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

Stock and ETFs
(128743489)

Started: 04/2020
Stocks
Last trade: 6 days ago
Trading style: Equity Momentum 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 $250.00 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
Momentum
Category: Equity

Momentum

Aims to capitalize on the continuance of existing trends in the market. Trader takes a long position in an asset in an upward trend, and short-sells a security that has been in a downward trend. While similar to Trend-following, tends to be more forward-looking (predicting oncoming trend), while Momentum is more backward-looking (observing already-established price direction).
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).
38.7%
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.

(13.4%)
Max Drawdown
985
Num Trades
53.9%
Win Trades
1.3 : 1
Profit Factor
62.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020                     +3.2%+3.5%+1.7%+15.1%+9.9%(2.6%)(2.2%)+15.8%+8.8%+65.0%
2021+9.4%+3.5%(7.6%)+2.8%+4.3%+7.9%(1.4%)(2.6%)(0.1%)(0.7%)+12.6%+3.7%+34.6%
2022+1.3%+2.5%+1.0%+4.2%(1.4%)(8.4%)+7.3%(2.1%)(0.3%)+2.1%(0.3%)      +5.4%

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 24 hours.

Trading Record

This strategy has placed 1,366 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
11/22/22 13:07 SPXL DIREXION DAILY S&P500 BULL 3X LONG 1,540 70.84 11/22 15:59 71.89 n/a $1,607
Includes Typical Broker Commissions trade costs of $5.00
11/18/22 11:22 ATO ATMOS ENERGY LONG 900 113.60 11/18 15:59 115.14 0.21%
Trade id #142614522
Max drawdown($491)
Time11/18/22 12:34
Quant open900
Worst price113.06
Drawdown as % of equity-0.21%
$1,378
Includes Typical Broker Commissions trade costs of $5.00
11/15/22 9:34 ILMN ILLUMINA LONG 450 241.76 11/15 13:27 237.76 0.85%
Trade id #142567982
Max drawdown($1,997)
Time11/15/22 9:49
Quant open450
Worst price237.32
Drawdown as % of equity-0.85%
($1,810)
Includes Typical Broker Commissions trade costs of $9.00
11/15/22 9:32 ZM ZOOM VIDEO COMMUNICATIONS INC. CLASS A LONG 600 89.17 11/15 12:31 87.82 0.58%
Trade id #142567886
Max drawdown($1,361)
Time11/15/22 9:49
Quant open600
Worst price86.90
Drawdown as % of equity-0.58%
($816)
Includes Typical Broker Commissions trade costs of $5.00
11/11/22 10:12 IDXX IDEXX LABORATORIES SHORT 124 429.15 11/11 15:59 441.12 0.69%
Trade id #142534135
Max drawdown($1,617)
Time11/11/22 14:29
Quant open124
Worst price442.19
Drawdown as % of equity-0.69%
($1,486)
Includes Typical Broker Commissions trade costs of $2.48
11/11/22 10:27 AMAT APPLIED MATERIALS SHORT 19 108.19 11/11 15:59 110.45 0.02%
Trade id #142534508
Max drawdown($51)
Time11/11/22 14:59
Quant open19
Worst price110.89
Drawdown as % of equity-0.02%
($43)
Includes Typical Broker Commissions trade costs of $0.38
11/11/22 9:31 SLB SCHLUMBERGER LONG 1,900 54.75 11/11 15:59 54.75 0.47%
Trade id #142532704
Max drawdown($1,102)
Time11/11/22 12:01
Quant open1,900
Worst price54.16
Drawdown as % of equity-0.47%
$9
Includes Typical Broker Commissions trade costs of $5.00
11/11/22 10:19 ISRG INTUITIVE SURGICAL SHORT 201 266.03 11/11 15:59 265.02 0.14%
Trade id #142534291
Max drawdown($330)
Time11/11/22 11:04
Quant open201
Worst price267.67
Drawdown as % of equity-0.14%
$198
Includes Typical Broker Commissions trade costs of $4.02
11/10/22 9:36 DD DU PONT DE NEMOURS & CO SHORT 850 69.55 11/10 15:59 69.59 0.6%
Trade id #142518277
Max drawdown($1,422)
Time11/10/22 11:56
Quant open850
Worst price71.22
Drawdown as % of equity-0.60%
($34)
Includes Typical Broker Commissions trade costs of $5.00
11/9/22 9:36 LABD DIREXION DAILY S&P BIOTECH BEAR 3X LONG 2,300 22.81 11/9 15:59 24.12 0.55%
Trade id #142500678
Max drawdown($1,266)
Time11/9/22 10:16
Quant open2,300
Worst price22.26
Drawdown as % of equity-0.55%
$3,005
Includes Typical Broker Commissions trade costs of $5.00
11/8/22 9:47 AMAT APPLIED MATERIALS SHORT 627 98.56 11/8 15:59 97.42 0.01%
Trade id #142481654
Max drawdown($23)
Time11/8/22 9:49
Quant open627
Worst price98.60
Drawdown as % of equity-0.01%
$712
Includes Typical Broker Commissions trade costs of $5.00
11/8/22 11:10 ETSY ETSY INC. COMMON STOCK LONG 1,000 101.32 11/8 14:22 99.70 0.7%
Trade id #142483854
Max drawdown($1,656)
Time11/8/22 14:22
Quant open1,000
Worst price99.66
Drawdown as % of equity-0.70%
($1,621)
Includes Typical Broker Commissions trade costs of $5.00
11/8/22 11:10 MSCI MSCI LONG 220 470.78 11/8 14:00 464.15 0.64%
Trade id #142483849
Max drawdown($1,498)
Time11/8/22 14:00
Quant open220
Worst price463.97
Drawdown as % of equity-0.64%
($1,463)
Includes Typical Broker Commissions trade costs of $4.40
10/26/22 11:20 CNC CENTENE SHORT 702 86.27 10/26 15:59 84.84 0.1%
Trade id #142325941
Max drawdown($239)
Time10/26/22 12:11
Quant open702
Worst price86.61
Drawdown as % of equity-0.10%
$999
Includes Typical Broker Commissions trade costs of $5.00
10/26/22 11:04 IQV IQVIA HOLDINGS INC SHORT 297 203.71 10/26 15:59 201.90 0.12%
Trade id #142325498
Max drawdown($289)
Time10/26/22 11:31
Quant open297
Worst price204.68
Drawdown as % of equity-0.12%
$531
Includes Typical Broker Commissions trade costs of $5.94
10/26/22 10:51 ISRG INTUITIVE SURGICAL SHORT 247 245.72 10/26 15:59 241.37 0.36%
Trade id #142321791
Max drawdown($844)
Time10/26/22 11:38
Quant open247
Worst price249.14
Drawdown as % of equity-0.36%
$1,069
Includes Typical Broker Commissions trade costs of $4.94
10/25/22 12:20 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 2,321 23.10 10/25 15:59 23.00 0.22%
Trade id #142307085
Max drawdown($505)
Time10/25/22 15:33
Quant open2,321
Worst price22.88
Drawdown as % of equity-0.22%
($230)
Includes Typical Broker Commissions trade costs of $5.00
10/25/22 9:50 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 30 50.03 10/25 15:59 49.14 0.02%
Trade id #142299431
Max drawdown($35)
Time10/25/22 15:33
Quant open30
Worst price48.84
Drawdown as % of equity-0.02%
($28)
Includes Typical Broker Commissions trade costs of $0.60
10/25/22 9:49 HAL HALLIBURTON SHORT 1,471 35.88 10/25 15:59 34.83 0.15%
Trade id #142299404
Max drawdown($344)
Time10/25/22 9:55
Quant open1,471
Worst price36.11
Drawdown as % of equity-0.15%
$1,533
Includes Typical Broker Commissions trade costs of $5.00
10/24/22 13:34 SLB SCHLUMBERGER SHORT 1,207 52.12 10/24 15:59 52.10 0.21%
Trade id #142289540
Max drawdown($475)
Time10/24/22 14:15
Quant open1,207
Worst price52.51
Drawdown as % of equity-0.21%
$16
Includes Typical Broker Commissions trade costs of $5.00
10/7/22 12:09 HAL HALLIBURTON SHORT 1,872 30.91 10/7 15:59 30.45 0.17%
Trade id #142086970
Max drawdown($390)
Time10/7/22 12:19
Quant open1,872
Worst price31.11
Drawdown as % of equity-0.17%
$854
Includes Typical Broker Commissions trade costs of $5.00
10/6/22 12:23 NOV NATIONAL OILWELL VARCO INC. SHORT 2,516 19.06 10/6 15:59 18.98 0.22%
Trade id #142070198
Max drawdown($516)
Time10/6/22 13:07
Quant open2,516
Worst price19.27
Drawdown as % of equity-0.22%
$216
Includes Typical Broker Commissions trade costs of $5.00
9/29/22 14:11 SO SOUTHERN LONG 861 69.47 9/29 15:59 69.35 0.08%
Trade id #141982045
Max drawdown($172)
Time9/29/22 15:56
Quant open861
Worst price69.27
Drawdown as % of equity-0.08%
($109)
Includes Typical Broker Commissions trade costs of $5.00
9/29/22 13:19 ED CONSOLIDATED EDISON LONG 688 87.58 9/29 15:59 87.71 0.11%
Trade id #141981038
Max drawdown($258)
Time9/29/22 14:10
Quant open688
Worst price87.20
Drawdown as % of equity-0.11%
$88
Includes Typical Broker Commissions trade costs of $5.00
9/29/22 13:20 AEP AMERICAN ELECTRIC POWER LONG 671 89.80 9/29 15:59 89.05 0.28%
Trade id #141981068
Max drawdown($649)
Time9/29/22 14:10
Quant open671
Worst price88.83
Drawdown as % of equity-0.28%
($510)
Includes Typical Broker Commissions trade costs of $5.00
9/23/22 9:44 NRG NRG ENERGY LONG 1,522 40.24 9/23 15:59 40.57 0.11%
Trade id #141905875
Max drawdown($252)
Time9/23/22 13:09
Quant open1,522
Worst price40.07
Drawdown as % of equity-0.11%
$497
Includes Typical Broker Commissions trade costs of $5.00
9/23/22 10:22 AES AES LONG 2,530 24.28 9/23 15:59 24.28 0.78%
Trade id #141906822
Max drawdown($1,806)
Time9/23/22 12:28
Quant open2,530
Worst price23.57
Drawdown as % of equity-0.78%
($19)
Includes Typical Broker Commissions trade costs of $5.00
9/23/22 9:32 WMB WILLIAMS COMPANIES LONG 2,047 30.13 9/23 15:59 29.14 1.17%
Trade id #141905449
Max drawdown($2,663)
Time9/23/22 14:56
Quant open2,047
Worst price28.82
Drawdown as % of equity-1.17%
($2,027)
Includes Typical Broker Commissions trade costs of $5.00
9/16/22 9:33 CHRW CH ROBINSON WORLDWIDE LONG 577 102.03 9/16 15:59 103.85 0.12%
Trade id #141828182
Max drawdown($287)
Time9/16/22 9:36
Quant open577
Worst price101.53
Drawdown as % of equity-0.12%
$1,048
Includes Typical Broker Commissions trade costs of $5.00
9/7/22 9:32 OXY OCCIDENTAL PETROLEUM LONG 976 64.81 9/7 15:59 65.42 0.12%
Trade id #141685357
Max drawdown($268)
Time9/7/22 9:52
Quant open976
Worst price64.53
Drawdown as % of equity-0.12%
$590
Includes Typical Broker Commissions trade costs of $5.00

Statistics

  • Strategy began
    4/26/2020
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    945.67
  • Age
    32 months ago
  • What it trades
    Stocks
  • # Trades
    985
  • # Profitable
    531
  • % Profitable
    53.90%
  • Avg trade duration
    5.3 hours
  • Max peak-to-valley drawdown
    13.38%
  • drawdown period
    May 12, 2022 - July 15, 2022
  • Annual Return (Compounded)
    38.7%
  • Avg win
    $1,136
  • Avg loss
    $1,006
  • Model Account Values (Raw)
  • Cash
    $246,515
  • Margin Used
    $0
  • Buying Power
    $246,515
  • Ratios
  • W:L ratio
    1.32:1
  • Sharpe Ratio
    1.61
  • Sortino Ratio
    2.7
  • Calmar Ratio
    3.826
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    92.21%
  • Correlation to SP500
    0.06760
  • Return Percent SP500 (cumu) during strategy life
    41.93%
  • Return Statistics
  • Ann Return (w trading costs)
    38.7%
  • Slump
  • Current Slump as Pcnt Equity
    6.80%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.12%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.387%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    41.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    8.00%
  • 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
    82.03%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    617
  • Popularity (Last 6 weeks)
    949
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    969
  • Popularity (7 days, Percentile 1000 scale)
    872
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $1,007
  • Avg Win
    $1,137
  • Sum Trade PL (losers)
    $456,990.000
  • Age
  • Num Months filled monthly returns table
    32
  • Win / Loss
  • Sum Trade PL (winners)
    $603,505.000
  • # Winners
    531
  • Num Months Winners
    20
  • Dividends
  • Dividends Received in Model Acct
    0
  • AUM
  • AUM (AutoTrader live capital)
    1058270
  • Win / Loss
  • # Losers
    454
  • % Winners
    53.9%
  • Frequency
  • Avg Position Time (mins)
    320.28
  • Avg Position Time (hrs)
    5.34
  • Avg Trade Length
    0.2 days
  • Last Trade Ago
    6
  • Leverage
  • Daily leverage (average)
    0.96
  • Daily leverage (max)
    3.31
  • Regression
  • Alpha
    0.09
  • Beta
    0.06
  • Treynor Index
    1.53
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.36
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    2269.770
  • 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
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    0.491
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.376
  • Hold-and-Hope Ratio
    0.000
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.35522
  • SD
    0.19168
  • Sharpe ratio (Glass type estimate)
    1.85316
  • Sharpe ratio (Hedges UMVUE)
    1.80475
  • df
    29.00000
  • t
    2.93010
  • p
    0.00327
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.51182
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.16665
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.48100
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.12849
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.71036
  • Upside Potential Ratio
    6.12945
  • Upside part of mean
    0.46224
  • Downside part of mean
    -0.10702
  • Upside SD
    0.20086
  • Downside SD
    0.07541
  • N nonnegative terms
    21.00000
  • N negative terms
    9.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    30.00000
  • Mean of predictor
    0.09402
  • Mean of criterion
    0.35522
  • SD of predictor
    0.17379
  • SD of criterion
    0.19168
  • Covariance
    0.01192
  • r
    0.35792
  • b (slope, estimate of beta)
    0.39477
  • a (intercept, estimate of alpha)
    0.31811
  • Mean Square Error
    0.03318
  • DF error
    28.00000
  • t(b)
    2.02828
  • p(b)
    0.02607
  • t(a)
    2.72705
  • p(a)
    0.00545
  • Lowerbound of 95% confidence interval for beta
    -0.00392
  • Upperbound of 95% confidence interval for beta
    0.79346
  • Lowerbound of 95% confidence interval for alpha
    0.07916
  • Upperbound of 95% confidence interval for alpha
    0.55705
  • Treynor index (mean / b)
    0.89981
  • Jensen alpha (a)
    0.31811
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.33268
  • SD
    0.18499
  • Sharpe ratio (Glass type estimate)
    1.79837
  • Sharpe ratio (Hedges UMVUE)
    1.75139
  • df
    29.00000
  • t
    2.84347
  • p
    0.00405
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.46232
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.10722
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.43240
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.07038
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.27772
  • Upside Potential Ratio
    5.68861
  • Upside part of mean
    0.44241
  • Downside part of mean
    -0.10973
  • Upside SD
    0.19041
  • Downside SD
    0.07777
  • N nonnegative terms
    21.00000
  • N negative terms
    9.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    30.00000
  • Mean of predictor
    0.07892
  • Mean of criterion
    0.33268
  • SD of predictor
    0.17390
  • SD of criterion
    0.18499
  • Covariance
    0.01147
  • r
    0.35668
  • b (slope, estimate of beta)
    0.37943
  • a (intercept, estimate of alpha)
    0.30274
  • Mean Square Error
    0.03093
  • DF error
    28.00000
  • t(b)
    2.02028
  • p(b)
    0.02651
  • t(a)
    2.69769
  • p(a)
    0.00585
  • Lowerbound of 95% confidence interval for beta
    -0.00528
  • Upperbound of 95% confidence interval for beta
    0.76414
  • Lowerbound of 95% confidence interval for alpha
    0.07286
  • Upperbound of 95% confidence interval for alpha
    0.53261
  • Treynor index (mean / b)
    0.87679
  • Jensen alpha (a)
    0.30274
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05834
  • Expected Shortfall on VaR
    0.07894
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01402
  • Expected Shortfall on VaR
    0.03226
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    30.00000
  • Minimum
    0.92688
  • Quartile 1
    0.99846
  • Median
    1.02851
  • Quartile 3
    1.06361
  • Maximum
    1.15271
  • Mean of quarter 1
    0.96933
  • Mean of quarter 2
    1.01403
  • Mean of quarter 3
    1.03789
  • Mean of quarter 4
    1.10498
  • Inter Quartile Range
    0.06516
  • 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)
    -2.15268
  • VaR(95%) (moments method)
    0.00805
  • Expected Shortfall (moments method)
    0.00821
  • Extreme Value Index (regression method)
    -0.57277
  • VaR(95%) (regression method)
    0.04537
  • Expected Shortfall (regression method)
    0.05557
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00722
  • Quartile 1
    0.01270
  • Median
    0.04720
  • Quartile 3
    0.06757
  • Maximum
    0.09246
  • Mean of quarter 1
    0.00996
  • Mean of quarter 2
    0.04720
  • Mean of quarter 3
    0.06757
  • Mean of quarter 4
    0.09246
  • Inter Quartile Range
    0.05487
  • 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)
    0.58529
  • Compounded annual return (geometric extrapolation)
    0.43417
  • Calmar ratio (compounded annual return / max draw down)
    4.69581
  • Compounded annual return / average of 25% largest draw downs
    4.69581
  • Compounded annual return / Expected Shortfall lognormal
    5.49974
  • 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
    0.33582
  • SD
    0.16178
  • Sharpe ratio (Glass type estimate)
    2.07580
  • Sharpe ratio (Hedges UMVUE)
    2.07349
  • df
    672.00000
  • t
    3.32693
  • p
    0.00046
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.84712
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.30297
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.84557
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.30140
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.51488
  • Upside Potential Ratio
    9.72282
  • Upside part of mean
    0.92895
  • Downside part of mean
    -0.59313
  • Upside SD
    0.13204
  • Downside SD
    0.09554
  • N nonnegative terms
    296.00000
  • N negative terms
    377.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    673.00000
  • Mean of predictor
    0.12179
  • Mean of criterion
    0.33582
  • SD of predictor
    0.19498
  • SD of criterion
    0.16178
  • Covariance
    0.00198
  • r
    0.06266
  • b (slope, estimate of beta)
    0.05199
  • a (intercept, estimate of alpha)
    0.32900
  • Mean Square Error
    0.02611
  • DF error
    671.00000
  • t(b)
    1.62620
  • p(b)
    0.05219
  • t(a)
    3.26576
  • p(a)
    0.00057
  • Lowerbound of 95% confidence interval for beta
    -0.01078
  • Upperbound of 95% confidence interval for beta
    0.11476
  • Lowerbound of 95% confidence interval for alpha
    0.13139
  • Upperbound of 95% confidence interval for alpha
    0.52760
  • Treynor index (mean / b)
    6.45979
  • Jensen alpha (a)
    0.32949
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.32255
  • SD
    0.16146
  • Sharpe ratio (Glass type estimate)
    1.99773
  • Sharpe ratio (Hedges UMVUE)
    1.99550
  • df
    672.00000
  • t
    3.20179
  • p
    0.00072
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.76947
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.22458
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.76795
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.22304
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.31188
  • Upside Potential Ratio
    9.44934
  • Upside part of mean
    0.92030
  • Downside part of mean
    -0.59775
  • Upside SD
    0.13016
  • Downside SD
    0.09739
  • N nonnegative terms
    296.00000
  • N negative terms
    377.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    673.00000
  • Mean of predictor
    0.10272
  • Mean of criterion
    0.32255
  • SD of predictor
    0.19541
  • SD of criterion
    0.16146
  • Covariance
    0.00195
  • r
    0.06196
  • b (slope, estimate of beta)
    0.05119
  • a (intercept, estimate of alpha)
    0.31730
  • Mean Square Error
    0.02601
  • DF error
    671.00000
  • t(b)
    1.60807
  • p(b)
    0.05415
  • t(a)
    3.15165
  • p(a)
    0.00085
  • Lowerbound of 95% confidence interval for beta
    -0.01132
  • Upperbound of 95% confidence interval for beta
    0.11371
  • Lowerbound of 95% confidence interval for alpha
    0.11962
  • Upperbound of 95% confidence interval for alpha
    0.51498
  • Treynor index (mean / b)
    6.30055
  • Jensen alpha (a)
    0.31730
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01506
  • Expected Shortfall on VaR
    0.01915
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00551
  • Expected Shortfall on VaR
    0.01166
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    673.00000
  • Minimum
    0.91685
  • Quartile 1
    0.99750
  • Median
    1.00000
  • Quartile 3
    1.00360
  • Maximum
    1.05729
  • Mean of quarter 1
    0.99179
  • Mean of quarter 2
    0.99942
  • Mean of quarter 3
    1.00141
  • Mean of quarter 4
    1.01299
  • Inter Quartile Range
    0.00609
  • Number outliers low
    29.00000
  • Percentage of outliers low
    0.04309
  • Mean of outliers low
    0.97894
  • Number of outliers high
    59.00000
  • Percentage of outliers high
    0.08767
  • Mean of outliers high
    1.02325
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.44512
  • VaR(95%) (moments method)
    0.00796
  • Expected Shortfall (moments method)
    0.01655
  • Extreme Value Index (regression method)
    0.23660
  • VaR(95%) (regression method)
    0.00721
  • Expected Shortfall (regression method)
    0.01182
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    37.00000
  • Minimum
    0.00025
  • Quartile 1
    0.00389
  • Median
    0.01019
  • Quartile 3
    0.03673
  • Maximum
    0.10970
  • Mean of quarter 1
    0.00192
  • Mean of quarter 2
    0.00752
  • Mean of quarter 3
    0.02414
  • Mean of quarter 4
    0.06903
  • Inter Quartile Range
    0.03284
  • 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
    0.02703
  • Mean of outliers high
    0.10970
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -1.47742
  • VaR(95%) (moments method)
    0.06988
  • Expected Shortfall (moments method)
    0.07199
  • Extreme Value Index (regression method)
    -0.48724
  • VaR(95%) (regression method)
    0.07962
  • Expected Shortfall (regression method)
    0.09090
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.56845
  • Compounded annual return (geometric extrapolation)
    0.41972
  • Calmar ratio (compounded annual return / max draw down)
    3.82620
  • Compounded annual return / average of 25% largest draw downs
    6.07990
  • Compounded annual return / Expected Shortfall lognormal
    21.91540
  • 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
    -0.05137
  • SD
    0.14359
  • Sharpe ratio (Glass type estimate)
    -0.35777
  • Sharpe ratio (Hedges UMVUE)
    -0.35570
  • df
    130.00000
  • t
    -0.25298
  • p
    0.51109
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.12932
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.41498
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.12784
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.41644
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.54090
  • Upside Potential Ratio
    6.18828
  • Upside part of mean
    0.58773
  • Downside part of mean
    -0.63910
  • Upside SD
    0.10701
  • Downside SD
    0.09497
  • N nonnegative terms
    38.00000
  • N negative terms
    93.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.06216
  • Mean of criterion
    -0.05137
  • SD of predictor
    0.24735
  • SD of criterion
    0.14359
  • Covariance
    0.00423
  • r
    0.11918
  • b (slope, estimate of beta)
    0.06919
  • a (intercept, estimate of alpha)
    -0.04707
  • Mean Square Error
    0.02048
  • DF error
    129.00000
  • t(b)
    1.36338
  • p(b)
    0.42430
  • t(a)
    -0.23254
  • p(a)
    0.51303
  • Lowerbound of 95% confidence interval for beta
    -0.03122
  • Upperbound of 95% confidence interval for beta
    0.16959
  • Lowerbound of 95% confidence interval for alpha
    -0.44757
  • Upperbound of 95% confidence interval for alpha
    0.35343
  • Treynor index (mean / b)
    -0.74252
  • Jensen alpha (a)
    -0.04707
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.06154
  • SD
    0.14294
  • Sharpe ratio (Glass type estimate)
    -0.43054
  • Sharpe ratio (Hedges UMVUE)
    -0.42805
  • df
    130.00000
  • t
    -0.30443
  • p
    0.51335
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.20211
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.34249
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.20034
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.34425
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.64188
  • Upside Potential Ratio
    6.07105
  • Upside part of mean
    0.58206
  • Downside part of mean
    -0.64360
  • Upside SD
    0.10535
  • Downside SD
    0.09587
  • N nonnegative terms
    38.00000
  • N negative terms
    93.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.09248
  • Mean of criterion
    -0.06154
  • SD of predictor
    0.24716
  • SD of criterion
    0.14294
  • Covariance
    0.00419
  • r
    0.11862
  • b (slope, estimate of beta)
    0.06860
  • a (intercept, estimate of alpha)
    -0.05520
  • Mean Square Error
    0.02030
  • DF error
    129.00000
  • t(b)
    1.35679
  • p(b)
    0.42466
  • t(a)
    -0.27386
  • p(a)
    0.51534
  • VAR (95 Confidence Intrvl)
    0.01500
  • Lowerbound of 95% confidence interval for beta
    -0.03143
  • Upperbound of 95% confidence interval for beta
    0.16863
  • Lowerbound of 95% confidence interval for alpha
    -0.45397
  • Upperbound of 95% confidence interval for alpha
    0.34358
  • Treynor index (mean / b)
    -0.89712
  • Jensen alpha (a)
    -0.05520
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01465
  • Expected Shortfall on VaR
    0.01828
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00692
  • Expected Shortfall on VaR
    0.01389
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97491
  • Quartile 1
    0.99833
  • Median
    1.00000
  • Quartile 3
    1.00192
  • Maximum
    1.04396
  • Mean of quarter 1
    0.99086
  • Mean of quarter 2
    0.99976
  • Mean of quarter 3
    1.00021
  • Mean of quarter 4
    1.00882
  • Inter Quartile Range
    0.00359
  • Number outliers low
    15.00000
  • Percentage of outliers low
    0.11450
  • Mean of outliers low
    0.98475
  • Number of outliers high
    13.00000
  • Percentage of outliers high
    0.09924
  • Mean of outliers high
    1.01687
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.25415
  • VaR(95%) (moments method)
    0.00694
  • Expected Shortfall (moments method)
    0.01203
  • Extreme Value Index (regression method)
    -0.09218
  • VaR(95%) (regression method)
    0.00855
  • Expected Shortfall (regression method)
    0.01202
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.07451
  • Quartile 1
    0.08041
  • Median
    0.08630
  • Quartile 3
    0.09219
  • Maximum
    0.09808
  • Mean of quarter 1
    0.07451
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.09808
  • Inter Quartile Range
    0.01178
  • 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
    0.75%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -339695000
  • Max Equity Drawdown (num days)
    64
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.03335
  • Compounded annual return (geometric extrapolation)
    -0.03307
  • Calmar ratio (compounded annual return / max draw down)
    -0.33721
  • Compounded annual return / average of 25% largest draw downs
    -0.33721
  • Compounded annual return / Expected Shortfall lognormal
    -1.80971

Strategy Description

Summary Statistics

Includes fees & commissions
Strategy began
2020-04-26
Suggested Minimum Capital
$35,000
# Trades
985
# Profitable
531
% Profitable
53.9%
Correlation S&P500
0.068
Sharpe Ratio
1.61
Sortino Ratio
2.70
Beta
0.06
Alpha
0.09
Leverage
0.96 Average
3.31 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

Collective2 Automated Trading Systems 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