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

TopChasing
(140379284)

Created by: TopChasing TopChasing
Started: 05/2022
Stocks
Last trade: Yesterday
Trading style: Equity Trend-following

Subscriptions not available

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

Subscription terms. Subscriptions to this system cost $188.00 per month.

C2Star

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

You can read more about C2Star certification requirements here.

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

Trading Category: Equity
Trend-following
Category: Equity

Trend-following

Tries to take advantage of long, medium or short-term moves that seem to play out in various markets. Typically, trend-following analysis is backward looking; that is, it attempts to recognize and profit from already-established trends.
474.8%
Cumul. Return

Rate of Return Calculations

Overview

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

How Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

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

All results are hypothetical.

(34.6%)
Max Drawdown
585
Num Trades
63.6%
Win Trades
1.6 : 1
Profit Factor
70.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022                            +255.8%+44.7%+6.2%+1.6%(9.9%)(17.3%)+11.8%+19.5%+453.1%
2023+3.9%  -                                                              +3.9%

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 one hour.

Trading Record

This strategy has placed 1,016 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
1/31/23 9:50 AMZN AMAZON.COM LONG 500 102.87 1/31 11:55 102.51 n/a ($190)
Includes Typical Broker Commissions trade costs of $10.00
1/30/23 12:17 TSLA TESLA INC. SHORT 300 171.79 1/30 15:45 168.08 0.16%
Trade id #143388113
Max drawdown($462)
Time1/30/23 12:33
Quant open300
Worst price173.33
Drawdown as % of equity-0.16%
$1,106
Includes Typical Broker Commissions trade costs of $6.00
1/30/23 11:00 TSLA TESLA INC. SHORT 300 171.73 1/30 12:14 173.11 0.22%
Trade id #143386300
Max drawdown($624)
Time1/30/23 11:43
Quant open300
Worst price173.81
Drawdown as % of equity-0.22%
($421)
Includes Typical Broker Commissions trade costs of $6.00
1/30/23 11:53 CVNA CARVANA CO SHORT 3,000 10.41 1/30 12:10 10.08 0.18%
Trade id #143387801
Max drawdown($510)
Time1/30/23 11:59
Quant open3,000
Worst price10.58
Drawdown as % of equity-0.18%
$985
Includes Typical Broker Commissions trade costs of $5.00
1/30/23 11:13 CVNA CARVANA CO SHORT 9,000 10.62 1/30 11:49 10.34 0.73%
Trade id #143386492
Max drawdown($2,046)
Time1/30/23 11:33
Quant open6,000
Worst price10.87
Drawdown as % of equity-0.73%
$2,508
Includes Typical Broker Commissions trade costs of $12.50
1/30/23 11:10 CVNA CARVANA CO LONG 3,000 10.37 1/30 11:11 10.63 n/a $784
Includes Typical Broker Commissions trade costs of $5.00
1/30/23 10:36 CL COLGATE-PALMOLIVE SHORT 1,000 73.39 1/30 10:54 73.54 0.07%
Trade id #143385604
Max drawdown($205)
Time1/30/23 10:54
Quant open1,000
Worst price73.60
Drawdown as % of equity-0.07%
($146)
Includes Typical Broker Commissions trade costs of $5.00
1/30/23 10:49 CVNA CARVANA CO LONG 4,000 9.89 1/30 10:52 9.57 0.51%
Trade id #143385859
Max drawdown($1,450)
Time1/30/23 10:52
Quant open4,000
Worst price9.53
Drawdown as % of equity-0.51%
($1,293)
Includes Typical Broker Commissions trade costs of $5.00
1/30/23 10:06 CVNA CARVANA CO LONG 3,000 10.05 1/30 10:26 9.54 0.71%
Trade id #143384864
Max drawdown($2,037)
Time1/30/23 10:26
Quant open3,000
Worst price9.37
Drawdown as % of equity-0.71%
($1,541)
Includes Typical Broker Commissions trade costs of $5.00
1/27/23 13:44 V VISA LONG 300 231.60 1/30 9:34 229.03 0.29%
Trade id #143369116
Max drawdown($826)
Time1/30/23 9:31
Quant open300
Worst price228.85
Drawdown as % of equity-0.29%
($777)
Includes Typical Broker Commissions trade costs of $6.00
1/27/23 14:17 META META PLATFORMS INC. CLASS A LONG 300 153.14 1/27 14:28 152.43 0.08%
Trade id #143369486
Max drawdown($222)
Time1/27/23 14:28
Quant open300
Worst price152.40
Drawdown as % of equity-0.08%
($218)
Includes Typical Broker Commissions trade costs of $6.00
1/27/23 13:53 NVDA NVIDIA LONG 300 205.67 1/27 14:28 205.52 0.06%
Trade id #143369209
Max drawdown($167)
Time1/27/23 14:08
Quant open300
Worst price205.11
Drawdown as % of equity-0.06%
($49)
Includes Typical Broker Commissions trade costs of $6.00
1/27/23 12:55 NVDA NVIDIA LONG 300 203.37 1/27 13:31 204.25 0.04%
Trade id #143368179
Max drawdown($113)
Time1/27/23 13:16
Quant open300
Worst price202.99
Drawdown as % of equity-0.04%
$260
Includes Typical Broker Commissions trade costs of $6.00
1/27/23 12:38 META META PLATFORMS INC. CLASS A LONG 300 151.97 1/27 12:54 152.27 n/a $83
Includes Typical Broker Commissions trade costs of $6.00
1/27/23 12:34 V VISA LONG 500 230.92 1/27 12:52 231.57 n/a $319
Includes Typical Broker Commissions trade costs of $10.00
1/27/23 11:31 V VISA LONG 500 230.18 1/27 12:27 230.57 0.05%
Trade id #143366227
Max drawdown($140)
Time1/27/23 12:00
Quant open500
Worst price229.90
Drawdown as % of equity-0.05%
$187
Includes Typical Broker Commissions trade costs of $10.00
1/27/23 11:52 META META PLATFORMS INC. CLASS A LONG 500 151.76 1/27 12:19 151.28 0.12%
Trade id #143367293
Max drawdown($332)
Time1/27/23 12:09
Quant open500
Worst price151.09
Drawdown as % of equity-0.12%
($251)
Includes Typical Broker Commissions trade costs of $10.00
1/27/23 11:43 AMZN AMAZON.COM LONG 500 102.09 1/27 11:46 101.82 0.05%
Trade id #143366461
Max drawdown($150)
Time1/27/23 11:46
Quant open500
Worst price101.79
Drawdown as % of equity-0.05%
($145)
Includes Typical Broker Commissions trade costs of $10.00
1/27/23 11:04 META META PLATFORMS INC. CLASS A LONG 300 150.52 1/27 11:30 151.12 0.05%
Trade id #143365670
Max drawdown($134)
Time1/27/23 11:09
Quant open300
Worst price150.07
Drawdown as % of equity-0.05%
$176
Includes Typical Broker Commissions trade costs of $6.00
1/27/23 11:20 TSLA TESLA INC. LONG 200 169.52 1/27 11:29 169.58 0.01%
Trade id #143366034
Max drawdown($34)
Time1/27/23 11:27
Quant open200
Worst price169.35
Drawdown as % of equity-0.01%
$8
Includes Typical Broker Commissions trade costs of $4.00
1/27/23 10:28 AI C3.AI INC LONG 1,000 16.33 1/27 11:16 16.87 0.08%
Trade id #143364829
Max drawdown($232)
Time1/27/23 10:35
Quant open1,000
Worst price16.10
Drawdown as % of equity-0.08%
$535
Includes Typical Broker Commissions trade costs of $5.00
1/27/23 10:31 TSLA TESLA INC. LONG 1,000 166.54 1/27 10:38 167.05 0.15%
Trade id #143364953
Max drawdown($440)
Time1/27/23 10:35
Quant open1,000
Worst price166.10
Drawdown as % of equity-0.15%
$505
Includes Typical Broker Commissions trade costs of $5.00
1/27/23 10:10 TSLA TESLA INC. LONG 300 165.96 1/27 10:26 164.40 0.18%
Trade id #143364380
Max drawdown($521)
Time1/27/23 10:26
Quant open300
Worst price164.22
Drawdown as % of equity-0.18%
($474)
Includes Typical Broker Commissions trade costs of $6.00
1/27/23 9:57 META META PLATFORMS INC. CLASS A LONG 300 150.10 1/27 10:22 150.36 0.08%
Trade id #143363891
Max drawdown($223)
Time1/27/23 10:00
Quant open200
Worst price149.25
Drawdown as % of equity-0.08%
$73
Includes Typical Broker Commissions trade costs of $6.00
1/27/23 9:38 V VISA LONG 300 231.84 1/27 10:20 230.73 0.14%
Trade id #143362891
Max drawdown($392)
Time1/27/23 10:20
Quant open300
Worst price230.53
Drawdown as % of equity-0.14%
($339)
Includes Typical Broker Commissions trade costs of $6.00
1/27/23 9:50 NVDA NVIDIA LONG 200 199.61 1/27 10:04 201.07 0.09%
Trade id #143363615
Max drawdown($249)
Time1/27/23 9:57
Quant open200
Worst price198.36
Drawdown as % of equity-0.09%
$288
Includes Typical Broker Commissions trade costs of $4.00
1/27/23 9:35 TSLA TESLA INC. LONG 300 164.24 1/27 9:49 165.88 0.11%
Trade id #143362755
Max drawdown($312)
Time1/27/23 9:39
Quant open300
Worst price163.20
Drawdown as % of equity-0.11%
$485
Includes Typical Broker Commissions trade costs of $6.00
1/26/23 12:51 NVDA NVIDIA LONG 400 196.69 1/26 13:06 195.73 0.14%
Trade id #143353875
Max drawdown($397)
Time1/26/23 13:06
Quant open400
Worst price195.70
Drawdown as % of equity-0.14%
($395)
Includes Typical Broker Commissions trade costs of $8.00
1/26/23 11:47 NVDA NVIDIA LONG 300 194.48 1/26 12:12 195.88 0.06%
Trade id #143353111
Max drawdown($171)
Time1/26/23 11:51
Quant open300
Worst price193.91
Drawdown as % of equity-0.06%
$414
Includes Typical Broker Commissions trade costs of $6.00
1/26/23 10:35 PDD PINDUODUO INC. ADS LONG 300 102.16 1/26 11:54 103.16 0.07%
Trade id #143351229
Max drawdown($195)
Time1/26/23 11:00
Quant open300
Worst price101.51
Drawdown as % of equity-0.07%
$295
Includes Typical Broker Commissions trade costs of $6.00

Statistics

  • Strategy began
    5/5/2022
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    271.67
  • Age
    9 months ago
  • What it trades
    Stocks
  • # Trades
    585
  • # Profitable
    372
  • % Profitable
    63.60%
  • Avg trade duration
    2.0 hours
  • Max peak-to-valley drawdown
    34.59%
  • drawdown period
    July 21, 2022 - Nov 03, 2022
  • Cumul. Return
    474.8%
  • Avg win
    $1,843
  • Avg loss
    $2,075
  • Model Account Values (Raw)
  • Cash
    $293,809
  • Margin Used
    $0
  • Buying Power
    $293,809
  • Ratios
  • W:L ratio
    1.55:1
  • Sharpe Ratio
    3.45
  • Sortino Ratio
    9.65
  • Calmar Ratio
    33.637
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    476.52%
  • Correlation to SP500
    0.21010
  • Return Percent SP500 (cumu) during strategy life
    -1.69%
  • Return Statistics
  • Ann Return (w trading costs)
    921.8%
  • 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 (Compound or Annual, age-based, NFA compliant)
    4.748%
  • Instruments
  • Percent Trades Options
    0.00%
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    970.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    25.50%
  • Chance of 20% account loss
    7.50%
  • 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
  • Automation
  • Percentage Signals Automated
    0.94%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    937
  • Popularity (Last 6 weeks)
    977
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    997
  • Popularity (7 days, Percentile 1000 scale)
    944
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $2,076
  • Avg Win
    $1,844
  • Sum Trade PL (losers)
    $442,138.000
  • Age
  • Num Months filled monthly returns table
    10
  • Win / Loss
  • Sum Trade PL (winners)
    $685,956.000
  • # Winners
    372
  • Num Months Winners
    7
  • Dividends
  • Dividends Received in Model Acct
    0
  • AUM
  • AUM (AutoTrader live capital)
    1158560
  • Win / Loss
  • # Losers
    213
  • % Winners
    63.6%
  • Frequency
  • Avg Position Time (mins)
    117.33
  • Avg Position Time (hrs)
    1.96
  • Avg Trade Length
    0.1 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    0.97
  • Daily leverage (max)
    3.73
  • Regression
  • Alpha
    0.70
  • Beta
    0.54
  • Treynor Index
    1.29
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -5.81
  • MAE:Equity, average, winning trades
    0.02
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    14.110
  • 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
    1.198
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.322
  • Hold-and-Hope Ratio
    0.071
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    5.86194
  • SD
    4.44326
  • Sharpe ratio (Glass type estimate)
    1.31929
  • Sharpe ratio (Hedges UMVUE)
    1.17179
  • df
    7.00000
  • t
    1.07719
  • p
    0.15856
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.21761
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.77104
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.30589
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.64948
  • Statistics related to Sortino ratio
  • Sortino ratio
    21.74840
  • Upside Potential Ratio
    23.37090
  • Upside part of mean
    6.29926
  • Downside part of mean
    -0.43732
  • Upside SD
    4.47947
  • Downside SD
    0.26954
  • N nonnegative terms
    5.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    8.00000
  • Mean of predictor
    -0.14229
  • Mean of criterion
    5.86194
  • SD of predictor
    0.17188
  • SD of criterion
    4.44326
  • Covariance
    0.05883
  • r
    0.07704
  • b (slope, estimate of beta)
    1.99150
  • a (intercept, estimate of alpha)
    6.14532
  • Mean Square Error
    22.89630
  • DF error
    6.00000
  • t(b)
    0.18926
  • p(b)
    0.42806
  • t(a)
    1.01598
  • p(a)
    0.17442
  • Lowerbound of 95% confidence interval for beta
    -23.75610
  • Upperbound of 95% confidence interval for beta
    27.73910
  • Lowerbound of 95% confidence interval for alpha
    -8.65540
  • Upperbound of 95% confidence interval for alpha
    20.94600
  • Treynor index (mean / b)
    2.94348
  • Jensen alpha (a)
    6.14532
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    2.58825
  • SD
    1.90727
  • Sharpe ratio (Glass type estimate)
    1.35704
  • Sharpe ratio (Hedges UMVUE)
    1.20533
  • df
    7.00000
  • t
    1.10802
  • p
    0.15223
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.18626
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.81313
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.27677
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.68743
  • Statistics related to Sortino ratio
  • Sortino ratio
    8.71201
  • Upside Potential Ratio
    10.31960
  • Upside part of mean
    3.06583
  • Downside part of mean
    -0.47758
  • Upside SD
    1.91127
  • Downside SD
    0.29709
  • N nonnegative terms
    5.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    8.00000
  • Mean of predictor
    -0.15574
  • Mean of criterion
    2.58825
  • SD of predictor
    0.17115
  • SD of criterion
    1.90727
  • Covariance
    0.04462
  • r
    0.13669
  • b (slope, estimate of beta)
    1.52328
  • a (intercept, estimate of alpha)
    2.82549
  • Mean Square Error
    4.16467
  • DF error
    6.00000
  • t(b)
    0.33800
  • p(b)
    0.37344
  • t(a)
    1.08836
  • p(a)
    0.15910
  • Lowerbound of 95% confidence interval for beta
    -9.50454
  • Upperbound of 95% confidence interval for beta
    12.55110
  • Lowerbound of 95% confidence interval for alpha
    -3.52698
  • Upperbound of 95% confidence interval for alpha
    9.17796
  • Treynor index (mean / b)
    1.69913
  • Jensen alpha (a)
    2.82549
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.49839
  • Expected Shortfall on VaR
    0.59383
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.06905
  • Expected Shortfall on VaR
    0.14424
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    8.00000
  • Minimum
    0.80156
  • Quartile 1
    0.97931
  • Median
    1.07778
  • Quartile 3
    1.17203
  • Maximum
    4.64580
  • Mean of quarter 1
    0.85688
  • Mean of quarter 2
    1.03578
  • Mean of quarter 3
    1.11242
  • Mean of quarter 4
    2.95822
  • Inter Quartile Range
    0.19272
  • 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
    0.12500
  • Mean of outliers high
    4.64580
  • 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
    0.26882
  • Quartile 1
    0.26882
  • Median
    0.26882
  • Quartile 3
    0.26882
  • Maximum
    0.26882
  • 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)
    7.08116
  • Compounded annual return (geometric extrapolation)
    12.68300
  • Calmar ratio (compounded annual return / max draw down)
    47.18060
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    21.35790
  • 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
    2.55985
  • SD
    0.59303
  • Sharpe ratio (Glass type estimate)
    4.31655
  • Sharpe ratio (Hedges UMVUE)
    4.29976
  • df
    193.00000
  • t
    3.71439
  • p
    0.33741
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.99319
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.62922
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.98202
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.61750
  • Statistics related to Sortino ratio
  • Sortino ratio
    12.13030
  • Upside Potential Ratio
    17.59430
  • Upside part of mean
    3.71291
  • Downside part of mean
    -1.15306
  • Upside SD
    0.57476
  • Downside SD
    0.21103
  • N nonnegative terms
    115.00000
  • N negative terms
    79.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    194.00000
  • Mean of predictor
    -0.02260
  • Mean of criterion
    2.55985
  • SD of predictor
    0.23892
  • SD of criterion
    0.59303
  • Covariance
    0.02905
  • r
    0.20504
  • b (slope, estimate of beta)
    0.50894
  • a (intercept, estimate of alpha)
    2.57100
  • Mean Square Error
    0.33865
  • DF error
    192.00000
  • t(b)
    2.90283
  • p(b)
    0.39748
  • t(a)
    3.80212
  • p(a)
    0.36769
  • Lowerbound of 95% confidence interval for beta
    0.16313
  • Upperbound of 95% confidence interval for beta
    0.85475
  • Lowerbound of 95% confidence interval for alpha
    1.23743
  • Upperbound of 95% confidence interval for alpha
    3.90528
  • Treynor index (mean / b)
    5.02977
  • Jensen alpha (a)
    2.57136
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    2.38426
  • SD
    0.56517
  • Sharpe ratio (Glass type estimate)
    4.21870
  • Sharpe ratio (Hedges UMVUE)
    4.20229
  • df
    193.00000
  • t
    3.63019
  • p
    0.34078
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.89722
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.52966
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.88632
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.51825
  • Statistics related to Sortino ratio
  • Sortino ratio
    10.98390
  • Upside Potential Ratio
    16.40180
  • Upside part of mean
    3.56032
  • Downside part of mean
    -1.17605
  • Upside SD
    0.54069
  • Downside SD
    0.21707
  • N nonnegative terms
    115.00000
  • N negative terms
    79.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    194.00000
  • Mean of predictor
    -0.05099
  • Mean of criterion
    2.38426
  • SD of predictor
    0.23889
  • SD of criterion
    0.56517
  • Covariance
    0.02799
  • r
    0.20734
  • b (slope, estimate of beta)
    0.49052
  • a (intercept, estimate of alpha)
    2.40928
  • Mean Square Error
    0.30727
  • DF error
    192.00000
  • t(b)
    2.93678
  • p(b)
    0.39633
  • t(a)
    3.73970
  • p(a)
    0.36972
  • Lowerbound of 95% confidence interval for beta
    0.16108
  • Upperbound of 95% confidence interval for beta
    0.81996
  • Lowerbound of 95% confidence interval for alpha
    1.13857
  • Upperbound of 95% confidence interval for alpha
    3.67998
  • Treynor index (mean / b)
    4.86072
  • Jensen alpha (a)
    2.40928
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04718
  • Expected Shortfall on VaR
    0.06090
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00851
  • Expected Shortfall on VaR
    0.01949
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    194.00000
  • Minimum
    0.91716
  • Quartile 1
    0.99819
  • Median
    1.00188
  • Quartile 3
    1.00910
  • Maximum
    1.20952
  • Mean of quarter 1
    0.98305
  • Mean of quarter 2
    1.00003
  • Mean of quarter 3
    1.00421
  • Mean of quarter 4
    1.05191
  • Inter Quartile Range
    0.01091
  • Number outliers low
    14.00000
  • Percentage of outliers low
    0.07216
  • Mean of outliers low
    0.95668
  • Number of outliers high
    28.00000
  • Percentage of outliers high
    0.14433
  • Mean of outliers high
    1.07953
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.89339
  • VaR(95%) (moments method)
    0.01296
  • Expected Shortfall (moments method)
    0.13502
  • Extreme Value Index (regression method)
    0.35451
  • VaR(95%) (regression method)
    0.01457
  • Expected Shortfall (regression method)
    0.03057
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.00005
  • Quartile 1
    0.00169
  • Median
    0.04734
  • Quartile 3
    0.07675
  • Maximum
    0.30200
  • Mean of quarter 1
    0.00019
  • Mean of quarter 2
    0.02014
  • Mean of quarter 3
    0.06007
  • Mean of quarter 4
    0.20909
  • Inter Quartile Range
    0.07506
  • 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
    0.12500
  • Mean of outliers high
    0.30200
  • 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)
    6.70694
  • Compounded annual return (geometric extrapolation)
    10.15820
  • Calmar ratio (compounded annual return / max draw down)
    33.63660
  • Compounded annual return / average of 25% largest draw downs
    48.58330
  • Compounded annual return / Expected Shortfall lognormal
    166.78900
  • 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
    0.12986
  • SD
    0.25734
  • Sharpe ratio (Glass type estimate)
    0.50462
  • Sharpe ratio (Hedges UMVUE)
    0.50170
  • df
    130.00000
  • t
    0.35682
  • p
    0.48436
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.26884
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.27614
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.27078
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.27417
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.64775
  • Upside Potential Ratio
    5.55725
  • Upside part of mean
    1.11411
  • Downside part of mean
    -0.98425
  • Upside SD
    0.15998
  • Downside SD
    0.20048
  • N nonnegative terms
    73.00000
  • N negative terms
    58.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.00907
  • Mean of criterion
    0.12986
  • SD of predictor
    0.22919
  • SD of criterion
    0.25734
  • Covariance
    0.00754
  • r
    0.12784
  • b (slope, estimate of beta)
    0.14354
  • a (intercept, estimate of alpha)
    0.13116
  • Mean Square Error
    0.06565
  • DF error
    129.00000
  • t(b)
    1.46398
  • p(b)
    0.41884
  • t(a)
    0.36197
  • p(a)
    0.47973
  • Lowerbound of 95% confidence interval for beta
    -0.05045
  • Upperbound of 95% confidence interval for beta
    0.33753
  • Lowerbound of 95% confidence interval for alpha
    -0.58576
  • Upperbound of 95% confidence interval for alpha
    0.84808
  • Treynor index (mean / b)
    0.90469
  • Jensen alpha (a)
    0.13116
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.09646
  • SD
    0.26037
  • Sharpe ratio (Glass type estimate)
    0.37048
  • Sharpe ratio (Hedges UMVUE)
    0.36834
  • df
    130.00000
  • t
    0.26197
  • p
    0.48851
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.40230
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.14205
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.40383
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.14051
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.46671
  • Upside Potential Ratio
    5.32958
  • Upside part of mean
    1.10154
  • Downside part of mean
    -1.00508
  • Upside SD
    0.15681
  • Downside SD
    0.20668
  • N nonnegative terms
    73.00000
  • N negative terms
    58.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.03505
  • Mean of criterion
    0.09646
  • SD of predictor
    0.22870
  • SD of criterion
    0.26037
  • Covariance
    0.00765
  • r
    0.12856
  • b (slope, estimate of beta)
    0.14636
  • a (intercept, estimate of alpha)
    0.10159
  • Mean Square Error
    0.06719
  • DF error
    129.00000
  • t(b)
    1.47237
  • p(b)
    0.41838
  • t(a)
    0.27713
  • p(a)
    0.48447
  • VAR (95 Confidence Intrvl)
    0.04700
  • Lowerbound of 95% confidence interval for beta
    -0.05032
  • Upperbound of 95% confidence interval for beta
    0.34304
  • Lowerbound of 95% confidence interval for alpha
    -0.62371
  • Upperbound of 95% confidence interval for alpha
    0.82689
  • Treynor index (mean / b)
    0.65905
  • Jensen alpha (a)
    0.10159
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02575
  • Expected Shortfall on VaR
    0.03226
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00766
  • Expected Shortfall on VaR
    0.01767
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.91716
  • Quartile 1
    0.99860
  • Median
    1.00048
  • Quartile 3
    1.00418
  • Maximum
    1.06202
  • Mean of quarter 1
    0.98556
  • Mean of quarter 2
    0.99978
  • Mean of quarter 3
    1.00279
  • Mean of quarter 4
    1.01434
  • Inter Quartile Range
    0.00558
  • Number outliers low
    10.00000
  • Percentage of outliers low
    0.07634
  • Mean of outliers low
    0.96201
  • Number of outliers high
    14.00000
  • Percentage of outliers high
    0.10687
  • Mean of outliers high
    1.02463
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    1.11912
  • VaR(95%) (moments method)
    0.01159
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.76886
  • VaR(95%) (regression method)
    0.01017
  • Expected Shortfall (regression method)
    0.05111
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00033
  • Quartile 1
    0.00117
  • Median
    0.00214
  • Quartile 3
    0.01056
  • Maximum
    0.28559
  • Mean of quarter 1
    0.00058
  • Mean of quarter 2
    0.00182
  • Mean of quarter 3
    0.00348
  • Mean of quarter 4
    0.15162
  • Inter Quartile Range
    0.00939
  • 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
    0.14286
  • Mean of outliers high
    0.28559
  • 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
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -315620000
  • Max Equity Drawdown (num days)
    105
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.12832
  • Compounded annual return (geometric extrapolation)
    0.13243
  • Calmar ratio (compounded annual return / max draw down)
    0.46371
  • Compounded annual return / average of 25% largest draw downs
    0.87347
  • Compounded annual return / Expected Shortfall lognormal
    4.10492

Strategy Description

I'm Stock Trader With 10+ years of trading.
My strategy is based on "calculated Top and Dip" of stock move.
- Winning rate: > 70%;
- Risk loss: < 1% of capital.
- Stocks to trade: Very high volume.
- Time of trade: less than 2 hours, and the trade will be closed before 16h00.
- Capital per trade: $40.000 to $80.000.

Summary Statistics

Strategy began
2022-05-05
Suggested Minimum Capital
$35,000
Rank at C2 %
Top 0.3%
Rank # 
#2
# Trades
585
# Profitable
372
% Profitable
63.6%
Correlation S&P500
0.210
Sharpe Ratio
3.45
Sortino Ratio
9.65
Beta
0.54
Alpha
0.70
Leverage
0.97 Average
3.73 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.