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

Black Swan Hunting
(138466822)

Created by: Danny Danny
Started: 12/2021
Stocks
Last trade: 12 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 $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.

22.8%
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.

(17.1%)
Max Drawdown
261
Num Trades
48.7%
Win Trades
1.6 : 1
Profit Factor
64.3%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2021                                                                             +0.8%+0.8%
2022+3.4%+5.5%+1.5%+11.6%(0.5%)+10.5%(10.7%)+9.5%+10.6%(2.8%)(9%)+1.0%+31.3%
2023(4%)                                                                  

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

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
1/9/23 9:30 CCCC C4 THERAPEUTICS INC. COMMON STOCK SHORT 501 6.77 1/10 9:59 7.57 0.35%
Trade id #143144234
Max drawdown($444)
Time1/10/23 9:55
Quant open501
Worst price7.66
Drawdown as % of equity-0.35%
($406)
Includes Typical Broker Commissions trade costs of $5.00
1/9/23 9:30 GH GUARDANT HEALTH INC SHORT 109 28.09 1/10 9:59 28.55 0.1%
Trade id #143144227
Max drawdown($128)
Time1/9/23 9:45
Quant open109
Worst price29.27
Drawdown as % of equity-0.10%
($52)
Includes Typical Broker Commissions trade costs of $2.18
1/6/23 9:50 BRCC BRC INC SHORT 2,279 5.93 1/10 9:59 6.22 0.65%
Trade id #143123507
Max drawdown($838)
Time1/10/23 9:59
Quant open2,279
Worst price6.30
Drawdown as % of equity-0.65%
($658)
Includes Typical Broker Commissions trade costs of $5.00
12/30/22 10:05 CMLS CUMULUS MEDIA INC. CLASS A COMMON STOCK SHORT 3,259 6.21 1/10/23 9:59 7.19 2.75%
Trade id #143044995
Max drawdown($3,545)
Time1/10/23 9:59
Quant open3,259
Worst price7.30
Drawdown as % of equity-2.75%
($3,203)
Includes Typical Broker Commissions trade costs of $5.00
12/30/22 9:44 JYNT THE JOINT CORP. COMMON STOCK SHORT 890 13.45 1/10/23 9:59 15.55 1.59%
Trade id #143044329
Max drawdown($2,047)
Time1/10/23 9:59
Quant open890
Worst price15.75
Drawdown as % of equity-1.59%
($1,879)
Includes Typical Broker Commissions trade costs of $5.00
1/9/23 9:30 OILD MICROSCTRS OIL & GAS EXP. & PROD. -3X LVRGD ETN SHORT 252 24.09 1/10 9:30 25.14 0.28%
Trade id #143144164
Max drawdown($355)
Time1/9/23 14:27
Quant open252
Worst price25.50
Drawdown as % of equity-0.28%
($271)
Includes Typical Broker Commissions trade costs of $5.04
11/25/22 9:47 KSCP KNIGHTSCOPE INC. CLASS A COMMON STOCK SHORT 1,538 2.12 12/30 10:04 1.90 0.5%
Trade id #142676550
Max drawdown($657)
Time11/29/22 0:00
Quant open1,538
Worst price2.55
Drawdown as % of equity-0.50%
$333
Includes Typical Broker Commissions trade costs of $5.00
11/25/22 9:48 IVVD INVIVYD INC. SHORT 2,282 2.07 12/30 9:45 1.53 0.22%
Trade id #142676571
Max drawdown($282)
Time12/1/22 0:00
Quant open1,141
Worst price2.43
Drawdown as % of equity-0.22%
$1,218
Includes Typical Broker Commissions trade costs of $7.50
12/22/22 9:43 ZIMV ZIMVIE INC. COMMON STOCK SHORT 949 7.78 12/30 9:44 9.29 1.15%
Trade id #142966911
Max drawdown($1,526)
Time12/29/22 0:00
Quant open949
Worst price9.39
Drawdown as % of equity-1.15%
($1,433)
Includes Typical Broker Commissions trade costs of $5.00
12/16/22 10:13 SRNE SORRENTO THERAPEUTICS INC. C SHORT 3,061 1.01 12/30 9:30 0.85 0.14%
Trade id #142903866
Max drawdown($183)
Time12/16/22 15:52
Quant open3,061
Worst price1.07
Drawdown as % of equity-0.14%
$485
Includes Typical Broker Commissions trade costs of $5.00
12/6/22 9:46 SSSS SURO CAPITAL CORP SHORT 3,488 3.72 12/21 10:00 3.89 0.59%
Trade id #142782352
Max drawdown($801)
Time12/21/22 10:00
Quant open3,488
Worst price3.95
Drawdown as % of equity-0.59%
($604)
Includes Typical Broker Commissions trade costs of $5.00
12/12/22 9:30 NKTR NEKTAR THERAPEUTICS SHORT 1,456 2.75 12/21 10:00 2.48 0.19%
Trade id #142844537
Max drawdown($247)
Time12/13/22 0:00
Quant open1,456
Worst price2.92
Drawdown as % of equity-0.19%
$387
Includes Typical Broker Commissions trade costs of $5.00
12/16/22 10:09 LAND GLADSTONE LAND CORPORATION COM SHORT 452 18.25 12/21 9:57 18.88 0.22%
Trade id #142903760
Max drawdown($302)
Time12/21/22 9:52
Quant open452
Worst price18.92
Drawdown as % of equity-0.22%
($294)
Includes Typical Broker Commissions trade costs of $9.04
12/16/22 10:12 CVAC CUREVAC N.V. SHORT 622 6.63 12/21 9:49 6.71 0.17%
Trade id #142903845
Max drawdown($223)
Time12/19/22 0:00
Quant open622
Worst price6.99
Drawdown as % of equity-0.17%
($52)
Includes Typical Broker Commissions trade costs of $5.00
12/12/22 9:30 COIN COINBASE GLOBAL INC. CLASS A SHORT 66 39.89 12/21 9:48 35.62 0.32%
Trade id #142844546
Max drawdown($425)
Time12/13/22 0:00
Quant open66
Worst price46.33
Drawdown as % of equity-0.32%
$281
Includes Typical Broker Commissions trade costs of $1.32
12/7/22 9:55 OB OUTBRAIN INC. COMMON STOCK SHORT 2,264 3.53 12/19 10:07 3.91 0.87%
Trade id #142796842
Max drawdown($1,170)
Time12/19/22 9:30
Quant open2,264
Worst price4.05
Drawdown as % of equity-0.87%
($849)
Includes Typical Broker Commissions trade costs of $5.00
12/6/21 15:10 SPY2216X350 SPY Dec16'22 350 put LONG 1 14.55 12/17/22 9:35 0.00 1.08%
Trade id #138480756
Max drawdown($1,454)
Time12/14/22 0:00
Quant open1
Worst price0.01
Drawdown as % of equity-1.08%
($1,456)
Includes Typical Broker Commissions trade costs of $1.00
12/7/22 9:57 UVXY PROSHARES ULTRA VIX SHORT-TERM SHORT 276 7.78 12/16 10:09 7.74 0.03%
Trade id #142796879
Max drawdown($34)
Time12/8/22 0:00
Quant open276
Worst price7.90
Drawdown as % of equity-0.03%
$4
Includes Typical Broker Commissions trade costs of $5.52
12/15/22 10:03 NINE NINIE ENERGY SERVICE INC LONG 830 9.90 12/16 10:08 9.91 0.09%
Trade id #142888849
Max drawdown($126)
Time12/15/22 11:26
Quant open415
Worst price9.50
Drawdown as % of equity-0.09%
($6)
Includes Typical Broker Commissions trade costs of $10.80
12/7/22 9:50 MGTX MEIRAGTX HOLDINGS PLC ORDINARY SHARES SHORT 1,467 5.92 12/16 10:07 6.09 0.87%
Trade id #142796665
Max drawdown($1,160)
Time12/13/22 0:00
Quant open1,467
Worst price6.71
Drawdown as % of equity-0.87%
($253)
Includes Typical Broker Commissions trade costs of $5.00
11/30/22 9:42 INVE IDENTIV INC. COMMON STOCK SHORT 1,132 8.08 12/9 9:30 8.08 0.52%
Trade id #142718618
Max drawdown($685)
Time12/1/22 0:00
Quant open1,132
Worst price8.69
Drawdown as % of equity-0.52%
($4)
Includes Typical Broker Commissions trade costs of $5.00
12/6/22 9:49 FTCH FARFETCH LTD SHORT 332 5.29 12/8 9:54 4.90 0.01%
Trade id #142782463
Max drawdown($6)
Time12/6/22 9:52
Quant open332
Worst price5.31
Drawdown as % of equity-0.01%
$123
Includes Typical Broker Commissions trade costs of $6.64
11/16/22 10:47 SI SILVERGATE CAPITAL CORP SHORT 378 26.37 12/8 9:54 22.57 0.54%
Trade id #142585550
Max drawdown($705)
Time12/1/22 0:00
Quant open378
Worst price28.24
Drawdown as % of equity-0.54%
$1,431
Includes Typical Broker Commissions trade costs of $7.56
11/25/22 9:50 NUVL NUVALENT INC. CLASS A COMMON STOCK LONG 119 32.10 12/2 10:21 35.16 0.16%
Trade id #142676606
Max drawdown($206)
Time11/29/22 0:00
Quant open119
Worst price30.36
Drawdown as % of equity-0.16%
$362
Includes Typical Broker Commissions trade costs of $2.38
11/28/22 9:51 ATHA ATHIRA PHARMA INC. SHORT 3,174 2.86 12/2 9:30 3.22 0.98%
Trade id #142693978
Max drawdown($1,288)
Time12/1/22 0:00
Quant open3,174
Worst price3.27
Drawdown as % of equity-0.98%
($1,138)
Includes Typical Broker Commissions trade costs of $7.50
11/22/22 9:41 EMKR EMCORE SHORT 3,846 1.43 12/2 9:30 1.48 0.24%
Trade id #142644611
Max drawdown($324)
Time11/22/22 15:41
Quant open3,846
Worst price1.51
Drawdown as % of equity-0.24%
($197)
Includes Typical Broker Commissions trade costs of $5.00
11/17/22 9:30 BITO PROSHARES BITCOIN STRATEGY ETF SHORT 464 9.96 12/1 9:42 10.64 0.27%
Trade id #142597323
Max drawdown($352)
Time11/30/22 0:00
Quant open464
Worst price10.72
Drawdown as % of equity-0.27%
($327)
Includes Typical Broker Commissions trade costs of $9.28
11/22/22 9:45 BZFD BUZZFEED INC. CLASS A COMMON STOCK SHORT 4,444 1.18 12/1 9:30 1.23 1.07%
Trade id #142644815
Max drawdown($1,430)
Time11/23/22 0:00
Quant open4,444
Worst price1.50
Drawdown as % of equity-1.07%
($216)
Includes Typical Broker Commissions trade costs of $5.00
11/25/22 9:53 SVXY PROSHARES SHORT VIX SHORT-TERM SHORT 150 56.93 11/30 9:41 56.25 0.02%
Trade id #142676720
Max drawdown($22)
Time11/25/22 10:24
Quant open150
Worst price57.08
Drawdown as % of equity-0.02%
$99
Includes Typical Broker Commissions trade costs of $3.00
11/11/22 9:30 TFLO ISHARES TREASURY FLOATING RATE LONG 1,000 50.48 11/28 9:52 50.51 0.04%
Trade id #142532588
Max drawdown($50)
Time11/11/22 15:59
Quant open1,000
Worst price50.43
Drawdown as % of equity-0.04%
$26
Includes Typical Broker Commissions trade costs of $5.00

Statistics

  • Strategy began
    12/6/2021
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    421.93
  • Age
    14 months ago
  • What it trades
    Stocks
  • # Trades
    261
  • # Profitable
    127
  • % Profitable
    48.70%
  • Avg trade duration
    26.7 days
  • Max peak-to-valley drawdown
    17.1%
  • drawdown period
    June 15, 2022 - Aug 16, 2022
  • Annual Return (Compounded)
    22.8%
  • Avg win
    $682.06
  • Avg loss
    $450.22
  • Model Account Values (Raw)
  • Cash
    $10,066
  • Margin Used
    $9,482
  • Buying Power
    $462
  • Ratios
  • W:L ratio
    1.62:1
  • Sharpe Ratio
    0.87
  • Sortino Ratio
    1.39
  • Calmar Ratio
    1.799
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    38.17%
  • Correlation to SP500
    -0.60570
  • Return Percent SP500 (cumu) during strategy life
    -11.22%
  • Return Statistics
  • Ann Return (w trading costs)
    22.8%
  • Slump
  • Current Slump as Pcnt Equity
    18.30%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.30%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.228%
  • Instruments
  • Percent Trades Options
    0.01%
  • Percent Trades Stocks
    0.99%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    25.2%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    53.50%
  • Chance of 20% account loss
    25.50%
  • Chance of 30% account loss
    3.00%
  • 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)
    417
  • Popularity (Last 6 weeks)
    889
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    345
  • Popularity (7 days, Percentile 1000 scale)
    662
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $450
  • Avg Win
    $682
  • Sum Trade PL (losers)
    $60,362.000
  • Age
  • Num Months filled monthly returns table
    14
  • Win / Loss
  • Sum Trade PL (winners)
    $86,636.000
  • # Winners
    127
  • Num Months Winners
    9
  • Dividends
  • Dividends Received in Model Acct
    3423
  • AUM
  • AUM (AutoTrader live capital)
    1329400
  • Win / Loss
  • # Losers
    134
  • % Winners
    48.7%
  • Frequency
  • Avg Position Time (mins)
    38434.40
  • Avg Position Time (hrs)
    640.57
  • Avg Trade Length
    26.7 days
  • Last Trade Ago
    12
  • Leverage
  • Daily leverage (average)
    2.05
  • Daily leverage (max)
    2.78
  • Regression
  • Alpha
    0.05
  • Beta
    -0.54
  • 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)
    2.17
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    6.589
  • 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
    0.02
  • Avg(MAE) / Avg(PL) - Winning trades
    0.315
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.321
  • Hold-and-Hope Ratio
    0.156
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.25038
  • SD
    0.27947
  • Sharpe ratio (Glass type estimate)
    0.89592
  • Sharpe ratio (Hedges UMVUE)
    0.83853
  • df
    12.00000
  • t
    0.93250
  • p
    0.37003
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.03805
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.79426
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.07419
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.75125
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.79318
  • Upside Potential Ratio
    3.76351
  • Upside part of mean
    0.52549
  • Downside part of mean
    -0.27511
  • Upside SD
    0.24046
  • Downside SD
    0.13963
  • 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
    -0.15432
  • Mean of criterion
    0.25038
  • SD of predictor
    0.22624
  • SD of criterion
    0.27947
  • Covariance
    -0.05935
  • r
    -0.93861
  • b (slope, estimate of beta)
    -1.15943
  • a (intercept, estimate of alpha)
    0.07146
  • Mean Square Error
    0.01014
  • DF error
    11.00000
  • t(b)
    -9.02402
  • p(b)
    1.00000
  • t(a)
    0.72363
  • p(a)
    0.24220
  • Lowerbound of 95% confidence interval for beta
    -1.44221
  • Upperbound of 95% confidence interval for beta
    -0.87664
  • Lowerbound of 95% confidence interval for alpha
    -0.14590
  • Upperbound of 95% confidence interval for alpha
    0.28882
  • Treynor index (mean / b)
    -0.21595
  • Jensen alpha (a)
    0.07146
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.21302
  • SD
    0.27189
  • Sharpe ratio (Glass type estimate)
    0.78348
  • Sharpe ratio (Hedges UMVUE)
    0.73329
  • df
    12.00000
  • t
    0.81547
  • p
    0.38543
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.14060
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.67624
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.17249
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.63908
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.47023
  • Upside Potential Ratio
    3.43519
  • Upside part of mean
    0.49772
  • Downside part of mean
    -0.28470
  • Upside SD
    0.22589
  • Downside SD
    0.14489
  • 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
    -0.17889
  • Mean of criterion
    0.21302
  • SD of predictor
    0.22731
  • SD of criterion
    0.27189
  • Covariance
    -0.05853
  • r
    -0.94707
  • b (slope, estimate of beta)
    -1.13280
  • a (intercept, estimate of alpha)
    0.01037
  • Mean Square Error
    0.00831
  • DF error
    11.00000
  • t(b)
    -9.78462
  • p(b)
    1.00000
  • t(a)
    0.11528
  • p(a)
    0.45515
  • Lowerbound of 95% confidence interval for beta
    -1.38761
  • Upperbound of 95% confidence interval for beta
    -0.87798
  • Lowerbound of 95% confidence interval for alpha
    -0.18772
  • Upperbound of 95% confidence interval for alpha
    0.20847
  • Treynor index (mean / b)
    -0.18805
  • Jensen alpha (a)
    0.01037
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.10537
  • Expected Shortfall on VaR
    0.13387
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.04565
  • Expected Shortfall on VaR
    0.08469
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    13.00000
  • Minimum
    0.91014
  • Quartile 1
    0.95079
  • Median
    1.02207
  • Quartile 3
    1.05635
  • Maximum
    1.15758
  • Mean of quarter 1
    0.93152
  • Mean of quarter 2
    1.00440
  • Mean of quarter 3
    1.05024
  • Mean of quarter 4
    1.13717
  • Inter Quartile Range
    0.10556
  • 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)
    -3.38688
  • VaR(95%) (moments method)
    0.07520
  • Expected Shortfall (moments method)
    0.07532
  • Extreme Value Index (regression method)
    -0.60814
  • VaR(95%) (regression method)
    0.08678
  • Expected Shortfall (regression method)
    0.09431
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.01248
  • Quartile 1
    0.06180
  • Median
    0.11112
  • Quartile 3
    0.12288
  • Maximum
    0.13464
  • Mean of quarter 1
    0.01248
  • Mean of quarter 2
    0.11112
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.13464
  • Inter Quartile Range
    0.06108
  • 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)
    0.27529
  • Compounded annual return (geometric extrapolation)
    0.27242
  • Calmar ratio (compounded annual return / max draw down)
    2.02330
  • Compounded annual return / average of 25% largest draw downs
    2.02330
  • Compounded annual return / Expected Shortfall lognormal
    2.03494
  • 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
    0.23081
  • SD
    0.20597
  • Sharpe ratio (Glass type estimate)
    1.12060
  • Sharpe ratio (Hedges UMVUE)
    1.11771
  • df
    291.00000
  • t
    1.18302
  • p
    0.11888
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.73911
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.97846
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.74106
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.97648
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.83799
  • Upside Potential Ratio
    10.07100
  • Upside part of mean
    1.26471
  • Downside part of mean
    -1.03389
  • Upside SD
    0.16344
  • Downside SD
    0.12558
  • N nonnegative terms
    164.00000
  • N negative terms
    128.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    292.00000
  • Mean of predictor
    -0.10666
  • Mean of criterion
    0.23081
  • SD of predictor
    0.23691
  • SD of criterion
    0.20597
  • Covariance
    -0.02979
  • r
    -0.61041
  • b (slope, estimate of beta)
    -0.53070
  • a (intercept, estimate of alpha)
    0.17400
  • Mean Square Error
    0.02671
  • DF error
    290.00000
  • t(b)
    -13.12360
  • p(b)
    1.00000
  • t(a)
    1.12490
  • p(a)
    0.13078
  • Lowerbound of 95% confidence interval for beta
    -0.61029
  • Upperbound of 95% confidence interval for beta
    -0.45111
  • Lowerbound of 95% confidence interval for alpha
    -0.13060
  • Upperbound of 95% confidence interval for alpha
    0.47902
  • Treynor index (mean / b)
    -0.43492
  • Jensen alpha (a)
    0.17421
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.20984
  • SD
    0.20393
  • Sharpe ratio (Glass type estimate)
    1.02901
  • Sharpe ratio (Hedges UMVUE)
    1.02636
  • df
    291.00000
  • t
    1.08633
  • p
    0.13912
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.83029
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.88658
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.83207
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.88478
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.65432
  • Upside Potential Ratio
    9.86723
  • Upside part of mean
    1.25162
  • Downside part of mean
    -1.04177
  • Upside SD
    0.15976
  • Downside SD
    0.12685
  • N nonnegative terms
    164.00000
  • N negative terms
    128.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    292.00000
  • Mean of predictor
    -0.13466
  • Mean of criterion
    0.20984
  • SD of predictor
    0.23705
  • SD of criterion
    0.20393
  • Covariance
    -0.02967
  • r
    -0.61373
  • b (slope, estimate of beta)
    -0.52798
  • a (intercept, estimate of alpha)
    0.13875
  • Mean Square Error
    0.02601
  • DF error
    290.00000
  • t(b)
    -13.23770
  • p(b)
    1.00000
  • t(a)
    0.90762
  • p(a)
    0.18242
  • Lowerbound of 95% confidence interval for beta
    -0.60648
  • Upperbound of 95% confidence interval for beta
    -0.44948
  • Lowerbound of 95% confidence interval for alpha
    -0.16212
  • Upperbound of 95% confidence interval for alpha
    0.43961
  • Treynor index (mean / b)
    -0.39745
  • Jensen alpha (a)
    0.13875
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01972
  • Expected Shortfall on VaR
    0.02486
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00840
  • Expected Shortfall on VaR
    0.01640
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    292.00000
  • Minimum
    0.96312
  • Quartile 1
    0.99396
  • Median
    1.00133
  • Quartile 3
    1.00676
  • Maximum
    1.09910
  • Mean of quarter 1
    0.98645
  • Mean of quarter 2
    0.99810
  • Mean of quarter 3
    1.00382
  • Mean of quarter 4
    1.01557
  • Inter Quartile Range
    0.01279
  • Number outliers low
    7.00000
  • Percentage of outliers low
    0.02397
  • Mean of outliers low
    0.97164
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.02397
  • Mean of outliers high
    1.04219
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.00759
  • VaR(95%) (moments method)
    0.01287
  • Expected Shortfall (moments method)
    0.01709
  • Extreme Value Index (regression method)
    -0.12205
  • VaR(95%) (regression method)
    0.01321
  • Expected Shortfall (regression method)
    0.01682
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    13.00000
  • Minimum
    0.00383
  • Quartile 1
    0.00911
  • Median
    0.02678
  • Quartile 3
    0.07068
  • Maximum
    0.14921
  • Mean of quarter 1
    0.00734
  • Mean of quarter 2
    0.02125
  • Mean of quarter 3
    0.05102
  • Mean of quarter 4
    0.12280
  • Inter Quartile Range
    0.06157
  • 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)
    -0.08501
  • VaR(95%) (moments method)
    0.12567
  • Expected Shortfall (moments method)
    0.15671
  • Extreme Value Index (regression method)
    -1.22849
  • VaR(95%) (regression method)
    0.09175
  • Expected Shortfall (regression method)
    0.09329
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.27223
  • Compounded annual return (geometric extrapolation)
    0.26839
  • Calmar ratio (compounded annual return / max draw down)
    1.79871
  • Compounded annual return / average of 25% largest draw downs
    2.18560
  • Compounded annual return / Expected Shortfall lognormal
    10.79560
  • 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
    0.03973
  • SD
    0.19027
  • Sharpe ratio (Glass type estimate)
    0.20881
  • Sharpe ratio (Hedges UMVUE)
    0.20760
  • df
    130.00000
  • t
    0.14765
  • p
    0.49353
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.56347
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.98037
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.56432
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.97953
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.31507
  • Upside Potential Ratio
    8.42050
  • Upside part of mean
    1.06183
  • Downside part of mean
    -1.02210
  • Upside SD
    0.14153
  • Downside SD
    0.12610
  • N nonnegative terms
    66.00000
  • N negative terms
    65.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.00038
  • Mean of criterion
    0.03973
  • SD of predictor
    0.23030
  • SD of criterion
    0.19027
  • Covariance
    -0.02734
  • r
    -0.62389
  • b (slope, estimate of beta)
    -0.51543
  • a (intercept, estimate of alpha)
    0.03992
  • Mean Square Error
    0.02228
  • DF error
    129.00000
  • t(b)
    -9.06716
  • p(b)
    0.86965
  • t(a)
    0.18912
  • p(a)
    0.48940
  • Lowerbound of 95% confidence interval for beta
    -0.62791
  • Upperbound of 95% confidence interval for beta
    -0.40296
  • Lowerbound of 95% confidence interval for alpha
    -0.37774
  • Upperbound of 95% confidence interval for alpha
    0.45759
  • Treynor index (mean / b)
    -0.07708
  • Jensen alpha (a)
    0.03992
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.02182
  • SD
    0.18979
  • Sharpe ratio (Glass type estimate)
    0.11499
  • Sharpe ratio (Hedges UMVUE)
    0.11433
  • df
    130.00000
  • t
    0.08131
  • p
    0.49643
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.65697
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.88672
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.65751
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.88617
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.17118
  • Upside Potential Ratio
    8.25043
  • Upside part of mean
    1.05188
  • Downside part of mean
    -1.03005
  • Upside SD
    0.13961
  • Downside SD
    0.12749
  • N nonnegative terms
    66.00000
  • N negative terms
    65.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.02586
  • Mean of criterion
    0.02182
  • SD of predictor
    0.22980
  • SD of criterion
    0.18979
  • Covariance
    -0.02729
  • r
    -0.62573
  • b (slope, estimate of beta)
    -0.51678
  • a (intercept, estimate of alpha)
    0.00846
  • Mean Square Error
    0.02209
  • DF error
    129.00000
  • t(b)
    -9.11093
  • p(b)
    0.87056
  • t(a)
    0.04025
  • p(a)
    0.49774
  • VAR (95 Confidence Intrvl)
    0.02000
  • Lowerbound of 95% confidence interval for beta
    -0.62900
  • Upperbound of 95% confidence interval for beta
    -0.40455
  • Lowerbound of 95% confidence interval for alpha
    -0.40739
  • Upperbound of 95% confidence interval for alpha
    0.42431
  • Treynor index (mean / b)
    -0.04223
  • Jensen alpha (a)
    0.00846
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01902
  • Expected Shortfall on VaR
    0.02381
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00897
  • Expected Shortfall on VaR
    0.01734
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96312
  • Quartile 1
    0.99467
  • Median
    1.00011
  • Quartile 3
    1.00488
  • Maximum
    1.04739
  • Mean of quarter 1
    0.98692
  • Mean of quarter 2
    0.99781
  • Mean of quarter 3
    1.00202
  • Mean of quarter 4
    1.01434
  • Inter Quartile Range
    0.01021
  • Number outliers low
    6.00000
  • Percentage of outliers low
    0.04580
  • Mean of outliers low
    0.97296
  • Number of outliers high
    8.00000
  • Percentage of outliers high
    0.06107
  • Mean of outliers high
    1.02889
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.13859
  • VaR(95%) (moments method)
    0.01269
  • Expected Shortfall (moments method)
    0.01866
  • Extreme Value Index (regression method)
    -0.02556
  • VaR(95%) (regression method)
    0.01286
  • Expected Shortfall (regression method)
    0.01731
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00536
  • Quartile 1
    0.01188
  • Median
    0.03651
  • Quartile 3
    0.06864
  • Maximum
    0.14921
  • Mean of quarter 1
    0.00647
  • Mean of quarter 2
    0.02478
  • Mean of quarter 3
    0.04823
  • Mean of quarter 4
    0.11233
  • Inter Quartile Range
    0.05676
  • 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
  • Last 4 Months - Pcnt Negative
    0.75%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -318676000
  • Max Equity Drawdown (num days)
    62
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.05035
  • Compounded annual return (geometric extrapolation)
    0.05099
  • Calmar ratio (compounded annual return / max draw down)
    0.34171
  • Compounded annual return / average of 25% largest draw downs
    0.45393
  • Compounded annual return / Expected Shortfall lognormal
    2.14193

Strategy Description

Summary Statistics

Strategy began
2021-12-06
Suggested Minimum Capital
$100,000
# Trades
261
# Profitable
127
% Profitable
48.7%
Net Dividends
Correlation S&P500
-0.606
Sharpe Ratio
0.87
Sortino Ratio
1.39
Beta
-0.54
Alpha
0.05
Leverage
2.05 Average
2.78 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.