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

THEGOAT
(140368689)

Created by: KINETIC KINETIC
Started: 05/2022
Stocks
Last trade: 8 days ago

Subscriptions not available

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

Subscription terms. Subscriptions to this system cost $149.00 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.

99.2%
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.

(19.6%)
Max Drawdown
319
Num Trades
53.3%
Win Trades
1.6 : 1
Profit Factor
62.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022                            +8.3%+49.1%+6.5%+5.8%+17.6%(5.5%)(0.6%)  -  +101.1%

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 168 hours.

Trading Record

This strategy has placed 409 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
11/18/22 12:38 TQQQ PROSHARES ULTRAPRO QQQ SHORT 475 21.55 11/23 11:53 22.48 3.04%
Trade id #142617069
Max drawdown($610)
Time11/23/22 10:43
Quant open475
Worst price22.84
Drawdown as % of equity-3.04%
($450)
Includes Typical Broker Commissions trade costs of $9.50
11/22/22 13:20 AMTD AMTD IDEA GROUP SHORT 520 1.96 11/23 10:55 1.98 0.23%
Trade id #142649231
Max drawdown($46)
Time11/23/22 9:39
Quant open520
Worst price2.05
Drawdown as % of equity-0.23%
($15)
Includes Typical Broker Commissions trade costs of $5.00
11/22/22 14:20 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 22 46.10 11/22 14:21 46.06 0.01%
Trade id #142649789
Max drawdown($1)
Time11/22/22 14:21
Quant open22
Worst price46.06
Drawdown as % of equity-0.01%
($1)
Includes Typical Broker Commissions trade costs of $0.44
11/21/22 15:06 ATTO ATENTO SA SHORT 230 6.89 11/21 15:53 6.99 0.11%
Trade id #142636866
Max drawdown($22)
Time11/21/22 15:12
Quant open230
Worst price6.99
Drawdown as % of equity-0.11%
($26)
Includes Typical Broker Commissions trade costs of $4.60
11/15/22 12:58 QH QUHUO LIMITED ADS SHORT 1,300 1.78 11/21 11:08 1.57 1.21%
Trade id #142573263
Max drawdown($247)
Time11/18/22 0:00
Quant open650
Worst price2.04
Drawdown as % of equity-1.21%
$257
Includes Typical Broker Commissions trade costs of $7.50
11/15/22 12:36 SYTA SIYATA MOBILE INC SHORT 11,000 0.17 11/21 11:07 0.15 0.25%
Trade id #142573085
Max drawdown($53)
Time11/15/22 15:18
Quant open5,500
Worst price0.20
Drawdown as % of equity-0.25%
$205
Includes Typical Broker Commissions trade costs of $7.50
11/17/22 12:03 ZEV LIGHTNING EMOTORS INC LONG 4,600 0.73 11/18 12:25 0.59 3.54%
Trade id #142601991
Max drawdown($703)
Time11/18/22 11:58
Quant open4,500
Worst price0.58
Drawdown as % of equity-3.54%
($667)
Includes Typical Broker Commissions trade costs of $6.00
11/14/22 14:02 LNC LINCOLN NATIONAL LONG 130 33.98 11/17 13:52 35.44 0.48%
Trade id #142559537
Max drawdown($100)
Time11/14/22 15:59
Quant open130
Worst price33.21
Drawdown as % of equity-0.48%
$186
Includes Typical Broker Commissions trade costs of $2.60
11/15/22 12:28 ALB ALBEMARLE LONG 14 294.41 11/17 13:34 276.53 1.32%
Trade id #142572933
Max drawdown($271)
Time11/17/22 9:38
Quant open14
Worst price275.02
Drawdown as % of equity-1.32%
($250)
Includes Typical Broker Commissions trade costs of $0.28
11/16/22 11:30 LIZI LIZHI INC. AMERICAN DEPOSITARY SHARES SHORT 1,250 0.80 11/16 15:48 0.84 0.23%
Trade id #142586147
Max drawdown($48)
Time11/16/22 15:48
Quant open1,250
Worst price0.84
Drawdown as % of equity-0.23%
($48)
Includes Typical Broker Commissions trade costs of $5.00
11/15/22 15:57 WBD WARNER BROS. DISCOVERY INC. SERIES A LONG 300 11.32 11/16 10:49 10.65 1%
Trade id #142576574
Max drawdown($208)
Time11/16/22 10:45
Quant open300
Worst price10.63
Drawdown as % of equity-1.00%
($209)
Includes Typical Broker Commissions trade costs of $6.00
11/15/22 10:36 POWW AMMO INC. COMMON STOCK LONG 1,450 2.30 11/16 10:02 2.12 1.3%
Trade id #142569984
Max drawdown($273)
Time11/16/22 10:02
Quant open1,450
Worst price2.11
Drawdown as % of equity-1.30%
($260)
Includes Typical Broker Commissions trade costs of $5.00
11/15/22 10:36 TSLA TESLA INC. LONG 16 199.70 11/15 12:44 197.81 0.2%
Trade id #142570000
Max drawdown($42)
Time11/15/22 11:02
Quant open16
Worst price197.03
Drawdown as % of equity-0.20%
($30)
Includes Typical Broker Commissions trade costs of $0.32
11/14/22 14:03 WBD WARNER BROS. DISCOVERY INC. SERIES A LONG 300 11.83 11/15 12:15 11.75 0.93%
Trade id #142559549
Max drawdown($194)
Time11/15/22 0:00
Quant open300
Worst price11.18
Drawdown as % of equity-0.93%
($28)
Includes Typical Broker Commissions trade costs of $6.00
11/10/22 11:23 TMV DIREXION DAILY 20+ YR TRSY BEA LONG 74 148.73 11/14 12:28 150.73 0.85%
Trade id #142521630
Max drawdown($180)
Time11/10/22 15:55
Quant open41
Worst price145.51
Drawdown as % of equity-0.85%
$147
Includes Typical Broker Commissions trade costs of $1.48
11/10/22 11:24 SPXL DIREXION DAILY S&P500 BULL 3X LONG 74 67.42 11/10 12:45 67.05 0.2%
Trade id #142521635
Max drawdown($41)
Time11/10/22 12:42
Quant open74
Worst price66.86
Drawdown as % of equity-0.20%
($29)
Includes Typical Broker Commissions trade costs of $1.48
10/12/22 9:30 TMF DIREXION DAILY 20+ YR TRSY BUL LONG 3,968 6.94 11/10 9:40 7.25 11.01%
Trade id #142137502
Max drawdown($2,045)
Time10/24/22 0:00
Quant open2,068
Worst price6.15
Drawdown as % of equity-11.01%
$1,206
Includes Typical Broker Commissions trade costs of $32.73
10/26/22 14:00 REVB REVELATION BIOSCIENCES INC. SHORT 2,941 0.34 10/27 14:21 0.30 0.1%
Trade id #142331169
Max drawdown($19)
Time10/27/22 0:00
Quant open2,941
Worst price0.35
Drawdown as % of equity-0.10%
$124
Includes Typical Broker Commissions trade costs of $5.00
10/26/22 14:00 IDEX IDEANOMICS INC SHORT 3,410 0.29 10/27 14:21 0.26 0.07%
Trade id #142331105
Max drawdown($13)
Time10/27/22 0:00
Quant open3,410
Worst price0.30
Drawdown as % of equity-0.07%
$95
Includes Typical Broker Commissions trade costs of $5.00
10/26/22 13:59 OUST OUSTER INC SHORT 819 1.22 10/27 14:21 1.24 0.26%
Trade id #142331100
Max drawdown($53)
Time10/27/22 0:00
Quant open819
Worst price1.28
Drawdown as % of equity-0.26%
($22)
Includes Typical Broker Commissions trade costs of $5.00
10/24/22 14:51 NVX NOVONIX LIMITED ADS SHORT 225 7.45 10/25 9:41 7.60 0.68%
Trade id #142290859
Max drawdown($123)
Time10/25/22 0:00
Quant open225
Worst price8.00
Drawdown as % of equity-0.68%
($39)
Includes Typical Broker Commissions trade costs of $4.50
10/24/22 15:08 AGTC APPLIED GENETIC TECHNOLOGIES C SHORT 2,100 0.38 10/25 9:41 0.37 0.14%
Trade id #142291205
Max drawdown($25)
Time10/24/22 15:49
Quant open2,100
Worst price0.39
Drawdown as % of equity-0.14%
$23
Includes Typical Broker Commissions trade costs of $5.00
10/21/22 11:34 CYTO ALTAMIRA THERAPEUTICS LTD SHORT 1,970 0.53 10/21 12:44 0.56 0.28%
Trade id #142264163
Max drawdown($52)
Time10/21/22 12:19
Quant open1,970
Worst price0.56
Drawdown as % of equity-0.28%
($53)
Includes Typical Broker Commissions trade costs of $5.00
10/12/22 9:30 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 124 47.81 10/20 12:42 49.47 0.21%
Trade id #142137482
Max drawdown($41)
Time10/13/22 0:00
Quant open124
Worst price47.47
Drawdown as % of equity-0.21%
$204
Includes Typical Broker Commissions trade costs of $2.48
10/17/22 12:24 AGFY AGRIFY CORPORATION COMMON STOCK SHORT 54 18.10 10/18 12:46 6.67 n/a $616
Includes Typical Broker Commissions trade costs of $1.08
10/14/22 15:33 GHSI GUARDION HEALTH SCIENCES INC. SHORT 6,300 0.16 10/17 10:57 0.17 0.51%
Trade id #142178692
Max drawdown($98)
Time10/17/22 10:57
Quant open6,300
Worst price0.17
Drawdown as % of equity-0.51%
($89)
Includes Typical Broker Commissions trade costs of $5.00
10/14/22 12:57 BRLT BRILLIANT EARTH GROUP INC. CLASS A SHORT 140 6.99 10/17 10:57 7.72 0.72%
Trade id #142176619
Max drawdown($139)
Time10/17/22 10:10
Quant open140
Worst price7.98
Drawdown as % of equity-0.72%
($105)
Includes Typical Broker Commissions trade costs of $2.80
10/12/22 12:01 LUCY INNOVATIVE EYEWEAR INC. SHORT 394 2.47 10/13 13:25 2.17 0.21%
Trade id #142142676
Max drawdown($40)
Time10/12/22 13:54
Quant open394
Worst price2.57
Drawdown as % of equity-0.21%
$110
Includes Typical Broker Commissions trade costs of $7.88
10/13/22 12:42 GHSI GUARDION HEALTH SCIENCES INC. SHORT 5,980 0.16 10/13 13:24 0.16 0.1%
Trade id #142160053
Max drawdown($19)
Time10/13/22 13:24
Quant open5,980
Worst price0.16
Drawdown as % of equity-0.10%
($20)
Includes Typical Broker Commissions trade costs of $5.00
10/13/22 12:59 ANPC ANPAC BIO-MEDICAL SCIENCE CO. LTD. SHORT 3,000 0.29 10/13 13:24 0.30 0.47%
Trade id #142160305
Max drawdown($91)
Time10/13/22 13:03
Quant open3,000
Worst price0.32
Drawdown as % of equity-0.47%
($31)
Includes Typical Broker Commissions trade costs of $5.00

Statistics

  • Strategy began
    5/4/2022
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    210.64
  • Age
    7 months ago
  • What it trades
    Stocks
  • # Trades
    319
  • # Profitable
    170
  • % Profitable
    53.30%
  • Avg trade duration
    5.8 days
  • Max peak-to-valley drawdown
    19.63%
  • drawdown period
    Sept 26, 2022 - Oct 24, 2022
  • Cumul. Return
    99.2%
  • Avg win
    $212.33
  • Avg loss
    $154.35
  • Model Account Values (Raw)
  • Cash
    $15,504
  • Margin Used
    $10,762
  • Buying Power
    $4,401
  • Ratios
  • W:L ratio
    1.57:1
  • Sharpe Ratio
    2.39
  • Sortino Ratio
    4.55
  • Calmar Ratio
    23.029
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    104.36%
  • Correlation to SP500
    0.00860
  • Return Percent SP500 (cumu) during strategy life
    -5.12%
  • Return Statistics
  • Ann Return (w trading costs)
    224.7%
  • Slump
  • Current Slump as Pcnt Equity
    13.10%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.31%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.992%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    319.0%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    24.50%
  • Chance of 20% account loss
    5.50%
  • Chance of 30% account loss
    2.00%
  • 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
  • Chance of 100% 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)
    935
  • Popularity (Last 6 weeks)
    990
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    979
  • Popularity (7 days, Percentile 1000 scale)
    959
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $156
  • Avg Win
    $213
  • Sum Trade PL (losers)
    $23,183.000
  • Age
  • Num Months filled monthly returns table
    8
  • Win / Loss
  • Sum Trade PL (winners)
    $36,130.000
  • # Winners
    170
  • Num Months Winners
    5
  • Dividends
  • Dividends Received in Model Acct
    0
  • AUM
  • AUM (AutoTrader live capital)
    174271
  • Win / Loss
  • # Losers
    149
  • % Winners
    53.3%
  • Frequency
  • Avg Position Time (mins)
    8314.97
  • Avg Position Time (hrs)
    138.58
  • Avg Trade Length
    5.8 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    1.42
  • Daily leverage (max)
    3.93
  • Regression
  • Alpha
    0.36
  • Beta
    0.02
  • Treynor Index
    22.92
  • 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)
    -0.30
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    6.027
  • 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
    0.674
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.499
  • Hold-and-Hope Ratio
    0.169
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.78995
  • SD
    0.71236
  • Sharpe ratio (Glass type estimate)
    2.51270
  • Sharpe ratio (Hedges UMVUE)
    2.11255
  • df
    5.00000
  • t
    1.77675
  • p
    0.06788
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.73747
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.57952
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.95295
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.17805
  • Statistics related to Sortino ratio
  • Sortino ratio
    15.77210
  • Upside Potential Ratio
    17.18630
  • Upside part of mean
    1.95044
  • Downside part of mean
    -0.16050
  • Upside SD
    0.82280
  • Downside SD
    0.11349
  • N nonnegative terms
    5.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    6.00000
  • Mean of predictor
    -0.25302
  • Mean of criterion
    1.78995
  • SD of predictor
    0.19859
  • SD of criterion
    0.71236
  • Covariance
    -0.09317
  • r
    -0.65859
  • b (slope, estimate of beta)
    -2.36238
  • a (intercept, estimate of alpha)
    1.19222
  • Mean Square Error
    0.35919
  • DF error
    4.00000
  • t(b)
    -1.75039
  • p(b)
    0.92253
  • t(a)
    1.30471
  • p(a)
    0.13100
  • Lowerbound of 95% confidence interval for beta
    -6.11030
  • Upperbound of 95% confidence interval for beta
    1.38554
  • Lowerbound of 95% confidence interval for alpha
    -1.34534
  • Upperbound of 95% confidence interval for alpha
    3.72978
  • Treynor index (mean / b)
    -0.75769
  • Jensen alpha (a)
    1.19222
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.51681
  • SD
    0.58573
  • Sharpe ratio (Glass type estimate)
    2.58960
  • Sharpe ratio (Hedges UMVUE)
    2.17720
  • df
    5.00000
  • t
    1.83112
  • p
    0.06329
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.68439
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.67749
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.90563
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.26003
  • Statistics related to Sortino ratio
  • Sortino ratio
    12.85270
  • Upside Potential Ratio
    14.26700
  • Upside part of mean
    1.68371
  • Downside part of mean
    -0.16690
  • Upside SD
    0.68095
  • Downside SD
    0.11801
  • N nonnegative terms
    5.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    6.00000
  • Mean of predictor
    -0.27164
  • Mean of criterion
    1.51681
  • SD of predictor
    0.19746
  • SD of criterion
    0.58573
  • Covariance
    -0.08014
  • r
    -0.69292
  • b (slope, estimate of beta)
    -2.05543
  • a (intercept, estimate of alpha)
    0.95848
  • Mean Square Error
    0.22294
  • DF error
    4.00000
  • t(b)
    -1.92207
  • p(b)
    0.93652
  • t(a)
    1.31624
  • p(a)
    0.12923
  • Lowerbound of 95% confidence interval for beta
    -5.02509
  • Upperbound of 95% confidence interval for beta
    0.91424
  • Lowerbound of 95% confidence interval for alpha
    -1.06371
  • Upperbound of 95% confidence interval for alpha
    2.98067
  • Treynor index (mean / b)
    -0.73795
  • Jensen alpha (a)
    0.95848
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.14077
  • Expected Shortfall on VaR
    0.19785
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01241
  • Expected Shortfall on VaR
    0.03406
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    6.00000
  • Minimum
    0.92208
  • Quartile 1
    1.04864
  • Median
    1.12765
  • Quartile 3
    1.16852
  • Maximum
    1.52712
  • Mean of quarter 1
    0.97450
  • Mean of quarter 2
    1.11377
  • Mean of quarter 3
    1.14153
  • Mean of quarter 4
    1.35232
  • Inter Quartile Range
    0.11988
  • 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
    0.16667
  • Mean of outliers high
    1.52712
  • 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
    1.00000
  • Minimum
    0.07792
  • Quartile 1
    0.07792
  • Median
    0.07792
  • Quartile 3
    0.07792
  • Maximum
    0.07792
  • 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)
    2.32973
  • Compounded annual return (geometric extrapolation)
    3.68665
  • Calmar ratio (compounded annual return / max draw down)
    47.31320
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    18.63350
  • 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
    1.53026
  • SD
    0.44633
  • Sharpe ratio (Glass type estimate)
    3.42857
  • Sharpe ratio (Hedges UMVUE)
    3.41117
  • df
    148.00000
  • t
    2.58557
  • p
    0.39606
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.79481
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.05107
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.78328
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.03905
  • Statistics related to Sortino ratio
  • Sortino ratio
    7.29005
  • Upside Potential Ratio
    15.32590
  • Upside part of mean
    3.21707
  • Downside part of mean
    -1.68681
  • Upside SD
    0.40342
  • Downside SD
    0.20991
  • N nonnegative terms
    84.00000
  • N negative terms
    65.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    149.00000
  • Mean of predictor
    -0.08712
  • Mean of criterion
    1.53026
  • SD of predictor
    0.25827
  • SD of criterion
    0.44633
  • Covariance
    0.00486
  • r
    0.04212
  • b (slope, estimate of beta)
    0.07279
  • a (intercept, estimate of alpha)
    1.53700
  • Mean Square Error
    0.20021
  • DF error
    147.00000
  • t(b)
    0.51117
  • p(b)
    0.47319
  • t(a)
    2.58923
  • p(a)
    0.36802
  • Lowerbound of 95% confidence interval for beta
    -0.20863
  • Upperbound of 95% confidence interval for beta
    0.35422
  • Lowerbound of 95% confidence interval for alpha
    0.36379
  • Upperbound of 95% confidence interval for alpha
    2.70942
  • Treynor index (mean / b)
    21.02160
  • Jensen alpha (a)
    1.53660
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.43021
  • SD
    0.43584
  • Sharpe ratio (Glass type estimate)
    3.28148
  • Sharpe ratio (Hedges UMVUE)
    3.26482
  • df
    148.00000
  • t
    2.47464
  • p
    0.40033
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.65038
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.90176
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.63935
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.89029
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.68209
  • Upside Potential Ratio
    14.66780
  • Upside part of mean
    3.13945
  • Downside part of mean
    -1.70924
  • Upside SD
    0.38817
  • Downside SD
    0.21404
  • N nonnegative terms
    84.00000
  • N negative terms
    65.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    149.00000
  • Mean of predictor
    -0.12028
  • Mean of criterion
    1.43021
  • SD of predictor
    0.25840
  • SD of criterion
    0.43584
  • Covariance
    0.00383
  • r
    0.03401
  • b (slope, estimate of beta)
    0.05736
  • a (intercept, estimate of alpha)
    1.43711
  • Mean Square Error
    0.19103
  • DF error
    147.00000
  • t(b)
    0.41253
  • p(b)
    0.47836
  • t(a)
    2.47856
  • p(a)
    0.37335
  • Lowerbound of 95% confidence interval for beta
    -0.21741
  • Upperbound of 95% confidence interval for beta
    0.33212
  • Lowerbound of 95% confidence interval for alpha
    0.29126
  • Upperbound of 95% confidence interval for alpha
    2.58296
  • Treynor index (mean / b)
    24.93560
  • Jensen alpha (a)
    1.43711
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03809
  • Expected Shortfall on VaR
    0.04880
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01362
  • Expected Shortfall on VaR
    0.02696
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    149.00000
  • Minimum
    0.93475
  • Quartile 1
    0.99021
  • Median
    1.00162
  • Quartile 3
    1.01593
  • Maximum
    1.14510
  • Mean of quarter 1
    0.97863
  • Mean of quarter 2
    0.99650
  • Mean of quarter 3
    1.00872
  • Mean of quarter 4
    1.04068
  • Inter Quartile Range
    0.02572
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.01342
  • Mean of outliers low
    0.93671
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.04698
  • Mean of outliers high
    1.08817
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.32567
  • VaR(95%) (moments method)
    0.02324
  • Expected Shortfall (moments method)
    0.03920
  • Extreme Value Index (regression method)
    0.27893
  • VaR(95%) (regression method)
    0.02038
  • Expected Shortfall (regression method)
    0.03163
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    14.00000
  • Minimum
    0.00036
  • Quartile 1
    0.01722
  • Median
    0.04104
  • Quartile 3
    0.06056
  • Maximum
    0.14320
  • Mean of quarter 1
    0.00702
  • Mean of quarter 2
    0.03150
  • Mean of quarter 3
    0.04395
  • Mean of quarter 4
    0.10009
  • Inter Quartile Range
    0.04334
  • 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
    0.14320
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -2.04845
  • VaR(95%) (moments method)
    0.11283
  • Expected Shortfall (moments method)
    0.11453
  • Extreme Value Index (regression method)
    -0.40137
  • VaR(95%) (regression method)
    0.13999
  • Expected Shortfall (regression method)
    0.16224
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    2.27107
  • Compounded annual return (geometric extrapolation)
    3.29786
  • Calmar ratio (compounded annual return / max draw down)
    23.02900
  • Compounded annual return / average of 25% largest draw downs
    32.94810
  • Compounded annual return / Expected Shortfall lognormal
    67.57640
  • 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
    1.53151
  • SD
    0.42638
  • Sharpe ratio (Glass type estimate)
    3.59193
  • Sharpe ratio (Hedges UMVUE)
    3.57117
  • df
    130.00000
  • t
    2.53988
  • p
    0.39128
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.77935
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.39120
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.76558
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.37676
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.96955
  • Upside Potential Ratio
    14.79850
  • Upside part of mean
    3.25187
  • Downside part of mean
    -1.72036
  • Upside SD
    0.37560
  • Downside SD
    0.21974
  • 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
    -0.03497
  • Mean of criterion
    1.53151
  • SD of predictor
    0.24961
  • SD of criterion
    0.42638
  • Covariance
    0.00069
  • r
    0.00647
  • b (slope, estimate of beta)
    0.01105
  • a (intercept, estimate of alpha)
    1.53190
  • Mean Square Error
    0.18320
  • DF error
    129.00000
  • t(b)
    0.07345
  • p(b)
    0.49588
  • t(a)
    2.53069
  • p(a)
    0.36265
  • Lowerbound of 95% confidence interval for beta
    -0.28651
  • Upperbound of 95% confidence interval for beta
    0.30860
  • Lowerbound of 95% confidence interval for alpha
    0.33424
  • Upperbound of 95% confidence interval for alpha
    2.72955
  • Treynor index (mean / b)
    138.64400
  • Jensen alpha (a)
    1.53190
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.43882
  • SD
    0.42009
  • Sharpe ratio (Glass type estimate)
    3.42501
  • Sharpe ratio (Hedges UMVUE)
    3.40521
  • df
    130.00000
  • t
    2.42185
  • p
    0.39611
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.61576
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.22144
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.60267
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.20775
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.41805
  • Upside Potential Ratio
    14.20170
  • Upside part of mean
    3.18379
  • Downside part of mean
    -1.74497
  • Upside SD
    0.36438
  • Downside SD
    0.22418
  • 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
    -0.06584
  • Mean of criterion
    1.43882
  • SD of predictor
    0.24938
  • SD of criterion
    0.42009
  • Covariance
    -0.00003
  • r
    -0.00030
  • b (slope, estimate of beta)
    -0.00050
  • a (intercept, estimate of alpha)
    1.43879
  • Mean Square Error
    0.17785
  • DF error
    129.00000
  • t(b)
    -0.00339
  • p(b)
    0.50019
  • t(a)
    2.41213
  • p(a)
    0.36870
  • VAR (95 Confidence Intrvl)
    0.03800
  • Lowerbound of 95% confidence interval for beta
    -0.29395
  • Upperbound of 95% confidence interval for beta
    0.29294
  • Lowerbound of 95% confidence interval for alpha
    0.25864
  • Upperbound of 95% confidence interval for alpha
    2.61894
  • Treynor index (mean / b)
    -2858.84000
  • Jensen alpha (a)
    1.43879
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03651
  • Expected Shortfall on VaR
    0.04686
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01300
  • Expected Shortfall on VaR
    0.02648
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.93475
  • Quartile 1
    0.98981
  • Median
    1.00302
  • Quartile 3
    1.01633
  • Maximum
    1.10688
  • Mean of quarter 1
    0.97705
  • Mean of quarter 2
    0.99767
  • Mean of quarter 3
    1.00964
  • Mean of quarter 4
    1.03956
  • Inter Quartile Range
    0.02652
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.01527
  • Mean of outliers low
    0.93671
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.03817
  • Mean of outliers high
    1.08349
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.20811
  • VaR(95%) (moments method)
    0.02355
  • Expected Shortfall (moments method)
    0.03600
  • Extreme Value Index (regression method)
    0.07262
  • VaR(95%) (regression method)
    0.02327
  • Expected Shortfall (regression method)
    0.03253
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    11.00000
  • Minimum
    0.00036
  • Quartile 1
    0.01723
  • Median
    0.04243
  • Quartile 3
    0.07619
  • Maximum
    0.14320
  • Mean of quarter 1
    0.00718
  • Mean of quarter 2
    0.03311
  • Mean of quarter 3
    0.05556
  • Mean of quarter 4
    0.11160
  • Inter Quartile Range
    0.05897
  • 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)
    -1.58217
  • VaR(95%) (moments method)
    0.12927
  • Expected Shortfall (moments method)
    0.13314
  • Extreme Value Index (regression method)
    0.09819
  • VaR(95%) (regression method)
    0.14698
  • Last 4 Months - Pcnt Negative
    0.50%
  • Expected Shortfall (regression method)
    0.19178
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -296103000
  • Max Equity Drawdown (num days)
    28
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    2.16415
  • Compounded annual return (geometric extrapolation)
    3.33503
  • Calmar ratio (compounded annual return / max draw down)
    23.28860
  • Compounded annual return / average of 25% largest draw downs
    29.88270
  • Compounded annual return / Expected Shortfall lognormal
    71.16570

Strategy Description

The goal of THEGOAT is to provide a well balanced mix of Long and Short positions. I will swing trade mostly Leveraged ETFS Long & short potentially big movers. As you may have witnessed, Leveraged ETFS & Shorting Stocks can have great potential for being very lucrative.
In general I will play leveraged ETFS more so than short stocks. On occasion your broker may not have shares available to short so I suggest maintaining 1 or more accounts. You also have the option to not play any shorts if you so choose.
If you would rather play strictly long, feel free to join my other 2 systems ETFFAM & ETFLIGHT
https://collective2.com/details/142267268
https://collective2.com/details/142290637

Trading is Risky.

Summary Statistics

Strategy began
2022-05-04
Suggested Minimum Capital
$35,000
Rank at C2 %
Top 2.1%
Rank # 
#17
# Trades
319
# Profitable
170
% Profitable
53.3%
Correlation S&P500
0.009
Sharpe Ratio
2.39
Sortino Ratio
4.55
Beta
0.02
Alpha
0.36
Leverage
1.42 Average
3.93 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.