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

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 09/12/2022
Most recent certification approved 9/12/22 9:33 ET
Trades at broker Interactive Brokers (Stocks, Options, Futures)
Scaling percentage used 100%
# trading signals issued by system since certification 60
# trading signals executed in manager's Interactive Brokers (Stocks, Options, Futures) account 60
Percent signals followed since 09/12/2022 100%
This information was last updated 9/29/22 22:18 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 09/12/2022, 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.

Growth Rotation Alpha
(140468892)

Created by: Roman2 Roman2
Started: 05/2022
Stocks
Last trade: 7 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 $49.00 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.

53.2%
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.

(26.7%)
Max Drawdown
55
Num Trades
29.1%
Win Trades
2.4 : 1
Profit Factor
80.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022                            +6.6%+0.8%+37.4%+9.1%(4.8%)                  +53.2%

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 60 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
9/19/22 14:34 UFPI UFP INDUSTRIES INC LONG 23 74.54 9/21 14:08 74.87 0.25%
Trade id #141854929
Max drawdown($39)
Time9/20/22 0:00
Quant open15
Worst price72.45
Drawdown as % of equity-0.25%
$8
Includes Typical Broker Commissions trade costs of $0.46
9/19/22 14:33 TA TRAVELCENTERS OF AMERICA LONG 28 61.00 9/21 14:08 57.29 0.89%
Trade id #141854910
Max drawdown($136)
Time9/21/22 11:36
Quant open28
Worst price56.13
Drawdown as % of equity-0.89%
($105)
Includes Typical Broker Commissions trade costs of $0.56
9/19/22 14:32 RYI RYERSON HOLDING CORPORATION LONG 58 28.44 9/21 14:08 27.03 0.57%
Trade id #141854903
Max drawdown($88)
Time9/21/22 14:05
Quant open58
Worst price26.91
Drawdown as % of equity-0.57%
($83)
Includes Typical Broker Commissions trade costs of $1.16
9/19/22 14:29 AMN AMN HEALTHCARE SERVICES LONG 16 106.29 9/21 14:08 108.52 0.04%
Trade id #141854879
Max drawdown($5)
Time9/20/22 0:00
Quant open10
Worst price105.57
Drawdown as % of equity-0.04%
$36
Includes Typical Broker Commissions trade costs of $0.32
9/19/22 14:27 JD JD.COM INC LONG 30 56.60 9/21 14:08 54.40 0.51%
Trade id #141854856
Max drawdown($79)
Time9/21/22 14:05
Quant open30
Worst price53.95
Drawdown as % of equity-0.51%
($67)
Includes Typical Broker Commissions trade costs of $0.60
9/19/22 14:35 TGLS TECNOGLASS INC. ORDINARY SHARE LONG 75 21.21 9/21 14:08 21.81 0.1%
Trade id #141854934
Max drawdown($15)
Time9/20/22 0:00
Quant open50
Worst price20.84
Drawdown as % of equity-0.10%
$44
Includes Typical Broker Commissions trade costs of $1.50
9/19/22 14:34 VIST VISTA ENERGY SAB DE CV LONG 112 9.83 9/21 14:08 9.35 0.39%
Trade id #141854919
Max drawdown($60)
Time9/21/22 13:29
Quant open112
Worst price9.29
Drawdown as % of equity-0.39%
($56)
Includes Typical Broker Commissions trade costs of $2.24
9/19/22 14:28 CALM CAL-MAINE FOODS LONG 30 57.52 9/21 14:08 60.73 0.05%
Trade id #141854869
Max drawdown($7)
Time9/20/22 0:00
Quant open20
Worst price57.02
Drawdown as % of equity-0.05%
$95
Includes Typical Broker Commissions trade costs of $0.60
9/19/22 14:38 MSTR MICROSTRATEGY SHORT 7 201.73 9/20 12:03 201.02 0.24%
Trade id #141854958
Max drawdown($37)
Time9/19/22 15:40
Quant open7
Worst price207.09
Drawdown as % of equity-0.24%
$5
Includes Typical Broker Commissions trade costs of $0.14
9/19/22 14:37 CGNX COGNEX SHORT 35 41.74 9/20 11:09 45.53 0.89%
Trade id #141854954
Max drawdown($137)
Time9/20/22 11:00
Quant open35
Worst price45.67
Drawdown as % of equity-0.89%
($134)
Includes Typical Broker Commissions trade costs of $0.70
9/12/22 9:36 BVNRY BAVARIAN NORDIC LONG 100 11.16 9/19 14:19 9.84 0.87%
Trade id #141745984
Max drawdown($138)
Time9/16/22 0:00
Quant open100
Worst price9.78
Drawdown as % of equity-0.87%
($134)
Includes Typical Broker Commissions trade costs of $2.00
9/12/22 9:36 LMND LEMONADE INC LONG 25 25.66 9/19 14:18 22.45 0.55%
Trade id #141745982
Max drawdown($86)
Time9/19/22 10:22
Quant open25
Worst price22.20
Drawdown as % of equity-0.55%
($81)
Includes Typical Broker Commissions trade costs of $0.50
9/12/22 9:33 DNA GINKGO BIOWORKS HOLDINGS INC LONG 300 3.13 9/19 14:18 3.01 0.59%
Trade id #141745908
Max drawdown($96)
Time9/13/22 0:00
Quant open300
Worst price2.81
Drawdown as % of equity-0.59%
($41)
Includes Typical Broker Commissions trade costs of $6.00
9/16/22 15:11 WPM WHEATON PRECIOUS METALS CORP LONG 295 32.11 9/19 14:16 32.01 1.12%
Trade id #141835534
Max drawdown($175)
Time9/19/22 9:30
Quant open295
Worst price31.52
Drawdown as % of equity-1.12%
($35)
Includes Typical Broker Commissions trade costs of $5.90
9/14/22 15:09 EOG EOG RESOURCES LONG 45 126.28 9/16 9:31 121.81 1.46%
Trade id #141803979
Max drawdown($230)
Time9/16/22 9:31
Quant open45
Worst price121.15
Drawdown as % of equity-1.46%
($202)
Includes Typical Broker Commissions trade costs of $0.90
9/12/22 12:40 PSTG PURE STORAGE INC LONG 75 30.75 9/15 10:50 28.66 0.99%
Trade id #141750766
Max drawdown($158)
Time9/15/22 10:50
Quant open75
Worst price28.63
Drawdown as % of equity-0.99%
($159)
Includes Typical Broker Commissions trade costs of $1.50
9/14/22 15:46 ABEV AMBEV S.A. SHORT 99 2.90 9/14 15:46 2.92 0.01%
Trade id #141804389
Max drawdown($1)
Time9/14/22 15:46
Quant open99
Worst price2.92
Drawdown as % of equity-0.01%
($3)
Includes Typical Broker Commissions trade costs of $1.98
9/12/22 9:33 ABEV AMBEV S.A. LONG 1 3.02 9/14 15:46 2.90 0%
Trade id #141745910
Max drawdown($0)
Time9/14/22 15:15
Quant open1
Worst price2.90
Drawdown as % of equity-0.00%
$0
Includes Typical Broker Commissions trade costs of $0.02
9/12/22 9:33 RGEN REPLIGEN LONG 8 233.39 9/14 15:34 224.78 0.59%
Trade id #141745906
Max drawdown($96)
Time9/13/22 0:00
Quant open8
Worst price221.34
Drawdown as % of equity-0.59%
($69)
Includes Typical Broker Commissions trade costs of $0.16
9/13/22 14:09 OLED UNIVERSAL DISPLAY CORPORATION SHORT 50 101.36 9/14 10:40 101.87 0.14%
Trade id #141768779
Max drawdown($23)
Time9/14/22 10:38
Quant open50
Worst price101.82
Drawdown as % of equity-0.14%
($26)
Includes Typical Broker Commissions trade costs of $1.00
9/12/22 9:36 YXI PROSHARES SHORT FTSE CHINA 50 LONG 199 17.95 9/12 15:17 17.80 0.18%
Trade id #141745980
Max drawdown($29)
Time9/12/22 13:07
Quant open199
Worst price17.80
Drawdown as % of equity-0.18%
($34)
Includes Typical Broker Commissions trade costs of $3.98
8/16/22 15:51 BVNRY BAVARIAN NORDIC LONG 120 17.09 9/6 12:52 12.84 0.47%
Trade id #141439148
Max drawdown($77)
Time9/6/22 10:13
Quant open12
Worst price10.64
Drawdown as % of equity-0.47%
($511)
Includes Typical Broker Commissions trade costs of $2.40
8/25/22 14:25 DNA GINKGO BIOWORKS HOLDINGS INC LONG 556 2.90 8/30 13:14 2.56 0.23%
Trade id #141548053
Max drawdown($37)
Time8/30/22 13:14
Quant open111
Worst price2.56
Drawdown as % of equity-0.23%
($199)
Includes Typical Broker Commissions trade costs of $11.12
8/23/22 12:29 COIN COINBASE GLOBAL INC. CLASS A SHORT 65 71.37 8/29 10:31 68.14 0.23%
Trade id #141510968
Max drawdown($38)
Time8/24/22 0:00
Quant open13
Worst price74.32
Drawdown as % of equity-0.23%
$209
Includes Typical Broker Commissions trade costs of $1.30
8/25/22 14:22 LMND LEMONADE INC LONG 50 23.90 8/29 9:30 21.78 0.13%
Trade id #141547973
Max drawdown($22)
Time8/29/22 9:30
Quant open10
Worst price21.70
Drawdown as % of equity-0.13%
($107)
Includes Typical Broker Commissions trade costs of $1.00
8/25/22 15:57 CHWY CHEWY INC LONG 35 40.64 8/26 11:17 37.54 0.14%
Trade id #141549640
Max drawdown($23)
Time8/26/22 0:00
Quant open7
Worst price37.26
Drawdown as % of equity-0.14%
($110)
Includes Typical Broker Commissions trade costs of $0.70
8/25/22 14:29 AFRM AFFIRM HOLDINGS INC. CLASS A LONG 40 30.89 8/26 11:17 24.60 0.3%
Trade id #141548090
Max drawdown($51)
Time8/26/22 11:17
Quant open8
Worst price24.50
Drawdown as % of equity-0.30%
($253)
Includes Typical Broker Commissions trade costs of $0.80
8/16/22 12:22 FMC FMC LONG 25 113.30 8/18 14:59 112.66 0.04%
Trade id #141436345
Max drawdown($7)
Time8/17/22 0:00
Quant open5
Worst price111.78
Drawdown as % of equity-0.04%
($17)
Includes Typical Broker Commissions trade costs of $0.50
8/17/22 13:52 QQQ2230U316 QQQ Sep30'22 316 put LONG 1 7.02 8/17 14:12 6.57 0.06%
Trade id #141451712
Max drawdown($10)
Time8/17/22 14:03
Quant open0
Worst price6.50
Drawdown as % of equity-0.06%
($47)
Includes Typical Broker Commissions trade costs of $2.00
8/16/22 12:30 LMND LEMONADE INC LONG 77 30.70 8/17 13:44 29.18 0.14%
Trade id #141436484
Max drawdown($23)
Time8/17/22 13:44
Quant open15
Worst price29.16
Drawdown as % of equity-0.14%
($119)
Includes Typical Broker Commissions trade costs of $1.54

Statistics

  • Strategy began
    5/13/2022
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    139.4
  • Age
    139 days ago
  • What it trades
    Stocks
  • # Trades
    55
  • # Profitable
    16
  • % Profitable
    29.10%
  • Avg trade duration
    6.4 days
  • Max peak-to-valley drawdown
    26.72%
  • drawdown period
    May 30, 2022 - June 14, 2022
  • Cumul. Return
    53.2%
  • Avg win
    $597.69
  • Avg loss
    $107.08
  • Model Account Values (Raw)
  • Cash
    $17,553
  • Margin Used
    $7,783
  • Buying Power
    $9,888
  • Ratios
  • W:L ratio
    2.41:1
  • Sharpe Ratio
    1.66
  • Sortino Ratio
    2.93
  • Calmar Ratio
    10.097
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    62.77%
  • Correlation to SP500
    0.26650
  • Return Percent SP500 (cumu) during strategy life
    -9.53%
  • Return Statistics
  • Ann Return (w trading costs)
    198.1%
  • Slump
  • Current Slump as Pcnt Equity
    20.70%
  • Instruments
  • Percent Trades Futures
    0.05%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.35%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.532%
  • Instruments
  • Percent Trades Options
    0.07%
  • Percent Trades Stocks
    0.89%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    232.0%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    49.50%
  • Chance of 20% account loss
    19.00%
  • Chance of 30% account loss
    6.00%
  • Chance of 40% account loss
    1.00%
  • 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)
    419
  • Popularity (Last 6 weeks)
    929
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    980
  • Popularity (7 days, Percentile 1000 scale)
    876
  • Trades-Own-System Certification
  • Trades Own System?
    Yes
  • TOS percent
    100%
  • Win / Loss
  • Avg Loss
    $107
  • Avg Win
    $598
  • Sum Trade PL (losers)
    $4,176.000
  • Age
  • Num Months filled monthly returns table
    5
  • Win / Loss
  • Sum Trade PL (winners)
    $9,563.000
  • # Winners
    16
  • Num Months Winners
    4
  • Dividends
  • Dividends Received in Model Acct
    481
  • AUM
  • AUM (AutoTrader live capital)
    31468
  • Win / Loss
  • # Losers
    39
  • % Winners
    29.1%
  • Frequency
  • Avg Position Time (mins)
    9195.40
  • Avg Position Time (hrs)
    153.26
  • Avg Trade Length
    6.4 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    0.94
  • Daily leverage (max)
    4.83
  • Regression
  • Alpha
    0.43
  • Beta
    0.76
  • Treynor Index
    0.50
  • 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)
    -0.64
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    0.613
  • 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
    0.050
  • Avg(MAE) / Avg(PL) - Losing trades
    -0.652
  • Hold-and-Hope Ratio
    1.660
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.94437
  • SD
    1.04758
  • Sharpe ratio (Glass type estimate)
    1.85606
  • Sharpe ratio (Hedges UMVUE)
    1.34305
  • df
    3.00000
  • t
    1.07160
  • p
    0.18122
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.94292
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.41249
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.21774
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.90384
  • Statistics related to Sortino ratio
  • Sortino ratio
    12.37820
  • Upside Potential Ratio
    14.78300
  • Upside part of mean
    2.32211
  • Downside part of mean
    -0.37774
  • Upside SD
    1.05520
  • Downside SD
    0.15708
  • N nonnegative terms
    2.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    4.00000
  • Mean of predictor
    -0.05222
  • Mean of criterion
    1.94437
  • SD of predictor
    0.34874
  • SD of criterion
    1.04758
  • Covariance
    0.36507
  • r
    0.99928
  • b (slope, estimate of beta)
    3.00175
  • a (intercept, estimate of alpha)
    2.10112
  • Mean Square Error
    0.00237
  • DF error
    2.00000
  • t(b)
    37.25080
  • p(b)
    0.00036
  • t(a)
    24.89150
  • p(a)
    0.00081
  • Lowerbound of 95% confidence interval for beta
    2.65503
  • Upperbound of 95% confidence interval for beta
    3.34847
  • Lowerbound of 95% confidence interval for alpha
    1.73793
  • Upperbound of 95% confidence interval for alpha
    2.46432
  • Treynor index (mean / b)
    0.64775
  • Jensen alpha (a)
    2.10112
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.51318
  • SD
    0.85765
  • Sharpe ratio (Glass type estimate)
    1.76434
  • Sharpe ratio (Hedges UMVUE)
    1.27668
  • df
    3.00000
  • t
    1.01864
  • p
    0.19168
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.00431
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.29851
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.26844
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.82180
  • Statistics related to Sortino ratio
  • Sortino ratio
    9.32601
  • Upside Potential Ratio
    11.72800
  • Upside part of mean
    1.90290
  • Downside part of mean
    -0.38972
  • Upside SD
    0.84626
  • Downside SD
    0.16225
  • N nonnegative terms
    2.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    4.00000
  • Mean of predictor
    -0.09668
  • Mean of criterion
    1.51318
  • SD of predictor
    0.34184
  • SD of criterion
    0.85765
  • Covariance
    0.29313
  • r
    0.99984
  • b (slope, estimate of beta)
    2.50851
  • a (intercept, estimate of alpha)
    1.75571
  • Mean Square Error
    0.00036
  • DF error
    2.00000
  • t(b)
    78.09260
  • p(b)
    0.00008
  • t(a)
    53.06190
  • p(a)
    0.00018
  • Lowerbound of 95% confidence interval for beta
    2.37030
  • Upperbound of 95% confidence interval for beta
    2.64672
  • Lowerbound of 95% confidence interval for alpha
    1.61334
  • Upperbound of 95% confidence interval for alpha
    1.89808
  • Treynor index (mean / b)
    0.60322
  • Jensen alpha (a)
    1.75571
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.24507
  • Expected Shortfall on VaR
    0.31651
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.07284
  • Expected Shortfall on VaR
    0.10695
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    4.00000
  • Minimum
    0.92717
  • Quartile 1
    0.94547
  • Median
    1.07587
  • Quartile 3
    1.29476
  • Maximum
    1.57853
  • Mean of quarter 1
    0.92717
  • Mean of quarter 2
    0.95157
  • Mean of quarter 3
    1.20016
  • Mean of quarter 4
    1.57853
  • Inter Quartile Range
    0.34928
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.04843
  • Quartile 1
    0.05453
  • Median
    0.06063
  • Quartile 3
    0.06673
  • Maximum
    0.07283
  • Mean of quarter 1
    0.04843
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.07283
  • Inter Quartile Range
    0.01220
  • 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)
    2.01437
  • Compounded annual return (geometric extrapolation)
    3.66966
  • Calmar ratio (compounded annual return / max draw down)
    50.38810
  • Compounded annual return / average of 25% largest draw downs
    50.38810
  • Compounded annual return / Expected Shortfall lognormal
    11.59420
  • 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
    1.44321
  • SD
    0.68935
  • Sharpe ratio (Glass type estimate)
    2.09357
  • Sharpe ratio (Hedges UMVUE)
    2.07751
  • df
    98.00000
  • t
    1.28693
  • p
    0.10057
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.11355
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.29018
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.12419
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.27920
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.87056
  • Upside Potential Ratio
    11.16320
  • Upside part of mean
    4.16242
  • Downside part of mean
    -2.71921
  • Upside SD
    0.58252
  • Downside SD
    0.37287
  • N nonnegative terms
    41.00000
  • N negative terms
    58.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    99.00000
  • Mean of predictor
    -0.26352
  • Mean of criterion
    1.44321
  • SD of predictor
    0.24253
  • SD of criterion
    0.68935
  • Covariance
    0.05009
  • r
    0.29958
  • b (slope, estimate of beta)
    0.85151
  • a (intercept, estimate of alpha)
    1.66800
  • Mean Square Error
    0.43702
  • DF error
    97.00000
  • t(b)
    3.09253
  • p(b)
    0.00130
  • t(a)
    1.54711
  • p(a)
    0.06255
  • Lowerbound of 95% confidence interval for beta
    0.30503
  • Upperbound of 95% confidence interval for beta
    1.39799
  • Lowerbound of 95% confidence interval for alpha
    -0.47169
  • Upperbound of 95% confidence interval for alpha
    3.80689
  • Treynor index (mean / b)
    1.69489
  • Jensen alpha (a)
    1.66760
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.21130
  • SD
    0.67543
  • Sharpe ratio (Glass type estimate)
    1.79338
  • Sharpe ratio (Hedges UMVUE)
    1.77962
  • df
    98.00000
  • t
    1.10240
  • p
    0.13649
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.40944
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.98722
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.41856
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.97780
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.09675
  • Upside Potential Ratio
    10.23720
  • Upside part of mean
    4.00428
  • Downside part of mean
    -2.79298
  • Upside SD
    0.55154
  • Downside SD
    0.39115
  • N nonnegative terms
    41.00000
  • N negative terms
    58.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    99.00000
  • Mean of predictor
    -0.29291
  • Mean of criterion
    1.21130
  • SD of predictor
    0.24353
  • SD of criterion
    0.67543
  • Covariance
    0.04997
  • r
    0.30382
  • b (slope, estimate of beta)
    0.84263
  • a (intercept, estimate of alpha)
    1.45812
  • Mean Square Error
    0.41836
  • DF error
    97.00000
  • t(b)
    3.14074
  • p(b)
    0.00112
  • t(a)
    1.38190
  • p(a)
    0.08509
  • Lowerbound of 95% confidence interval for beta
    0.31015
  • Upperbound of 95% confidence interval for beta
    1.37511
  • Lowerbound of 95% confidence interval for alpha
    -0.63608
  • Upperbound of 95% confidence interval for alpha
    3.55231
  • Treynor index (mean / b)
    1.43752
  • Jensen alpha (a)
    1.45812
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06201
  • Expected Shortfall on VaR
    0.07811
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02624
  • Expected Shortfall on VaR
    0.05221
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    99.00000
  • Minimum
    0.85252
  • Quartile 1
    0.98817
  • Median
    0.99842
  • Quartile 3
    1.02045
  • Maximum
    1.18337
  • Mean of quarter 1
    0.96437
  • Mean of quarter 2
    0.99493
  • Mean of quarter 3
    1.00585
  • Mean of quarter 4
    1.05733
  • Inter Quartile Range
    0.03228
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.02020
  • Mean of outliers low
    0.88607
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.07071
  • Mean of outliers high
    1.11645
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.21680
  • VaR(95%) (moments method)
    0.03330
  • Expected Shortfall (moments method)
    0.05309
  • Extreme Value Index (regression method)
    0.32779
  • VaR(95%) (regression method)
    0.04166
  • Expected Shortfall (regression method)
    0.07626
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.01599
  • Quartile 1
    0.03516
  • Median
    0.04768
  • Quartile 3
    0.16937
  • Maximum
    0.24292
  • Mean of quarter 1
    0.02553
  • Mean of quarter 2
    0.04146
  • Mean of quarter 3
    0.15464
  • Mean of quarter 4
    0.21352
  • Inter Quartile Range
    0.13421
  • 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)
    1.58045
  • Compounded annual return (geometric extrapolation)
    2.45286
  • Calmar ratio (compounded annual return / max draw down)
    10.09740
  • Compounded annual return / average of 25% largest draw downs
    11.48800
  • Compounded annual return / Expected Shortfall lognormal
    31.40230
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess log return rates
  • Statistics related to linear regression on benchmark
  • VAR (95 Confidence Intrvl)
    0.06200
  • DRAW DOWN STATISTICS
  • Risk estimates based on draw downs (based on Extreme Value T
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • Last 4 Months - Pcnt Negative
    0.25%
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -339073000
  • Max Equity Drawdown (num days)
    15

Strategy Description

Position trading strategy suitable for both small and large accounts.

The strategy holds a basket of up to 5 quality growth stocks which get rotated weekly/monthly.
Stocks must meet the following criteria:
1. Strong revenue growth
2. Strong and consistent bullish trending structure (avoids stocks with history of share dilution, and does not buy stocks trending down “in hopes” that they will turn around)
3. Must be outperforming SPY/QQQ (matching depending on correlation) on a relative strength basis in the last 20 trading days.
4. Mid-cap/Large-cap company with sufficient trading volume for liquidity. Occasionally will trade growth companies in the small-cap range, but nothing under 1B valuation.
5. The strategy will choose new holdings that have a lower correlation to existing holdings, whenever all criteria is met by more than one new candidate.

Important facts about the strategy:

- Strict stop loss is used for all positions (no daily close basis stops, no mental stops)
-The strategy lets positions run and does not have predetermined profit targets. The strategy simply adjusts the stop loss to prior major swing lows. From my testing this has been vastly superior to a swing trading strategy
-The strategy rarely goes short, and rarely buys instruments other than stocks
-If at close to maximum exposure on Friday, the strategy will reduce or close positions prior to the weekend – otherwise it will hold over the weekend.
-Positions are closed or significantly reduced prior to earnings

Summary Statistics

Strategy began
2022-05-13
Suggested Minimum Capital
$35,000
Rank at C2 %
Top 2.0%
Rank # 
#16
# Trades
55
# Profitable
16
% Profitable
29.1%
Net Dividends
Correlation S&P500
0.267
Sharpe Ratio
1.66
Sortino Ratio
2.93
Beta
0.76
Alpha
0.43
Leverage
0.94 Average
4.83 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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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.