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

C2 Grow
(146861540)

Created by: C2Grow C2Grow
Started: 01/2024
Stocks
Last trade: Today

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.

22.5%
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
353
Num Trades
84.1%
Win Trades
7.2 : 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%+2.2%+2.2%+4.7%+1.4%+1.1%            +22.5%

Model Account Details

A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.

Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.

Trading Record

This strategy has placed 771 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 7 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
10/31/24 9:30 EL ESTEE LAUDER COS LONG 40 65.63 10/31 9:43 65.72 0.14%
Trade id #149914512
Max drawdown($88)
Time10/31/24 9:33
Quant open35
Worst price63.36
Drawdown as % of equity-0.14%
$3
Includes Typical Broker Commissions trade costs of $0.80
10/31/24 9:30 RBLX ROBLOX CORP SHORT 30 50.86 10/31 9:33 48.46 n/a $71
Includes Typical Broker Commissions trade costs of $0.60
10/30/24 12:01 RDDT REDDIT INC SHORT 20 114.80 10/30 12:23 113.25 0.01%
Trade id #149899403
Max drawdown($4)
Time10/30/24 12:16
Quant open20
Worst price115.00
Drawdown as % of equity-0.01%
$31
Includes Typical Broker Commissions trade costs of $0.40
10/30/24 9:30 RDDT REDDIT INC SHORT 180 112.39 10/30 11:55 112.19 0.65%
Trade id #149892509
Max drawdown($400)
Time10/30/24 10:51
Quant open90
Worst price116.39
Drawdown as % of equity-0.65%
$33
Includes Typical Broker Commissions trade costs of $3.60
10/30/24 9:55 SNAP SNAP INC SHORT 560 12.52 10/30 10:44 12.47 0.2%
Trade id #149893417
Max drawdown($123)
Time10/30/24 10:27
Quant open560
Worst price12.74
Drawdown as % of equity-0.20%
$17
Includes Typical Broker Commissions trade costs of $11.20
10/30/24 9:30 LLY ELI LILLY LONG 12 783.60 10/30 9:47 784.96 0.28%
Trade id #149892453
Max drawdown($168)
Time10/30/24 9:41
Quant open10
Worst price769.25
Drawdown as % of equity-0.28%
$16
Includes Typical Broker Commissions trade costs of $0.24
10/30/24 9:30 QRVO QORVO INC. COMMON STOCK LONG 136 73.85 10/30 9:39 74.06 0.55%
Trade id #149892441
Max drawdown($336)
Time10/30/24 9:35
Quant open106
Worst price71.36
Drawdown as % of equity-0.55%
$25
Includes Typical Broker Commissions trade costs of $2.72
10/29/24 9:30 VFC VF SHORT 245 21.11 10/29 10:56 21.18 0.28%
Trade id #149873017
Max drawdown($169)
Time10/29/24 9:53
Quant open180
Worst price21.92
Drawdown as % of equity-0.28%
($21)
Includes Typical Broker Commissions trade costs of $4.90
10/29/24 10:22 CROX CROCS SHORT 10 113.40 10/29 10:22 113.51 0%
Trade id #149874410
Max drawdown($1)
Time10/29/24 10:22
Quant open10
Worst price113.51
Drawdown as % of equity-0.00%
($1)
Includes Typical Broker Commissions trade costs of $0.20
10/29/24 9:35 CROX CROCS LONG 35 112.62 10/29 10:22 113.86 0.06%
Trade id #149873530
Max drawdown($35)
Time10/29/24 10:18
Quant open25
Worst price111.20
Drawdown as % of equity-0.06%
$42
Includes Typical Broker Commissions trade costs of $0.70
10/29/24 9:30 DHI DR HORTON LONG 14 154.46 10/29 9:36 157.78 n/a $47
Includes Typical Broker Commissions trade costs of $0.28
10/29/24 9:30 CROX CROCS LONG 15 112.80 10/29 9:33 116.82 n/a $60
Includes Typical Broker Commissions trade costs of $0.30
10/22/24 9:32 GPC GENUINE PARTS LONG 361 116.20 10/28 10:26 116.01 1.32%
Trade id #149782808
Max drawdown($788)
Time10/22/24 11:50
Quant open280
Worst price113.93
Drawdown as % of equity-1.32%
($74)
Includes Typical Broker Commissions trade costs of $7.22
10/28/24 9:30 PHG KONINKLIJKE PHILIPS LONG 135 26.14 10/28 9:41 26.43 n/a $36
Includes Typical Broker Commissions trade costs of $2.70
10/25/24 9:39 TPR TAPESTRY INC SHORT 320 50.89 10/25 11:20 50.82 0.26%
Trade id #149830118
Max drawdown($157)
Time10/25/24 10:29
Quant open200
Worst price51.59
Drawdown as % of equity-0.26%
$17
Includes Typical Broker Commissions trade costs of $6.40
10/25/24 9:46 DECK DECKERS OUTDOOR CORP SHORT 32 171.23 10/25 9:56 169.90 0.07%
Trade id #149830360
Max drawdown($42)
Time10/25/24 9:49
Quant open27
Worst price172.56
Drawdown as % of equity-0.07%
$42
Includes Typical Broker Commissions trade costs of $0.64
10/25/24 9:34 COUR COURSERA INC LONG 150 6.34 10/25 9:43 6.57 n/a $31
Includes Typical Broker Commissions trade costs of $3.00
10/25/24 9:34 NWL NEWELL BRANDS INC SHORT 300 8.87 10/25 9:43 8.71 0.06%
Trade id #149829831
Max drawdown($39)
Time10/25/24 9:38
Quant open300
Worst price9.00
Drawdown as % of equity-0.06%
$41
Includes Typical Broker Commissions trade costs of $6.00
10/25/24 9:30 TPR TAPESTRY INC SHORT 50 49.90 10/25 9:36 48.68 n/a $60
Includes Typical Broker Commissions trade costs of $1.00
10/25/24 9:30 CNC CENTENE SHORT 60 70.00 10/25 9:33 68.79 n/a $72
Includes Typical Broker Commissions trade costs of $1.20
10/23/24 10:54 UPWK UPWORK INC. COMMON STOCK SHORT 450 12.63 10/24 11:57 12.55 0.13%
Trade id #149806190
Max drawdown($81)
Time10/24/24 11:00
Quant open200
Worst price13.00
Drawdown as % of equity-0.13%
$27
Includes Typical Broker Commissions trade costs of $9.00
10/24/24 9:33 WST WEST PHARMACEUTICAL SHORT 32 342.46 10/24 10:56 342.19 0.5%
Trade id #149817066
Max drawdown($303)
Time10/24/24 9:54
Quant open24
Worst price352.33
Drawdown as % of equity-0.50%
$8
Includes Typical Broker Commissions trade costs of $0.64
10/24/24 9:33 QS QUANTUMSCAPE CORP SHORT 3,800 6.77 10/24 10:41 6.73 0.78%
Trade id #149817056
Max drawdown($472)
Time10/24/24 10:26
Quant open1,800
Worst price7.03
Drawdown as % of equity-0.78%
$63
Includes Typical Broker Commissions trade costs of $76.00
10/24/24 9:34 LC LENDINGCLUB CORP SHORT 436 14.88 10/24 9:45 14.79 0.46%
Trade id #149817068
Max drawdown($277)
Time10/24/24 9:41
Quant open436
Worst price15.52
Drawdown as % of equity-0.46%
$28
Includes Typical Broker Commissions trade costs of $8.72
10/24/24 9:30 UPS UNITED PARCEL SERVICE SHORT 20 144.08 10/24 9:38 142.08 0.03%
Trade id #149816814
Max drawdown($15)
Time10/24/24 9:34
Quant open20
Worst price144.87
Drawdown as % of equity-0.03%
$40
Includes Typical Broker Commissions trade costs of $0.40
10/24/24 9:30 LC LENDINGCLUB CORP SHORT 236 14.72 10/24 9:31 14.10 n/a $141
Includes Typical Broker Commissions trade costs of $4.72
10/23/24 9:31 UPWK UPWORK INC. COMMON STOCK SHORT 600 12.34 10/23 10:00 12.18 0.5%
Trade id #149803624
Max drawdown($299)
Time10/23/24 9:43
Quant open500
Worst price12.85
Drawdown as % of equity-0.50%
$87
Includes Typical Broker Commissions trade costs of $12.00
10/22/24 9:44 MLI MUELLER INDUSTRIES SHORT 70 82.32 10/22 10:06 81.76 0.09%
Trade id #149783268
Max drawdown($53)
Time10/22/24 10:03
Quant open70
Worst price83.08
Drawdown as % of equity-0.09%
$38
Includes Typical Broker Commissions trade costs of $1.40
10/22/24 9:30 GPC GENUINE PARTS LONG 31 120.20 10/22 9:31 122.00 n/a $55
Includes Typical Broker Commissions trade costs of $0.62
10/21/24 9:30 VFC VF LONG 140 17.90 10/21 9:40 18.12 0.1%
Trade id #149723653
Max drawdown($63)
Time10/21/24 9:33
Quant open140
Worst price17.45
Drawdown as % of equity-0.10%
$28
Includes Typical Broker Commissions trade costs of $2.80

Statistics

  • Strategy began
    1/2/2024
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    303.24
  • Age
    10 months ago
  • What it trades
    Stocks
  • # Trades
    353
  • # Profitable
    297
  • % Profitable
    84.10%
  • Avg trade duration
    1.9 days
  • Max peak-to-valley drawdown
    7.58%
  • drawdown period
    May 17, 2024 - May 21, 2024
  • Cumul. Return
    22.5%
  • Avg win
    $57.29
  • Avg loss
    $43.57
  • Model Account Values (Raw)
  • Cash
    $64,517
  • Margin Used
    $1,900
  • Buying Power
    $61,107
  • Ratios
  • W:L ratio
    7.20:1
  • Sharpe Ratio
    1.71
  • Sortino Ratio
    2.57
  • Calmar Ratio
    5.472
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    2.18%
  • Correlation to SP500
    -0.01600
  • Return Percent SP500 (cumu) during strategy life
    20.81%
  • Return Statistics
  • Ann Return (w trading costs)
    27.4%
  • Slump
  • Current Slump as Pcnt Equity
    0.10%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.00%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.225%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    32.9%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    2.50%
  • 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)
    750
  • Popularity (Last 6 weeks)
    922
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    940
  • Popularity (7 days, Percentile 1000 scale)
    738
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $69
  • Avg Win
    $57
  • Sum Trade PL (losers)
    $3,886.000
  • Age
  • Num Months filled monthly returns table
    10
  • Win / Loss
  • Sum Trade PL (winners)
    $17,015.000
  • # Winners
    297
  • Num Months Winners
    10
  • Dividends
  • Dividends Received in Model Acct
    278
  • Win / Loss
  • # Losers
    56
  • % Winners
    84.1%
  • Frequency
  • Avg Position Time (mins)
    2802.87
  • Avg Position Time (hrs)
    46.71
  • Avg Trade Length
    1.9 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    0.27
  • Daily leverage (max)
    1.70
  • Regression
  • Alpha
    0.07
  • Beta
    -0.01
  • Treynor Index
    -4.42
  • 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)
    4.26
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    9.999
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    4.019
  • Avg(MAE) / Avg(PL) - Losing trades
    -12.570
  • Hold-and-Hope Ratio
    0.082
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.27296
  • SD
    0.04288
  • Sharpe ratio (Glass type estimate)
    6.36553
  • Sharpe ratio (Hedges UMVUE)
    5.74618
  • df
    8.00000
  • t
    5.51271
  • p
    0.00028
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    2.49462
  • Upperbound of 95% confidence interval for Sharpe Ratio
    10.10750
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.13379
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    9.35858
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.27296
  • Downside part of mean
    0.00000
  • Upside SD
    0.08856
  • Downside SD
    0.00000
  • N nonnegative terms
    9.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    9.00000
  • Mean of predictor
    0.22489
  • Mean of criterion
    0.27296
  • SD of predictor
    0.10828
  • SD of criterion
    0.04288
  • Covariance
    -0.00234
  • r
    -0.50399
  • b (slope, estimate of beta)
    -0.19959
  • a (intercept, estimate of alpha)
    0.31785
  • Mean Square Error
    0.00157
  • DF error
    7.00000
  • t(b)
    -1.54386
  • p(b)
    0.91673
  • t(a)
    5.86644
  • p(a)
    0.00031
  • Lowerbound of 95% confidence interval for beta
    -0.50530
  • Upperbound of 95% confidence interval for beta
    0.10611
  • Lowerbound of 95% confidence interval for alpha
    0.18973
  • Upperbound of 95% confidence interval for alpha
    0.44596
  • Treynor index (mean / b)
    -1.36759
  • Jensen alpha (a)
    0.31785
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.26850
  • SD
    0.04185
  • Sharpe ratio (Glass type estimate)
    6.41552
  • Sharpe ratio (Hedges UMVUE)
    5.79131
  • df
    8.00000
  • t
    5.55601
  • p
    0.00027
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    2.52548
  • Upperbound of 95% confidence interval for Sharpe Ratio
    10.17690
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.16165
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    9.42097
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.26850
  • Downside part of mean
    0.00000
  • Upside SD
    0.08698
  • Downside SD
    0.00000
  • N nonnegative terms
    9.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    9.00000
  • Mean of predictor
    0.21719
  • Mean of criterion
    0.26850
  • SD of predictor
    0.10772
  • SD of criterion
    0.04185
  • Covariance
    -0.00227
  • r
    -0.50321
  • b (slope, estimate of beta)
    -0.19552
  • a (intercept, estimate of alpha)
    0.31097
  • Mean Square Error
    0.00149
  • DF error
    7.00000
  • t(b)
    -1.54064
  • p(b)
    0.91635
  • t(a)
    5.92675
  • p(a)
    0.00029
  • Lowerbound of 95% confidence interval for beta
    -0.49561
  • Upperbound of 95% confidence interval for beta
    0.10457
  • Lowerbound of 95% confidence interval for alpha
    0.18690
  • Upperbound of 95% confidence interval for alpha
    0.43504
  • Treynor index (mean / b)
    -1.37330
  • Jensen alpha (a)
    0.31097
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    -0.00251
  • Expected Shortfall on VaR
    0.00253
  • 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
    9.00000
  • Minimum
    1.00932
  • Quartile 1
    1.01466
  • Median
    1.02795
  • Quartile 3
    1.03697
  • Maximum
    1.04001
  • Mean of quarter 1
    1.01184
  • Mean of quarter 2
    1.02152
  • Mean of quarter 3
    1.03469
  • Mean of quarter 4
    1.03887
  • Inter Quartile Range
    0.02231
  • 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)
    0.33194
  • Compounded annual return (geometric extrapolation)
    0.34502
  • 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
    136.23900
  • 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
    0.26650
  • SD
    0.11219
  • Sharpe ratio (Glass type estimate)
    2.37543
  • Sharpe ratio (Hedges UMVUE)
    2.36717
  • df
    216.00000
  • t
    2.16183
  • p
    0.01587
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.20756
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.53796
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.20202
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.53233
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.62921
  • Upside Potential Ratio
    8.65030
  • Upside part of mean
    0.63520
  • Downside part of mean
    -0.36870
  • Upside SD
    0.08607
  • Downside SD
    0.07343
  • N nonnegative terms
    154.00000
  • N negative terms
    63.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    217.00000
  • Mean of predictor
    0.20366
  • Mean of criterion
    0.26650
  • SD of predictor
    0.12558
  • SD of criterion
    0.11219
  • Covariance
    -0.00021
  • r
    -0.01507
  • b (slope, estimate of beta)
    -0.01346
  • a (intercept, estimate of alpha)
    0.26900
  • Mean Square Error
    0.01264
  • DF error
    215.00000
  • t(b)
    -0.22102
  • p(b)
    0.58736
  • t(a)
    2.16835
  • p(a)
    0.01561
  • Lowerbound of 95% confidence interval for beta
    -0.13354
  • Upperbound of 95% confidence interval for beta
    0.10661
  • Lowerbound of 95% confidence interval for alpha
    0.02450
  • Upperbound of 95% confidence interval for alpha
    0.51398
  • Treynor index (mean / b)
    -19.79310
  • Jensen alpha (a)
    0.26924
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.26008
  • SD
    0.11216
  • Sharpe ratio (Glass type estimate)
    2.31879
  • Sharpe ratio (Hedges UMVUE)
    2.31073
  • df
    216.00000
  • t
    2.11029
  • p
    0.01799
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.15147
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.48085
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.14612
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.47535
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.49877
  • Upside Potential Ratio
    8.49523
  • Upside part of mean
    0.63148
  • Downside part of mean
    -0.37140
  • Upside SD
    0.08517
  • Downside SD
    0.07433
  • N nonnegative terms
    154.00000
  • N negative terms
    63.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    217.00000
  • Mean of predictor
    0.19570
  • Mean of criterion
    0.26008
  • SD of predictor
    0.12573
  • SD of criterion
    0.11216
  • Covariance
    -0.00020
  • r
    -0.01442
  • b (slope, estimate of beta)
    -0.01286
  • a (intercept, estimate of alpha)
    0.26259
  • Mean Square Error
    0.01264
  • DF error
    215.00000
  • t(b)
    -0.21144
  • p(b)
    0.58363
  • t(a)
    2.11619
  • p(a)
    0.01774
  • Lowerbound of 95% confidence interval for beta
    -0.13277
  • Upperbound of 95% confidence interval for beta
    0.10705
  • Lowerbound of 95% confidence interval for alpha
    0.01801
  • Upperbound of 95% confidence interval for alpha
    0.50718
  • Treynor index (mean / b)
    -20.21880
  • Jensen alpha (a)
    0.26259
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01035
  • Expected Shortfall on VaR
    0.01321
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00208
  • Expected Shortfall on VaR
    0.00517
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    217.00000
  • Minimum
    0.96075
  • Quartile 1
    0.99987
  • Median
    1.00118
  • Quartile 3
    1.00258
  • Maximum
    1.02943
  • Mean of quarter 1
    0.99457
  • Mean of quarter 2
    1.00055
  • Mean of quarter 3
    1.00188
  • Mean of quarter 4
    1.00762
  • Inter Quartile Range
    0.00271
  • Number outliers low
    23.00000
  • Percentage of outliers low
    0.10599
  • Mean of outliers low
    0.98913
  • Number of outliers high
    15.00000
  • Percentage of outliers high
    0.06912
  • Mean of outliers high
    1.01710
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.40265
  • VaR(95%) (moments method)
    0.00332
  • Expected Shortfall (moments method)
    0.00728
  • Extreme Value Index (regression method)
    0.41654
  • VaR(95%) (regression method)
    0.00566
  • Expected Shortfall (regression method)
    0.01344
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    32.00000
  • Minimum
    0.00004
  • Quartile 1
    0.00061
  • Median
    0.00228
  • Quartile 3
    0.00930
  • Maximum
    0.06099
  • Mean of quarter 1
    0.00018
  • Mean of quarter 2
    0.00127
  • Mean of quarter 3
    0.00525
  • Mean of quarter 4
    0.02727
  • Inter Quartile Range
    0.00869
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.12500
  • Mean of outliers high
    0.03845
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.37259
  • VaR(95%) (moments method)
    0.02658
  • Expected Shortfall (moments method)
    0.03210
  • Extreme Value Index (regression method)
    0.31844
  • VaR(95%) (regression method)
    0.03297
  • Expected Shortfall (regression method)
    0.05817
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.32523
  • Compounded annual return (geometric extrapolation)
    0.33374
  • Calmar ratio (compounded annual return / max draw down)
    5.47168
  • Compounded annual return / average of 25% largest draw downs
    12.23930
  • Compounded annual return / Expected Shortfall lognormal
    25.26550
  • 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
    0.27730
  • SD
    0.13326
  • Sharpe ratio (Glass type estimate)
    2.08093
  • Sharpe ratio (Hedges UMVUE)
    2.06890
  • df
    130.00000
  • t
    1.47144
  • p
    0.43600
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.70627
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.86038
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.71429
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.85209
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.11739
  • Upside Potential Ratio
    8.76214
  • Upside part of mean
    0.77942
  • Downside part of mean
    -0.50212
  • Upside SD
    0.10002
  • Downside SD
    0.08895
  • N nonnegative terms
    92.00000
  • N negative terms
    39.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.23817
  • Mean of criterion
    0.27730
  • SD of predictor
    0.13075
  • SD of criterion
    0.13326
  • Covariance
    -0.00047
  • r
    -0.02725
  • b (slope, estimate of beta)
    -0.02777
  • a (intercept, estimate of alpha)
    0.28391
  • Mean Square Error
    0.01788
  • DF error
    129.00000
  • t(b)
    -0.30959
  • p(b)
    0.51734
  • t(a)
    1.49180
  • p(a)
    0.41733
  • Lowerbound of 95% confidence interval for beta
    -0.20524
  • Upperbound of 95% confidence interval for beta
    0.14970
  • Lowerbound of 95% confidence interval for alpha
    -0.09263
  • Upperbound of 95% confidence interval for alpha
    0.66046
  • Treynor index (mean / b)
    -9.98564
  • Jensen alpha (a)
    0.28391
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.26832
  • SD
    0.13330
  • Sharpe ratio (Glass type estimate)
    2.01290
  • Sharpe ratio (Hedges UMVUE)
    2.00126
  • df
    130.00000
  • t
    1.42333
  • p
    0.43806
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.77344
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.79173
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.78120
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.78372
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.97813
  • Upside Potential Ratio
    8.59534
  • Upside part of mean
    0.77441
  • Downside part of mean
    -0.50609
  • Upside SD
    0.09895
  • Downside SD
    0.09010
  • N nonnegative terms
    92.00000
  • N negative terms
    39.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.22954
  • Mean of criterion
    0.26832
  • SD of predictor
    0.13102
  • SD of criterion
    0.13330
  • Covariance
    -0.00046
  • r
    -0.02607
  • b (slope, estimate of beta)
    -0.02652
  • a (intercept, estimate of alpha)
    0.27441
  • Mean Square Error
    0.01789
  • DF error
    129.00000
  • t(b)
    -0.29615
  • p(b)
    0.51659
  • t(a)
    1.44202
  • p(a)
    0.42003
  • VAR (95 Confidence Intrvl)
    0.01000
  • Lowerbound of 95% confidence interval for beta
    -0.20369
  • Upperbound of 95% confidence interval for beta
    0.15065
  • Lowerbound of 95% confidence interval for alpha
    -0.10209
  • Upperbound of 95% confidence interval for alpha
    0.65090
  • Treynor index (mean / b)
    -10.11760
  • Jensen alpha (a)
    0.27441
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01244
  • Expected Shortfall on VaR
    0.01583
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00293
  • Expected Shortfall on VaR
    0.00706
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96075
  • Quartile 1
    0.99886
  • Median
    1.00141
  • Quartile 3
    1.00337
  • Maximum
    1.02943
  • Mean of quarter 1
    0.99257
  • Mean of quarter 2
    1.00063
  • Mean of quarter 3
    1.00231
  • Mean of quarter 4
    1.00919
  • Inter Quartile Range
    0.00451
  • Number outliers low
    9.00000
  • Percentage of outliers low
    0.06870
  • Mean of outliers low
    0.98268
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.05344
  • Mean of outliers high
    1.02359
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.57714
  • VaR(95%) (moments method)
    0.00574
  • Expected Shortfall (moments method)
    0.01605
  • Extreme Value Index (regression method)
    0.40063
  • VaR(95%) (regression method)
    0.00798
  • Expected Shortfall (regression method)
    0.01750
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    17.00000
  • Minimum
    0.00007
  • Quartile 1
    0.00212
  • Median
    0.00730
  • Quartile 3
    0.01833
  • Maximum
    0.06099
  • Mean of quarter 1
    0.00118
  • Mean of quarter 2
    0.00497
  • Mean of quarter 3
    0.01171
  • Mean of quarter 4
    0.03686
  • Inter Quartile Range
    0.01620
  • 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
    0.05882
  • Mean of outliers high
    0.06099
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.13070
  • VaR(95%) (moments method)
    0.03739
  • Expected Shortfall (moments method)
    0.05304
  • Extreme Value Index (regression method)
    1.45899
  • VaR(95%) (regression method)
    0.04528
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -372452000
  • Max Equity Drawdown (num days)
    4
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.31929
  • Compounded annual return (geometric extrapolation)
    0.34477
  • Calmar ratio (compounded annual return / max draw down)
    5.65264
  • Compounded annual return / average of 25% largest draw downs
    9.35363
  • Compounded annual return / Expected Shortfall lognormal
    21.77760

Strategy Description

Summary Statistics

Strategy began
2024-01-02
Suggested Minimum Capital
$35,000
Rank at C2 %
Top 6.0%
Rank # 
#53
# Trades
353
# Profitable
297
% Profitable
84.1%
Net Dividends
Correlation S&P500
-0.016
Sharpe Ratio
1.71
Sortino Ratio
2.57
Beta
-0.01
Alpha
0.07
Leverage
0.27 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.