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

Trades-Own-Strategy Certification

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

Trades-Own-Strategy (TOS) Certification Details
Certification process started 11/25/2020
Most recent certification approved 11/25/20 10:30 ET
Trades at broker Israel Interactive Trading
Scaling percentage used 100%
# trading signals issued by system since certification 500
# trading signals executed in manager's Israel Interactive Trading account 498
Percent signals followed since 11/25/2020 99.6%
This information was last updated 5/26/22 23:25 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 11/25/2020, 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.

Tedeschi stock rating
(132446310)

Created by: YoramTadeski YoramTadeski
Started: 11/2020
Stocks
Last trade: 3 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 $40.00 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.

-1.2%
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.

(51.0%)
Max Drawdown
222
Num Trades
35.1%
Win Trades
1.1 : 1
Profit Factor
52.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020                                                                      +1.7%+12.9%+14.8%
2021+11.3%+0.5%+2.0%(5.5%)+5.5%+19.0%+0.3%+8.1%(1.5%)+8.5%(1.7%)(3.9%)+48.3%
2022(22.9%)(2.6%)(2.4%)(15.4%)(6.9%)                                          (42.3%)

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 423 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
5/16/22 9:31 PEPG PEPGEN INC. COMMON STOCK LONG 40 11.48 5/23 12:27 9.59 0.89%
Trade id #140485129
Max drawdown($88)
Time5/17/22 0:00
Quant open40
Worst price9.28
Drawdown as % of equity-0.89%
($77)
Includes Typical Broker Commissions trade costs of $0.80
4/4/22 9:30 MCO MOODY'S LONG 2 341.09 5/19 9:36 279.90 1.31%
Trade id #140015014
Max drawdown($128)
Time5/12/22 0:00
Quant open2
Worst price276.79
Drawdown as % of equity-1.31%
($122)
Includes Typical Broker Commissions trade costs of $0.04
3/8/22 11:47 ESTE EARTHSTONE ENERGY LONG 57 14.80 5/19 9:36 14.39 1.66%
Trade id #139698686
Max drawdown($196)
Time3/15/22 0:00
Quant open57
Worst price11.35
Drawdown as % of equity-1.66%
($24)
Includes Typical Broker Commissions trade costs of $1.14
5/13/22 15:55 PFHC PROFRAC HOLDING CORP. CLASS A COMMON STOCK LONG 73 18.47 5/16 9:30 17.22 0.97%
Trade id #140471051
Max drawdown($95)
Time5/16/22 9:30
Quant open73
Worst price17.16
Drawdown as % of equity-0.97%
($92)
Includes Typical Broker Commissions trade costs of $1.46
5/14/21 11:59 AATC AUTOSCOPE TECHNOLOGIES CORP LONG 40 6.90 5/12/22 15:38 5.51 0.58%
Trade id #135623769
Max drawdown($73)
Time1/25/22 0:00
Quant open40
Worst price5.06
Drawdown as % of equity-0.58%
($57)
Includes Typical Broker Commissions trade costs of $0.80
3/8/22 11:46 MTDR MATADOR RESOURCES LONG 15 54.89 5/12 9:36 44.61 1.57%
Trade id #139698670
Max drawdown($156)
Time5/10/22 0:00
Quant open15
Worst price44.46
Drawdown as % of equity-1.57%
($154)
Includes Typical Broker Commissions trade costs of $0.30
3/2/22 9:30 QS QUANTUMSCAPE CORP LONG 6 16.36 5/12 9:36 10.27 0.39%
Trade id #139607514
Max drawdown($38)
Time5/12/22 9:30
Quant open6
Worst price10.00
Drawdown as % of equity-0.39%
($37)
Includes Typical Broker Commissions trade costs of $0.12
3/21/22 12:16 TSLA TESLA INC. LONG 1 924.04 5/11 15:40 733.72 1.95%
Trade id #139859474
Max drawdown($192)
Time5/11/22 15:40
Quant open1
Worst price731.94
Drawdown as % of equity-1.95%
($190)
Includes Typical Broker Commissions trade costs of $0.02
3/28/22 12:08 RVLV REVOLVE GROUP INC LONG 14 53.45 5/11 12:09 29.48 3.36%
Trade id #139942925
Max drawdown($335)
Time5/11/22 12:06
Quant open14
Worst price29.47
Drawdown as % of equity-3.36%
($335)
Includes Typical Broker Commissions trade costs of $0.28
3/21/22 12:13 ZM ZOOM VIDEO COMMUNICATIONS INC. CLASS A COMMON STO LONG 10 118.52 5/10 11:28 87.58 3.14%
Trade id #139859417
Max drawdown($311)
Time5/10/22 11:28
Quant open10
Worst price87.38
Drawdown as % of equity-3.14%
($309)
Includes Typical Broker Commissions trade costs of $0.20
3/16/22 13:14 UNIT UNIT GROUP INC LONG 9 12.85 5/9 13:24 10.68 0.2%
Trade id #139806989
Max drawdown($19)
Time5/9/22 13:21
Quant open9
Worst price10.65
Drawdown as % of equity-0.20%
($19)
Includes Typical Broker Commissions trade costs of $0.18
3/8/22 10:06 AU ANGLOGOLD LONG 4 26.54 5/9 9:35 18.28 0.32%
Trade id #139694889
Max drawdown($33)
Time5/9/22 9:32
Quant open4
Worst price18.07
Drawdown as % of equity-0.32%
($33)
Includes Typical Broker Commissions trade costs of $0.08
3/16/22 13:22 AMX AMERICA MOVIL LONG 14 19.16 4/28 9:36 19.99 0.01%
Trade id #139807146
Max drawdown($0)
Time3/16/22 14:12
Quant open14
Worst price19.12
Drawdown as % of equity-0.01%
$12
Includes Typical Broker Commissions trade costs of $0.28
3/21/22 12:11 TER TERADYNE LONG 6 121.96 4/27 15:58 106.26 0.84%
Trade id #139859394
Max drawdown($99)
Time4/18/22 0:00
Quant open6
Worst price105.39
Drawdown as % of equity-0.84%
($94)
Includes Typical Broker Commissions trade costs of $0.12
3/21/22 12:14 ACLS AXCELIS TECHNOLOGIES LONG 9 79.87 4/22 13:35 55.20 1.91%
Trade id #139859450
Max drawdown($222)
Time4/22/22 13:33
Quant open9
Worst price55.16
Drawdown as % of equity-1.91%
($222)
Includes Typical Broker Commissions trade costs of $0.18
2/28/22 13:38 INMD INMODE LTD. ORDINARY SHARES LONG 31 42.57 4/22 10:22 28.16 3.83%
Trade id #139577827
Max drawdown($446)
Time4/22/22 10:22
Quant open31
Worst price28.16
Drawdown as % of equity-3.83%
($448)
Includes Typical Broker Commissions trade costs of $0.62
2/28/22 9:33 PLUG PLUG POWER LONG 5 24.16 4/21 14:23 23.06 0.12%
Trade id #139571535
Max drawdown($14)
Time3/15/22 0:00
Quant open5
Worst price21.27
Drawdown as % of equity-0.12%
($6)
Includes Typical Broker Commissions trade costs of $0.10
3/28/22 10:36 FTNT FORTINET LONG 3 337.36 4/21 12:25 331.36 0.36%
Trade id #139940552
Max drawdown($42)
Time4/18/22 0:00
Quant open3
Worst price323.25
Drawdown as % of equity-0.36%
($18)
Includes Typical Broker Commissions trade costs of $0.06
2/28/22 11:17 ICLN ISHARES GLOBAL CLEAN ENERGY ET LONG 15 20.80 4/21 12:00 19.97 0.19%
Trade id #139574293
Max drawdown($24)
Time3/4/22 0:00
Quant open15
Worst price19.19
Drawdown as % of equity-0.19%
($12)
Includes Typical Broker Commissions trade costs of $0.30
3/16/22 13:18 UPS UNITED PARCEL SERVICE LONG 1 215.20 4/7 10:01 192.59 0.19%
Trade id #139807099
Max drawdown($22)
Time4/7/22 10:00
Quant open1
Worst price192.48
Drawdown as % of equity-0.19%
($23)
Includes Typical Broker Commissions trade costs of $0.02
3/16/22 13:20 EVER EVERQUOTE INC. CLASS A COMMON STOCK SHORT 11 13.98 3/30 15:04 16.85 0.26%
Trade id #139807117
Max drawdown($31)
Time3/30/22 15:04
Quant open11
Worst price16.88
Drawdown as % of equity-0.26%
($32)
Includes Typical Broker Commissions trade costs of $0.22
3/16/22 13:16 ORN ORION GROUP HOLDINGS SHORT 73 2.32 3/24 11:47 2.60 0.17%
Trade id #139807036
Max drawdown($20)
Time3/24/22 11:47
Quant open73
Worst price2.60
Drawdown as % of equity-0.17%
($21)
Includes Typical Broker Commissions trade costs of $1.46
2/28/22 13:27 FTNT FORTINET LONG 5 340.58 3/14 12:19 270.86 2.97%
Trade id #139577661
Max drawdown($351)
Time3/14/22 12:15
Quant open5
Worst price270.31
Drawdown as % of equity-2.97%
($349)
Includes Typical Broker Commissions trade costs of $0.10
2/16/22 10:26 MU MICRON TECHNOLOGY LONG 1 94.84 3/14 9:33 71.21 0.2%
Trade id #139416168
Max drawdown($23)
Time3/14/22 9:32
Quant open1
Worst price71.01
Drawdown as % of equity-0.20%
($24)
Includes Typical Broker Commissions trade costs of $0.02
12/9/21 10:59 VCTR VICTORY CAPITAL HOLDINGS INC. CLASS A COMMON STOC LONG 66 34.98 3/8/22 9:36 29.27 3.43%
Trade id #138525270
Max drawdown($416)
Time3/8/22 9:34
Quant open66
Worst price28.67
Drawdown as % of equity-3.43%
($378)
Includes Typical Broker Commissions trade costs of $1.32
1/31/22 12:05 V VISA LONG 3 225.13 3/7 10:00 195.11 0.71%
Trade id #139175580
Max drawdown($90)
Time3/7/22 10:00
Quant open3
Worst price194.82
Drawdown as % of equity-0.71%
($90)
Includes Typical Broker Commissions trade costs of $0.06
3/2/22 9:30 AI C3.AI INC LONG 6 22.70 3/4 12:07 20.27 0.11%
Trade id #139607510
Max drawdown($14)
Time3/4/22 12:07
Quant open6
Worst price20.26
Drawdown as % of equity-0.11%
($15)
Includes Typical Broker Commissions trade costs of $0.12
12/15/21 11:40 QCOM QUALCOMM LONG 1 181.14 2/24/22 9:36 156.76 0.2%
Trade id #138590500
Max drawdown($25)
Time2/24/22 9:35
Quant open1
Worst price155.79
Drawdown as % of equity-0.20%
($24)
Includes Typical Broker Commissions trade costs of $0.02
2/9/22 12:49 WMS ADVANCED DRAINAGE SYSTEMS INC LONG 8 117.82 2/24 9:34 101.46 1.06%
Trade id #139323401
Max drawdown($134)
Time2/24/22 9:34
Quant open8
Worst price101.01
Drawdown as % of equity-1.06%
($131)
Includes Typical Broker Commissions trade costs of $0.16
2/2/22 11:15 FTNT FORTINET LONG 9 303.83 2/23 15:47 285.60 1.29%
Trade id #139214778
Max drawdown($168)
Time2/23/22 15:47
Quant open9
Worst price285.05
Drawdown as % of equity-1.29%
($164)
Includes Typical Broker Commissions trade costs of $0.18

Statistics

  • Strategy began
    11/25/2020
  • Suggested Minimum Cap
    $5,000
  • Strategy Age (days)
    546.81
  • Age
    18 months ago
  • What it trades
    Stocks
  • # Trades
    222
  • # Profitable
    78
  • % Profitable
    35.10%
  • Avg trade duration
    38.8 days
  • Max peak-to-valley drawdown
    51.01%
  • drawdown period
    Nov 09, 2021 - May 19, 2022
  • Annual Return (Compounded)
    -1.2%
  • Avg win
    $209.46
  • Avg loss
    $103.68
  • Model Account Values (Raw)
  • Cash
    $10,120
  • Margin Used
    $446
  • Buying Power
    $10,313
  • Ratios
  • W:L ratio
    1.10:1
  • Sharpe Ratio
    0.05
  • Sortino Ratio
    0.06
  • Calmar Ratio
    0.321
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -11.46%
  • Correlation to SP500
    0.42610
  • Return Percent SP500 (cumu) during strategy life
    11.80%
  • Return Statistics
  • Ann Return (w trading costs)
    -1.2%
  • Slump
  • Current Slump as Pcnt Equity
    101.60%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.36%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.012%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    9.4%
  • Automation
  • Percentage Signals Automated
    n/a
  • Popularity
  • Popularity (Today)
    423
  • Popularity (Last 6 weeks)
    811
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    834
  • Popularity (7 days, Percentile 1000 scale)
    689
  • Trades-Own-System Certification
  • Trades Own System?
    Yes
  • TOS percent
    100%
  • Win / Loss
  • Avg Loss
    $104
  • Avg Win
    $209
  • Sum Trade PL (losers)
    $14,930.000
  • Age
  • Num Months filled monthly returns table
    19
  • Win / Loss
  • Sum Trade PL (winners)
    $16,338.000
  • # Winners
    78
  • Num Months Winners
    10
  • Dividends
  • Dividends Received in Model Acct
    46
  • AUM
  • AUM (AutoTrader live capital)
    93706
  • Win / Loss
  • # Losers
    144
  • % Winners
    35.1%
  • Frequency
  • Avg Position Time (mins)
    55924.00
  • Avg Position Time (hrs)
    932.07
  • Avg Trade Length
    38.8 days
  • Last Trade Ago
    2
  • Leverage
  • Daily leverage (average)
    1.13
  • Daily leverage (max)
    2.03
  • Regression
  • Alpha
    -0.01
  • Beta
    0.73
  • Treynor Index
    0.01
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.13
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    -30.078
  • 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
    0.320
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.274
  • Hold-and-Hope Ratio
    -0.058
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.31244
  • SD
    0.52253
  • Sharpe ratio (Glass type estimate)
    0.59794
  • Sharpe ratio (Hedges UMVUE)
    0.55175
  • df
    10.00000
  • t
    0.57249
  • p
    0.28982
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.47991
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.64688
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.50960
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.61309
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.08815
  • Upside Potential Ratio
    3.10222
  • Upside part of mean
    0.89075
  • Downside part of mean
    -0.57830
  • Upside SD
    0.41702
  • Downside SD
    0.28713
  • N nonnegative terms
    5.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    11.00000
  • Mean of predictor
    0.12341
  • Mean of criterion
    0.31244
  • SD of predictor
    0.14107
  • SD of criterion
    0.52253
  • Covariance
    0.05656
  • r
    0.76728
  • b (slope, estimate of beta)
    2.84210
  • a (intercept, estimate of alpha)
    -0.03829
  • Mean Square Error
    0.12477
  • DF error
    9.00000
  • t(b)
    3.58929
  • p(b)
    0.00292
  • t(a)
    -0.10032
  • p(a)
    0.53885
  • Lowerbound of 95% confidence interval for beta
    1.05086
  • Upperbound of 95% confidence interval for beta
    4.63334
  • Lowerbound of 95% confidence interval for alpha
    -0.90166
  • Upperbound of 95% confidence interval for alpha
    0.82509
  • Treynor index (mean / b)
    0.10993
  • Jensen alpha (a)
    -0.03829
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.18978
  • SD
    0.51022
  • Sharpe ratio (Glass type estimate)
    0.37196
  • Sharpe ratio (Hedges UMVUE)
    0.34323
  • df
    10.00000
  • t
    0.35613
  • p
    0.36457
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.69050
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.41630
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.70941
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.39586
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.60929
  • Upside Potential Ratio
    2.60886
  • Upside part of mean
    0.81262
  • Downside part of mean
    -0.62283
  • Upside SD
    0.37768
  • Downside SD
    0.31148
  • N nonnegative terms
    5.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    11.00000
  • Mean of predictor
    0.11348
  • Mean of criterion
    0.18978
  • SD of predictor
    0.14152
  • SD of criterion
    0.51022
  • Covariance
    0.05636
  • r
    0.78054
  • b (slope, estimate of beta)
    2.81417
  • a (intercept, estimate of alpha)
    -0.12958
  • Mean Square Error
    0.11303
  • DF error
    9.00000
  • t(b)
    3.74591
  • p(b)
    0.00229
  • t(a)
    -0.35860
  • p(a)
    0.63592
  • Lowerbound of 95% confidence interval for beta
    1.11469
  • Upperbound of 95% confidence interval for beta
    4.51365
  • Lowerbound of 95% confidence interval for alpha
    -0.94701
  • Upperbound of 95% confidence interval for alpha
    0.68785
  • Treynor index (mean / b)
    0.06744
  • Jensen alpha (a)
    -0.12958
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.20264
  • Expected Shortfall on VaR
    0.24914
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.11818
  • Expected Shortfall on VaR
    0.20466
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    11.00000
  • Minimum
    0.82665
  • Quartile 1
    0.91820
  • Median
    1.00202
  • Quartile 3
    1.15140
  • Maximum
    1.25068
  • Mean of quarter 1
    0.84656
  • Mean of quarter 2
    0.98140
  • Mean of quarter 3
    1.08475
  • Mean of quarter 4
    1.21956
  • Inter Quartile Range
    0.23320
  • 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)
    -5.50223
  • VaR(95%) (moments method)
    0.16537
  • Expected Shortfall (moments method)
    0.16539
  • Extreme Value Index (regression method)
    -1.14434
  • VaR(95%) (regression method)
    0.18258
  • Expected Shortfall (regression method)
    0.18758
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.05700
  • Quartile 1
    0.14116
  • Median
    0.22533
  • Quartile 3
    0.30949
  • Maximum
    0.39366
  • Mean of quarter 1
    0.05700
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.39366
  • Inter Quartile Range
    0.16833
  • 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)
    0.24093
  • Compounded annual return (geometric extrapolation)
    0.24320
  • Calmar ratio (compounded annual return / max draw down)
    0.61780
  • Compounded annual return / average of 25% largest draw downs
    0.61780
  • Compounded annual return / Expected Shortfall lognormal
    0.97615
  • 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
    0.17164
  • SD
    0.35793
  • Sharpe ratio (Glass type estimate)
    0.47955
  • Sharpe ratio (Hedges UMVUE)
    0.47815
  • df
    258.00000
  • t
    0.47679
  • p
    0.31696
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.49260
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.45084
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.49356
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.44986
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.70017
  • Upside Potential Ratio
    8.51203
  • Upside part of mean
    2.08670
  • Downside part of mean
    -1.91505
  • Upside SD
    0.26007
  • Downside SD
    0.24515
  • N nonnegative terms
    146.00000
  • N negative terms
    113.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    259.00000
  • Mean of predictor
    0.08733
  • Mean of criterion
    0.17164
  • SD of predictor
    0.21111
  • SD of criterion
    0.35793
  • Covariance
    0.03189
  • r
    0.42202
  • b (slope, estimate of beta)
    0.71553
  • a (intercept, estimate of alpha)
    0.10900
  • Mean Square Error
    0.10571
  • DF error
    257.00000
  • t(b)
    7.46254
  • p(b)
    -0.00000
  • t(a)
    0.33370
  • p(a)
    0.36944
  • Lowerbound of 95% confidence interval for beta
    0.52671
  • Upperbound of 95% confidence interval for beta
    0.90434
  • Lowerbound of 95% confidence interval for alpha
    -0.53501
  • Upperbound of 95% confidence interval for alpha
    0.75332
  • Treynor index (mean / b)
    0.23989
  • Jensen alpha (a)
    0.10916
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.10812
  • SD
    0.35663
  • Sharpe ratio (Glass type estimate)
    0.30317
  • Sharpe ratio (Hedges UMVUE)
    0.30228
  • df
    258.00000
  • t
    0.30142
  • p
    0.38167
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.66853
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.27438
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.66917
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.27374
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.43194
  • Upside Potential Ratio
    8.20533
  • Upside part of mean
    2.05386
  • Downside part of mean
    -1.94574
  • Upside SD
    0.25315
  • Downside SD
    0.25031
  • N nonnegative terms
    146.00000
  • N negative terms
    113.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    259.00000
  • Mean of predictor
    0.06498
  • Mean of criterion
    0.10812
  • SD of predictor
    0.21208
  • SD of criterion
    0.35663
  • Covariance
    0.03235
  • r
    0.42774
  • b (slope, estimate of beta)
    0.71928
  • a (intercept, estimate of alpha)
    0.06138
  • Mean Square Error
    0.10432
  • DF error
    257.00000
  • t(b)
    7.58628
  • p(b)
    -0.00000
  • t(a)
    0.18891
  • p(a)
    0.42516
  • Lowerbound of 95% confidence interval for beta
    0.53257
  • Upperbound of 95% confidence interval for beta
    0.90598
  • Lowerbound of 95% confidence interval for alpha
    -0.57844
  • Upperbound of 95% confidence interval for alpha
    0.70120
  • Treynor index (mean / b)
    0.15032
  • Jensen alpha (a)
    0.06138
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03519
  • Expected Shortfall on VaR
    0.04400
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01541
  • Expected Shortfall on VaR
    0.03095
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    259.00000
  • Minimum
    0.93593
  • Quartile 1
    0.99024
  • Median
    1.00236
  • Quartile 3
    1.01056
  • Maximum
    1.10796
  • Mean of quarter 1
    0.97369
  • Mean of quarter 2
    0.99769
  • Mean of quarter 3
    1.00583
  • Mean of quarter 4
    1.02593
  • Inter Quartile Range
    0.02031
  • Number outliers low
    9.00000
  • Percentage of outliers low
    0.03475
  • Mean of outliers low
    0.94602
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.02703
  • Mean of outliers high
    1.06771
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.03971
  • VaR(95%) (moments method)
    0.02345
  • Expected Shortfall (moments method)
    0.03140
  • Extreme Value Index (regression method)
    -0.24293
  • VaR(95%) (regression method)
    0.02321
  • Expected Shortfall (regression method)
    0.02867
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    15.00000
  • Minimum
    0.00204
  • Quartile 1
    0.00951
  • Median
    0.02673
  • Quartile 3
    0.05398
  • Maximum
    0.45419
  • Mean of quarter 1
    0.00376
  • Mean of quarter 2
    0.02092
  • Mean of quarter 3
    0.03977
  • Mean of quarter 4
    0.18535
  • Inter Quartile Range
    0.04447
  • 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
    0.30711
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.47051
  • VaR(95%) (moments method)
    0.17842
  • Expected Shortfall (moments method)
    0.40793
  • Extreme Value Index (regression method)
    1.46455
  • VaR(95%) (regression method)
    0.34285
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.14559
  • Compounded annual return (geometric extrapolation)
    0.14571
  • Calmar ratio (compounded annual return / max draw down)
    0.32081
  • Compounded annual return / average of 25% largest draw downs
    0.78615
  • Compounded annual return / Expected Shortfall lognormal
    3.31134
  • 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
    -0.83505
  • SD
    0.30820
  • Sharpe ratio (Glass type estimate)
    -2.70943
  • Sharpe ratio (Hedges UMVUE)
    -2.69377
  • df
    130.00000
  • t
    -1.91586
  • p
    0.58285
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -5.49563
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.08698
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -5.48485
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.09731
  • Statistics related to Sortino ratio
  • Sortino ratio
    -3.16031
  • Upside Potential Ratio
    5.55566
  • Upside part of mean
    1.46797
  • Downside part of mean
    -2.30301
  • Upside SD
    0.16464
  • Downside SD
    0.26423
  • N nonnegative terms
    67.00000
  • N negative terms
    64.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.21585
  • Mean of criterion
    -0.83505
  • SD of predictor
    0.25571
  • SD of criterion
    0.30820
  • Covariance
    0.04101
  • r
    0.52042
  • b (slope, estimate of beta)
    0.62725
  • a (intercept, estimate of alpha)
    -0.69966
  • Mean Square Error
    0.06980
  • DF error
    129.00000
  • t(b)
    6.92215
  • p(b)
    0.18432
  • t(a)
    -1.87006
  • p(a)
    0.60297
  • Lowerbound of 95% confidence interval for beta
    0.44796
  • Upperbound of 95% confidence interval for beta
    0.80653
  • Lowerbound of 95% confidence interval for alpha
    -1.43989
  • Upperbound of 95% confidence interval for alpha
    0.04058
  • Treynor index (mean / b)
    -1.33129
  • Jensen alpha (a)
    -0.69966
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.88410
  • SD
    0.31107
  • Sharpe ratio (Glass type estimate)
    -2.84209
  • Sharpe ratio (Hedges UMVUE)
    -2.82567
  • df
    130.00000
  • t
    -2.00966
  • p
    0.58679
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -5.63000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    -0.04361
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -5.61867
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.03266
  • Statistics related to Sortino ratio
  • Sortino ratio
    -3.28156
  • Upside Potential Ratio
    5.39867
  • Upside part of mean
    1.45448
  • Downside part of mean
    -2.33859
  • Upside SD
    0.16256
  • Downside SD
    0.26942
  • N nonnegative terms
    67.00000
  • N negative terms
    64.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.24866
  • Mean of criterion
    -0.88410
  • SD of predictor
    0.25743
  • SD of criterion
    0.31107
  • Covariance
    0.04188
  • r
    0.52291
  • b (slope, estimate of beta)
    0.63187
  • a (intercept, estimate of alpha)
    -0.72698
  • Mean Square Error
    0.07085
  • DF error
    129.00000
  • t(b)
    6.96767
  • p(b)
    0.18297
  • t(a)
    -1.92775
  • p(a)
    0.60603
  • VAR (95 Confidence Intrvl)
    0.03500
  • Lowerbound of 95% confidence interval for beta
    0.45245
  • Upperbound of 95% confidence interval for beta
    0.81130
  • Lowerbound of 95% confidence interval for alpha
    -1.47310
  • Upperbound of 95% confidence interval for alpha
    0.01915
  • Treynor index (mean / b)
    -1.39918
  • Jensen alpha (a)
    -0.72698
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03438
  • Expected Shortfall on VaR
    0.04208
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02014
  • Expected Shortfall on VaR
    0.03739
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.93593
  • Quartile 1
    0.98632
  • Median
    1.00107
  • Quartile 3
    1.00947
  • Maximum
    1.04750
  • Mean of quarter 1
    0.97056
  • Mean of quarter 2
    0.99480
  • Mean of quarter 3
    1.00473
  • Mean of quarter 4
    1.01782
  • Inter Quartile Range
    0.02316
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.02290
  • Mean of outliers low
    0.94274
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.00763
  • Mean of outliers high
    1.04750
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.51704
  • VaR(95%) (moments method)
    0.03003
  • Expected Shortfall (moments method)
    0.03424
  • Extreme Value Index (regression method)
    -0.04980
  • VaR(95%) (regression method)
    0.02708
  • Expected Shortfall (regression method)
    0.03435
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00404
  • Quartile 1
    0.00523
  • Median
    0.02673
  • Quartile 3
    0.07251
  • Maximum
    0.45419
  • Mean of quarter 1
    0.00464
  • Mean of quarter 2
    0.02673
  • Mean of quarter 3
    0.07251
  • Mean of quarter 4
    0.45419
  • Inter Quartile Range
    0.06728
  • 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
    0.20000
  • Mean of outliers high
    0.45419
  • 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
    1.00%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -315143000
  • Max Equity Drawdown (num days)
    191
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.69651
  • Compounded annual return (geometric extrapolation)
    -0.57522
  • Calmar ratio (compounded annual return / max draw down)
    -1.26648
  • Compounded annual return / average of 25% largest draw downs
    -1.26648
  • Compounded annual return / Expected Shortfall lognormal
    -13.66990

Strategy Description

Trading only Stocks: I have made a moral decision not to participate in a deal, which is not worthwhile for all participants in it. So I never trade options. "Collective2" does not allow options trading. And it's not difficult for me, because even before I joined Collective2 I had become familier in trading "stocks only".
Diversification: In order not to take too many risks, the investment must be spread over a number of shares. I avoid investing more than 25% of the portfolio in one stock. Even if it seems to me a very successful investment.
Strategies: I try to use more than one strategy, thus avoiding big shocks. Using a single strategy (e.g. with a 90% correlation to s & p) can lead to a large drop in the value of the portfolio when the market behaves unexpectedly.

Summary Statistics

Strategy began
2020-11-25
Suggested Minimum Capital
$5,000
Rank at C2 
#129
# Trades
222
# Profitable
78
% Profitable
35.1%
Net Dividends
Correlation S&P500
0.426
Sharpe Ratio
0.05
Sortino Ratio
0.06
Beta
0.73
Alpha
-0.01
Leverage
1.13 Average
2.03 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

Collective2 calculates the maximum leverage used by a strategy in each day. We then display the average of these measurements (i.e. the average daily maximum leverage) and the greatest of these measurements (maximum daily leverage).

Leverage is the ratio of total notional value controlled by a strategy divided by its Model Account equity. Generally higher leverage implies greater risk.

Example of calculation:
The Strategy buys 100 shares of stock at $12 per share.
The Model Account equity during that day is $5,000.
The leverage is: $1200 / $5,000 = 0.24

This is a useful measurement, but it should be considered in context. This measurement doesn't take into account important factors, such as when multiple positions are held that are inversely correlated. Nor does the measurement take into account the volatility of the instruments being held.

In addition, certain asset classes are inherently more leveraged than others. For example, futures contracts are highly leveraged. Forex positions are often even more leveraged than futures.

Latest Activity

#PERSONNAME#
subscribed on started simulation #SUBSCRIBEDDATE#

Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.

Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

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

Material assumptions and methods used when calculating results

The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.

  • Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
  • Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been re-scaled downward to make current go-forward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
  • All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any per-trade AutoTrade fees, plus estimated broker commissions if any.
  • "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.

Trading is risky

There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.

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Suggested Minimum Capital

This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.