Collective2 Collective2
Featured Strategy Quant AI pro +16.7% Cumul. Return since Dec 2, 2024 Hypothetical

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These are hypothetical performance results that have certain inherent limitations. Learn more
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Trades-Own-Strategy Certification

This system has earned Trades-Own-Strategy (TOS) Certification. This means that the manager of this system trades his own strategy in a real-life, funded brokerage account.

Trades-Own-Strategy (TOS) Certification Details
Certification process started 10/18/2023
Most recent certification approved 10/18/23 11:05 ET
Trades at broker Israel Interactive Trading
Scaling percentage used 100%
# trading signals issued by system since certification 234
# trading signals executed in manager's Israel Interactive Trading account 234
Percent signals followed since 10/18/2023 100%
This information was last updated 12/20/24 14:07 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 10/18/2023, and the system developer's results may not match the system results presented here. In addition, not all subscribers have received the same trades or prices as the system manager has. For these reasons, and others, it is extremely important you remember the following:

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results. Hypothetical performance results have many inherent limitations, some of which are described below. No representation is being made that any account will or is likely to achieve profits or losses similar to those shown. In fact, there are frequently sharp differences between hypothetical performance results and the actual results subsequently achieved by any particular trading program.

One of the limitations of hypothetical performance results is that they are generally prepared with the benefit of hindsight. In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

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

Itay Verchik
(145819005)

Powered by BrokerTransmit.
Read important disclosures.

Created by: ITAYVERCHIK ITAYVERCHIK
Started: 09/2023
Stocks
Last trade: Today
Trading style: Equity Trend-following

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 $39.00 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
Trend-following
Category: Equity

Trend-following

Tries to take advantage of long, medium or short-term moves that seem to play out in various markets. Typically, trend-following analysis is backward looking; that is, it attempts to recognize and profit from already-established trends.
47.9%
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.

(30.7%)
Max Drawdown
81
Num Trades
65.4%
Win Trades
2.2 : 1
Profit Factor
62.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2023                                                        (0.3%)(5.1%)+18.0%+13.7%+27.0%
2024(8.2%)+6.0%(3.7%)(12%)+4.3%(6.3%)+3.3%+0.2%+9.7%+9.7%+23.4%+4.9%+30.0%

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 234 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
12/16/24 4:14 SMST TIDAL TRUST II DEFIANCE DAILY TARGET 2X SHORT MSTR LONG 250 4.42 12/20 9:30 7.02 n/a $645
Includes Typical Broker Commissions trade costs of $5.00
12/18/24 15:36 QUBT QUANTUM COMPUTING INC. COMMON STOCK SHORT 150 24.62 12/18 15:45 23.98 0.16%
Trade id #150357557
Max drawdown($56)
Time12/18/24 15:41
Quant open150
Worst price24.99
Drawdown as % of equity-0.16%
 $93
Includes Typical Broker Commissions trade costs of $3.00
12/18/24 15:43 NUKK NUKKLEUS INC. LONG 150 43.01 12/18 15:45 44.40 n/a $206
Includes Typical Broker Commissions trade costs of $3.00
12/18/24 15:14 NUKK NUKKLEUS INC. LONG 100 45.74 12/18 15:14 48.33 n/a $257
Includes Typical Broker Commissions trade costs of $2.00
12/18/24 14:25 QUBT QUANTUM COMPUTING INC. COMMON STOCK SHORT 100 25.54 12/18 15:09 21.84 0.16%
Trade id #150356306
Max drawdown($55)
Time12/18/24 14:41
Quant open100
Worst price26.10
Drawdown as % of equity-0.16%
 $368
Includes Typical Broker Commissions trade costs of $2.00
12/10/24 9:40 QURE UNIQURE N.V. ORDINARY SHARES SHORT 200 15.49 12/10 9:50 14.83 0.42%
Trade id #150288575
Max drawdown($130)
Time12/10/24 9:48
Quant open200
Worst price16.14
Drawdown as % of equity-0.42%
 $127
Includes Typical Broker Commissions trade costs of $4.00
12/6/24 12:06 PLTR PALANTIR TECHNOLOGIES INC. CLASS A SHORT 165 75.02 12/9 11:28 72.88 1.42%
Trade id #150266876
Max drawdown($460)
Time12/9/24 9:31
Quant open100
Worst price80.91
Drawdown as % of equity-1.42%
 $350
Includes Typical Broker Commissions trade costs of $3.30
11/20/24 12:27 SMST TIDAL TRUST II DEFIANCE DAILY TARGET 2X SHORT MSTR LONG 550 4.00 12/9 10:19 5.27 0.56%
Trade id #150134737
Max drawdown($163)
Time11/21/24 0:00
Quant open250
Worst price3.47
Drawdown as % of equity-0.56%
 $684
Includes Typical Broker Commissions trade costs of $11.00
12/5/24 14:56 BITU PROSHARES ULTRA BITCOIN ETF LONG 100 57.70 12/5 15:56 57.75 0.39%
Trade id #150258130
Max drawdown($124)
Time12/5/24 15:31
Quant open100
Worst price56.46
Drawdown as % of equity-0.39%
 $2
Includes Typical Broker Commissions trade costs of $2.00
12/3/24 14:55 PLTR PALANTIR TECHNOLOGIES INC. CLASS A SHORT 100 71.08 12/4 16:04 69.88 0.09%
Trade id #150235831
Max drawdown($28)
Time12/3/24 15:52
Quant open100
Worst price71.37
Drawdown as % of equity-0.09%
 $119
Includes Typical Broker Commissions trade costs of $2.00
11/26/24 13:28 NU NU HOLDINGS LTD LONG 250 14.01 12/2 9:31 11.73 1.85%
Trade id #150187791
Max drawdown($583)
Time12/2/24 9:31
Quant open250
Worst price11.68
Drawdown as % of equity-1.85%
 ($575)
Includes Typical Broker Commissions trade costs of $5.00
10/29/24 5:20 MARA MARATHON DIGITAL HOLDINGS INC LONG 300 18.42 11/29 11:12 22.25 1.67%
Trade id #149871917
Max drawdown($419)
Time11/4/24 0:00
Quant open100
Worst price15.31
Drawdown as % of equity-1.67%
 $1,143
Includes Typical Broker Commissions trade costs of $6.00
11/6/24 9:30 SMST TIDAL TRUST II DEFIANCE DAILY TARGET 2X SHORT MSTR LONG 150 4.90 11/6 13:26 5.51 n/a $88
Includes Typical Broker Commissions trade costs of $3.00
9/5/24 8:24 VOO VANGUARD S&P 500 ETF LONG 5 505.13 10/16 9:38 532.38 0.22%
Trade id #149258432
Max drawdown($46)
Time9/6/24 0:00
Quant open5
Worst price495.80
Drawdown as % of equity-0.22%
 $136
Includes Typical Broker Commissions trade costs of $0.10
5/14/24 7:37 HOLO MICROCLOUD HOLOGRAM INC. LONG 49 30.02 10/9 9:33 5.04 6.57%
Trade id #148160516
Max drawdown($1,461)
Time9/18/24 0:00
Quant open49
Worst price0.20
Drawdown as % of equity-6.57%
 ($1,225)
Includes Typical Broker Commissions trade costs of $0.98
9/18/24 14:00 UVIX VS TRUST - 2X LONG VIX FUTURES ETF LONG 200 4.60 10/4 15:43 4.84 0.24%
Trade id #149440755
Max drawdown($51)
Time9/19/24 0:00
Quant open200
Worst price4.34
Drawdown as % of equity-0.24%
 $44
Includes Typical Broker Commissions trade costs of $4.00
8/6/24 15:11 TQQQ PROSHARES ULTRAPRO QQQ LONG 90 59.83 9/16 9:34 65.47 0.79%
Trade id #148848799
Max drawdown($160)
Time8/7/24 0:00
Quant open50
Worst price53.00
Drawdown as % of equity-0.79%
 $506
Includes Typical Broker Commissions trade costs of $1.80
8/30/24 12:28 UVIX VS TRUST - 2X LONG VIX FUTURES ETF LONG 300 4.25 9/11 13:50 5.37 0.28%
Trade id #149138525
Max drawdown($59)
Time8/30/24 15:59
Quant open300
Worst price4.05
Drawdown as % of equity-0.28%
 $330
Includes Typical Broker Commissions trade costs of $6.00
8/12/24 9:47 QQQ POWERSHARES QQQ LONG 1 449.01 8/28 12:33 471.28 0%
Trade id #148890740
Max drawdown($0)
Time8/12/24 9:58
Quant open1
Worst price448.56
Drawdown as % of equity-0.00%
 $22
Includes Typical Broker Commissions trade costs of $0.02
7/30/24 15:04 MAGS ROUNDHILL MAGNIFICENT SEVEN ETF LONG 30 43.46 8/28 12:32 44.07 0.72%
Trade id #148776833
Max drawdown($148)
Time8/5/24 0:00
Quant open30
Worst price38.51
Drawdown as % of equity-0.72%
 $17
Includes Typical Broker Commissions trade costs of $0.60
8/5/24 5:59 SVIX VS TR -1X SHORT VIX FUTURES ETF LONG 300 21.12 8/7 13:55 23.12 4.63%
Trade id #148828295
Max drawdown($1,084)
Time8/5/24 9:32
Quant open300
Worst price17.50
Drawdown as % of equity-4.63%
 $595
Includes Typical Broker Commissions trade costs of $6.00
8/5/24 5:55 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 150 40.70 8/6 15:13 43.18 1.35%
Trade id #148828292
Max drawdown($314)
Time8/5/24 9:30
Quant open150
Worst price38.60
Drawdown as % of equity-1.35%
 $369
Includes Typical Broker Commissions trade costs of $3.00
7/15/24 12:34 JNK SPDR BLOOMBERG HIGH YIELD BOND LONG 25 95.17 8/5 7:14 93.95 0.06%
Trade id #148652011
Max drawdown($12)
Time8/2/24 0:00
Quant open25
Worst price94.67
Drawdown as % of equity-0.06%
 ($31)
Includes Typical Broker Commissions trade costs of $0.50
7/15/24 4:05 TLT ISHARES 20+ YEAR TREASURY BOND LONG 25 93.15 8/5 5:59 98.85 0.2%
Trade id #148646747
Max drawdown($41)
Time7/24/24 0:00
Quant open25
Worst price91.47
Drawdown as % of equity-0.20%
 $143
Includes Typical Broker Commissions trade costs of $0.50
7/15/24 9:01 YINN DIREXION DAILY FTSE CHINA BULL LONG 50 24.56 8/5 5:52 18.99 1.23%
Trade id #148647868
Max drawdown($253)
Time8/2/24 0:00
Quant open50
Worst price19.49
Drawdown as % of equity-1.23%
 ($280)
Includes Typical Broker Commissions trade costs of $1.00
7/18/24 10:27 SPWR SUNPOWER LONG 300 2.09 7/19 4:05 1.43 0.92%
Trade id #148680396
Max drawdown($191)
Time7/18/24 15:16
Quant open300
Worst price1.45
Drawdown as % of equity-0.92%
 ($205)
Includes Typical Broker Commissions trade costs of $6.00
4/23/24 15:37 FEPI REX FANG & INNOVATION EQUITY PREMIUM INCOME ETF LONG 100 51.91 7/12 13:42 56.00 0.63%
Trade id #147989936
Max drawdown($135)
Time4/25/24 0:00
Quant open100
Worst price50.55
Drawdown as % of equity-0.63%
 $407
Includes Typical Broker Commissions trade costs of $2.00
4/24/24 11:08 SPYI NEOS S&P 500 HIGH INCOME ETF LONG 100 48.40 7/5 15:50 50.83 0.3%
Trade id #147997567
Max drawdown($64)
Time4/25/24 0:00
Quant open100
Worst price47.75
Drawdown as % of equity-0.30%
 $241
Includes Typical Broker Commissions trade costs of $2.00
4/1/24 16:21 HUM HUMANA LONG 10 329.00 5/1 9:30 299.96 1.45%
Trade id #147777144
Max drawdown($303)
Time5/1/24 9:30
Quant open10
Worst price298.61
Drawdown as % of equity-1.45%
 ($290)
Includes Typical Broker Commissions trade costs of $0.20
1/30/24 8:02 AAPL APPLE LONG 30 185.08 4/17 16:00 168.00 2.33%
Trade id #147165231
Max drawdown($539)
Time4/10/24 0:00
Quant open30
Worst price167.11
Drawdown as % of equity-2.33%
 ($513)
Includes Typical Broker Commissions trade costs of $0.60
Next

Statistics

  • Strategy began
    9/14/2023
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    463.36
  • Age
    15 months ago
  • What it trades
    Stocks
  • # Trades
    81
  • # Profitable
    53
  • % Profitable
    65.40%
  • Avg trade duration
    42.5 days
  • Max peak-to-valley drawdown
    30.66%
  • drawdown period
    Dec 27, 2023 - Aug 06, 2024
  • Annual Return (Compounded)
    47.9%
  • Avg win
    $482.42
  • Avg loss
    $429.14
  • Model Account Values (Raw)
  • Cash
    $5,304
  • Margin Used
    $3,378
  • Buying Power
    $10,759
  • Ratios
  • W:L ratio
    2.19:1
  • Sharpe Ratio
    1.42
  • Sortino Ratio
    2.11
  • Calmar Ratio
    2.416
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    32.39%
  • Correlation to SP500
    0.31040
  • Return Percent SP500 (cumu) during strategy life
    32.60%
  • Return Statistics
  • Ann Return (w trading costs)
    47.9%
  • Slump
  • Current Slump as Pcnt Equity
    5.00%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.01%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.479%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    53.0%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    n/a
  • 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)
    658
  • Popularity (Last 6 weeks)
    939
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    989
  • Popularity (7 days, Percentile 1000 scale)
    863
  • Trades-Own-System Certification
  • Trades Own System?
    Yes
  • TOS percent
    100%
  • Win / Loss
  • Avg Loss
    $429
  • Avg Win
    $482
  • Sum Trade PL (losers)
    $12,016.000
  • Age
  • Num Months filled monthly returns table
    16
  • Win / Loss
  • Sum Trade PL (winners)
    $25,568.000
  • # Winners
    53
  • Num Months Winners
    10
  • Dividends
  • Dividends Received in Model Acct
    805
  • AUM
  • AUM (AutoTrader live capital)
    41505
  • Win / Loss
  • # Losers
    28
  • % Winners
    65.4%
  • Frequency
  • Avg Position Time (mins)
    61168.90
  • Avg Position Time (hrs)
    1019.48
  • Avg Trade Length
    42.5 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    1.36
  • Daily leverage (max)
    2.34
  • Regression
  • Alpha
    0.08
  • Beta
    0.58
  • Treynor Index
    0.19
  • 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)
    0.39
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    5.069
  • 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
    0.482
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.163
  • Hold-and-Hope Ratio
    0.205
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.45385
  • SD
    0.29537
  • Sharpe ratio (Glass type estimate)
    1.53655
  • Sharpe ratio (Hedges UMVUE)
    1.44587
  • df
    13.00000
  • t
    1.65966
  • p
    0.24178
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.39637
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.41655
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.45191
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.34364
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.31502
  • Upside Potential Ratio
    6.09714
  • Upside part of mean
    0.64129
  • Downside part of mean
    -0.18744
  • Upside SD
    0.29515
  • Downside SD
    0.10518
  • N nonnegative terms
    10.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    14.00000
  • Mean of predictor
    0.23259
  • Mean of criterion
    0.45385
  • SD of predictor
    0.10310
  • SD of criterion
    0.29537
  • Covariance
    0.00433
  • r
    0.14229
  • b (slope, estimate of beta)
    0.40763
  • a (intercept, estimate of alpha)
    0.35904
  • Mean Square Error
    0.09260
  • DF error
    12.00000
  • t(b)
    0.49797
  • p(b)
    0.42886
  • t(a)
    1.05590
  • p(a)
    0.35422
  • Lowerbound of 95% confidence interval for beta
    -1.37592
  • Upperbound of 95% confidence interval for beta
    2.19117
  • Lowerbound of 95% confidence interval for alpha
    -0.38183
  • Upperbound of 95% confidence interval for alpha
    1.09991
  • Treynor index (mean / b)
    1.11339
  • Jensen alpha (a)
    0.35904
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.40830
  • SD
    0.27681
  • Sharpe ratio (Glass type estimate)
    1.47501
  • Sharpe ratio (Hedges UMVUE)
    1.38796
  • df
    13.00000
  • t
    1.59319
  • p
    0.24988
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.45000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.34882
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.50342
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.27933
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.76768
  • Upside Potential Ratio
    5.54635
  • Upside part of mean
    0.60106
  • Downside part of mean
    -0.19275
  • Upside SD
    0.27074
  • Downside SD
    0.10837
  • N nonnegative terms
    10.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    14.00000
  • Mean of predictor
    0.22500
  • Mean of criterion
    0.40830
  • SD of predictor
    0.10267
  • SD of criterion
    0.27681
  • Covariance
    0.00380
  • r
    0.13387
  • b (slope, estimate of beta)
    0.36092
  • a (intercept, estimate of alpha)
    0.32710
  • Mean Square Error
    0.08152
  • DF error
    12.00000
  • t(b)
    0.46794
  • p(b)
    0.43307
  • t(a)
    1.03440
  • p(a)
    0.35694
  • Lowerbound of 95% confidence interval for beta
    -1.31961
  • Upperbound of 95% confidence interval for beta
    2.04145
  • Lowerbound of 95% confidence interval for alpha
    -0.36189
  • Upperbound of 95% confidence interval for alpha
    1.01608
  • Treynor index (mean / b)
    1.13128
  • Jensen alpha (a)
    0.32710
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.09282
  • Expected Shortfall on VaR
    0.12223
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02479
  • Expected Shortfall on VaR
    0.05207
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    14.00000
  • Minimum
    0.92930
  • Quartile 1
    0.97913
  • Median
    1.03407
  • Quartile 3
    1.08087
  • Maximum
    1.24361
  • Mean of quarter 1
    0.94766
  • Mean of quarter 2
    1.02422
  • Mean of quarter 3
    1.04061
  • Mean of quarter 4
    1.14424
  • Inter Quartile Range
    0.10174
  • 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
    0.07143
  • Mean of outliers high
    1.24361
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -1.58228
  • VaR(95%) (moments method)
    0.05976
  • Expected Shortfall (moments method)
    0.06155
  • Extreme Value Index (regression method)
    -1.30597
  • VaR(95%) (regression method)
    0.07017
  • Expected Shortfall (regression method)
    0.07281
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.14837
  • Quartile 1
    0.14837
  • Median
    0.14837
  • Quartile 3
    0.14837
  • Maximum
    0.14837
  • 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)
    0.56870
  • Compounded annual return (geometric extrapolation)
    0.54683
  • Calmar ratio (compounded annual return / max draw down)
    3.68551
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    4.47382
  • 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
    0.44333
  • SD
    0.22737
  • Sharpe ratio (Glass type estimate)
    1.94976
  • Sharpe ratio (Hedges UMVUE)
    1.94506
  • df
    311.00000
  • t
    2.12769
  • p
    0.01707
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.14565
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.75083
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.14250
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.74761
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.95452
  • Upside Potential Ratio
    10.51560
  • Upside part of mean
    1.57786
  • Downside part of mean
    -1.13454
  • Upside SD
    0.17253
  • Downside SD
    0.15005
  • N nonnegative terms
    175.00000
  • N negative terms
    137.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    312.00000
  • Mean of predictor
    0.21730
  • Mean of criterion
    0.44333
  • SD of predictor
    0.12788
  • SD of criterion
    0.22737
  • Covariance
    0.00933
  • r
    0.32089
  • b (slope, estimate of beta)
    0.57054
  • a (intercept, estimate of alpha)
    0.31900
  • Mean Square Error
    0.04652
  • DF error
    310.00000
  • t(b)
    5.96543
  • p(b)
    0.00000
  • t(a)
    1.60680
  • p(a)
    0.05456
  • Lowerbound of 95% confidence interval for beta
    0.38235
  • Upperbound of 95% confidence interval for beta
    0.75872
  • Lowerbound of 95% confidence interval for alpha
    -0.07172
  • Upperbound of 95% confidence interval for alpha
    0.71042
  • Treynor index (mean / b)
    0.77703
  • Jensen alpha (a)
    0.31935
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.41717
  • SD
    0.22738
  • Sharpe ratio (Glass type estimate)
    1.83468
  • Sharpe ratio (Hedges UMVUE)
    1.83025
  • df
    311.00000
  • t
    2.00211
  • p
    0.02307
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.03142
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.63510
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.02844
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.63207
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.73887
  • Upside Potential Ratio
    10.26210
  • Upside part of mean
    1.56307
  • Downside part of mean
    -1.14590
  • Upside SD
    0.17030
  • Downside SD
    0.15231
  • N nonnegative terms
    175.00000
  • N negative terms
    137.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    312.00000
  • Mean of predictor
    0.20903
  • Mean of criterion
    0.41717
  • SD of predictor
    0.12800
  • SD of criterion
    0.22738
  • Covariance
    0.00932
  • r
    0.32033
  • b (slope, estimate of beta)
    0.56905
  • a (intercept, estimate of alpha)
    0.29822
  • Mean Square Error
    0.04655
  • DF error
    310.00000
  • t(b)
    5.95370
  • p(b)
    0.00000
  • t(a)
    1.50078
  • p(a)
    0.06722
  • Lowerbound of 95% confidence interval for beta
    0.38099
  • Upperbound of 95% confidence interval for beta
    0.75712
  • Lowerbound of 95% confidence interval for alpha
    -0.09277
  • Upperbound of 95% confidence interval for alpha
    0.68921
  • Treynor index (mean / b)
    0.73310
  • Jensen alpha (a)
    0.29822
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02128
  • Expected Shortfall on VaR
    0.02700
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00913
  • Expected Shortfall on VaR
    0.01861
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    312.00000
  • Minimum
    0.93653
  • Quartile 1
    0.99456
  • Median
    1.00180
  • Quartile 3
    1.00914
  • Maximum
    1.05832
  • Mean of quarter 1
    0.98460
  • Mean of quarter 2
    0.99852
  • Mean of quarter 3
    1.00533
  • Mean of quarter 4
    1.01874
  • Inter Quartile Range
    0.01458
  • Number outliers low
    7.00000
  • Percentage of outliers low
    0.02244
  • Mean of outliers low
    0.96213
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.01923
  • Mean of outliers high
    1.04015
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.15823
  • VaR(95%) (moments method)
    0.01419
  • Expected Shortfall (moments method)
    0.02155
  • Extreme Value Index (regression method)
    0.07922
  • VaR(95%) (regression method)
    0.01478
  • Expected Shortfall (regression method)
    0.02150
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    15.00000
  • Minimum
    0.00008
  • Quartile 1
    0.00310
  • Median
    0.01239
  • Quartile 3
    0.04309
  • Maximum
    0.23201
  • Mean of quarter 1
    0.00061
  • Mean of quarter 2
    0.00858
  • Mean of quarter 3
    0.03381
  • Mean of quarter 4
    0.09835
  • Inter Quartile Range
    0.03999
  • 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
    0.06667
  • Mean of outliers high
    0.23201
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.61766
  • VaR(95%) (moments method)
    0.11568
  • Expected Shortfall (moments method)
    0.31456
  • Extreme Value Index (regression method)
    1.85033
  • VaR(95%) (regression method)
    0.14641
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.58695
  • Compounded annual return (geometric extrapolation)
    0.56061
  • Calmar ratio (compounded annual return / max draw down)
    2.41628
  • Compounded annual return / average of 25% largest draw downs
    5.70015
  • Compounded annual return / Expected Shortfall lognormal
    20.76400
  • 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
    0.88003
  • SD
    0.27483
  • Sharpe ratio (Glass type estimate)
    3.20206
  • Sharpe ratio (Hedges UMVUE)
    3.18355
  • df
    130.00000
  • t
    2.26419
  • p
    0.40261
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.39708
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.99496
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.38486
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.98223
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.01998
  • Upside Potential Ratio
    12.27680
  • Upside part of mean
    2.15218
  • Downside part of mean
    -1.27215
  • Upside SD
    0.21721
  • Downside SD
    0.17530
  • N nonnegative terms
    79.00000
  • N negative terms
    52.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.15733
  • Mean of criterion
    0.88003
  • SD of predictor
    0.14289
  • SD of criterion
    0.27483
  • Covariance
    0.01093
  • r
    0.27832
  • b (slope, estimate of beta)
    0.53531
  • a (intercept, estimate of alpha)
    0.79581
  • Mean Square Error
    0.07022
  • DF error
    129.00000
  • t(b)
    3.29114
  • p(b)
    0.32513
  • t(a)
    2.11859
  • p(a)
    0.38392
  • Lowerbound of 95% confidence interval for beta
    0.21350
  • Upperbound of 95% confidence interval for beta
    0.85712
  • Lowerbound of 95% confidence interval for alpha
    0.05261
  • Upperbound of 95% confidence interval for alpha
    1.53900
  • Treynor index (mean / b)
    1.64397
  • Jensen alpha (a)
    0.79581
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.84105
  • SD
    0.27496
  • Sharpe ratio (Glass type estimate)
    3.05877
  • Sharpe ratio (Hedges UMVUE)
    3.04109
  • df
    130.00000
  • t
    2.16288
  • p
    0.40681
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.25642
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.84968
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.24474
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.83744
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.70903
  • Upside Potential Ratio
    11.91930
  • Upside part of mean
    2.12882
  • Downside part of mean
    -1.28777
  • Upside SD
    0.21407
  • Downside SD
    0.17860
  • N nonnegative terms
    79.00000
  • N negative terms
    52.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.14711
  • Mean of criterion
    0.84105
  • SD of predictor
    0.14321
  • SD of criterion
    0.27496
  • Covariance
    0.01091
  • r
    0.27704
  • b (slope, estimate of beta)
    0.53192
  • a (intercept, estimate of alpha)
    0.76280
  • Mean Square Error
    0.07034
  • DF error
    129.00000
  • t(b)
    3.27482
  • p(b)
    0.32591
  • t(a)
    2.02958
  • p(a)
    0.38859
  • VAR (95 Confidence Intrvl)
    0.02100
  • Lowerbound of 95% confidence interval for beta
    0.21055
  • Upperbound of 95% confidence interval for beta
    0.85329
  • Lowerbound of 95% confidence interval for alpha
    0.01919
  • Upperbound of 95% confidence interval for alpha
    1.50641
  • Treynor index (mean / b)
    1.58115
  • Jensen alpha (a)
    0.76280
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02443
  • Expected Shortfall on VaR
    0.03131
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00951
  • Expected Shortfall on VaR
    0.02005
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.93653
  • Quartile 1
    0.99449
  • Median
    1.00380
  • Quartile 3
    1.01318
  • Maximum
    1.05832
  • Mean of quarter 1
    0.98264
  • Mean of quarter 2
    0.99918
  • Mean of quarter 3
    1.00852
  • Mean of quarter 4
    1.02368
  • Inter Quartile Range
    0.01869
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.02290
  • Mean of outliers low
    0.95218
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.01527
  • Mean of outliers high
    1.05079
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.13861
  • VaR(95%) (moments method)
    0.01533
  • Expected Shortfall (moments method)
    0.02314
  • Extreme Value Index (regression method)
    0.47645
  • VaR(95%) (regression method)
    0.01650
  • Expected Shortfall (regression method)
    0.03478
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    15.00000
  • Minimum
    0.00008
  • Quartile 1
    0.00756
  • Median
    0.04023
  • Quartile 3
    0.04558
  • Maximum
    0.10026
  • Mean of quarter 1
    0.00297
  • Mean of quarter 2
    0.01847
  • Mean of quarter 3
    0.04365
  • Mean of quarter 4
    0.06987
  • Inter Quartile Range
    0.03801
  • 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)
    -2.10949
  • VaR(95%) (moments method)
    0.07843
  • Expected Shortfall (moments method)
    0.07967
  • Extreme Value Index (regression method)
    -0.29169
  • VaR(95%) (regression method)
    0.09151
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.10856
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -450741000
  • Max Equity Drawdown (num days)
    223
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.08831
  • Compounded annual return (geometric extrapolation)
    1.38442
  • Calmar ratio (compounded annual return / max draw down)
    13.80770
  • Compounded annual return / average of 25% largest draw downs
    19.81350
  • Compounded annual return / Expected Shortfall lognormal
    44.21750

Strategy Description

My investment ideology is to let the money work for me, to refer to geo-political, macroeconomic events, the market environment, news and events in the company's stock, reports and forecasts and to invest for short-medium terms.
Keep the method simple, grab good companies at equal prices, in a combination of dividend stocks, indices, and use minor leverage, as much as possible.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2023-09-14
Suggested Minimum Capital
$35,000
Rank at C2 %
Top 1.1%
Rank # 
#8
# Trades
81
# Profitable
53
% Profitable
65.4%
Net Dividends
$805
Correlation S&P500
0.310
Sharpe Ratio
1.42
Sortino Ratio
2.11
Beta
0.58
Alpha
0.08
Leverage
1.36 Average
2.34 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.