    29 months ago
  • What it trades
    Stocks
  • # Trades
    1593
  • # Profitable
    938
  • % Profitable
    58.90%
  • Avg trade duration
    6.2 days
  • Max peak-to-valley drawdown
    20.78%
  • drawdown period
    April 28, 2023 - Sept 05, 2023
  • Annual Return (Compounded)
    15.4%
  • Avg win
    $194.80
  • Avg loss
    $235.35
  • Model Account Values (Raw)
  • Cash
    $87,311
  • Margin Used
    $7,300
  • Buying Power
    $78,583
  • Ratios
  • W:L ratio
    1.20:1
  • Sharpe Ratio
    0.54
  • Sortino Ratio
    0.85
  • Calmar Ratio
    1.139
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -7.26%
  • Correlation to SP500
    0.41910
  • Return Percent SP500 (cumu) during strategy life
    48.88%
  • Return Statistics
  • Ann Return (w trading costs)
    15.4%
  • Slump
  • Current Slump as Pcnt Equity
    21.10%
  • Instruments
  • Percent Trades Futures
    0.01%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.09%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.154%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    0.99%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    18.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    66.50%
  • Chance of 20% account loss
    34.00%
  • Chance of 30% account loss
    15.00%
  • Chance of 40% account loss
    6.50%
  • 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
  • Chance of 100% 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)
    0
  • Popularity (Last 6 weeks)
    764
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Performance-weighted percentile
    401
  • Popularity (7 days, Percentile 1000 scale)
    405
  • Trades-Own-System Certification
  • Trades Own System?
    Yes
  • TOS percent
    100%
  • Win / Loss
  • Avg Loss
    $235
  • Avg Win
    $195
  • Sum Trade PL (losers)
    $154,152.000
  • Age
  • Num Months filled monthly returns table
    30
  • Win / Loss
  • Sum Trade PL (winners)
    $182,718.000
  • # Winners
    938
  • Num Months Winners
    17
  • Dividends
  • Dividends Received in Model Acct
    2147
  • AUM
  • AUM (AutoTrader live capital)
    91196
  • Win / Loss
  • # Losers
    655
  • % Winners
    58.9%
  • Frequency
  • Avg Position Time (mins)
    8974.43
  • Avg Position Time (hrs)
    149.57
  • Avg Trade Length
    6.2 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    0.84
  • Daily leverage (max)
    4.68
  • Regression
  • Alpha
    0.02
  • Beta
    0.60
  • Treynor Index
    0.07
  • 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)
    -0.19
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    28.180
  • 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
    1.190
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.833
  • Hold-and-Hope Ratio
    0.036
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.18677
  • SD
    0.24948
  • Sharpe ratio (Glass type estimate)
    0.74864
  • Sharpe ratio (Hedges UMVUE)
    0.72762
  • df
    27.00000
  • t
    1.14357
  • p
    0.13142
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.55647
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.04034
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.57007
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.02531
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.66860
  • Upside Potential Ratio
    3.34335
  • Upside part of mean
    0.37423
  • Downside part of mean
    -0.18746
  • Upside SD
    0.22449
  • Downside SD
    0.11193
  • N nonnegative terms
    16.00000
  • N negative terms
    12.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    28.00000
  • Mean of predictor
    0.14602
  • Mean of criterion
    0.18677
  • SD of predictor
    0.15353
  • SD of criterion
    0.24948
  • Covariance
    0.01482
  • r
    0.38694
  • b (slope, estimate of beta)
    0.62877
  • a (intercept, estimate of alpha)
    0.09495
  • Mean Square Error
    0.05496
  • DF error
    26.00000
  • t(b)
    2.13970
  • p(b)
    0.02097
  • t(a)
    0.59587
  • p(a)
    0.27821
  • Lowerbound of 95% confidence interval for beta
    0.02473
  • Upperbound of 95% confidence interval for beta
    1.23280
  • Lowerbound of 95% confidence interval for alpha
    -0.23260
  • Upperbound of 95% confidence interval for alpha
    0.42251
  • Treynor index (mean / b)
    0.29704
  • Jensen alpha (a)
    0.09495
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.15752
  • SD
    0.23528
  • Sharpe ratio (Glass type estimate)
    0.66951
  • Sharpe ratio (Hedges UMVUE)
    0.65071
  • df
    27.00000
  • t
    1.02269
  • p
    0.15776
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.63187
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.95881
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.64407
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.94549
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.34675
  • Upside Potential Ratio
    3.00244
  • Upside part of mean
    0.35118
  • Downside part of mean
    -0.19366
  • Upside SD
    0.20437
  • Downside SD
    0.11696
  • N nonnegative terms
    16.00000
  • N negative terms
    12.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    28.00000
  • Mean of predictor
    0.13353
  • Mean of criterion
    0.15752
  • SD of predictor
    0.15376
  • SD of criterion
    0.23528
  • Covariance
    0.01382
  • r
    0.38211
  • b (slope, estimate of beta)
    0.58469
  • a (intercept, estimate of alpha)
    0.07945
  • Mean Square Error
    0.04909
  • DF error
    26.00000
  • t(b)
    2.10836
  • p(b)
    0.02240
  • t(a)
    0.53070
  • p(a)
    0.30007
  • Lowerbound of 95% confidence interval for beta
    0.01465
  • Upperbound of 95% confidence interval for beta
    1.15473
  • Lowerbound of 95% confidence interval for alpha
    -0.22827
  • Upperbound of 95% confidence interval for alpha
    0.38716
  • Treynor index (mean / b)
    0.26941
  • Jensen alpha (a)
    0.07945
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.09389
  • Expected Shortfall on VaR
    0.11896
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03255
  • Expected Shortfall on VaR
    0.06551
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    28.00000
  • Minimum
    0.89694
  • Quartile 1
    0.98167
  • Median
    1.01405
  • Quartile 3
    1.03709
  • Maximum
    1.27014
  • Mean of quarter 1
    0.94827
  • Mean of quarter 2
    0.99639
  • Mean of quarter 3
    1.02189
  • Mean of quarter 4
    1.10502
  • Inter Quartile Range
    0.05541
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.07143
  • Mean of outliers low
    0.89705
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.10714
  • Mean of outliers high
    1.17567
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.07813
  • VaR(95%) (moments method)
    0.04636
  • Expected Shortfall (moments method)
    0.06802
  • Extreme Value Index (regression method)
    -2.20525
  • VaR(95%) (regression method)
    0.04814
  • Expected Shortfall (regression method)
    0.04879
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.01034
  • Quartile 1
    0.01914
  • Median
    0.03179
  • Quartile 3
    0.08832
  • Maximum
    0.11980
  • Mean of quarter 1
    0.01424
  • Mean of quarter 2
    0.02212
  • Mean of quarter 3
    0.04145
  • Mean of quarter 4
    0.11187
  • Inter Quartile Range
    0.06919
  • 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)
    0.23201
  • Compounded annual return (geometric extrapolation)
    0.20373
  • Calmar ratio (compounded annual return / max draw down)
    1.70061
  • Compounded annual return / average of 25% largest draw downs
    1.82110
  • Compounded annual return / Expected Shortfall lognormal
    1.71257
  • 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
    0.17083
  • SD
    0.23053
  • Sharpe ratio (Glass type estimate)
    0.74104
  • Sharpe ratio (Hedges UMVUE)
    0.74015
  • df
    629.00000
  • t
    1.14911
  • p
    0.12547
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.52382
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.00540
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.52445
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.00476
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.14848
  • Upside Potential Ratio
    6.73588
  • Upside part of mean
    1.00193
  • Downside part of mean
    -0.83110
  • Upside SD
    0.17620
  • Downside SD
    0.14875
  • N nonnegative terms
    329.00000
  • N negative terms
    301.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    630.00000
  • Mean of predictor
    0.15124
  • Mean of criterion
    0.17083
  • SD of predictor
    0.16507
  • SD of criterion
    0.23053
  • Covariance
    0.01519
  • r
    0.39907
  • b (slope, estimate of beta)
    0.55733
  • a (intercept, estimate of alpha)
    0.08700
  • Mean Square Error
    0.04475
  • DF error
    628.00000
  • t(b)
    10.90670
  • p(b)
    0.00000
  • t(a)
    0.63336
  • p(a)
    0.26337
  • Lowerbound of 95% confidence interval for beta
    0.45698
  • Upperbound of 95% confidence interval for beta
    0.65768
  • Lowerbound of 95% confidence interval for alpha
    -0.18179
  • Upperbound of 95% confidence interval for alpha
    0.35487
  • Treynor index (mean / b)
    0.30652
  • Jensen alpha (a)
    0.08654
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.14435
  • SD
    0.22990
  • Sharpe ratio (Glass type estimate)
    0.62789
  • Sharpe ratio (Hedges UMVUE)
    0.62714
  • df
    629.00000
  • t
    0.97366
  • p
    0.16530
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.63678
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.89207
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.63728
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.89157
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.93898
  • Upside Potential Ratio
    6.41965
  • Upside part of mean
    0.98692
  • Downside part of mean
    -0.84257
  • Upside SD
    0.17093
  • Downside SD
    0.15374
  • N nonnegative terms
    329.00000
  • N negative terms
    301.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    630.00000
  • Mean of predictor
    0.13759
  • Mean of criterion
    0.14435
  • SD of predictor
    0.16499
  • SD of criterion
    0.22990
  • Covariance
    0.01493
  • r
    0.39374
  • b (slope, estimate of beta)
    0.54865
  • a (intercept, estimate of alpha)
    0.06886
  • Mean Square Error
    0.04473
  • DF error
    628.00000
  • t(b)
    10.73410
  • p(b)
    0.00000
  • t(a)
    0.50423
  • p(a)
    0.30714
  • Lowerbound of 95% confidence interval for beta
    0.44828
  • Upperbound of 95% confidence interval for beta
    0.64902
  • Lowerbound of 95% confidence interval for alpha
    -0.19933
  • Upperbound of 95% confidence interval for alpha
    0.33706
  • Treynor index (mean / b)
    0.26311
  • Jensen alpha (a)
    0.06886
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02255
  • Expected Shortfall on VaR
    0.02832
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00689
  • Expected Shortfall on VaR
    0.01530
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    630.00000
  • Minimum
    0.87474
  • Quartile 1
    0.99742
  • Median
    1.00030
  • Quartile 3
    1.00350
  • Maximum
    1.11976
  • Mean of quarter 1
    0.98842
  • Mean of quarter 2
    0.99915
  • Mean of quarter 3
    1.00168
  • Mean of quarter 4
    1.01378
  • Inter Quartile Range
    0.00608
  • Number outliers low
    41.00000
  • Percentage of outliers low
    0.06508
  • Mean of outliers low
    0.97276
  • Number of outliers high
    45.00000
  • Percentage of outliers high
    0.07143
  • Mean of outliers high
    1.03246
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.50860
  • VaR(95%) (moments method)
    0.00996
  • Expected Shortfall (moments method)
    0.02363
  • Extreme Value Index (regression method)
    0.27945
  • VaR(95%) (regression method)
    0.00933
  • Expected Shortfall (regression method)
    0.01655
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    27.00000
  • Minimum
    0.00026
  • Quartile 1
    0.00329
  • Median
    0.01856
  • Quartile 3
    0.04405
  • Maximum
    0.16507
  • Mean of quarter 1
    0.00132
  • Mean of quarter 2
    0.00894
  • Mean of quarter 3
    0.02872
  • Mean of quarter 4
    0.09627
  • Inter Quartile Range
    0.04076
  • 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
    0.11111
  • Mean of outliers high
    0.14194
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.32336
  • VaR(95%) (moments method)
    0.10046
  • Expected Shortfall (moments method)
    0.12116
  • Extreme Value Index (regression method)
    -0.26254
  • VaR(95%) (regression method)
    0.11154
  • Expected Shortfall (regression method)
    0.13669
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.21342
  • Compounded annual return (geometric extrapolation)
    0.18799
  • Calmar ratio (compounded annual return / max draw down)
    1.13886
  • Compounded annual return / average of 25% largest draw downs
    1.95270
  • Compounded annual return / Expected Shortfall lognormal
    6.63711
  • 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
    -0.20662
  • SD
    0.16898
  • Sharpe ratio (Glass type estimate)
    -1.22276
  • Sharpe ratio (Hedges UMVUE)
    -1.21569
  • df
    130.00000
  • t
    -0.86462
  • p
    0.53781
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.99625
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.55533
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.99143
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.56005
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.43718
  • Upside Potential Ratio
    4.84937
  • Upside part of mean
    0.69720
  • Downside part of mean
    -0.90382
  • Upside SD
    0.08849
  • Downside SD
    0.14377
  • N nonnegative terms
    69.00000
  • N negative terms
    62.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.28760
  • Mean of criterion
    -0.20662
  • SD of predictor
    0.13210
  • SD of criterion
    0.16898
  • Covariance
    0.01327
  • r
    0.59433
  • b (slope, estimate of beta)
    0.76029
  • a (intercept, estimate of alpha)
    -0.42528
  • Mean Square Error
    0.01861
  • DF error
    129.00000
  • t(b)
    8.39365
  • p(b)
    0.14527
  • t(a)
    -2.18448
  • p(a)
    0.61952
  • Lowerbound of 95% confidence interval for beta
    0.58108
  • Upperbound of 95% confidence interval for beta
    0.93951
  • Lowerbound of 95% confidence interval for alpha
    -0.81047
  • Upperbound of 95% confidence interval for alpha
    -0.04010
  • Treynor index (mean / b)
    -0.27177
  • Jensen alpha (a)
    -0.42528
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.22110
  • SD
    0.17114
  • Sharpe ratio (Glass type estimate)
    -1.29193
  • Sharpe ratio (Hedges UMVUE)
    -1.28447
  • df
    130.00000
  • t
    -0.91354
  • p
    0.53993
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.06577
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.48673
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.06067
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.49173
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.50512
  • Upside Potential Ratio
    4.71934
  • Upside part of mean
    0.69326
  • Downside part of mean
    -0.91436
  • Upside SD
    0.08759
  • Downside SD
    0.14690
  • N nonnegative terms
    69.00000
  • N negative terms
    62.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.27874
  • Mean of criterion
    -0.22110
  • SD of predictor
    0.13233
  • SD of criterion
    0.17114
  • Covariance
    0.01353
  • r
    0.59752
  • b (slope, estimate of beta)
    0.77275
  • a (intercept, estimate of alpha)
    -0.43649
  • Mean Square Error
    0.01898
  • DF error
    129.00000
  • t(b)
    8.46345
  • p(b)
    0.14364
  • t(a)
    -2.22161
  • p(a)
    0.62145
  • VAR (95 Confidence Intrvl)
    0.02300
  • Lowerbound of 95% confidence interval for beta
    0.59210
  • Upperbound of 95% confidence interval for beta
    0.95339
  • Lowerbound of 95% confidence interval for alpha
    -0.82522
  • Upperbound of 95% confidence interval for alpha
    -0.04776
  • Treynor index (mean / b)
    -0.28612
  • Jensen alpha (a)
    -0.43649
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01807
  • Expected Shortfall on VaR
    0.02239
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00751
  • Expected Shortfall on VaR
    0.01620
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.94237
  • Quartile 1
    0.99622
  • Median
    1.00065
  • Quartile 3
    1.00389
  • Maximum
    1.03784
  • Mean of quarter 1
    0.98807
  • Mean of quarter 2
    0.99848
  • Mean of quarter 3
    1.00196
  • Mean of quarter 4
    1.00883
  • Inter Quartile Range
    0.00767
  • Number outliers low
    7.00000
  • Percentage of outliers low
    0.05344
  • Mean of outliers low
    0.96839
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.01527
  • Mean of outliers high
    1.02723
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.65770
  • VaR(95%) (moments method)
    0.01274
  • Expected Shortfall (moments method)
    0.03920
  • Extreme Value Index (regression method)
    0.30702
  • VaR(95%) (regression method)
    0.00958
  • Expected Shortfall (regression method)
    0.01612
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    11.00000
  • Minimum
    0.00176
  • Quartile 1
    0.00249
  • Median
    0.01375
  • Quartile 3
    0.02638
  • Maximum
    0.16507
  • Mean of quarter 1
    0.00208
  • Mean of quarter 2
    0.00638
  • Mean of quarter 3
    0.02184
  • Mean of quarter 4
    0.07620
  • Inter Quartile Range
    0.02388
  • 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
    0.09091
  • Mean of outliers high
    0.16507
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.62288
  • VaR(95%) (moments method)
    0.08375
  • Expected Shortfall (moments method)
    0.25150
  • Extreme Value Index (regression method)
    2.96717
  • VaR(95%) (regression method)
    0.22416
  • 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?
    -406895000
  • Max Equity Drawdown (num days)
    130
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.18415
  • Compounded annual return (geometric extrapolation)
    -0.17568
  • Calmar ratio (compounded annual return / max draw down)
    -1.06428
  • Compounded annual return / average of 25% largest draw downs
    -2.30553
  • Compounded annual return / Expected Shortfall lognormal
    -7.84597

Strategy Description

There are 2 main systems. The 1st main system trades all stocks from the S&P 500.
The 2nd main system trades the SPY. Since I, as an EU citizen, cannot trade the SPY directly, I trade this system with the E-Mirco Future. (If you want to trade SPY directly, then check out my non-TOS systems.)
The 1st system is leading. The SPY system only becomes active if there are few trades open in the 1st system.
The SPY system always trades with half of the total capital including leverage!
The SPY trade cannot be closed until the next day at the earliest! Then a stop loss of 0.3% and a take profit of 2.3% apply!

The 1st main system generate trades from several subsystems. There are both long subsystems and short subsystems. All subsystems run fully automatically and before trading begins, the stocks that are eligible for a trade are selected. If the stock reaches the price generated by my system intraday, the trade is entered.
There is no classic stop loss, but if a trade has lost 10% (long trade) or 8% (short trade) or more, it will be closed the next day.
To prevent stocks from being bought in a crash, there are several safety features. These security features can cause my system to close positions in a pullback as the system anticipates further losses. See August 2024 and March 2023. This is unpleasant, but necessary. In a crash, the losses would be many times higher.

Max 60 trades can be open at the same time.
Each trade is therefore entered into with 1/60th of the available capital (incl. leverage). There is no weighting that a trade is entered with more capital. In addition, there is no martingale or something like that. When a trade is open on a stock, another subsystem cannot open a trade until the open trade has been closed.

No intraday trading! Opened trades cannot be closed until the next day.
No Pattern Day Trader!

The majority of subsystems are not trend following systems! Therefore, the performance in strong bull markets is worse than the S&P 500 (for example the year 2023).
The core systems try to generate profits from a countermovement when stocks are overbought or oversold.
See for example the year 2022:
S&P 500:
YTD -18% DD -26%
My System (with 3.5 leverage):
YTD: 61% DD -20%
My system had a smaller draw down even though I trade with a maximum leverage of 3.5.

I recommend at least $10,000 for my system. Since up to 60 trades can be open at a time, at $10,000 only $583 per trade is buying shares.

Max leverage 3.5 (also overnight max leverage 3.5!)

The scaling factor for autotrading must be determined using the following formula:
("your capital"
divided by
"current equity of the system")
divided by
(3.5 (my max leverage)
divided by "your leverage").

So if you want to invest $10,000 in my system with a leverage of 2 and my current equity is $84.000, that would be a scaling factor of:
($10,000 / $84.000(get the current equity!!!) / (3.5 / 2) = 8%.

If you only want to trade the long systems, you can follow this system.
https://collective2.com/details/148698883
There is only a max leverage of 2 here!

If you have any questions, get in touch with me.

Summary Statistics

Includes fees & commissions C2 Israel
Strategy began
2022-05-18
Risk Score
Extreme
Suggested Minimum Capital
$90,000
# Trades
1593
# Profitable
938
% Profitable
58.9%
Net Dividends
$2,147
Correlation S&P500
0.419
Sharpe Ratio
0.54
Sortino Ratio
0.85
Beta
0.60
Alpha
0.02
Leverage
0.84 Average
4.68 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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This strategy is now visible to the public. New subscribers will be able to follow it.

If you designate your strategy as Private, it will no longer be visible to the public.

No subscribers and simulations will be allowed. If you have subscribers, the strategy will still be visible to them.
If you have simulations, they will be stopped.

Continue to designate your strategy as Private?

Mark as Private Keep Public

Strategy is no longer visible

This strategy is no longer visible to anyone except current subscribers.

(Current subscribers will remain subscribed. You can see who is subscribed, and control their subscriptions, on your Subscriber Management screen.)

Finally, please note that you can restore public visibility at any time.

This strategy is no longer visible to the public. No subscribers will be allowed.

You can restore public visibility at any time.

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.

Designated strategy risk score