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

Strategy 27
(143011111)

Created by: AVCapitalVentures AVCapitalVentures
Started: 12/2022
Stocks
Last trade: 11 days ago
Trading style: Equity Non-hedged Equity

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 $50.00 per month.

C2Star

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

You can read more about C2Star certification requirements here.

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

Trading Category: Equity
Non-hedged Equity
Category: Equity

Non-hedged Equity

Predominantly long equities, although some hedging with short sales of stocks and/or stock index options. Commonly known as "stock-pickers."
73.1%
Annual Return (Compounded)

Rate of Return Calculations

Overview

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

How Annualized (Compounded) Rate of Return is calculated

= ((Ending_equity / Starting_equity) ^ (1 / age_in_years)) - 1

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

All results are hypothetical.

(30.6%)
Max Drawdown
113
Num Trades
56.6%
Win Trades
4.4 : 1
Profit Factor
53.3%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022                                                                             (0.4%)(0.4%)
2023+11.4%(3.9%)+8.1%(9.7%)+16.0%+11.7%+13.0%(8.6%)(13%)(8%)+31.2%+22.4%+79.7%
2024(3.4%)+9.3%                                                            +5.6%

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 56 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
11/3/23 15:28 SNAP SNAP INC LONG 184 10.70 2/7/24 10:35 11.60 0.02%
Trade id #146331101
Max drawdown($13)
Time11/6/23 0:00
Quant open184
Worst price10.62
Drawdown as % of equity-0.02%
$163
Includes Typical Broker Commissions trade costs of $3.68
4/14/23 15:48 HUT HUT 8 MINING CORP. COMMON SHARES LONG 88 10.65 12/5 0:52 10.68 n/a $0
Includes Typical Broker Commissions trade costs of $1.76
10/9/23 15:53 BILL BILL HOLDINGS INC LONG 18 112.83 11/3 14:10 66.04 1.63%
Trade id #146081147
Max drawdown($984)
Time11/3/23 9:49
Quant open18
Worst price58.15
Drawdown as % of equity-1.63%
($842)
Includes Typical Broker Commissions trade costs of $0.36
9/13/23 15:34 U UNITY SOFTWARE INC LONG 55 37.01 11/1 10:02 24.60 1.23%
Trade id #145815319
Max drawdown($685)
Time11/1/23 10:02
Quant open55
Worst price24.55
Drawdown as % of equity-1.23%
($683)
Includes Typical Broker Commissions trade costs of $1.10
5/11/23 15:42 MU MICRON TECHNOLOGY LONG 35 61.33 10/26 10:25 64.02 0.08%
Trade id #144592583
Max drawdown($41)
Time5/12/23 0:00
Quant open35
Worst price60.15
Drawdown as % of equity-0.08%
$93
Includes Typical Broker Commissions trade costs of $0.70
2/2/23 15:53 AAPL APPLE LONG 20 150.10 10/26 9:30 170.10 0.23%
Trade id #143437274
Max drawdown($124)
Time3/2/23 0:00
Quant open20
Worst price143.90
Drawdown as % of equity-0.23%
$400
Includes Typical Broker Commissions trade costs of $0.40
1/24/23 15:50 IOT SAMSARA INC LONG 200 13.32 10/25 12:23 22.00 0.38%
Trade id #143324984
Max drawdown($204)
Time1/25/23 0:00
Quant open200
Worst price12.30
Drawdown as % of equity-0.38%
$1,732
Includes Typical Broker Commissions trade costs of $4.00
1/27/23 15:52 CRM SALESFORCE INC LONG 17 164.71 10/25 12:18 198.50 0.16%
Trade id #143370514
Max drawdown($85)
Time2/24/23 0:00
Quant open17
Worst price159.66
Drawdown as % of equity-0.16%
$574
Includes Typical Broker Commissions trade costs of $0.34
1/19/23 15:55 GRMN GARMIN LONG 27 95.55 10/23 15:36 102.00 0.11%
Trade id #143273511
Max drawdown($62)
Time2/21/23 0:00
Quant open27
Worst price93.22
Drawdown as % of equity-0.11%
$173
Includes Typical Broker Commissions trade costs of $0.54
1/31/23 15:51 HUBS HUBSPOT INC LONG 8 343.44 10/12 14:11 448.90 0.02%
Trade id #143404772
Max drawdown($8)
Time2/13/23 0:00
Quant open8
Worst price342.32
Drawdown as % of equity-0.02%
$844
Includes Typical Broker Commissions trade costs of $0.16
12/30/22 15:49 FLYW FLYWIRE CORPORATION VOTING COMMON STOCK LONG 101 24.42 10/9/23 11:52 29.05 0.4%
Trade id #143049808
Max drawdown($196)
Time1/3/23 0:00
Quant open101
Worst price22.47
Drawdown as % of equity-0.40%
$466
Includes Typical Broker Commissions trade costs of $2.02
1/27/23 15:50 MNDY MONDAY.COM LTD. ORDINARY SHARES LONG 8 129.66 10/9 9:30 149.00 0.33%
Trade id #143370493
Max drawdown($170)
Time5/3/23 0:00
Quant open8
Worst price108.34
Drawdown as % of equity-0.33%
$155
Includes Typical Broker Commissions trade costs of $0.16
1/20/23 15:37 WDAY WORKDAY LONG 15 173.20 10/6 9:30 202.53 0.16%
Trade id #143287658
Max drawdown($85)
Time1/25/23 0:00
Quant open15
Worst price167.50
Drawdown as % of equity-0.16%
$440
Includes Typical Broker Commissions trade costs of $0.30
12/29/22 15:40 NFLX NETFLIX LONG 8 291.79 10/5/23 9:57 370.00 0.14%
Trade id #143037954
Max drawdown($68)
Time12/30/22 0:00
Quant open8
Worst price283.22
Drawdown as % of equity-0.14%
$626
Includes Typical Broker Commissions trade costs of $0.16
3/13/23 15:58 ZTS ZOETIS INC LONG 24 163.32 10/2 10:07 167.56 0.09%
Trade id #143883891
Max drawdown($56)
Time5/31/23 0:00
Quant open12
Worst price158.65
Drawdown as % of equity-0.09%
$102
Includes Typical Broker Commissions trade costs of $0.48
2/24/23 15:33 SHOP SHOPIFY INC LONG 50 40.69 9/26 11:25 52.10 0.16%
Trade id #143692650
Max drawdown($83)
Time3/2/23 0:00
Quant open50
Worst price39.02
Drawdown as % of equity-0.16%
$570
Includes Typical Broker Commissions trade costs of $1.00
3/1/23 15:50 AMD ADVANCED MICRO DEVICES INC. C LONG 27 78.20 9/25 9:32 95.05 0.08%
Trade id #143739765
Max drawdown($41)
Time3/2/23 0:00
Quant open27
Worst price76.65
Drawdown as % of equity-0.08%
$454
Includes Typical Broker Commissions trade costs of $0.54
8/16/23 15:30 NIO NIO INC LONG 190 11.39 9/25 9:31 8.01 1.1%
Trade id #145555894
Max drawdown($658)
Time9/25/23 9:31
Quant open190
Worst price7.93
Drawdown as % of equity-1.10%
($647)
Includes Typical Broker Commissions trade costs of $3.80
1/9/23 15:50 MSCI MSCI LONG 5 481.14 9/25 9:30 507.05 0.26%
Trade id #143152423
Max drawdown($147)
Time5/24/23 0:00
Quant open5
Worst price451.55
Drawdown as % of equity-0.26%
$130
Includes Typical Broker Commissions trade costs of $0.10
3/16/23 15:57 RIOT RIOT BLOCKCHAIN INC. COMMON STOCK LONG 300 7.08 9/21 9:36 9.50 0.03%
Trade id #143936849
Max drawdown($15)
Time3/16/23 16:00
Quant open300
Worst price7.03
Drawdown as % of equity-0.03%
$720
Includes Typical Broker Commissions trade costs of $6.00
4/13/23 15:51 AI C3.AI INC LONG 70 22.37 9/21 9:30 25.09 0.77%
Trade id #144290714
Max drawdown($390)
Time5/3/23 0:00
Quant open70
Worst price16.79
Drawdown as % of equity-0.77%
$189
Includes Typical Broker Commissions trade costs of $1.40
4/21/23 15:53 MARA MARATHON DIGITAL HOLDINGS INC LONG 106 8.89 9/19 10:00 9.40 0.07%
Trade id #144391163
Max drawdown($44)
Time6/6/23 0:00
Quant open106
Worst price8.47
Drawdown as % of equity-0.07%
$52
Includes Typical Broker Commissions trade costs of $2.12
3/14/23 15:44 TSM TAIWAN SEMICONDUCTOR LONG 23 88.74 9/7 9:30 90.17 0.35%
Trade id #143901662
Max drawdown($173)
Time4/26/23 0:00
Quant open23
Worst price81.21
Drawdown as % of equity-0.35%
$33
Includes Typical Broker Commissions trade costs of $0.46
12/29/22 15:46 ASML ASML HOLDING LONG 4 553.33 8/17/23 14:55 645.97 0.13%
Trade id #143038013
Max drawdown($66)
Time12/30/22 0:00
Quant open4
Worst price536.77
Drawdown as % of equity-0.13%
$371
Includes Typical Broker Commissions trade costs of $0.08
12/29/22 9:30 GFL GFL ENVIRONMENTAL INC LONG 87 28.86 8/16/23 9:53 32.48 0.03%
Trade id #143030789
Max drawdown($16)
Time12/30/22 0:00
Quant open87
Worst price28.67
Drawdown as % of equity-0.03%
$313
Includes Typical Broker Commissions trade costs of $1.74
1/24/23 15:49 CUBE CUBESMART LONG 62 43.68 8/4 9:32 41.20 0.25%
Trade id #143324960
Max drawdown($179)
Time8/4/23 9:32
Quant open62
Worst price40.79
Drawdown as % of equity-0.25%
($155)
Includes Typical Broker Commissions trade costs of $1.24
3/9/23 15:58 RBLX ROBLOX CORP LONG 49 39.97 7/21 15:54 40.48 0.62%
Trade id #143833363
Max drawdown($307)
Time5/4/23 0:00
Quant open49
Worst price33.70
Drawdown as % of equity-0.62%
$24
Includes Typical Broker Commissions trade costs of $0.98
12/27/22 15:57 TCEHY TENCENT HOLDINGS ADR LONG 60 41.88 7/6/23 15:10 41.63 0.29%
Trade id #143011583
Max drawdown($180)
Time5/31/23 0:00
Quant open60
Worst price38.88
Drawdown as % of equity-0.29%
($16)
Includes Typical Broker Commissions trade costs of $1.20
1/9/23 15:56 TW TRADEWEB MARKETS INC. CLASS A LONG 37 68.18 7/6 15:09 65.58 0.18%
Trade id #143152549
Max drawdown($123)
Time7/6/23 9:31
Quant open37
Worst price64.83
Drawdown as % of equity-0.18%
($97)
Includes Typical Broker Commissions trade costs of $0.74
3/16/23 15:52 SE SEA LTD ADS LONG 25 78.08 5/31 9:30 56.63 0.87%
Trade id #143936592
Max drawdown($536)
Time5/31/23 9:30
Quant open25
Worst price56.62
Drawdown as % of equity-0.87%
($537)
Includes Typical Broker Commissions trade costs of $0.50

Statistics

  • Strategy began
    12/27/2022
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    420.3
  • Age
    14 months ago
  • What it trades
    Stocks
  • # Trades
    113
  • # Profitable
    64
  • % Profitable
    56.60%
  • Avg trade duration
    141.7 days
  • Max peak-to-valley drawdown
    30.56%
  • drawdown period
    July 19, 2023 - Oct 26, 2023
  • Annual Return (Compounded)
    73.1%
  • Avg win
    $917.62
  • Avg loss
    $279.98
  • Model Account Values (Raw)
  • Cash
    $3,392
  • Margin Used
    $0
  • Buying Power
    $49,865
  • Ratios
  • W:L ratio
    4.39:1
  • Sharpe Ratio
    1.53
  • Sortino Ratio
    2.37
  • Calmar Ratio
    2.747
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    59.09%
  • Correlation to SP500
    0.62060
  • Return Percent SP500 (cumu) during strategy life
    29.93%
  • Return Statistics
  • Ann Return (w trading costs)
    73.1%
  • Slump
  • Current Slump as Pcnt Equity
    7.80%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.01%
  • Return Statistics
  • Return Pcnt Since TOS Status
    78.630%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.731%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    75.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    41.00%
  • Chance of 20% account loss
    9.50%
  • 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
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    773
  • Popularity (Last 6 weeks)
    947
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    989
  • Popularity (7 days, Percentile 1000 scale)
    943
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $280
  • Avg Win
    $918
  • Sum Trade PL (losers)
    $13,719.000
  • Age
  • Num Months filled monthly returns table
    15
  • Win / Loss
  • Sum Trade PL (winners)
    $58,728.000
  • # Winners
    64
  • Num Months Winners
    8
  • Dividends
  • Dividends Received in Model Acct
    778
  • AUM
  • AUM (AutoTrader live capital)
    38272
  • Win / Loss
  • # Losers
    49
  • % Winners
    56.6%
  • Frequency
  • Avg Position Time (mins)
    204007.00
  • Avg Position Time (hrs)
    3400.11
  • Avg Trade Length
    141.7 days
  • Last Trade Ago
    2
  • Leverage
  • Daily leverage (average)
    1.27
  • Daily leverage (max)
    1.84
  • Regression
  • Alpha
    0.07
  • Beta
    1.55
  • Treynor Index
    0.11
  • 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)
    -0.18
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    0.545
  • 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
    0.148
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.137
  • Hold-and-Hope Ratio
    1.842
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.60530
  • SD
    0.46225
  • Sharpe ratio (Glass type estimate)
    1.30945
  • Sharpe ratio (Hedges UMVUE)
    1.22557
  • df
    12.00000
  • t
    1.36292
  • p
    0.31694
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.66863
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.23750
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.72029
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.17143
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.33770
  • Upside Potential Ratio
    5.34860
  • Upside part of mean
    0.96998
  • Downside part of mean
    -0.36468
  • Upside SD
    0.44146
  • Downside SD
    0.18135
  • N nonnegative terms
    8.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    13.00000
  • Mean of predictor
    0.21297
  • Mean of criterion
    0.60530
  • SD of predictor
    0.14841
  • SD of criterion
    0.46225
  • Covariance
    0.05695
  • r
    0.83008
  • b (slope, estimate of beta)
    2.58537
  • a (intercept, estimate of alpha)
    0.05470
  • Mean Square Error
    0.07249
  • DF error
    11.00000
  • t(b)
    4.93688
  • p(b)
    0.00022
  • t(a)
    0.19418
  • p(a)
    0.42479
  • Lowerbound of 95% confidence interval for beta
    1.43275
  • Upperbound of 95% confidence interval for beta
    3.73800
  • Lowerbound of 95% confidence interval for alpha
    -0.56530
  • Upperbound of 95% confidence interval for alpha
    0.67470
  • Treynor index (mean / b)
    0.23412
  • Jensen alpha (a)
    0.05470
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.50226
  • SD
    0.43163
  • Sharpe ratio (Glass type estimate)
    1.16363
  • Sharpe ratio (Hedges UMVUE)
    1.08909
  • df
    12.00000
  • t
    1.21115
  • p
    0.33498
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.79751
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.07961
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.84373
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.02192
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.64230
  • Upside Potential Ratio
    4.64830
  • Upside part of mean
    0.88358
  • Downside part of mean
    -0.38131
  • Upside SD
    0.39606
  • Downside SD
    0.19009
  • N nonnegative terms
    8.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    13.00000
  • Mean of predictor
    0.20086
  • Mean of criterion
    0.50226
  • SD of predictor
    0.14534
  • SD of criterion
    0.43163
  • Covariance
    0.05221
  • r
    0.83230
  • b (slope, estimate of beta)
    2.47170
  • a (intercept, estimate of alpha)
    0.00580
  • Mean Square Error
    0.06245
  • DF error
    11.00000
  • t(b)
    4.97970
  • p(b)
    0.00021
  • t(a)
    0.02232
  • p(a)
    0.49129
  • Lowerbound of 95% confidence interval for beta
    1.37923
  • Upperbound of 95% confidence interval for beta
    3.56416
  • Lowerbound of 95% confidence interval for alpha
    -0.56641
  • Upperbound of 95% confidence interval for alpha
    0.57801
  • Treynor index (mean / b)
    0.20321
  • Jensen alpha (a)
    0.00580
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.15049
  • Expected Shortfall on VaR
    0.19274
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.06072
  • Expected Shortfall on VaR
    0.11091
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    13.00000
  • Minimum
    0.89589
  • Quartile 1
    0.93005
  • Median
    1.02072
  • Quartile 3
    1.12273
  • Maximum
    1.31404
  • Mean of quarter 1
    0.90957
  • Mean of quarter 2
    1.00265
  • Mean of quarter 3
    1.10749
  • Mean of quarter 4
    1.23911
  • Inter Quartile Range
    0.19268
  • 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)
    -19.72060
  • VaR(95%) (moments method)
    0.09408
  • Expected Shortfall (moments method)
    0.09408
  • Extreme Value Index (regression method)
    -1.62117
  • VaR(95%) (regression method)
    0.10257
  • Expected Shortfall (regression method)
    0.10384
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.07129
  • Quartile 1
    0.11955
  • Median
    0.16782
  • Quartile 3
    0.21608
  • Maximum
    0.26434
  • Mean of quarter 1
    0.07129
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.26434
  • Inter Quartile Range
    0.09653
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.71629
  • Compounded annual return (geometric extrapolation)
    0.69922
  • Calmar ratio (compounded annual return / max draw down)
    2.64511
  • Compounded annual return / average of 25% largest draw downs
    2.64511
  • Compounded annual return / Expected Shortfall lognormal
    3.62772
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.60437
  • SD
    0.32147
  • Sharpe ratio (Glass type estimate)
    1.88001
  • Sharpe ratio (Hedges UMVUE)
    1.87524
  • df
    296.00000
  • t
    2.00165
  • p
    0.02312
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.03139
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.72554
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.02820
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.72229
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.90798
  • Upside Potential Ratio
    11.07860
  • Upside part of mean
    2.30246
  • Downside part of mean
    -1.69809
  • Upside SD
    0.24738
  • Downside SD
    0.20783
  • N nonnegative terms
    164.00000
  • N negative terms
    133.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    297.00000
  • Mean of predictor
    0.21161
  • Mean of criterion
    0.60437
  • SD of predictor
    0.13005
  • SD of criterion
    0.32147
  • Covariance
    0.02592
  • r
    0.62006
  • b (slope, estimate of beta)
    1.53273
  • a (intercept, estimate of alpha)
    0.28000
  • Mean Square Error
    0.06383
  • DF error
    295.00000
  • t(b)
    13.57450
  • p(b)
    -0.00000
  • t(a)
    1.17415
  • p(a)
    0.12064
  • Lowerbound of 95% confidence interval for beta
    1.31052
  • Upperbound of 95% confidence interval for beta
    1.75495
  • Lowerbound of 95% confidence interval for alpha
    -0.18933
  • Upperbound of 95% confidence interval for alpha
    0.74936
  • Treynor index (mean / b)
    0.39431
  • Jensen alpha (a)
    0.28002
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.55228
  • SD
    0.32109
  • Sharpe ratio (Glass type estimate)
    1.72002
  • Sharpe ratio (Hedges UMVUE)
    1.71566
  • df
    296.00000
  • t
    1.83131
  • p
    0.03403
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.12743
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.56464
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.13038
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.56170
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.60850
  • Upside Potential Ratio
    10.73260
  • Upside part of mean
    2.27233
  • Downside part of mean
    -1.72005
  • Upside SD
    0.24308
  • Downside SD
    0.21172
  • N nonnegative terms
    164.00000
  • N negative terms
    133.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    297.00000
  • Mean of predictor
    0.20309
  • Mean of criterion
    0.55228
  • SD of predictor
    0.12994
  • SD of criterion
    0.32109
  • Covariance
    0.02589
  • r
    0.62040
  • b (slope, estimate of beta)
    1.53301
  • a (intercept, estimate of alpha)
    0.24094
  • Mean Square Error
    0.06363
  • DF error
    295.00000
  • t(b)
    13.58660
  • p(b)
    -0.00000
  • t(a)
    1.01221
  • p(a)
    0.15613
  • Lowerbound of 95% confidence interval for beta
    1.31095
  • Upperbound of 95% confidence interval for beta
    1.75507
  • Lowerbound of 95% confidence interval for alpha
    -0.22751
  • Upperbound of 95% confidence interval for alpha
    0.70938
  • Treynor index (mean / b)
    0.36026
  • Jensen alpha (a)
    0.24094
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03006
  • Expected Shortfall on VaR
    0.03804
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01397
  • Expected Shortfall on VaR
    0.02731
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    297.00000
  • Minimum
    0.92295
  • Quartile 1
    0.99062
  • Median
    1.00242
  • Quartile 3
    1.01562
  • Maximum
    1.08089
  • Mean of quarter 1
    0.97804
  • Mean of quarter 2
    0.99674
  • Mean of quarter 3
    1.00774
  • Mean of quarter 4
    1.02746
  • Inter Quartile Range
    0.02500
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.00673
  • Mean of outliers low
    0.93202
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.01010
  • Mean of outliers high
    1.06307
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.02952
  • VaR(95%) (moments method)
    0.02061
  • Expected Shortfall (moments method)
    0.02725
  • Extreme Value Index (regression method)
    -0.01580
  • VaR(95%) (regression method)
    0.02227
  • Expected Shortfall (regression method)
    0.03003
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    19.00000
  • Minimum
    0.00146
  • Quartile 1
    0.00699
  • Median
    0.02181
  • Quartile 3
    0.04199
  • Maximum
    0.28631
  • Mean of quarter 1
    0.00306
  • Mean of quarter 2
    0.01374
  • Mean of quarter 3
    0.02788
  • Mean of quarter 4
    0.13237
  • Inter Quartile Range
    0.03500
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.15790
  • Mean of outliers high
    0.18678
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.19054
  • VaR(95%) (moments method)
    0.12510
  • Expected Shortfall (moments method)
    0.20180
  • Extreme Value Index (regression method)
    0.69280
  • VaR(95%) (regression method)
    0.19972
  • Expected Shortfall (regression method)
    0.71208
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.82070
  • Compounded annual return (geometric extrapolation)
    0.78637
  • Calmar ratio (compounded annual return / max draw down)
    2.74661
  • Compounded annual return / average of 25% largest draw downs
    5.94048
  • Compounded annual return / Expected Shortfall lognormal
    20.67200
  • 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
    0.80276
  • SD
    0.32074
  • Sharpe ratio (Glass type estimate)
    2.50283
  • Sharpe ratio (Hedges UMVUE)
    2.48836
  • df
    130.00000
  • t
    1.76977
  • p
    0.42331
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.29023
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.28655
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.29990
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.27662
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.97747
  • Upside Potential Ratio
    12.27440
  • Upside part of mean
    2.47729
  • Downside part of mean
    -1.67453
  • Upside SD
    0.25261
  • Downside SD
    0.20183
  • N nonnegative terms
    76.00000
  • N negative terms
    55.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.22328
  • Mean of criterion
    0.80276
  • SD of predictor
    0.12039
  • SD of criterion
    0.32074
  • Covariance
    0.02461
  • r
    0.63734
  • b (slope, estimate of beta)
    1.69798
  • a (intercept, estimate of alpha)
    0.42364
  • Mean Square Error
    0.06156
  • DF error
    129.00000
  • t(b)
    9.39391
  • p(b)
    0.12371
  • t(a)
    1.19944
  • p(a)
    0.43327
  • Lowerbound of 95% confidence interval for beta
    1.34036
  • Upperbound of 95% confidence interval for beta
    2.05561
  • Lowerbound of 95% confidence interval for alpha
    -0.27517
  • Upperbound of 95% confidence interval for alpha
    1.12245
  • Treynor index (mean / b)
    0.47277
  • Jensen alpha (a)
    0.42364
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.75060
  • SD
    0.32031
  • Sharpe ratio (Glass type estimate)
    2.34333
  • Sharpe ratio (Hedges UMVUE)
    2.32978
  • df
    130.00000
  • t
    1.65698
  • p
    0.42809
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.44744
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.12537
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.45645
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.11602
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.65808
  • Upside Potential Ratio
    11.91960
  • Upside part of mean
    2.44578
  • Downside part of mean
    -1.69517
  • Upside SD
    0.24873
  • Downside SD
    0.20519
  • N nonnegative terms
    76.00000
  • N negative terms
    55.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.21597
  • Mean of criterion
    0.75060
  • SD of predictor
    0.12037
  • SD of criterion
    0.32031
  • Covariance
    0.02464
  • r
    0.63913
  • b (slope, estimate of beta)
    1.70077
  • a (intercept, estimate of alpha)
    0.38328
  • Mean Square Error
    0.06116
  • DF error
    129.00000
  • t(b)
    9.43836
  • p(b)
    0.12283
  • t(a)
    1.08917
  • p(a)
    0.43932
  • VAR (95 Confidence Intrvl)
    0.03000
  • Lowerbound of 95% confidence interval for beta
    1.34424
  • Upperbound of 95% confidence interval for beta
    2.05729
  • Lowerbound of 95% confidence interval for alpha
    -0.31297
  • Upperbound of 95% confidence interval for alpha
    1.07953
  • Treynor index (mean / b)
    0.44133
  • Jensen alpha (a)
    0.38328
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02925
  • Expected Shortfall on VaR
    0.03722
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01324
  • Expected Shortfall on VaR
    0.02592
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.94108
  • Quartile 1
    0.99071
  • Median
    1.00304
  • Quartile 3
    1.01629
  • Maximum
    1.05401
  • Mean of quarter 1
    0.97830
  • Mean of quarter 2
    0.99707
  • Mean of quarter 3
    1.00896
  • Mean of quarter 4
    1.02852
  • Inter Quartile Range
    0.02558
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.00763
  • Mean of outliers low
    0.94108
  • 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)
    -0.01375
  • VaR(95%) (moments method)
    0.02071
  • Expected Shortfall (moments method)
    0.02750
  • Extreme Value Index (regression method)
    0.13145
  • VaR(95%) (regression method)
    0.02076
  • Expected Shortfall (regression method)
    0.02956
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.00365
  • Quartile 1
    0.00843
  • Median
    0.02398
  • Quartile 3
    0.05353
  • Maximum
    0.22962
  • Mean of quarter 1
    0.00588
  • Mean of quarter 2
    0.00995
  • Mean of quarter 3
    0.04376
  • Mean of quarter 4
    0.12793
  • Inter Quartile Range
    0.04509
  • 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
    0.10000
  • Mean of outliers high
    0.22962
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -1.46805
  • VaR(95%) (moments method)
    0.13583
  • Expected Shortfall (moments method)
    0.14310
  • Extreme Value Index (regression method)
    0.52619
  • VaR(95%) (regression method)
    0.25428
  • Last 4 Months - Pcnt Negative
    0.25%
  • Expected Shortfall (regression method)
    0.63002
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -334427000
  • Max Equity Drawdown (num days)
    99
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.95176
  • Compounded annual return (geometric extrapolation)
    1.17822
  • Calmar ratio (compounded annual return / max draw down)
    5.13111
  • Compounded annual return / average of 25% largest draw downs
    9.20990
  • Compounded annual return / Expected Shortfall lognormal
    31.65810

Strategy Description

Strategy 27 is a long-only stock portfolio compatible with IRA. This strategy does not day trade, in fact, the hold period can be many months. New positions are opened only during the last hour of the market. Stocks in the portfolio are a minimum 1B market cap (usually a lot more) and are highly liquid.

Subscription Rate Policy: This strategy is new and for pricing fairness, the rate starts at $10 and will increase (or decrease) based on model account performance. This helps the strategy build its credibility over time and gives discounted rates when the market is underperforming. The rate change will reflect in the first week of the month. $10 will be added for each month that closes green. $5 will be reduced for each month that closes red.

01/23: $10
02/23: $20
03/23: $15
04/23: $25
05/23: $20
06/23: $30
07/23: $40
08/23: $50
09/23: $45
10/23: $40
11/23: $35
12/23: $45
01/24: $55
02/24: $50

Summary Statistics

Strategy began
2022-12-27
Suggested Minimum Capital
$15,000
Rank at C2 %
Top 1.1%
Rank # 
#9
# Trades
113
# Profitable
64
% Profitable
56.6%
Net Dividends
Correlation S&P500
0.621
Sharpe Ratio
1.53
Sortino Ratio
2.37
Beta
1.55
Alpha
0.07
Leverage
1.27 Average
1.84 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.