Collective2 Collective2
Featured Strategy Income Trades +12.2% Cumul. Return since Feb 16, 2024 Hypothetical

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These are hypothetical performance results that have certain inherent limitations. Learn more
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C2 Grow
(146861540)

Created by: GrowFund GrowFund
Started: 01/2024
Stocks
Last trade: 2 days ago

Subscriptions not available

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

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

C2Star

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

You can read more about C2Star certification requirements here.

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

11.8%
Cumul. Return

Rate of Return Calculations

Overview

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

How Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

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

All results are hypothetical.

(7.6%)
Max Drawdown
203
Num Trades
84.2%
Win Trades
3.6 : 1
Profit Factor
100.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2024+1.2%+0.9%+3.6%+2.4%+0.8%+2.4%                                    +11.8%

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 117 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 32 days ago.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
6/21/24 9:31 SRPT SAREPTA THERAPEUTICS INC. COM SHORT 285 169.41 6/21 11:12 169.12 1.33%
Trade id #148466998
Max drawdown($734)
Time6/21/24 10:22
Quant open160
Worst price172.90
Drawdown as % of equity-1.33%
 $77
Includes Typical Broker Commissions trade costs of $5.70
6/20/24 9:31 ACN ACCENTURE SHORT 17 317.00 6/20 9:32 311.99 n/a $85
Includes Typical Broker Commissions trade costs of $0.34
6/18/24 9:35 TOST TOAST INC SHORT 300 24.58 6/18 9:38 24.34 n/a $67
Includes Typical Broker Commissions trade costs of $6.00
6/14/24 9:30 ADBE ADOBE INC SHORT 14 530.25 6/14 9:56 524.00 0.02%
Trade id #148407623
Max drawdown($12)
Time6/14/24 9:37
Quant open7
Worst price532.00
Drawdown as % of equity-0.02%
 $88
Includes Typical Broker Commissions trade costs of $0.28
6/14/24 9:36 RH RH LONG 10 233.00 6/14 9:38 237.46 n/a $45
Includes Typical Broker Commissions trade costs of $0.20
6/14/24 9:30 RH RH LONG 14 233.62 6/14 9:33 238.75 n/a $72
Includes Typical Broker Commissions trade costs of $0.28
6/13/24 9:33 AVGO BROADCOM LIMITED ORDINARY SHARES SHORT 6 1714.46 6/13 9:44 1700.59 0.23%
Trade id #148398039
Max drawdown($126)
Time6/13/24 9:39
Quant open5
Worst price1735.85
Drawdown as % of equity-0.23%
 $83
Includes Typical Broker Commissions trade costs of $0.12
6/13/24 9:31 WLY JOHN WILEY & SONS SHORT 77 42.89 6/13 9:44 42.35 0.11%
Trade id #148397934
Max drawdown($63)
Time6/13/24 9:34
Quant open77
Worst price43.72
Drawdown as % of equity-0.11%
 $40
Includes Typical Broker Commissions trade costs of $1.54
6/13/24 9:30 AVGO BROADCOM LIMITED ORDINARY SHARES SHORT 5 1713.04 6/13 9:31 1688.60 n/a $122
Includes Typical Broker Commissions trade costs of $0.10
6/12/24 10:32 CASY CASEY'S GENERAL STORES SHORT 8 386.44 6/12 11:03 378.83 0.04%
Trade id #148389723
Max drawdown($23)
Time6/12/24 10:38
Quant open8
Worst price389.44
Drawdown as % of equity-0.04%
 $61
Includes Typical Broker Commissions trade costs of $0.16
6/12/24 9:30 ORCL ORACLE CORP SHORT 220 137.67 6/12 10:47 137.44 0.56%
Trade id #148388310
Max drawdown($310)
Time6/12/24 9:36
Quant open96
Worst price139.60
Drawdown as % of equity-0.56%
 $46
Includes Typical Broker Commissions trade costs of $4.40
6/12/24 9:32 AFRM AFFIRM HOLDINGS INC. CLASS A SHORT 575 37.96 6/12 10:30 37.79 1.29%
Trade id #148388429
Max drawdown($707)
Time6/12/24 9:49
Quant open525
Worst price39.25
Drawdown as % of equity-1.29%
 $84
Includes Typical Broker Commissions trade costs of $11.50
6/11/24 9:30 TH TARGET HOSPITALITY CORP. COMMON STOCK LONG 1,000 6.66 6/11 9:58 6.74 1%
Trade id #148379141
Max drawdown($552)
Time6/11/24 9:37
Quant open1,000
Worst price6.11
Drawdown as % of equity-1.00%
 $56
Includes Typical Broker Commissions trade costs of $20.00
6/11/24 9:31 AFRM AFFIRM HOLDINGS INC. CLASS A SHORT 150 33.60 6/11 9:34 33.02 0.05%
Trade id #148379227
Max drawdown($27)
Time6/11/24 9:34
Quant open150
Worst price33.78
Drawdown as % of equity-0.05%
 $83
Includes Typical Broker Commissions trade costs of $3.00
6/7/24 9:33 ODD ODDITY TECH LTD. CLASS A SHORT 1,687 44.31 6/10 12:17 44.30 4.77%
Trade id #148356020
Max drawdown($2,593)
Time6/7/24 12:29
Quant open1,387
Worst price46.07
Drawdown as % of equity-4.77%
 ($29)
Includes Typical Broker Commissions trade costs of $33.74
6/10/24 9:31 PERI PERION NETWORK LONG 360 8.72 6/10 11:02 8.88 0.09%
Trade id #148369695
Max drawdown($50)
Time6/10/24 10:12
Quant open310
Worst price8.56
Drawdown as % of equity-0.09%
 $49
Includes Typical Broker Commissions trade costs of $7.20
6/7/24 9:30 MTN VAIL RESORTS LONG 208 169.83 6/7 13:50 169.50 1.74%
Trade id #148355865
Max drawdown($967)
Time6/7/24 10:29
Quant open188
Worst price165.14
Drawdown as % of equity-1.74%
 ($74)
Includes Typical Broker Commissions trade costs of $4.16
6/6/24 9:34 SMAR SMARTSHEET INC SHORT 570 44.62 6/6 10:05 44.48 0.73%
Trade id #148343754
Max drawdown($403)
Time6/6/24 9:55
Quant open520
Worst price45.34
Drawdown as % of equity-0.73%
 $70
Includes Typical Broker Commissions trade costs of $11.40
6/6/24 9:30 FIVE FIVE BELOW INC LONG 56 107.42 6/6 9:32 109.75 n/a $129
Includes Typical Broker Commissions trade costs of $1.12
6/5/24 9:31 MDGL MADRIGAL PHARMACEUTICALS INC LONG 30 209.90 6/5 9:40 212.98 0.03%
Trade id #148333312
Max drawdown($19)
Time6/5/24 9:35
Quant open10
Worst price208.60
Drawdown as % of equity-0.03%
 $92
Includes Typical Broker Commissions trade costs of $0.60
6/5/24 9:30 HPE HEWLETT PACKARD ENTERPRISE CO SHORT 168 20.40 6/5 9:33 19.83 n/a $93
Includes Typical Broker Commissions trade costs of $3.36
6/4/24 9:37 BBWI BATH & BODY WORKS INC LONG 310 46.57 6/4 10:22 46.63 0.61%
Trade id #148324238
Max drawdown($333)
Time6/4/24 9:57
Quant open260
Worst price45.45
Drawdown as % of equity-0.61%
 $12
Includes Typical Broker Commissions trade costs of $6.20
6/4/24 9:30 BBWI BATH & BODY WORKS INC LONG 126 46.64 6/4 9:32 47.95 n/a $162
Includes Typical Broker Commissions trade costs of $2.52
6/3/24 9:30 ADSK AUTODESK SHORT 157 220.38 6/3 9:54 219.64 0.38%
Trade id #148313460
Max drawdown($207)
Time6/3/24 9:50
Quant open117
Worst price222.15
Drawdown as % of equity-0.38%
 $113
Includes Typical Broker Commissions trade costs of $3.14
5/31/24 10:42 MDB MONGODB INC. CLASS A COMMON STOCK LONG 5 227.90 5/31 10:53 232.03 n/a $21
Includes Typical Broker Commissions trade costs of $0.10
5/31/24 10:01 AMBA AMBARELLA INC SHORT 225 59.23 5/31 10:34 58.76 0.19%
Trade id #148299214
Max drawdown($102)
Time5/31/24 10:26
Quant open135
Worst price59.99
Drawdown as % of equity-0.19%
 $101
Includes Typical Broker Commissions trade costs of $4.50
5/20/24 9:35 WIX WIX.COM LTD. ORDINARY SHARES SHORT 515 164.12 5/31 10:04 164.44 7.86%
Trade id #148206504
Max drawdown($4,118)
Time5/21/24 0:00
Quant open300
Worst price174.09
Drawdown as % of equity-7.86%
 ($175)
Includes Typical Broker Commissions trade costs of $10.30
5/31/24 9:36 MDB MONGODB INC. CLASS A COMMON STOCK LONG 36 229.82 5/31 9:59 233.00 0.3%
Trade id #148298721
Max drawdown($159)
Time5/31/24 9:46
Quant open27
Worst price225.25
Drawdown as % of equity-0.30%
 $114
Includes Typical Broker Commissions trade costs of $0.72
5/31/24 9:30 S SENTINELONE INC LONG 681 14.94 5/31 9:37 15.18 0.17%
Trade id #148298401
Max drawdown($91)
Time5/31/24 9:33
Quant open681
Worst price14.80
Drawdown as % of equity-0.17%
 $155
Includes Typical Broker Commissions trade costs of $9.31
5/30/24 13:34 CRM SALESFORCE INC LONG 17 213.27 5/30 15:32 215.72 0.04%
Trade id #148293204
Max drawdown($21)
Time5/30/24 14:04
Quant open12
Worst price212.00
Drawdown as % of equity-0.04%
 $42
Includes Typical Broker Commissions trade costs of $0.34
Next

Statistics

  • Strategy began
    1/2/2024
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    173.15
  • Age
    173 days ago
  • What it trades
    Stocks
  • # Trades
    203
  • # Profitable
    171
  • % Profitable
    84.20%
  • Avg trade duration
    1.3 days
  • Max peak-to-valley drawdown
    7.58%
  • drawdown period
    May 17, 2024 - May 21, 2024
  • Cumul. Return
    11.8%
  • Avg win
    $57.27
  • Avg loss
    $86.19
  • Model Account Values (Raw)
  • Cash
    $56,948
  • Margin Used
    $0
  • Buying Power
    $55,356
  • Ratios
  • W:L ratio
    3.55:1
  • Sharpe Ratio
    1.44
  • Sortino Ratio
    2.09
  • Calmar Ratio
    5.052
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -3.43%
  • Correlation to SP500
    -0.02340
  • Return Percent SP500 (cumu) during strategy life
    15.22%
  • Return Statistics
  • Ann Return (w trading costs)
    25.9%
  • Slump
  • Current Slump as Pcnt Equity
    0.40%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.04%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.118%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    31.8%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    3.50%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    884
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    941
  • Popularity (7 days, Percentile 1000 scale)
    734
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $86
  • Avg Win
    $57
  • Sum Trade PL (losers)
    $2,758.000
  • Age
  • Num Months filled monthly returns table
    6
  • Win / Loss
  • Sum Trade PL (winners)
    $9,794.000
  • # Winners
    171
  • Num Months Winners
    6
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    32
  • % Winners
    84.2%
  • Frequency
  • Avg Position Time (mins)
    1922.93
  • Avg Position Time (hrs)
    32.05
  • Avg Trade Length
    1.3 days
  • Last Trade Ago
    2
  • Leverage
  • Daily leverage (average)
    0.26
  • Daily leverage (max)
    1.70
  • Regression
  • Alpha
    0.07
  • Beta
    -0.03
  • Treynor Index
    -2.21
  • 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)
    12.08
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    10.748
  • 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
    0.02
  • Avg(MAE) / Avg(PL) - Winning trades
    3.968
  • Avg(MAE) / Avg(PL) - Losing trades
    -7.510
  • Hold-and-Hope Ratio
    0.078
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.22348
  • SD
    0.04022
  • Sharpe ratio (Glass type estimate)
    5.55583
  • Sharpe ratio (Hedges UMVUE)
    4.43291
  • df
    4.00000
  • t
    3.58627
  • p
    0.01152
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.65782
  • Upperbound of 95% confidence interval for Sharpe Ratio
    10.23400
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.11372
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    8.75210
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.22348
  • Downside part of mean
    0.00000
  • Upside SD
    0.07387
  • Downside SD
    0.00000
  • N nonnegative terms
    5.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    5.00000
  • Mean of predictor
    0.23840
  • Mean of criterion
    0.22348
  • SD of predictor
    0.10594
  • SD of criterion
    0.04022
  • Covariance
    -0.00278
  • r
    -0.65298
  • b (slope, estimate of beta)
    -0.24794
  • a (intercept, estimate of alpha)
    0.28259
  • Mean Square Error
    0.00124
  • DF error
    3.00000
  • t(b)
    -1.49329
  • p(b)
    0.88390
  • t(a)
    4.19547
  • p(a)
    0.01235
  • Lowerbound of 95% confidence interval for beta
    -0.77634
  • Upperbound of 95% confidence interval for beta
    0.28046
  • Lowerbound of 95% confidence interval for alpha
    0.06823
  • Upperbound of 95% confidence interval for alpha
    0.49694
  • Treynor index (mean / b)
    -0.90134
  • Jensen alpha (a)
    0.28259
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.22029
  • SD
    0.03929
  • Sharpe ratio (Glass type estimate)
    5.60652
  • Sharpe ratio (Hedges UMVUE)
    4.47336
  • df
    4.00000
  • t
    3.61899
  • p
    0.01119
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.68310
  • Upperbound of 95% confidence interval for Sharpe Ratio
    10.31130
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.13419
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    8.81252
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.22029
  • Downside part of mean
    0.00000
  • Upside SD
    0.07266
  • Downside SD
    0.00000
  • N nonnegative terms
    5.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    5.00000
  • Mean of predictor
    0.23114
  • Mean of criterion
    0.22029
  • SD of predictor
    0.10512
  • SD of criterion
    0.03929
  • Covariance
    -0.00268
  • r
    -0.64883
  • b (slope, estimate of beta)
    -0.24253
  • a (intercept, estimate of alpha)
    0.27635
  • Mean Square Error
    0.00119
  • DF error
    3.00000
  • t(b)
    -1.47687
  • p(b)
    0.88189
  • t(a)
    4.21364
  • p(a)
    0.01221
  • Lowerbound of 95% confidence interval for beta
    -0.76515
  • Upperbound of 95% confidence interval for beta
    0.28009
  • Lowerbound of 95% confidence interval for alpha
    0.06763
  • Upperbound of 95% confidence interval for alpha
    0.48507
  • Treynor index (mean / b)
    -0.90832
  • Jensen alpha (a)
    0.27635
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00030
  • Expected Shortfall on VaR
    0.00502
  • 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
    5.00000
  • Minimum
    1.00932
  • Quartile 1
    1.01466
  • Median
    1.01510
  • Quartile 3
    1.02795
  • Maximum
    1.03772
  • Mean of quarter 1
    1.01199
  • Mean of quarter 2
    1.01510
  • Mean of quarter 3
    1.02795
  • Mean of quarter 4
    1.03772
  • Inter Quartile Range
    0.01328
  • 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)
    0.26149
  • Compounded annual return (geometric extrapolation)
    0.28172
  • 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
    56.14670
  • 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
    0.24923
  • SD
    0.13009
  • Sharpe ratio (Glass type estimate)
    1.91584
  • Sharpe ratio (Hedges UMVUE)
    1.90404
  • df
    122.00000
  • t
    1.31269
  • p
    0.44099
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.95864
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.78259
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.96644
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.77453
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.81958
  • Upside Potential Ratio
    7.67508
  • Upside part of mean
    0.67842
  • Downside part of mean
    -0.42919
  • Upside SD
    0.09597
  • Downside SD
    0.08839
  • N nonnegative terms
    83.00000
  • N negative terms
    40.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    123.00000
  • Mean of predictor
    0.27988
  • Mean of criterion
    0.24923
  • SD of predictor
    0.10880
  • SD of criterion
    0.13009
  • Covariance
    -0.00045
  • r
    -0.03152
  • b (slope, estimate of beta)
    -0.03769
  • a (intercept, estimate of alpha)
    0.26000
  • Mean Square Error
    0.01705
  • DF error
    121.00000
  • t(b)
    -0.34694
  • p(b)
    0.52007
  • t(a)
    1.34628
  • p(a)
    0.42285
  • Lowerbound of 95% confidence interval for beta
    -0.25279
  • Upperbound of 95% confidence interval for beta
    0.17740
  • Lowerbound of 95% confidence interval for alpha
    -0.12224
  • Upperbound of 95% confidence interval for alpha
    0.64180
  • Treynor index (mean / b)
    -6.61197
  • Jensen alpha (a)
    0.25978
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.24069
  • SD
    0.13022
  • Sharpe ratio (Glass type estimate)
    1.84826
  • Sharpe ratio (Hedges UMVUE)
    1.83688
  • df
    122.00000
  • t
    1.26638
  • p
    0.44305
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.02539
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.71444
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.03292
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.70667
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.68556
  • Upside Potential Ratio
    7.51832
  • Upside part of mean
    0.67382
  • Downside part of mean
    -0.43313
  • Upside SD
    0.09492
  • Downside SD
    0.08962
  • N nonnegative terms
    83.00000
  • N negative terms
    40.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    123.00000
  • Mean of predictor
    0.27384
  • Mean of criterion
    0.24069
  • SD of predictor
    0.10870
  • SD of criterion
    0.13022
  • Covariance
    -0.00045
  • r
    -0.03167
  • b (slope, estimate of beta)
    -0.03794
  • a (intercept, estimate of alpha)
    0.25108
  • Mean Square Error
    0.01708
  • DF error
    121.00000
  • t(b)
    -0.34856
  • p(b)
    0.52016
  • t(a)
    1.30050
  • p(a)
    0.42543
  • Lowerbound of 95% confidence interval for beta
    -0.25344
  • Upperbound of 95% confidence interval for beta
    0.17756
  • Lowerbound of 95% confidence interval for alpha
    -0.13114
  • Upperbound of 95% confidence interval for alpha
    0.63330
  • Treynor index (mean / b)
    -6.34372
  • Jensen alpha (a)
    0.25108
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01224
  • Expected Shortfall on VaR
    0.01555
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00265
  • Expected Shortfall on VaR
    0.00645
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    123.00000
  • Minimum
    0.96075
  • Quartile 1
    0.99984
  • Median
    1.00095
  • Quartile 3
    1.00230
  • Maximum
    1.02943
  • Mean of quarter 1
    0.99365
  • Mean of quarter 2
    1.00037
  • Mean of quarter 3
    1.00175
  • Mean of quarter 4
    1.00848
  • Inter Quartile Range
    0.00245
  • Number outliers low
    14.00000
  • Percentage of outliers low
    0.11382
  • Mean of outliers low
    0.98754
  • Number of outliers high
    11.00000
  • Percentage of outliers high
    0.08943
  • Mean of outliers high
    1.01712
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.44306
  • VaR(95%) (moments method)
    0.00345
  • Expected Shortfall (moments method)
    0.00824
  • Extreme Value Index (regression method)
    0.50080
  • VaR(95%) (regression method)
    0.00625
  • Expected Shortfall (regression method)
    0.01738
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    20.00000
  • Minimum
    0.00004
  • Quartile 1
    0.00017
  • Median
    0.00085
  • Quartile 3
    0.00839
  • Maximum
    0.06099
  • Mean of quarter 1
    0.00010
  • Mean of quarter 2
    0.00046
  • Mean of quarter 3
    0.00309
  • Mean of quarter 4
    0.03053
  • Inter Quartile Range
    0.00822
  • 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
    0.15000
  • Mean of outliers high
    0.04176
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.40411
  • VaR(95%) (moments method)
    0.02873
  • Expected Shortfall (moments method)
    0.03527
  • Extreme Value Index (regression method)
    0.11686
  • VaR(95%) (regression method)
    0.04745
  • Expected Shortfall (regression method)
    0.07585
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.28626
  • Compounded annual return (geometric extrapolation)
    0.30813
  • Calmar ratio (compounded annual return / max draw down)
    5.05181
  • Compounded annual return / average of 25% largest draw downs
    10.09360
  • Compounded annual return / Expected Shortfall lognormal
    19.81540
  • 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)
    0.01200
  • 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?
    -374981000
  • Max Equity Drawdown (num days)
    4

Strategy Description

Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2024-01-02
Suggested Minimum Capital
$35,000
Rank at C2 %
Top 5.9%
Rank # 
#54
# Trades
203
# Profitable
171
% Profitable
84.2%
Correlation S&P500
-0.023
Sharpe Ratio
1.44
Sortino Ratio
2.09
Beta
-0.03
Alpha
0.07
Leverage
0.26 Average
1.70 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.