Collective2 Collective2
Featured Strategy IC Algotrading +104.6% Annual Return (Compounded) since Mar 31, 2023 Hypothetical

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These are hypothetical performance results that have certain inherent limitations. Learn more
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Trades-Own-Strategy Certification

This system has earned Trades-Own-Strategy (TOS) Certification. This means that the manager of this system trades his own strategy in a real-life, funded brokerage account.

Trades-Own-Strategy (TOS) Certification Details
Certification process started 05/11/2023
Most recent certification approved 5/11/23 11:33 ET
Trades at broker Israel Interactive Trading
Scaling percentage used 100%
# trading signals issued by system since certification 149
# trading signals executed in manager's Israel Interactive Trading account 149
Percent signals followed since 05/11/2023 100%
This information was last updated 4/26/24 18:44 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 05/11/2023, and the system developer's results may not match the system results presented here. In addition, not all subscribers have received the same trades or prices as the system manager has. For these reasons, and others, it is extremely important you remember the following:

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results. Hypothetical performance results have many inherent limitations, some of which are described below. No representation is being made that any account will or is likely to achieve profits or losses similar to those shown. In fact, there are frequently sharp differences between hypothetical performance results and the actual results subsequently achieved by any particular trading program.

One of the limitations of hypothetical performance results is that they are generally prepared with the benefit of hindsight. In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

You may be interested to learn more technical details about how Collective2 calculates the hypothetical results you see on this web site.

AELong
(144585915)

Created by: EliAizen EliAizen
Started: 05/2023
Stocks
Last trade: 4 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 $60.00 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."
13.8%
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.

(13.9%)
Max Drawdown
79
Num Trades
59.5%
Win Trades
2.0 : 1
Profit Factor
58.3%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2023                            +1.0%+6.0%+4.4%(3.9%)(5%)(4.3%)+8.1%+7.1%+13.1%
2024(3.4%)+3.5%+3.6%(2.8%)                                                +0.6%

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.

Trading Record

This strategy has placed 149 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
12/18/23 11:13 SLB SCHLUMBERGER LONG 69 52.70 4/22/24 9:33 48.97 0.73%
Trade id #146730388
Max drawdown($399)
Time2/9/24 0:00
Quant open69
Worst price46.91
Drawdown as % of equity-0.73%
 ($258)
Includes Typical Broker Commissions trade costs of $1.38
1/5/24 9:37 INTC INTEL LONG 80 46.88 4/10 11:44 37.28 1.34%
Trade id #146915612
Max drawdown($768)
Time4/10/24 11:44
Quant open80
Worst price37.27
Drawdown as % of equity-1.34%
 ($770)
Includes Typical Broker Commissions trade costs of $1.60
10/16/23 10:36 XLP SPDR CONSUMER STAPLES SELECT LONG 51 67.52 4/10/24 9:33 74.08 0.12%
Trade id #146140394
Max drawdown($58)
Time10/27/23 0:00
Quant open51
Worst price66.38
Drawdown as % of equity-0.12%
 $333
Includes Typical Broker Commissions trade costs of $1.02
1/29/24 15:07 SBUX STARBUCKS LONG 35 93.59 4/4 14:14 88.54 0.3%
Trade id #147152329
Max drawdown($177)
Time4/4/24 14:14
Quant open35
Worst price88.52
Drawdown as % of equity-0.30%
 ($178)
Includes Typical Broker Commissions trade costs of $0.70
12/13/23 15:09 BKR BAKER HUGHES CO LONG 112 32.65 4/2/24 9:40 33.61 0.88%
Trade id #146686645
Max drawdown($484)
Time2/5/24 0:00
Quant open112
Worst price28.32
Drawdown as % of equity-0.88%
 $106
Includes Typical Broker Commissions trade costs of $2.24
1/17/24 9:44 BA BOEING LONG 18 204.87 3/18 9:32 178.91 0.84%
Trade id #147026331
Max drawdown($473)
Time3/18/24 9:32
Quant open18
Worst price178.54
Drawdown as % of equity-0.84%
 ($467)
Includes Typical Broker Commissions trade costs of $0.36
10/6/23 10:40 VHT VANGUARD HEALTH CARE ETF LONG 14 234.69 3/15/24 15:33 265.65 0.36%
Trade id #146056070
Max drawdown($173)
Time10/27/23 0:00
Quant open14
Worst price222.27
Drawdown as % of equity-0.36%
 $433
Includes Typical Broker Commissions trade costs of $0.28
8/29/23 11:43 IHI ISHARES DOW JONES US MEDICAL D LONG 66 52.51 2/16/24 12:23 57.23 1.17%
Trade id #145678386
Max drawdown($564)
Time10/30/23 0:00
Quant open66
Worst price43.96
Drawdown as % of equity-1.17%
 $311
Includes Typical Broker Commissions trade costs of $1.32
11/30/23 15:53 CSCO CISCO SYSTEMS LONG 73 48.38 1/31/24 15:05 50.28 0.11%
Trade id #146582189
Max drawdown($57)
Time12/5/23 0:00
Quant open73
Worst price47.59
Drawdown as % of equity-0.11%
 $138
Includes Typical Broker Commissions trade costs of $1.46
11/1/23 9:51 V VISA LONG 14 238.02 1/24/24 9:56 271.39 0.04%
Trade id #146299639
Max drawdown($17)
Time11/1/23 14:49
Quant open14
Worst price236.78
Drawdown as % of equity-0.04%
 $467
Includes Typical Broker Commissions trade costs of $0.28
10/6/23 11:46 PWR QUANTA SERVICES LONG 17 172.07 1/23/24 10:21 197.60 0.64%
Trade id #146058249
Max drawdown($311)
Time11/1/23 0:00
Quant open17
Worst price153.74
Drawdown as % of equity-0.64%
 $434
Includes Typical Broker Commissions trade costs of $0.34
11/10/23 12:40 CAT CATERPILLAR LONG 14 238.28 1/17/24 9:30 278.10 0.01%
Trade id #146401820
Max drawdown($6)
Time11/10/23 13:18
Quant open14
Worst price237.81
Drawdown as % of equity-0.01%
 $558
Includes Typical Broker Commissions trade costs of $0.28
11/22/23 9:47 FSLR FIRST SOLAR INC LONG 20 160.15 1/16/24 13:41 150.83 0.85%
Trade id #146509770
Max drawdown($459)
Time12/13/23 0:00
Quant open20
Worst price137.17
Drawdown as % of equity-0.85%
 ($186)
Includes Typical Broker Commissions trade costs of $0.40
11/2/23 9:36 DAL DELTA AIR LINES LONG 100 31.93 1/12/24 15:49 38.40 0.07%
Trade id #146314143
Max drawdown($36)
Time11/2/23 10:14
Quant open100
Worst price31.57
Drawdown as % of equity-0.07%
 $645
Includes Typical Broker Commissions trade costs of $2.00
9/28/23 11:23 AMAT APPLIED MATERIALS LONG 25 137.41 1/4/24 9:47 148.92 0.42%
Trade id #145960275
Max drawdown($205)
Time10/31/23 0:00
Quant open25
Worst price129.21
Drawdown as % of equity-0.42%
 $288
Includes Typical Broker Commissions trade costs of $0.50
11/10/23 13:15 HSY HERSHEY COMPANY LONG 18 191.07 12/15 15:37 181.89 0.3%
Trade id #146402396
Max drawdown($166)
Time12/15/23 15:37
Quant open18
Worst price181.83
Drawdown as % of equity-0.30%
 ($165)
Includes Typical Broker Commissions trade costs of $0.36
11/14/23 9:36 ADBE ADOBE INC LONG 6 608.00 12/13 9:32 629.86 0.19%
Trade id #146429914
Max drawdown($100)
Time12/5/23 0:00
Quant open6
Worst price591.17
Drawdown as % of equity-0.19%
 $131
Includes Typical Broker Commissions trade costs of $0.12
10/23/23 10:25 CRM SALESFORCE INC LONG 16 200.95 11/29 9:45 227.95 0.24%
Trade id #146205502
Max drawdown($116)
Time10/26/23 0:00
Quant open16
Worst price193.68
Drawdown as % of equity-0.24%
 $432
Includes Typical Broker Commissions trade costs of $0.32
11/7/23 9:36 ADSK AUTODESK LONG 14 203.43 11/21 9:45 218.81 0.02%
Trade id #146355171
Max drawdown($8)
Time11/7/23 9:41
Quant open14
Worst price202.79
Drawdown as % of equity-0.02%
 $215
Includes Typical Broker Commissions trade costs of $0.28
8/18/23 11:30 ABT ABBOTT LABORATORIES LONG 34 104.29 11/10 9:57 92.62 0.96%
Trade id #145573417
Max drawdown($496)
Time10/12/23 0:00
Quant open34
Worst price89.67
Drawdown as % of equity-0.96%
 ($398)
Includes Typical Broker Commissions trade costs of $0.68
5/26/23 13:02 GOOGL ALPHABET INC CLASS A LONG 56 125.22 11/9 14:03 128.92 0.52%
Trade id #144760029
Max drawdown($276)
Time7/11/23 0:00
Quant open28
Worst price115.35
Drawdown as % of equity-0.52%
 $206
Includes Typical Broker Commissions trade costs of $1.12
10/3/23 9:31 INTC INTEL LONG 95 35.63 11/8 10:17 38.34 0.68%
Trade id #146006420
Max drawdown($330)
Time10/26/23 0:00
Quant open95
Worst price32.15
Drawdown as % of equity-0.68%
 $256
Includes Typical Broker Commissions trade costs of $1.90
10/23/23 13:08 FSLR FIRST SOLAR INC LONG 16 154.10 11/8 10:14 137.90 0.73%
Trade id #146208807
Max drawdown($350)
Time10/30/23 0:00
Quant open16
Worst price132.19
Drawdown as % of equity-0.73%
 ($259)
Includes Typical Broker Commissions trade costs of $0.32
8/31/23 15:50 NXPI NXP SEMICONDUCTOR LONG 18 205.67 10/30 9:30 172.33 1.33%
Trade id #145705209
Max drawdown($641)
Time10/30/23 9:30
Quant open18
Worst price170.01
Drawdown as % of equity-1.33%
 ($600)
Includes Typical Broker Commissions trade costs of $0.36
9/19/23 13:16 MSFT MICROSOFT LONG 10 327.04 10/27 13:50 331.08 0.35%
Trade id #145869581
Max drawdown($175)
Time9/28/23 0:00
Quant open10
Worst price309.45
Drawdown as % of equity-0.35%
 $40
Includes Typical Broker Commissions trade costs of $0.20
10/24/23 9:58 AMZN AMAZON.COM LONG 22 128.43 10/27 12:53 128.97 0.46%
Trade id #146218387
Max drawdown($221)
Time10/26/23 0:00
Quant open22
Worst price118.35
Drawdown as % of equity-0.46%
 $12
Includes Typical Broker Commissions trade costs of $0.44
8/31/23 12:09 GS GOLDMAN SACHS GROUP LONG 22 316.05 10/27 10:43 298.12 0.58%
Trade id #145702760
Max drawdown($295)
Time10/18/23 0:00
Quant open11
Worst price301.48
Drawdown as % of equity-0.58%
 ($394)
Includes Typical Broker Commissions trade costs of $0.44
7/17/23 15:09 CVS CVS HEALTH CORP LONG 47 71.36 10/20 13:51 69.66 0.6%
Trade id #145239308
Max drawdown($316)
Time8/17/23 0:00
Quant open47
Worst price64.62
Drawdown as % of equity-0.60%
 ($81)
Includes Typical Broker Commissions trade costs of $0.94
10/13/23 9:43 ISRG INTUITIVE SURGICAL LONG 12 271.42 10/20 9:30 260.37 0.28%
Trade id #146121285
Max drawdown($138)
Time10/20/23 9:30
Quant open12
Worst price259.87
Drawdown as % of equity-0.28%
 ($133)
Includes Typical Broker Commissions trade costs of $0.24
8/4/23 15:26 PINS PINTEREST INC LONG 128 26.75 10/13 10:51 27.29 0.58%
Trade id #145442938
Max drawdown($302)
Time9/19/23 0:00
Quant open128
Worst price24.38
Drawdown as % of equity-0.58%
 $67
Includes Typical Broker Commissions trade costs of $2.56
Next

Statistics

  • Strategy began
    5/11/2023
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    351.45
  • Age
    12 months ago
  • What it trades
    Stocks
  • # Trades
    79
  • # Profitable
    47
  • % Profitable
    59.50%
  • Avg trade duration
    63.5 days
  • Max peak-to-valley drawdown
    13.86%
  • drawdown period
    July 19, 2023 - Oct 30, 2023
  • Cumul. Return
    13.8%
  • Avg win
    $329.09
  • Avg loss
    $253.56
  • Model Account Values (Raw)
  • Cash
    $27,037
  • Margin Used
    $0
  • Buying Power
    $31,663
  • Ratios
  • W:L ratio
    1.99:1
  • Sharpe Ratio
    0.9
  • Sortino Ratio
    1.4
  • Calmar Ratio
    1.343
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -9.72%
  • Correlation to SP500
    0.66820
  • Return Percent SP500 (cumu) during strategy life
    23.71%
  • Return Statistics
  • Ann Return (w trading costs)
    14.2%
  • Slump
  • Current Slump as Pcnt Equity
    3.80%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.07%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.138%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    16.7%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    n/a
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    378
  • Popularity (Last 6 weeks)
    505
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    267
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    Yes
  • TOS percent
    100%
  • Win / Loss
  • Avg Loss
    $254
  • Avg Win
    $329
  • Sum Trade PL (losers)
    $8,114.000
  • Age
  • Num Months filled monthly returns table
    12
  • Win / Loss
  • Sum Trade PL (winners)
    $15,467.000
  • # Winners
    47
  • Num Months Winners
    7
  • Dividends
  • Dividends Received in Model Acct
    694
  • AUM
  • AUM (AutoTrader live capital)
    74801
  • Win / Loss
  • # Losers
    32
  • % Winners
    59.5%
  • Frequency
  • Avg Position Time (mins)
    91449.70
  • Avg Position Time (hrs)
    1524.16
  • Avg Trade Length
    63.5 days
  • Last Trade Ago
    4
  • Leverage
  • Daily leverage (average)
    0.91
  • Daily leverage (max)
    1.08
  • Regression
  • Alpha
    -0.00
  • Beta
    0.61
  • Treynor Index
    0.05
  • 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)
    0.01
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    4.117
  • 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
    0.411
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.299
  • Hold-and-Hope Ratio
    0.185
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.18105
  • SD
    0.16750
  • Sharpe ratio (Glass type estimate)
    1.08093
  • Sharpe ratio (Hedges UMVUE)
    0.98784
  • df
    9.00000
  • t
    0.98675
  • p
    0.17477
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.14980
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.25558
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.20716
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.18283
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.09968
  • Upside Potential Ratio
    4.10922
  • Upside part of mean
    0.35434
  • Downside part of mean
    -0.17328
  • Upside SD
    0.14334
  • Downside SD
    0.08623
  • N nonnegative terms
    6.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    10.00000
  • Mean of predictor
    0.26426
  • Mean of criterion
    0.18105
  • SD of predictor
    0.15050
  • SD of criterion
    0.16750
  • Covariance
    0.02159
  • r
    0.85663
  • b (slope, estimate of beta)
    0.95340
  • a (intercept, estimate of alpha)
    -0.07089
  • Mean Square Error
    0.00840
  • DF error
    8.00000
  • t(b)
    4.69615
  • p(b)
    0.00077
  • t(a)
    -0.62268
  • p(a)
    0.72459
  • Lowerbound of 95% confidence interval for beta
    0.48524
  • Upperbound of 95% confidence interval for beta
    1.42156
  • Lowerbound of 95% confidence interval for alpha
    -0.33341
  • Upperbound of 95% confidence interval for alpha
    0.19163
  • Treynor index (mean / b)
    0.18990
  • Jensen alpha (a)
    -0.07089
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.16701
  • SD
    0.16549
  • Sharpe ratio (Glass type estimate)
    1.00916
  • Sharpe ratio (Hedges UMVUE)
    0.92225
  • df
    9.00000
  • t
    0.92124
  • p
    0.19048
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.21274
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.17845
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.26665
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.11115
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.89616
  • Upside Potential Ratio
    3.90234
  • Upside part of mean
    0.34370
  • Downside part of mean
    -0.17670
  • Upside SD
    0.13862
  • Downside SD
    0.08808
  • N nonnegative terms
    6.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    10.00000
  • Mean of predictor
    0.25102
  • Mean of criterion
    0.16701
  • SD of predictor
    0.14756
  • SD of criterion
    0.16549
  • Covariance
    0.02097
  • r
    0.85883
  • b (slope, estimate of beta)
    0.96319
  • a (intercept, estimate of alpha)
    -0.07477
  • Mean Square Error
    0.00809
  • DF error
    8.00000
  • t(b)
    4.74191
  • p(b)
    0.00073
  • t(a)
    -0.67414
  • p(a)
    0.74039
  • Lowerbound of 95% confidence interval for beta
    0.49479
  • Upperbound of 95% confidence interval for beta
    1.43159
  • Lowerbound of 95% confidence interval for alpha
    -0.33054
  • Upperbound of 95% confidence interval for alpha
    0.18100
  • Treynor index (mean / b)
    0.17339
  • Jensen alpha (a)
    -0.07477
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06262
  • Expected Shortfall on VaR
    0.08100
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02956
  • Expected Shortfall on VaR
    0.05366
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    10.00000
  • Minimum
    0.95177
  • Quartile 1
    0.97505
  • Median
    1.02667
  • Quartile 3
    1.05495
  • Maximum
    1.08250
  • Mean of quarter 1
    0.95819
  • Mean of quarter 2
    1.00779
  • Mean of quarter 3
    1.03708
  • Mean of quarter 4
    1.06995
  • Inter Quartile Range
    0.07991
  • 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)
    -825.29900
  • VaR(95%) (moments method)
    0.04394
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -4.98020
  • VaR(95%) (regression method)
    0.08176
  • Expected Shortfall (regression method)
    0.08177
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.00966
  • Quartile 1
    0.03733
  • Median
    0.06501
  • Quartile 3
    0.09268
  • Maximum
    0.12036
  • Mean of quarter 1
    0.00966
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.12036
  • Inter Quartile Range
    0.05535
  • 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)
    0.21164
  • Compounded annual return (geometric extrapolation)
    0.21521
  • Calmar ratio (compounded annual return / max draw down)
    1.78803
  • Compounded annual return / average of 25% largest draw downs
    1.78803
  • Compounded annual return / Expected Shortfall lognormal
    2.65689
  • 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
    0.13689
  • SD
    0.11035
  • Sharpe ratio (Glass type estimate)
    1.24053
  • Sharpe ratio (Hedges UMVUE)
    1.23655
  • df
    234.00000
  • t
    1.17487
  • p
    0.12062
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.83330
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.31180
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.83598
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.30908
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.91173
  • Upside Potential Ratio
    10.43730
  • Upside part of mean
    0.74740
  • Downside part of mean
    -0.61050
  • Upside SD
    0.08408
  • Downside SD
    0.07161
  • N nonnegative terms
    127.00000
  • N negative terms
    108.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    235.00000
  • Mean of predictor
    0.21454
  • Mean of criterion
    0.13689
  • SD of predictor
    0.12130
  • SD of criterion
    0.11035
  • Covariance
    0.00902
  • r
    0.67370
  • b (slope, estimate of beta)
    0.61290
  • a (intercept, estimate of alpha)
    0.00500
  • Mean Square Error
    0.00668
  • DF error
    233.00000
  • t(b)
    13.91550
  • p(b)
    -0.00000
  • t(a)
    0.06226
  • p(a)
    0.47520
  • Lowerbound of 95% confidence interval for beta
    0.52612
  • Upperbound of 95% confidence interval for beta
    0.69968
  • Lowerbound of 95% confidence interval for alpha
    -0.16562
  • Upperbound of 95% confidence interval for alpha
    0.17644
  • Treynor index (mean / b)
    0.22336
  • Jensen alpha (a)
    0.00540
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.13080
  • SD
    0.11019
  • Sharpe ratio (Glass type estimate)
    1.18705
  • Sharpe ratio (Hedges UMVUE)
    1.18324
  • df
    234.00000
  • t
    1.12423
  • p
    0.13104
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.88645
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.25813
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.88903
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.25551
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.81688
  • Upside Potential Ratio
    10.33220
  • Upside part of mean
    0.74381
  • Downside part of mean
    -0.61302
  • Upside SD
    0.08350
  • Downside SD
    0.07199
  • N nonnegative terms
    127.00000
  • N negative terms
    108.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    235.00000
  • Mean of predictor
    0.20712
  • Mean of criterion
    0.13080
  • SD of predictor
    0.12114
  • SD of criterion
    0.11019
  • Covariance
    0.00900
  • r
    0.67405
  • b (slope, estimate of beta)
    0.61310
  • a (intercept, estimate of alpha)
    0.00381
  • Mean Square Error
    0.00665
  • DF error
    233.00000
  • t(b)
    13.92880
  • p(b)
    -0.00000
  • t(a)
    0.04402
  • p(a)
    0.48246
  • Lowerbound of 95% confidence interval for beta
    0.52638
  • Upperbound of 95% confidence interval for beta
    0.69982
  • Lowerbound of 95% confidence interval for alpha
    -0.16682
  • Upperbound of 95% confidence interval for alpha
    0.17444
  • Treynor index (mean / b)
    0.21334
  • Jensen alpha (a)
    0.00381
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01064
  • Expected Shortfall on VaR
    0.01345
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00513
  • Expected Shortfall on VaR
    0.00975
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    235.00000
  • Minimum
    0.98198
  • Quartile 1
    0.99663
  • Median
    1.00043
  • Quartile 3
    1.00456
  • Maximum
    1.02929
  • Mean of quarter 1
    0.99221
  • Mean of quarter 2
    0.99875
  • Mean of quarter 3
    1.00250
  • Mean of quarter 4
    1.00909
  • Inter Quartile Range
    0.00793
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.01277
  • Mean of outliers low
    0.98327
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.01702
  • Mean of outliers high
    1.02183
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.39223
  • VaR(95%) (moments method)
    0.00763
  • Expected Shortfall (moments method)
    0.00899
  • Extreme Value Index (regression method)
    -0.35742
  • VaR(95%) (regression method)
    0.00782
  • Expected Shortfall (regression method)
    0.00931
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    15.00000
  • Minimum
    0.00001
  • Quartile 1
    0.00193
  • Median
    0.00883
  • Quartile 3
    0.01922
  • Maximum
    0.12809
  • Mean of quarter 1
    0.00065
  • Mean of quarter 2
    0.00631
  • Mean of quarter 3
    0.01332
  • Mean of quarter 4
    0.06624
  • Inter Quartile Range
    0.01729
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.13333
  • Mean of outliers high
    0.09846
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -1.50715
  • VaR(95%) (moments method)
    0.06314
  • Expected Shortfall (moments method)
    0.06644
  • Extreme Value Index (regression method)
    0.03852
  • VaR(95%) (regression method)
    0.11413
  • Expected Shortfall (regression method)
    0.17400
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.17056
  • Compounded annual return (geometric extrapolation)
    0.17199
  • Calmar ratio (compounded annual return / max draw down)
    1.34270
  • Compounded annual return / average of 25% largest draw downs
    2.59663
  • Compounded annual return / Expected Shortfall lognormal
    12.78940
  • 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
    0.25568
  • SD
    0.10636
  • Sharpe ratio (Glass type estimate)
    2.40395
  • Sharpe ratio (Hedges UMVUE)
    2.39006
  • df
    130.00000
  • t
    1.69985
  • p
    0.42627
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.38771
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.18663
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.39693
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.17705
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.91134
  • Upside Potential Ratio
    11.99100
  • Upside part of mean
    0.78384
  • Downside part of mean
    -0.52816
  • Upside SD
    0.08487
  • Downside SD
    0.06537
  • N nonnegative terms
    74.00000
  • N negative terms
    57.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.34481
  • Mean of criterion
    0.25568
  • SD of predictor
    0.11664
  • SD of criterion
    0.10636
  • Covariance
    0.00750
  • r
    0.60457
  • b (slope, estimate of beta)
    0.55129
  • a (intercept, estimate of alpha)
    0.06559
  • Mean Square Error
    0.00723
  • DF error
    129.00000
  • t(b)
    8.62041
  • p(b)
    0.14006
  • t(a)
    0.53640
  • p(a)
    0.46998
  • Lowerbound of 95% confidence interval for beta
    0.42476
  • Upperbound of 95% confidence interval for beta
    0.67782
  • Lowerbound of 95% confidence interval for alpha
    -0.17634
  • Upperbound of 95% confidence interval for alpha
    0.30753
  • Treynor index (mean / b)
    0.46378
  • Jensen alpha (a)
    0.06559
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.24993
  • SD
    0.10619
  • Sharpe ratio (Glass type estimate)
    2.35357
  • Sharpe ratio (Hedges UMVUE)
    2.33997
  • df
    130.00000
  • t
    1.66423
  • p
    0.42778
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.43733
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.13561
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.44639
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.12633
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.80366
  • Upside Potential Ratio
    11.87350
  • Upside part of mean
    0.78019
  • Downside part of mean
    -0.53025
  • Upside SD
    0.08433
  • Downside SD
    0.06571
  • N nonnegative terms
    74.00000
  • N negative terms
    57.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.33781
  • Mean of criterion
    0.24993
  • SD of predictor
    0.11647
  • SD of criterion
    0.10619
  • Covariance
    0.00749
  • r
    0.60582
  • b (slope, estimate of beta)
    0.55237
  • a (intercept, estimate of alpha)
    0.06333
  • Mean Square Error
    0.00719
  • DF error
    129.00000
  • t(b)
    8.64854
  • p(b)
    0.13942
  • t(a)
    0.51968
  • p(a)
    0.47091
  • VAR (95 Confidence Intrvl)
    0.01100
  • Lowerbound of 95% confidence interval for beta
    0.42601
  • Upperbound of 95% confidence interval for beta
    0.67874
  • Lowerbound of 95% confidence interval for alpha
    -0.17779
  • Upperbound of 95% confidence interval for alpha
    0.30446
  • Treynor index (mean / b)
    0.45247
  • Jensen alpha (a)
    0.06333
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00979
  • Expected Shortfall on VaR
    0.01250
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00426
  • Expected Shortfall on VaR
    0.00841
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.98546
  • Quartile 1
    0.99711
  • Median
    1.00083
  • Quartile 3
    1.00504
  • Maximum
    1.02311
  • Mean of quarter 1
    0.99309
  • Mean of quarter 2
    0.99921
  • Mean of quarter 3
    1.00278
  • Mean of quarter 4
    1.00930
  • Inter Quartile Range
    0.00793
  • 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
    0.02290
  • Mean of outliers high
    1.01934
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.11055
  • VaR(95%) (moments method)
    0.00671
  • Expected Shortfall (moments method)
    0.00966
  • Extreme Value Index (regression method)
    -0.28358
  • VaR(95%) (regression method)
    0.00672
  • Expected Shortfall (regression method)
    0.00817
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    14.00000
  • Minimum
    0.00001
  • Quartile 1
    0.00264
  • Median
    0.00655
  • Quartile 3
    0.01212
  • Maximum
    0.06882
  • Mean of quarter 1
    0.00107
  • Mean of quarter 2
    0.00442
  • Mean of quarter 3
    0.00759
  • Mean of quarter 4
    0.03773
  • Inter Quartile Range
    0.00947
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.14286
  • Mean of outliers high
    0.05628
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -2.32460
  • VaR(95%) (moments method)
    0.03445
  • Expected Shortfall (moments method)
    0.03498
  • Extreme Value Index (regression method)
    -0.34916
  • VaR(95%) (regression method)
    0.06698
  • Last 4 Months - Pcnt Negative
    0.50%
  • Expected Shortfall (regression method)
    0.08450
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -340778000
  • Max Equity Drawdown (num days)
    103
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.29806
  • Compounded annual return (geometric extrapolation)
    0.32027
  • Calmar ratio (compounded annual return / max draw down)
    4.65347
  • Compounded annual return / average of 25% largest draw downs
    8.48913
  • Compounded annual return / Expected Shortfall lognormal
    25.62800

Strategy Description

An investment in stocks or funds, primarily from the S&P 500 index, the 'AE Long' investment strategy combines well-known stock management techniques and integrates them into one proven successful method. The strength of this strategy lies in its incorporation of micro and macroeconomic parameters for individual stocks, as well as market forecasts and technical and quantitative models, such as Momentum. The method is inspired by the Dow Theory.
Stock Selection Process:
• Identifying stocks from analytical database.
• High market capitalization and high trading volume on stocks give further validating to the selection.
• Utilizing quantitative and technical models to aid in selecting the appropriate stocks and determining the optimal investment timing.
Portfolio management and strategy:
• Usually the amount of shares is known in advance and with equal weight
• Establishing a trading plan for each stock
• Incorporating psychological factors of the market and the individual trading.
• Implementing dynamic portfolio management. Each of the shares can be held for very short to long periods.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2023-05-11
Suggested Minimum Capital
$15,000
# Trades
79
# Profitable
47
% Profitable
59.5%
Net Dividends
$694
Correlation S&P500
0.668
Sharpe Ratio
0.90
Sortino Ratio
1.40
Beta
0.61
Alpha
-0.00
Leverage
0.91 Average
1.08 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.