Collective2 Collective2
Featured Strategy Lazy Trading ES +44.1% Cumul. Return since Sep 25, 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 06/14/2023
Most recent certification approved 8/27/24 14:37 ET
Trades at broker Interactive Brokers (Stocks, Options, Futures)
Scaling percentage used 100%
# trading signals issued by system since certification 959
# trading signals executed in manager's Interactive Brokers (Stocks, Options, Futures) account 878
Percent signals followed since 06/14/2023 91.5%
This information was last updated 11/22/24 15:05 ET

Warning: System trading results are still hypothetical.

Even though the system developer is currently trading his own system in a real-life brokerage account, the trading results presented on this Web site must still be regarded as purely hypothetical results. This is because (among other reasons) the system developer may not have traded all signals, particularly those that occurred before 06/14/2023, 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.

stockBot
(145863618)

Created by: equityTradingPost equityTradingPost
Started: 09/2023
Stocks
Last trade: 2 days ago
Trading style: Equity Non-hedged Equity Sector Rotation

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 $69.00 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
Non-hedged Equity
Category: Equity

Non-hedged Equity

Predominantly long equities, although some hedging with short sales of stocks and/or stock index options. Commonly known as "stock-pickers."
Sector Rotation
Category: Equity

Sector Rotation

Uses the proceeds from the sale of securities related to a particular investment sector for the purchase of securities in another sector. This strategy is used as a method for capturing returns from market cycles and diversifying holdings over a specified holding period.
38.4%
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.

(14.6%)
Max Drawdown
319
Num Trades
97.5%
Win Trades
4.4 : 1
Profit Factor
66.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2023                                                        +0.6%(4.9%)+3.0%+11.9%+10.3%
2024+0.3%+2.6%(1.9%)+8.0%+3.9%(1.8%)+11.2%(7%)+5.8%+16.1%(5.7%)      +33.4%

Model Account Details

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

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

System developer has asked us to delay this information by 24 hours.

Trading Record

This strategy has placed 877 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
11/13/24 10:01 KHC THE KRAFT HEINZ COMPANY COMMON STOCK LONG 100 31.21 11/22 9:44 31.34 0.1%
Trade id #150075128
Max drawdown($75)
Time11/19/24 0:00
Quant open100
Worst price30.46
Drawdown as % of equity-0.10%
 $11
Includes Typical Broker Commissions trade costs of $2.00
11/15/24 10:24 CERT CERTARA INC. LONG 200 9.92 11/22 9:41 10.04 0.14%
Trade id #150096175
Max drawdown($102)
Time11/21/24 0:00
Quant open200
Worst price9.41
Drawdown as % of equity-0.14%
 $20
Includes Typical Broker Commissions trade costs of $4.00
11/15/24 9:34 PFE PFIZER LONG 25 24.87 11/22 9:39 25.36 0.01%
Trade id #150095016
Max drawdown($9)
Time11/15/24 9:47
Quant open25
Worst price24.48
Drawdown as % of equity-0.01%
 $12
Includes Typical Broker Commissions trade costs of $0.50
11/18/24 11:30 KSS KOHL'S LONG 200 16.79 11/22 9:36 17.21 0.17%
Trade id #150112778
Max drawdown($121)
Time11/21/24 0:00
Quant open100
Worst price16.12
Drawdown as % of equity-0.17%
 $81
Includes Typical Broker Commissions trade costs of $4.00
11/20/24 9:36 M MACY'S LONG 100 14.91 11/21 14:39 14.95 0.06%
Trade id #150131154
Max drawdown($39)
Time11/21/24 9:31
Quant open100
Worst price14.51
Drawdown as % of equity-0.06%
 $2
Includes Typical Broker Commissions trade costs of $2.00
11/15/24 13:03 AEHR AEHR TEST LONG 50 10.85 11/18 10:06 11.02 0.02%
Trade id #150098988
Max drawdown($12)
Time11/15/24 16:00
Quant open50
Worst price10.60
Drawdown as % of equity-0.02%
 $8
Includes Typical Broker Commissions trade costs of $1.00
11/6/24 9:43 DG DOLLAR GENERAL LONG 40 76.95 11/14 11:19 77.75 0.14%
Trade id #150008011
Max drawdown($100)
Time11/12/24 0:00
Quant open20
Worst price73.51
Drawdown as % of equity-0.14%
 $31
Includes Typical Broker Commissions trade costs of $0.80
11/7/24 10:16 APA APA CORP LONG 200 22.33 11/14 10:43 22.51 0.27%
Trade id #150028377
Max drawdown($194)
Time11/13/24 0:00
Quant open200
Worst price21.36
Drawdown as % of equity-0.27%
 $32
Includes Typical Broker Commissions trade costs of $4.00
11/12/24 9:40 EL ESTEE LAUDER COS LONG 10 63.09 11/13 10:17 63.86 0.01%
Trade id #150064247
Max drawdown($8)
Time11/12/24 10:49
Quant open10
Worst price62.29
Drawdown as % of equity-0.01%
 $8
Includes Typical Broker Commissions trade costs of $0.20
10/30/24 11:15 KSS KOHL'S LONG 400 18.27 11/11 11:51 18.54 0.45%
Trade id #149897617
Max drawdown($344)
Time11/8/24 0:00
Quant open400
Worst price17.41
Drawdown as % of equity-0.45%
 $100
Includes Typical Broker Commissions trade costs of $8.00
11/11/24 10:32 CHWY CHEWY INC SHORT 50 33.19 11/11 10:55 32.94 0.01%
Trade id #150055007
Max drawdown($4)
Time11/11/24 10:35
Quant open50
Worst price33.27
Drawdown as % of equity-0.01%
 $12
Includes Typical Broker Commissions trade costs of $1.00
11/4/24 15:36 EL ESTEE LAUDER COS LONG 20 65.10 11/7 10:05 66.45 0.04%
Trade id #149965908
Max drawdown($34)
Time11/6/24 0:00
Quant open10
Worst price62.88
Drawdown as % of equity-0.04%
 $27
Includes Typical Broker Commissions trade costs of $0.40
11/4/24 9:48 OPCH OPTION CARE HEALTH INC. COMMON STOCK LONG 200 22.61 11/6 10:01 23.10 0.08%
Trade id #149957709
Max drawdown($61)
Time11/5/24 0:00
Quant open100
Worst price22.25
Drawdown as % of equity-0.08%
 $94
Includes Typical Broker Commissions trade costs of $4.00
10/31/24 11:52 DAN DANA INC LONG 100 7.92 11/5 14:38 8.00 0.04%
Trade id #149921378
Max drawdown($34)
Time11/5/24 9:34
Quant open100
Worst price7.58
Drawdown as % of equity-0.04%
 $6
Includes Typical Broker Commissions trade costs of $2.00
10/21/24 9:38 VSAT VIASAT LONG 400 10.23 11/5 9:48 10.54 0.44%
Trade id #149723969
Max drawdown($346)
Time11/1/24 0:00
Quant open400
Worst price9.37
Drawdown as % of equity-0.44%
 $114
Includes Typical Broker Commissions trade costs of $8.00
11/4/24 11:43 CERT CERTARA INC. LONG 100 10.09 11/4 15:50 10.24 0.01%
Trade id #149959685
Max drawdown($4)
Time11/4/24 11:49
Quant open100
Worst price10.05
Drawdown as % of equity-0.01%
 $13
Includes Typical Broker Commissions trade costs of $2.00
10/30/24 9:46 GO GROCERY OUTLET HOLDING CORP LONG 200 14.58 11/1 15:44 15.05 0.25%
Trade id #149893226
Max drawdown($196)
Time10/30/24 13:30
Quant open200
Worst price13.60
Drawdown as % of equity-0.25%
 $90
Includes Typical Broker Commissions trade costs of $4.00
10/31/24 10:11 BYND BEYOND MEAT INC. COMMON STOCK LONG 100 6.06 11/1 10:15 6.22 0.01%
Trade id #149916293
Max drawdown($9)
Time10/31/24 10:54
Quant open100
Worst price5.96
Drawdown as % of equity-0.01%
 $14
Includes Typical Broker Commissions trade costs of $2.00
10/29/24 14:14 DG DOLLAR GENERAL LONG 100 79.45 11/1 9:39 81.23 0.1%
Trade id #149883712
Max drawdown($77)
Time10/31/24 0:00
Quant open50
Worst price78.45
Drawdown as % of equity-0.10%
 $176
Includes Typical Broker Commissions trade costs of $2.00
10/17/24 14:36 BRKR BRUKER LONG 80 58.07 11/1 9:36 59.23 0.13%
Trade id #149688471
Max drawdown($105)
Time10/31/24 0:00
Quant open40
Worst price56.56
Drawdown as % of equity-0.13%
 $91
Includes Typical Broker Commissions trade costs of $1.60
10/21/24 14:13 NE NOBLE CORP LONG 50 31.91 10/31 10:08 32.46 0.06%
Trade id #149745040
Max drawdown($45)
Time10/28/24 0:00
Quant open50
Worst price31.00
Drawdown as % of equity-0.06%
 $27
Includes Typical Broker Commissions trade costs of $1.00
10/23/24 11:08 BIGC BIGCOMMERCE HOLDINGS INC. LONG 100 5.41 10/30 10:27 5.58 0.02%
Trade id #149806667
Max drawdown($16)
Time10/25/24 0:00
Quant open100
Worst price5.25
Drawdown as % of equity-0.02%
 $15
Includes Typical Broker Commissions trade costs of $2.00
10/15/24 14:14 KLAC KLA CORP LONG 20 684.06 10/29 12:39 688.00 0.75%
Trade id #149666044
Max drawdown($588)
Time10/23/24 0:00
Quant open20
Worst price654.65
Drawdown as % of equity-0.75%
 $79
Includes Typical Broker Commissions trade costs of $0.40
10/24/24 10:03 CERT CERTARA INC. LONG 200 10.29 10/28 10:10 10.48 0.06%
Trade id #149817758
Max drawdown($48)
Time10/24/24 11:41
Quant open100
Worst price9.99
Drawdown as % of equity-0.06%
 $34
Includes Typical Broker Commissions trade costs of $4.00
10/24/24 9:56 GPC GENUINE PARTS LONG 10 113.25 10/28 9:42 117.00 0%
Trade id #149817627
Max drawdown($3)
Time10/24/24 10:02
Quant open10
Worst price112.92
Drawdown as % of equity-0.00%
 $38
Includes Typical Broker Commissions trade costs of $0.20
10/21/24 10:03 EYE NATIONAL VISION HOLDINGS INC. LONG 200 9.76 10/28 9:40 10.01 0.05%
Trade id #149727447
Max drawdown($40)
Time10/23/24 0:00
Quant open200
Worst price9.56
Drawdown as % of equity-0.05%
 $46
Includes Typical Broker Commissions trade costs of $4.00
10/25/24 9:33 COUR COURSERA INC LONG 100 6.34 10/25 9:46 6.68 n/a $32
Includes Typical Broker Commissions trade costs of $2.00
10/22/24 11:04 DG DOLLAR GENERAL LONG 10 80.21 10/25 9:31 82.12 0%
Trade id #149793041
Max drawdown($0)
Time10/22/24 11:38
Quant open10
Worst price80.12
Drawdown as % of equity-0.00%
 $19
Includes Typical Broker Commissions trade costs of $0.20
10/15/24 9:35 TALO TALOS ENERGY INC LONG 200 9.88 10/24 9:34 10.17 0.11%
Trade id #149662016
Max drawdown($87)
Time10/23/24 0:00
Quant open200
Worst price9.44
Drawdown as % of equity-0.11%
 $55
Includes Typical Broker Commissions trade costs of $4.00
10/15/24 15:28 ALGM ALLEGRO MICROSYSTEMS INC. COMMON STOCK LONG 100 20.17 10/23 9:35 20.71 0.05%
Trade id #149666741
Max drawdown($37)
Time10/22/24 0:00
Quant open100
Worst price19.80
Drawdown as % of equity-0.05%
 $52
Includes Typical Broker Commissions trade costs of $2.00
Next

Statistics

  • Strategy began
    9/19/2023
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    431.95
  • Age
    14 months ago
  • What it trades
    Stocks
  • # Trades
    319
  • # Profitable
    311
  • % Profitable
    97.50%
  • Avg trade duration
    7.8 days
  • Max peak-to-valley drawdown
    14.56%
  • drawdown period
    Aug 01, 2024 - Sept 11, 2024
  • Annual Return (Compounded)
    38.4%
  • Avg win
    $108.12
  • Avg loss
    $967.88
  • Model Account Values (Raw)
  • Cash
    $55,418
  • Margin Used
    $0
  • Buying Power
    $47,797
  • Ratios
  • W:L ratio
    4.37:1
  • Sharpe Ratio
    1.26
  • Sortino Ratio
    2.44
  • Calmar Ratio
    3.634
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    12.87%
  • Correlation to SP500
    0.29940
  • Return Percent SP500 (cumu) during strategy life
    34.33%
  • Return Statistics
  • Ann Return (w trading costs)
    38.4%
  • Slump
  • Current Slump as Pcnt Equity
    7.70%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.06%
  • Return Statistics
  • Return Pcnt Since TOS Status
    51.710%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.384%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    42.5%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    20.50%
  • Chance of 20% account loss
    1.00%
  • 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)
    684
  • Popularity (Last 6 weeks)
    985
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    977
  • Popularity (7 days, Percentile 1000 scale)
    914
  • Trades-Own-System Certification
  • Trades Own System?
    Yes
  • TOS percent
    100%
  • Win / Loss
  • Avg Loss
    $968
  • Avg Win
    $108
  • Sum Trade PL (losers)
    $7,743.000
  • Age
  • Num Months filled monthly returns table
    15
  • Win / Loss
  • Sum Trade PL (winners)
    $33,624.000
  • # Winners
    311
  • Num Months Winners
    10
  • Dividends
  • Dividends Received in Model Acct
    237
  • AUM
  • AUM (AutoTrader live capital)
    150275
  • Win / Loss
  • # Losers
    8
  • % Winners
    97.5%
  • Frequency
  • Avg Position Time (mins)
    11183.30
  • Avg Position Time (hrs)
    186.39
  • Avg Trade Length
    7.8 days
  • Last Trade Ago
    2
  • Leverage
  • Daily leverage (average)
    0.58
  • Daily leverage (max)
    1.58
  • Regression
  • Alpha
    0.06
  • Beta
    0.50
  • Treynor Index
    0.18
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    5.50
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    3.165
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    1.883
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.307
  • Hold-and-Hope Ratio
    0.340
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.39318
  • SD
    0.28045
  • Sharpe ratio (Glass type estimate)
    1.40195
  • Sharpe ratio (Hedges UMVUE)
    1.31214
  • df
    12.00000
  • t
    1.45920
  • p
    0.30590
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.58766
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.33847
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.64273
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.26702
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.85852
  • Upside Potential Ratio
    6.87615
  • Upside part of mean
    0.55646
  • Downside part of mean
    -0.16328
  • Upside SD
    0.28096
  • Downside SD
    0.08093
  • N nonnegative terms
    8.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    13.00000
  • Mean of predictor
    0.25514
  • Mean of criterion
    0.39318
  • SD of predictor
    0.13039
  • SD of criterion
    0.28045
  • Covariance
    0.00480
  • r
    0.13116
  • b (slope, estimate of beta)
    0.28211
  • a (intercept, estimate of alpha)
    0.32120
  • Mean Square Error
    0.08433
  • DF error
    11.00000
  • t(b)
    0.43879
  • p(b)
    0.33465
  • t(a)
    0.99243
  • p(a)
    0.17116
  • Lowerbound of 95% confidence interval for beta
    -1.13296
  • Upperbound of 95% confidence interval for beta
    1.69718
  • Lowerbound of 95% confidence interval for alpha
    -0.39115
  • Upperbound of 95% confidence interval for alpha
    1.03355
  • Treynor index (mean / b)
    1.39371
  • Jensen alpha (a)
    0.32120
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.35379
  • SD
    0.26089
  • Sharpe ratio (Glass type estimate)
    1.35609
  • Sharpe ratio (Hedges UMVUE)
    1.26922
  • df
    12.00000
  • t
    1.41146
  • p
    0.31133
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.62775
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.28834
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.68111
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.21956
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.28719
  • Upside Potential Ratio
    6.30184
  • Upside part of mean
    0.52005
  • Downside part of mean
    -0.16625
  • Upside SD
    0.25778
  • Downside SD
    0.08252
  • N nonnegative terms
    8.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    13.00000
  • Mean of predictor
    0.24449
  • Mean of criterion
    0.35379
  • SD of predictor
    0.12631
  • SD of criterion
    0.26089
  • Covariance
    0.00410
  • r
    0.12431
  • b (slope, estimate of beta)
    0.25677
  • a (intercept, estimate of alpha)
    0.29102
  • Mean Square Error
    0.07310
  • DF error
    11.00000
  • t(b)
    0.41553
  • p(b)
    0.34287
  • t(a)
    0.96840
  • p(a)
    0.17683
  • Lowerbound of 95% confidence interval for beta
    -1.10332
  • Upperbound of 95% confidence interval for beta
    1.61687
  • Lowerbound of 95% confidence interval for alpha
    -0.37040
  • Upperbound of 95% confidence interval for alpha
    0.95243
  • Treynor index (mean / b)
    1.37783
  • Jensen alpha (a)
    0.29102
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.09008
  • Expected Shortfall on VaR
    0.11793
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02720
  • Expected Shortfall on VaR
    0.04955
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    13.00000
  • Minimum
    0.95148
  • Quartile 1
    0.97498
  • Median
    1.01470
  • Quartile 3
    1.07235
  • Maximum
    1.23601
  • Mean of quarter 1
    0.96172
  • Mean of quarter 2
    1.00361
  • Mean of quarter 3
    1.05201
  • Mean of quarter 4
    1.14749
  • Inter Quartile Range
    0.09737
  • 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
    0.07692
  • Mean of outliers high
    1.23601
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -13.56080
  • VaR(95%) (moments method)
    0.03925
  • Expected Shortfall (moments method)
    0.03925
  • Extreme Value Index (regression method)
    -1.33922
  • VaR(95%) (regression method)
    0.04793
  • Expected Shortfall (regression method)
    0.04933
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.01211
  • Quartile 1
    0.02502
  • Median
    0.03839
  • Quartile 3
    0.04119
  • Maximum
    0.04852
  • Mean of quarter 1
    0.01857
  • Mean of quarter 2
    0.03839
  • Mean of quarter 3
    0.04119
  • Mean of quarter 4
    0.04852
  • Inter Quartile Range
    0.01618
  • 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)
    0.47272
  • Compounded annual return (geometric extrapolation)
    0.46477
  • Calmar ratio (compounded annual return / max draw down)
    9.57852
  • Compounded annual return / average of 25% largest draw downs
    9.57852
  • Compounded annual return / Expected Shortfall lognormal
    3.94120
  • 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
    0.37796
  • SD
    0.22205
  • Sharpe ratio (Glass type estimate)
    1.70214
  • Sharpe ratio (Hedges UMVUE)
    1.69763
  • df
    283.00000
  • t
    1.77217
  • p
    0.03872
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.18704
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.58843
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.19008
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.58533
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.30273
  • Upside Potential Ratio
    10.94700
  • Upside part of mean
    1.25276
  • Downside part of mean
    -0.87480
  • Upside SD
    0.19126
  • Downside SD
    0.11444
  • N nonnegative terms
    149.00000
  • N negative terms
    135.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    284.00000
  • Mean of predictor
    0.25369
  • Mean of criterion
    0.37796
  • SD of predictor
    0.13615
  • SD of criterion
    0.22205
  • Covariance
    0.00918
  • r
    0.30351
  • b (slope, estimate of beta)
    0.49500
  • a (intercept, estimate of alpha)
    0.25200
  • Mean Square Error
    0.04492
  • DF error
    282.00000
  • t(b)
    5.34920
  • p(b)
    0.00000
  • t(a)
    1.23160
  • p(a)
    0.10956
  • Lowerbound of 95% confidence interval for beta
    0.31285
  • Upperbound of 95% confidence interval for beta
    0.67715
  • Lowerbound of 95% confidence interval for alpha
    -0.15099
  • Upperbound of 95% confidence interval for alpha
    0.65576
  • Treynor index (mean / b)
    0.76356
  • Jensen alpha (a)
    0.25238
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.35357
  • SD
    0.21893
  • Sharpe ratio (Glass type estimate)
    1.61496
  • Sharpe ratio (Hedges UMVUE)
    1.61068
  • df
    283.00000
  • t
    1.68140
  • p
    0.04689
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.27365
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.50078
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.27651
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.49787
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.05543
  • Upside Potential Ratio
    10.67180
  • Upside part of mean
    1.23492
  • Downside part of mean
    -0.88135
  • Upside SD
    0.18668
  • Downside SD
    0.11572
  • N nonnegative terms
    149.00000
  • N negative terms
    135.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    284.00000
  • Mean of predictor
    0.24433
  • Mean of criterion
    0.35357
  • SD of predictor
    0.13598
  • SD of criterion
    0.21893
  • Covariance
    0.00908
  • r
    0.30505
  • b (slope, estimate of beta)
    0.49112
  • a (intercept, estimate of alpha)
    0.23357
  • Mean Square Error
    0.04363
  • DF error
    282.00000
  • t(b)
    5.37898
  • p(b)
    0.00000
  • t(a)
    1.15716
  • p(a)
    0.12409
  • Lowerbound of 95% confidence interval for beta
    0.31140
  • Upperbound of 95% confidence interval for beta
    0.67085
  • Lowerbound of 95% confidence interval for alpha
    -0.16375
  • Upperbound of 95% confidence interval for alpha
    0.63090
  • Treynor index (mean / b)
    0.71992
  • Jensen alpha (a)
    0.23357
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02068
  • Expected Shortfall on VaR
    0.02619
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00742
  • Expected Shortfall on VaR
    0.01488
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    284.00000
  • Minimum
    0.95711
  • Quartile 1
    0.99598
  • Median
    1.00039
  • Quartile 3
    1.00517
  • Maximum
    1.08421
  • Mean of quarter 1
    0.98831
  • Mean of quarter 2
    0.99857
  • Mean of quarter 3
    1.00204
  • Mean of quarter 4
    1.01729
  • Inter Quartile Range
    0.00919
  • Number outliers low
    13.00000
  • Percentage of outliers low
    0.04577
  • Mean of outliers low
    0.97549
  • Number of outliers high
    18.00000
  • Percentage of outliers high
    0.06338
  • Mean of outliers high
    1.03937
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.05780
  • VaR(95%) (moments method)
    0.01021
  • Expected Shortfall (moments method)
    0.01449
  • Extreme Value Index (regression method)
    -0.01863
  • VaR(95%) (regression method)
    0.01122
  • Expected Shortfall (regression method)
    0.01552
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    21.00000
  • Minimum
    0.00004
  • Quartile 1
    0.00607
  • Median
    0.00924
  • Quartile 3
    0.01881
  • Maximum
    0.12782
  • Mean of quarter 1
    0.00200
  • Mean of quarter 2
    0.00794
  • Mean of quarter 3
    0.01516
  • Mean of quarter 4
    0.08473
  • Inter Quartile Range
    0.01274
  • 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
    0.19048
  • Mean of outliers high
    0.09727
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -2.73575
  • VaR(95%) (moments method)
    0.05454
  • Expected Shortfall (moments method)
    0.05491
  • Extreme Value Index (regression method)
    -1.05851
  • VaR(95%) (regression method)
    0.11697
  • Expected Shortfall (regression method)
    0.12702
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.47244
  • Compounded annual return (geometric extrapolation)
    0.46444
  • Calmar ratio (compounded annual return / max draw down)
    3.63369
  • Compounded annual return / average of 25% largest draw downs
    5.48160
  • Compounded annual return / Expected Shortfall lognormal
    17.73460
  • 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
    0.31991
  • SD
    0.27533
  • Sharpe ratio (Glass type estimate)
    1.16195
  • Sharpe ratio (Hedges UMVUE)
    1.15523
  • df
    130.00000
  • t
    0.82162
  • p
    0.46406
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.61563
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.93518
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.62013
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.93059
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.11712
  • Upside Potential Ratio
    10.78220
  • Upside part of mean
    1.62928
  • Downside part of mean
    -1.30937
  • Upside SD
    0.22975
  • Downside SD
    0.15111
  • N nonnegative terms
    65.00000
  • N negative terms
    66.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.23133
  • Mean of criterion
    0.31991
  • SD of predictor
    0.13518
  • SD of criterion
    0.27533
  • Covariance
    0.01007
  • r
    0.27064
  • b (slope, estimate of beta)
    0.55120
  • a (intercept, estimate of alpha)
    0.19240
  • Mean Square Error
    0.07080
  • DF error
    129.00000
  • t(b)
    3.19301
  • p(b)
    0.32983
  • t(a)
    0.50847
  • p(a)
    0.47154
  • Lowerbound of 95% confidence interval for beta
    0.20965
  • Upperbound of 95% confidence interval for beta
    0.89275
  • Lowerbound of 95% confidence interval for alpha
    -0.55627
  • Upperbound of 95% confidence interval for alpha
    0.94108
  • Treynor index (mean / b)
    0.58039
  • Jensen alpha (a)
    0.19240
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.28277
  • SD
    0.27169
  • Sharpe ratio (Glass type estimate)
    1.04078
  • Sharpe ratio (Hedges UMVUE)
    1.03476
  • df
    130.00000
  • t
    0.73594
  • p
    0.46779
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.73585
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.81354
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.73990
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.80942
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.84867
  • Upside Potential Ratio
    10.48390
  • Upside part of mean
    1.60360
  • Downside part of mean
    -1.32083
  • Upside SD
    0.22397
  • Downside SD
    0.15296
  • N nonnegative terms
    65.00000
  • N negative terms
    66.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.22212
  • Mean of criterion
    0.28277
  • SD of predictor
    0.13537
  • SD of criterion
    0.27169
  • Covariance
    0.01014
  • r
    0.27562
  • b (slope, estimate of beta)
    0.55320
  • a (intercept, estimate of alpha)
    0.15989
  • Mean Square Error
    0.06874
  • DF error
    129.00000
  • t(b)
    3.25663
  • p(b)
    0.32678
  • t(a)
    0.42902
  • p(a)
    0.47598
  • VAR (95 Confidence Intrvl)
    0.02100
  • Lowerbound of 95% confidence interval for beta
    0.21711
  • Upperbound of 95% confidence interval for beta
    0.88929
  • Lowerbound of 95% confidence interval for alpha
    -0.57749
  • Upperbound of 95% confidence interval for alpha
    0.89727
  • Treynor index (mean / b)
    0.51115
  • Jensen alpha (a)
    0.15989
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02618
  • Expected Shortfall on VaR
    0.03297
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01166
  • Expected Shortfall on VaR
    0.02164
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.95711
  • Quartile 1
    0.99286
  • Median
    1.00000
  • Quartile 3
    1.00764
  • Maximum
    1.08421
  • Mean of quarter 1
    0.98396
  • Mean of quarter 2
    0.99641
  • Mean of quarter 3
    1.00344
  • Mean of quarter 4
    1.02156
  • Inter Quartile Range
    0.01479
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.02290
  • Mean of outliers low
    0.96352
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.04580
  • Mean of outliers high
    1.05482
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.18064
  • VaR(95%) (moments method)
    0.01560
  • Expected Shortfall (moments method)
    0.01948
  • Extreme Value Index (regression method)
    0.15268
  • VaR(95%) (regression method)
    0.01467
  • Expected Shortfall (regression method)
    0.02086
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.01339
  • Quartile 1
    0.01827
  • Median
    0.08966
  • Quartile 3
    0.09485
  • Maximum
    0.12782
  • Mean of quarter 1
    0.01583
  • Mean of quarter 2
    0.08966
  • Mean of quarter 3
    0.09485
  • Mean of quarter 4
    0.12782
  • Inter Quartile Range
    0.07658
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    0.50%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -406620000
  • Max Equity Drawdown (num days)
    41
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.33611
  • Compounded annual return (geometric extrapolation)
    0.36435
  • Calmar ratio (compounded annual return / max draw down)
    2.85057
  • Compounded annual return / average of 25% largest draw downs
    2.85057
  • Compounded annual return / Expected Shortfall lognormal
    11.05140

Strategy Description

Our strategy is grounded in real-money trading and built around an advanced algorithm that identifies precise buy and sell opportunities. Here’s how it works:

Stock Selection – Intelligent Vetting for Maximum Potential
Our sophisticated algorithm vets stock tickers using a comprehensive scoring system. We analyze key factors like dividends, earnings reports, volume, price, beta, and more. Only stocks that meet our strict criteria make it into the pool for potential trades, ensuring we focus on high-quality opportunities.

Smart Entries and Exits – Maximize Gains with Cutting-Edge Analysis
Using a combination of technical indicators like the SMA/FMA, RSI, and ADX, our algorithm pinpoints optimal buying and selling points from the vetted stock pool. This ensures that every move is grounded in data and built to capitalize on market trends.

Proven Results
With years of experience in the stock market, our approach consistently outperforms. In 2021, our equity return exceeded 52%, and in 2022, we saw an impressive 13% return (figures not validated by Collective2). This track record showcases our ability to deliver in both bull and bear markets.

Frequently Asked Questions

Can I Auto Trade with less than $25,000 in my brokerage account?
No, it’s recommended to have at least $25,000 in your account to avoid Pattern Day Trading (PDT) restrictions. Without this, auto-trading is not advised and maybe a little more to manage drawdown if you are a first time trader.

What settings should I use for scaling, max size, and stop-loss?
These settings should align with your personal risk tolerance. While we don't use a stop-loss in our strategy, implementing one can help manage risk. Keep in mind, our stocks tend to move fast, so we don’t recommend joining trades already in progress.

Do you trade on margin?
Primarily, we use a cash account, but margins may be employed when necessary to seize profitable opportunities.

Patience Pays Off
Trading comes with ups and downs, and success requires patience. If you're seeking instant gains, our strategy may not be the best fit. We believe in a thoughtful, disciplined approach to trading that drives long-term results.

Ready to Elevate Your Trading?
Thank you for your interest in our strategy. Join us for a smarter way to trade, driven by data and designed to help you consistently beat the market. Please note that trading is risky and past results are not indicative of future results.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2023-09-19
Suggested Minimum Capital
$35,000
Rank at C2 %
Top 2.3%
Rank # 
#17
# Trades
319
# Profitable
311
% Profitable
97.5%
Net Dividends
$236
Correlation S&P500
0.299
Sharpe Ratio
1.26
Sortino Ratio
2.44
Beta
0.50
Alpha
0.06
Leverage
0.58 Average
1.58 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

#PERSONNAME#
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.