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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 06/25/2020
Most recent certification approved 6/25/20 9:34 ET
Trades at broker Interactive Brokers (Stocks, Options, Futures)
Scaling percentage used 100%
# trading signals issued by system since certification 69
# trading signals executed in manager's Interactive Brokers (Stocks, Options, Futures) account 38
Percent signals followed since 06/25/2020 55.1%
This information was last updated 7/6/20 16:59 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 06/25/2020, 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.

Seek Alpha
(128022277)

Created by: SeekAlpha SeekAlpha
Started: 03/2020
Stocks
Last trade: Today
Trading style: Equity Hedged Equity Pairs Trading / Relative Value

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 $125.00 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.
Pairs Trading / Relative Value
Category: Equity

Pairs Trading / Relative Value

Seeks to exploit differences in the price or rate of the same or similar securities. The relative value fund trades on gaps, rather than the price of a specific security alone
63.1%
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.

(14.7%)
Max Drawdown
154
Num Trades
67.5%
Win Trades
3.2 : 1
Profit Factor
100.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020              +20.9%+21.2%+3.2%+5.0%+2.7%                              +63.1%

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 170 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
7/2/20 9:32 SPXU PROSHARES ULTRAPRO SHORT S&P50 LONG 150 11.12 7/6 13:40 10.92 0.06%
Trade id #129876665
Max drawdown($17)
Time7/2/20 10:02
Quant open150
Worst price11.00
Drawdown as % of equity-0.06%
($33)
Includes Typical Broker Commissions trade costs of $3.00
7/2/20 9:36 YRCW YRC WORLDWIDE LONG 300 2.98 7/2 15:51 3.06 0.08%
Trade id #129876949
Max drawdown($23)
Time7/2/20 9:50
Quant open300
Worst price2.90
Drawdown as % of equity-0.08%
$19
Includes Typical Broker Commissions trade costs of $6.00
7/2/20 12:21 API AGORA INC. AMERICAN DEPOSITARY SHARES LONG 50 52.46 7/2 12:58 54.08 0.01%
Trade id #129881363
Max drawdown($4)
Time7/2/20 12:24
Quant open50
Worst price52.38
Drawdown as % of equity-0.01%
$80
Includes Typical Broker Commissions trade costs of $1.00
6/29/20 13:14 SPXU PROSHARES ULTRAPRO SHORT S&P50 LONG 150 12.44 7/2 9:30 11.15 0.69%
Trade id #129806540
Max drawdown($195)
Time7/2/20 9:30
Quant open150
Worst price11.14
Drawdown as % of equity-0.69%
($197)
Includes Typical Broker Commissions trade costs of $3.00
7/1/20 10:40 YRCW YRC WORLDWIDE LONG 600 2.92 7/1 12:51 3.23 0.12%
Trade id #129844885
Max drawdown($34)
Time7/1/20 10:43
Quant open500
Worst price2.86
Drawdown as % of equity-0.12%
$172
Includes Typical Broker Commissions trade costs of $12.00
6/29/20 13:06 RUBI THE RUBICON PROJECT INC LONG 75 6.56 7/1 9:30 6.82 0.02%
Trade id #129806353
Max drawdown($4)
Time6/29/20 15:11
Quant open75
Worst price6.50
Drawdown as % of equity-0.02%
$19
Includes Typical Broker Commissions trade costs of $1.50
6/30/20 14:18 @MNQU0 MICRO E-MINI NASDAQ 100 SHORT 10 10064.01 6/30 14:28 10076.17 1.12%
Trade id #129826492
Max drawdown($319)
Time6/30/20 14:28
Quant open10
Worst price10080.00
Drawdown as % of equity-1.12%
($252)
Includes Typical Broker Commissions trade costs of $9.40
6/29/20 13:10 RCL ROYAL CARIBBEAN CRUISES SHORT 100 49.07 6/29 13:27 50.02 0.34%
Trade id #129806421
Max drawdown($97)
Time6/29/20 13:27
Quant open100
Worst price50.05
Drawdown as % of equity-0.34%
($96)
Includes Typical Broker Commissions trade costs of $2.00
6/26/20 11:37 RCL ROYAL CARIBBEAN CRUISES SHORT 72 46.85 6/29 13:01 49.14 0.71%
Trade id #129776327
Max drawdown($208)
Time6/29/20 12:43
Quant open72
Worst price49.74
Drawdown as % of equity-0.71%
($166)
Includes Typical Broker Commissions trade costs of $1.44
6/26/20 11:18 GEL GENESIS ENERGY LONG 108 6.74 6/29 13:01 7.10 0.01%
Trade id #129775888
Max drawdown($2)
Time6/26/20 11:29
Quant open108
Worst price6.71
Drawdown as % of equity-0.01%
$37
Includes Typical Broker Commissions trade costs of $2.16
6/26/20 10:16 NGL-B NGL ENERGY 9% PFD CL B LONG 180 14.13 6/29 13:01 13.35 0.6%
Trade id #129774207
Max drawdown($174)
Time6/29/20 9:38
Quant open90
Worst price13.01
Drawdown as % of equity-0.60%
($145)
Includes Typical Broker Commissions trade costs of $3.60
6/5/20 12:18 SPXU PROSHARES ULTRAPRO SHORT S&P50 LONG 432 11.98 6/29 13:01 12.67 0.3%
Trade id #129383570
Max drawdown($90)
Time6/8/20 0:00
Quant open216
Worst price10.76
Drawdown as % of equity-0.30%
$291
Includes Typical Broker Commissions trade costs of $8.64
6/5/20 9:45 GLD SPDR GOLD SHARES LONG 144 161.88 6/29 13:00 166.02 0.23%
Trade id #129378522
Max drawdown($69)
Time6/5/20 10:48
Quant open72
Worst price157.03
Drawdown as % of equity-0.23%
$593
Includes Typical Broker Commissions trade costs of $2.88
5/29/20 11:42 EPRT ESSENTIAL PROPERTIES REALTY TRUST INC LONG 90 13.35 6/29 13:00 17.55 0.08%
Trade id #129262535
Max drawdown($20)
Time5/29/20 12:20
Quant open90
Worst price13.12
Drawdown as % of equity-0.08%
$376
Includes Typical Broker Commissions trade costs of $1.80
5/26/20 10:23 SITC SITE CENTERS CORP LONG 421.200000000 6.27 6/29 13:00 7.94 0.53%
Trade id #129191999
Max drawdown($145)
Time6/1/20 0:00
Quant open360
Worst price5.64
Drawdown as % of equity-0.53%
$694
Includes Typical Broker Commissions trade costs of $8.42
5/20/20 10:33 DS DRIVE SHACK INC LONG 450 1.93 6/29 13:00 2.17 0.35%
Trade id #129108411
Max drawdown($98)
Time5/29/20 0:00
Quant open450
Worst price1.71
Drawdown as % of equity-0.35%
$99
Includes Typical Broker Commissions trade costs of $9.00
5/15/20 10:35 RUBI THE RUBICON PROJECT INC LONG 216 5.09 6/29 13:00 6.64 0.12%
Trade id #129041113
Max drawdown($32)
Time5/21/20 0:00
Quant open216
Worst price4.94
Drawdown as % of equity-0.12%
$331
Includes Typical Broker Commissions trade costs of $4.32
5/14/20 11:21 TWO-C TWO HARBORS INVESTMENT CORP PFD C LONG 72 18.36 6/29 13:00 20.55 0.07%
Trade id #129022585
Max drawdown($18)
Time5/15/20 0:00
Quant open72
Worst price18.10
Drawdown as % of equity-0.07%
$157
Includes Typical Broker Commissions trade costs of $1.44
5/14/20 11:16 TWO TWO HARBORS INVESTMENT LONG 252 4.27 6/29 13:00 5.72 0.16%
Trade id #129022480
Max drawdown($40)
Time5/14/20 11:43
Quant open180
Worst price4.09
Drawdown as % of equity-0.16%
$361
Includes Typical Broker Commissions trade costs of $5.04
5/14/20 11:15 SKT TANGER FACTORY OUTLET LONG 648 6.76 6/29 13:00 7.25 0.18%
Trade id #129022434
Max drawdown($46)
Time5/14/20 11:43
Quant open144
Worst price5.46
Drawdown as % of equity-0.18%
$304
Includes Typical Broker Commissions trade costs of $12.96
5/8/20 13:47 OCN OCWEN FINANCIAL LONG 3,600 0.65 6/29 13:00 0.68 0.78%
Trade id #128930065
Max drawdown($227)
Time6/29/20 9:44
Quant open3,600
Worst price0.59
Drawdown as % of equity-0.78%
$89
Includes Typical Broker Commissions trade costs of $13.60
5/8/20 10:07 RWT REDWOOD TRUST LONG 180 4.20 6/29 13:00 6.97 0.64%
Trade id #128925496
Max drawdown($162)
Time5/14/20 0:00
Quant open180
Worst price3.30
Drawdown as % of equity-0.64%
$494
Includes Typical Broker Commissions trade costs of $3.60
4/22/20 9:34 EWW ISHARES MSCI MEXICO ETF LONG 28.800000000 27.24 6/29 12:59 32.01 0.09%
Trade id #128688572
Max drawdown($21)
Time4/24/20 0:00
Quant open29
Worst price26.49
Drawdown as % of equity-0.09%
$136
Includes Typical Broker Commissions trade costs of $0.57
4/20/20 9:52 XLE ENERGY SELECT SECTOR SPDR LONG 28.800000000 32.99 6/29 12:59 40.47 0.21%
Trade id #128650877
Max drawdown($46)
Time4/21/20 0:00
Quant open29
Worst price31.39
Drawdown as % of equity-0.21%
$214
Includes Typical Broker Commissions trade costs of $0.57
4/6/20 10:40 ANH-B ANWORTH MORTGAGE ASSET LONG 64.800000000 11.94 6/29 12:59 17.91 0.07%
Trade id #128432579
Max drawdown($15)
Time4/6/20 11:36
Quant open65
Worst price11.70
Drawdown as % of equity-0.07%
$386
Includes Typical Broker Commissions trade costs of $1.29
4/6/20 10:40 MFO MFA FINANCIAL INC LONG 57.600000000 12.22 6/29 12:59 20.13 0.23%
Trade id #128432569
Max drawdown($51)
Time4/6/20 15:54
Quant open58
Worst price11.33
Drawdown as % of equity-0.23%
$455
Includes Typical Broker Commissions trade costs of $1.16
6/26/20 10:42 NGL NGL ENERGY PARTNERS LONG 288 3.79 6/29 12:21 3.76 0.04%
Trade id #129774894
Max drawdown($10)
Time6/29/20 12:21
Quant open288
Worst price3.75
Drawdown as % of equity-0.04%
($15)
Includes Typical Broker Commissions trade costs of $5.76
6/24/20 9:54 GRUB GRUBHUB INC SHORT 36 68.50 6/26 10:46 69.08 0.05%
Trade id #129724926
Max drawdown($14)
Time6/26/20 9:34
Quant open13
Worst price69.64
Drawdown as % of equity-0.05%
($22)
Includes Typical Broker Commissions trade costs of $0.72
6/24/20 10:20 JAKK JAKKS PACIFIC LONG 720 1.02 6/25 13:54 0.94 0.15%
Trade id #129725983
Max drawdown($44)
Time6/24/20 13:25
Quant open259
Worst price0.85
Drawdown as % of equity-0.15%
($65)
Includes Typical Broker Commissions trade costs of $9.70
6/24/20 15:23 NBR NABORS INDUSTRIES LONG 18 35.03 6/25 10:23 37.13 0.08%
Trade id #129733890
Max drawdown($22)
Time6/25/20 0:00
Quant open6
Worst price31.50
Drawdown as % of equity-0.08%
$38
Includes Typical Broker Commissions trade costs of $0.36

Statistics

  • Strategy began
    3/13/2020
  • Suggested Minimum Cap
    $30,000
  • Strategy Age (days)
    115.6
  • Age
    116 days ago
  • What it trades
    Stocks
  • # Trades
    154
  • # Profitable
    104
  • % Profitable
    67.50%
  • Avg trade duration
    14.6 days
  • Max peak-to-valley drawdown
    14.74%
  • drawdown period
    March 16, 2020 - March 18, 2020
  • Cumul. Return
    63.1%
  • Avg win
    $173.18
  • Avg loss
    $113.06
  • Model Account Values (Raw)
  • Cash
    $16,860
  • Margin Used
    $0
  • Buying Power
    $17,287
  • Ratios
  • W:L ratio
    3.22:1
  • Sharpe Ratio
    3.46
  • Sortino Ratio
    7.36
  • Calmar Ratio
    45.606
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    45.81%
  • Correlation to SP500
    0.36010
  • Return Percent SP500 (cumu) during strategy life
    17.11%
  • Return Statistics
  • Ann Return (w trading costs)
    350.3%
  • Slump
  • Current Slump as Pcnt Equity
    0.06%
  • Instruments
  • Percent Trades Futures
    0.03%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.24%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.631%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    0.97%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    417.8%
  • Automation
  • Percentage Signals Automated
    n/a
  • Popularity
  • Popularity (Today)
    946
  • Popularity (Last 6 weeks)
    974
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    893
  • Popularity (7 days, Percentile 1000 scale)
    954
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Strat abandoned?
    0
  • Trades-Own-System Certification
  • Trades Own System?
    Yes
  • TOS percent
    100%
  • Win / Loss
  • Avg Loss
    $113
  • Avg Win
    $173
  • Sum Trade PL (losers)
    $5,653.000
  • AUM
  • AUM (AutoTrader num accounts)
    6
  • Age
  • Num Months filled monthly returns table
    5
  • Win / Loss
  • Sum Trade PL (winners)
    $18,011.000
  • # Winners
    104
  • Num Months Winners
    5
  • Dividends
  • Dividends Received in Model Acct
    85
  • AUM
  • AUM (AutoTrader live capital)
    177091
  • Win / Loss
  • # Losers
    50
  • % Winners
    67.5%
  • Frequency
  • Avg Position Time (mins)
    21048.20
  • Avg Position Time (hrs)
    350.80
  • Avg Trade Length
    14.6 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    0.93
  • Daily leverage (max)
    7.97
  • Regression
  • Alpha
    0.39
  • Beta
    0.30
  • Treynor Index
    1.43
  • 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)
    0.09
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    0.611
  • 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
    0.205
  • Avg(MAE) / Avg(PL) - Losing trades
    -0.679
  • Hold-and-Hope Ratio
    1.502
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    2.32984
  • SD
    0.45778
  • Sharpe ratio (Glass type estimate)
    5.08943
  • Sharpe ratio (Hedges UMVUE)
    2.87140
  • df
    2.00000
  • t
    2.54472
  • p
    0.06296
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.10797
  • Upperbound of 95% confidence interval for Sharpe Ratio
    10.97730
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.95394
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    7.69675
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    2.32984
  • Downside part of mean
    0.00000
  • Upside SD
    0.76945
  • Downside SD
    0.00000
  • N nonnegative terms
    3.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    3.00000
  • Mean of predictor
    0.48057
  • Mean of criterion
    2.32984
  • SD of predictor
    0.12804
  • SD of criterion
    0.45778
  • Covariance
    0.03240
  • r
    0.55282
  • b (slope, estimate of beta)
    1.97656
  • a (intercept, estimate of alpha)
    1.37996
  • Mean Square Error
    0.29104
  • DF error
    1.00000
  • t(b)
    0.66341
  • p(b)
    0.31355
  • t(a)
    0.76971
  • p(a)
    0.29119
  • Lowerbound of 95% confidence interval for beta
    -35.88030
  • Upperbound of 95% confidence interval for beta
    39.83350
  • Lowerbound of 95% confidence interval for alpha
    -21.40010
  • Upperbound of 95% confidence interval for alpha
    24.16010
  • Treynor index (mean / b)
    1.17873
  • Jensen alpha (a)
    1.37996
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    2.07632
  • SD
    0.38025
  • Sharpe ratio (Glass type estimate)
    5.46038
  • Sharpe ratio (Hedges UMVUE)
    3.08069
  • df
    2.00000
  • t
    2.73019
  • p
    0.05603
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.97488
  • Upperbound of 95% confidence interval for Sharpe Ratio
    11.61920
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.86707
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    8.02845
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    2.07632
  • Downside part of mean
    0.00000
  • Upside SD
    0.67502
  • Downside SD
    0.00000
  • N nonnegative terms
    3.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    3.00000
  • Mean of predictor
    0.46506
  • Mean of criterion
    2.07632
  • SD of predictor
    0.12352
  • SD of criterion
    0.38025
  • Covariance
    0.02748
  • r
    0.58510
  • b (slope, estimate of beta)
    1.80124
  • a (intercept, estimate of alpha)
    1.23864
  • Mean Square Error
    0.19018
  • DF error
    1.00000
  • t(b)
    0.72149
  • p(b)
    0.30106
  • t(a)
    0.85297
  • p(a)
    0.27520
  • Lowerbound of 95% confidence interval for beta
    -29.92060
  • Upperbound of 95% confidence interval for beta
    33.52310
  • Lowerbound of 95% confidence interval for alpha
    -17.21280
  • Upperbound of 95% confidence interval for alpha
    19.69010
  • Treynor index (mean / b)
    1.15272
  • Jensen alpha (a)
    1.23864
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00750
  • Expected Shortfall on VaR
    0.05122
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    3.00000
  • Minimum
    1.07378
  • Quartile 1
    1.12653
  • Median
    1.17928
  • Quartile 3
    1.25784
  • Maximum
    1.33639
  • Mean of quarter 1
    1.07378
  • Mean of quarter 2
    1.17928
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    1.33639
  • Inter Quartile Range
    0.13131
  • 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
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • 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)
    2.76899
  • Compounded annual return (geometric extrapolation)
    7.20077
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    140.58000
  • 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
    1.70095
  • SD
    0.37227
  • Sharpe ratio (Glass type estimate)
    4.56911
  • Sharpe ratio (Hedges UMVUE)
    4.52614
  • df
    80.00000
  • t
    2.54053
  • p
    0.00650
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.96031
  • Upperbound of 95% confidence interval for Sharpe Ratio
    8.15055
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.93208
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    8.12021
  • Statistics related to Sortino ratio
  • Sortino ratio
    9.88248
  • Upside Potential Ratio
    17.41620
  • Upside part of mean
    2.99764
  • Downside part of mean
    -1.29669
  • Upside SD
    0.34394
  • Downside SD
    0.17212
  • N nonnegative terms
    49.00000
  • N negative terms
    32.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    81.00000
  • Mean of predictor
    0.59330
  • Mean of criterion
    1.70095
  • SD of predictor
    0.45846
  • SD of criterion
    0.37227
  • Covariance
    0.05045
  • r
    0.29559
  • b (slope, estimate of beta)
    0.24002
  • a (intercept, estimate of alpha)
    1.55900
  • Mean Square Error
    0.12808
  • DF error
    79.00000
  • t(b)
    2.75018
  • p(b)
    0.00369
  • t(a)
    2.41364
  • p(a)
    0.00905
  • Lowerbound of 95% confidence interval for beta
    0.06631
  • Upperbound of 95% confidence interval for beta
    0.41374
  • Lowerbound of 95% confidence interval for alpha
    0.27326
  • Upperbound of 95% confidence interval for alpha
    2.84382
  • Treynor index (mean / b)
    7.08664
  • Jensen alpha (a)
    1.55854
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.62856
  • SD
    0.36644
  • Sharpe ratio (Glass type estimate)
    4.44428
  • Sharpe ratio (Hedges UMVUE)
    4.40248
  • df
    80.00000
  • t
    2.47111
  • p
    0.00780
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.83954
  • Upperbound of 95% confidence interval for Sharpe Ratio
    8.02237
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.81211
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    7.99285
  • Statistics related to Sortino ratio
  • Sortino ratio
    9.30681
  • Upside Potential Ratio
    16.80280
  • Upside part of mean
    2.94025
  • Downside part of mean
    -1.31169
  • Upside SD
    0.33485
  • Downside SD
    0.17499
  • N nonnegative terms
    49.00000
  • N negative terms
    32.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    81.00000
  • Mean of predictor
    0.48790
  • Mean of criterion
    1.62856
  • SD of predictor
    0.46208
  • SD of criterion
    0.36644
  • Covariance
    0.04923
  • r
    0.29074
  • b (slope, estimate of beta)
    0.23056
  • a (intercept, estimate of alpha)
    1.51607
  • Mean Square Error
    0.12448
  • DF error
    79.00000
  • t(b)
    2.70082
  • p(b)
    0.00423
  • t(a)
    2.38408
  • p(a)
    0.00976
  • Lowerbound of 95% confidence interval for beta
    0.06064
  • Upperbound of 95% confidence interval for beta
    0.40049
  • Lowerbound of 95% confidence interval for alpha
    0.25031
  • Upperbound of 95% confidence interval for alpha
    2.78182
  • Treynor index (mean / b)
    7.06337
  • Jensen alpha (a)
    1.51607
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03055
  • Expected Shortfall on VaR
    0.03964
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00971
  • Expected Shortfall on VaR
    0.02017
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    81.00000
  • Minimum
    0.95169
  • Quartile 1
    0.99431
  • Median
    1.00347
  • Quartile 3
    1.01736
  • Maximum
    1.08406
  • Mean of quarter 1
    0.98246
  • Mean of quarter 2
    0.99944
  • Mean of quarter 3
    1.00856
  • Mean of quarter 4
    1.03713
  • Inter Quartile Range
    0.02305
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.02469
  • Mean of outliers low
    0.95237
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.04938
  • Mean of outliers high
    1.07024
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.82161
  • VaR(95%) (moments method)
    0.01518
  • Expected Shortfall (moments method)
    0.01675
  • Extreme Value Index (regression method)
    -0.30081
  • VaR(95%) (regression method)
    0.01550
  • Expected Shortfall (regression method)
    0.01908
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.00001
  • Quartile 1
    0.01817
  • Median
    0.03868
  • Quartile 3
    0.06027
  • Maximum
    0.09299
  • Mean of quarter 1
    0.00442
  • Mean of quarter 2
    0.02670
  • Mean of quarter 3
    0.05239
  • Mean of quarter 4
    0.07774
  • Inter Quartile Range
    0.04209
  • 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)
    2.16333
  • Compounded annual return (geometric extrapolation)
    4.24077
  • Calmar ratio (compounded annual return / max draw down)
    45.60590
  • Compounded annual return / average of 25% largest draw downs
    54.55220
  • Compounded annual return / Expected Shortfall lognormal
    106.98400
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess log return rates
  • Statistics related to linear regression on benchmark
  • VAR (95 Confidence Intrvl)
    0.03100
  • DRAW DOWN STATISTICS
  • Risk estimates based on draw downs (based on Extreme Value T
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • Last 4 Months - Pcnt Negative
    n/a
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -266289000
  • Max Equity Drawdown (num days)
    2

Strategy Description

- 10+ years trading experience
- Swing trade under/over-valued stocks both in short-term and long-term
- Risk no more than 2% for each position
- Stop loss is placed when a position is opened, subscribers should receive notification
- Min Capital: $10000

Summary Statistics

Strategy began
2020-03-13
Suggested Minimum Capital
$30,000
Rank at C2 
#66
# Trades
154
# Profitable
104
% Profitable
67.5%
Net Dividends
Correlation S&P500
0.360
Sharpe Ratio
3.46
Sortino Ratio
7.36
Beta
0.30
Alpha
0.39
Leverage
0.93 Average
7.97 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

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subscribed on started simulation #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.