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

AltData III
(143001897)

Created by: AltData AltData
Started: 12/2022
Stocks
Last trade: 25 days ago
Subscriptions not currently available.

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 $1,999.00 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.

57.9%
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.

(17.6%)
Max Drawdown
99
Num Trades
57.6%
Win Trades
1.6 : 1
Profit Factor
46.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2023       +17.4%+18.2%(0.9%)+2.7%(9.1%)(0.2%)+9.7%(1.3%)+1.8%+13.6%(8%)+47.7%
2024(2.1%)+27.5%(1.8%)(0.1%)                                                +22.5%

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

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
3/11/24 11:40 ASAN ASANA INC LONG 21,860 18.85 3/18 10:40 15.96 3.92%
Trade id #147592718
Max drawdown($71,045)
Time3/18/24 9:59
Quant open21,860
Worst price15.60
Drawdown as % of equity-3.92%
($63,180)
Includes Typical Broker Commissions trade costs of $5.00
3/4/24 10:40 SEMR SEMRUSH HOLDINGS INC LONG 10,830 12.40 3/11 11:40 11.15 1.63%
Trade id #147528446
Max drawdown($29,890)
Time3/5/24 0:00
Quant open10,830
Worst price9.64
Drawdown as % of equity-1.63%
($13,543)
Includes Typical Broker Commissions trade costs of $5.00
3/4/24 10:40 HCP HASHICORP INC. SHORT 10,510 25.33 3/11 11:40 26.19 1.06%
Trade id #147528443
Max drawdown($20,284)
Time3/6/24 0:00
Quant open10,510
Worst price27.26
Drawdown as % of equity-1.06%
($9,044)
Includes Typical Broker Commissions trade costs of $5.00
3/4/24 10:40 GWRE GUIDEWIRE SOFTWARE LONG 2,910 118.02 3/11 11:40 116.16 0.69%
Trade id #147528440
Max drawdown($12,687)
Time3/5/24 0:00
Quant open2,910
Worst price113.66
Drawdown as % of equity-0.69%
($5,418)
Includes Typical Broker Commissions trade costs of $5.00
3/4/24 10:40 GTLB GITLAB INC. CLASS A COMMON STOCK SHORT 5,570 73.22 3/11 11:40 56.70 0.54%
Trade id #147528437
Max drawdown($9,914)
Time3/4/24 16:00
Quant open5,570
Worst price75.00
Drawdown as % of equity-0.54%
$92,011
Includes Typical Broker Commissions trade costs of $5.00
3/4/24 10:40 DOCU DOCUSIGN INC. COMMON STOCK SHORT 6,230 54.13 3/11 11:40 57.63 1.6%
Trade id #147528434
Max drawdown($30,090)
Time3/8/24 0:00
Quant open6,230
Worst price58.96
Drawdown as % of equity-1.60%
($21,810)
Includes Typical Broker Commissions trade costs of $5.00
3/4/24 10:40 BASE COUCHBASE INC. COMMON STOCK SHORT 4,730 28.25 3/11 11:40 27.12 0.93%
Trade id #147528429
Max drawdown($17,737)
Time3/6/24 0:00
Quant open4,730
Worst price32.00
Drawdown as % of equity-0.93%
$5,340
Includes Typical Broker Commissions trade costs of $5.00
2/26/24 11:40 ZS ZSCALER INC. COMMON STOCK LONG 1,150 243.29 3/4 10:40 214.65 1.93%
Trade id #147452054
Max drawdown($35,258)
Time3/4/24 10:20
Quant open1,150
Worst price212.63
Drawdown as % of equity-1.93%
($32,941)
Includes Typical Broker Commissions trade costs of $5.00
2/26/24 11:40 U UNITY SOFTWARE INC SHORT 4,800 32.59 3/4 10:40 27.46 0.23%
Trade id #147452048
Max drawdown($4,032)
Time2/26/24 15:56
Quant open4,800
Worst price33.43
Drawdown as % of equity-0.23%
$24,619
Includes Typical Broker Commissions trade costs of $5.00
2/26/24 11:40 SPLK SPLUNK INC SHORT 2,080 155.56 3/4 10:40 156.14 0.09%
Trade id #147452045
Max drawdown($1,539)
Time2/29/24 0:00
Quant open2,080
Worst price156.30
Drawdown as % of equity-0.09%
($1,211)
Includes Typical Broker Commissions trade costs of $5.00
2/26/24 11:40 SNOW SNOWFLAKE INC SHORT 1,410 230.47 3/4 10:40 177.83 0.41%
Trade id #147452042
Max drawdown($7,317)
Time2/27/24 0:00
Quant open1,410
Worst price235.66
Drawdown as % of equity-0.41%
$74,217
Includes Typical Broker Commissions trade costs of $5.00
2/26/24 11:40 CRM SALESFORCE INC SHORT 1,290 300.87 3/4 10:40 315.18 1.25%
Trade id #147452035
Max drawdown($23,020)
Time3/1/24 0:00
Quant open1,290
Worst price318.71
Drawdown as % of equity-1.25%
($18,465)
Includes Typical Broker Commissions trade costs of $5.00
2/20/24 10:40 WIX WIX.COM LTD. ORDINARY SHARES LONG 4,240 126.86 2/26 11:40 135.10 0.44%
Trade id #147379191
Max drawdown($7,377)
Time2/20/24 15:59
Quant open4,240
Worst price125.12
Drawdown as % of equity-0.44%
$34,933
Includes Typical Broker Commissions trade costs of $5.00
2/20/24 10:40 NVDA NVIDIA LONG 500 684.35 2/26 11:40 799.21 0.65%
Trade id #147379184
Max drawdown($10,935)
Time2/21/24 0:00
Quant open500
Worst price662.48
Drawdown as % of equity-0.65%
$57,420
Includes Typical Broker Commissions trade costs of $10.00
2/20/24 10:40 INTU INTUIT LONG 370 644.89 2/26 11:40 664.84 0.32%
Trade id #147379181
Max drawdown($5,316)
Time2/21/24 0:00
Quant open370
Worst price630.52
Drawdown as % of equity-0.32%
$7,375
Includes Typical Broker Commissions trade costs of $7.40
2/12/24 12:40 TDC TERADATA SHORT 4,900 48.84 2/20 10:40 37.75 0.18%
Trade id #147291678
Max drawdown($2,940)
Time2/12/24 13:26
Quant open4,900
Worst price49.44
Drawdown as % of equity-0.18%
$54,336
Includes Typical Broker Commissions trade costs of $5.00
2/12/24 12:40 SHOP SHOPIFY INC LONG 4,630 90.83 2/20 10:40 78.58 4%
Trade id #147291675
Max drawdown($63,986)
Time2/13/24 0:00
Quant open4,630
Worst price77.01
Drawdown as % of equity-4.00%
($56,723)
Includes Typical Broker Commissions trade costs of $5.00
2/12/24 12:40 HUBS HUBSPOT INC SHORT 560 626.81 2/20 10:40 592.63 0.68%
Trade id #147291670
Max drawdown($11,060)
Time2/15/24 0:00
Quant open560
Worst price646.56
Drawdown as % of equity-0.68%
$19,136
Includes Typical Broker Commissions trade costs of $5.00
2/12/24 12:40 DDOG DATADOG INC. SHORT 2,220 136.13 2/20 10:40 125.90 0.34%
Trade id #147291665
Max drawdown($5,505)
Time2/13/24 0:00
Quant open2,220
Worst price138.61
Drawdown as % of equity-0.34%
$22,706
Includes Typical Broker Commissions trade costs of $5.00
2/12/24 12:40 COIN COINBASE GLOBAL INC. CLASS A LONG 2,110 148.47 2/20 10:40 168.73 1.5%
Trade id #147291662
Max drawdown($23,927)
Time2/13/24 0:00
Quant open2,110
Worst price137.13
Drawdown as % of equity-1.50%
$42,744
Includes Typical Broker Commissions trade costs of $5.00
2/5/24 12:40 NET CLOUDFLARE INC LONG 4,360 80.76 2/12 12:40 107.08 0.35%
Trade id #147230302
Max drawdown($5,101)
Time2/6/24 0:00
Quant open4,360
Worst price79.59
Drawdown as % of equity-0.35%
$114,750
Includes Typical Broker Commissions trade costs of $5.00
2/5/24 12:40 FTNT FORTINET LONG 5,420 65.46 2/12 12:40 70.55 0.06%
Trade id #147230299
Max drawdown($894)
Time2/5/24 13:46
Quant open5,420
Worst price65.30
Drawdown as % of equity-0.06%
$27,583
Includes Typical Broker Commissions trade costs of $5.00
2/5/24 12:40 AZPN ASPEN TECHNOLOGY INC. LONG 920 191.77 2/12 12:40 190.01 0.52%
Trade id #147230296
Max drawdown($7,608)
Time2/7/24 0:00
Quant open920
Worst price183.50
Drawdown as % of equity-0.52%
($1,624)
Includes Typical Broker Commissions trade costs of $5.00
1/30/24 9:40 TEAM ATLASSIAN CORPORATION PLC CLASS A SHORT 470 256.57 2/5 12:40 216.12 0.07%
Trade id #147166987
Max drawdown($996)
Time1/30/24 10:00
Quant open470
Worst price258.69
Drawdown as % of equity-0.07%
$19,003
Includes Typical Broker Commissions trade costs of $9.40
1/23/24 10:40 SAP SAP AE SHORT 2,210 161.95 1/30 9:40 176.24 2.24%
Trade id #147098602
Max drawdown($32,376)
Time1/30/24 9:33
Quant open2,210
Worst price176.60
Drawdown as % of equity-2.24%
($31,586)
Includes Typical Broker Commissions trade costs of $5.00
12/4/23 12:40 SMAR SMARTSHEET INC LONG 13,490 44.65 12/11 12:40 45.08 1.72%
Trade id #146607808
Max drawdown($25,496)
Time12/8/23 0:00
Quant open13,490
Worst price42.76
Drawdown as % of equity-1.72%
$5,796
Includes Typical Broker Commissions trade costs of $5.00
12/4/23 12:40 MDB MONGODB INC. CLASS A COMMON STOCK SHORT 690 424.27 12/11 12:40 401.34 0.51%
Trade id #146607805
Max drawdown($7,403)
Time12/5/23 0:00
Quant open690
Worst price435.00
Drawdown as % of equity-0.51%
$15,817
Includes Typical Broker Commissions trade costs of $5.00
11/27/23 10:40 WDAY WORKDAY LONG 2,030 237.59 12/4 12:40 267.16 0.4%
Trade id #146543231
Max drawdown($6,374)
Time11/28/23 0:00
Quant open2,030
Worst price234.45
Drawdown as % of equity-0.40%
$60,022
Includes Typical Broker Commissions trade costs of $5.00
11/27/23 10:40 ESTC ELASTIC NV SHORT 4,650 78.38 12/4 12:40 110.73 11.85%
Trade id #146543228
Max drawdown($172,608)
Time12/4/23 9:36
Quant open4,650
Worst price115.50
Drawdown as % of equity-11.85%
($150,433)
Includes Typical Broker Commissions trade costs of $5.00
11/27/23 10:40 CRM SALESFORCE INC SHORT 1,600 225.49 12/4 12:40 251.87 3.78%
Trade id #146543225
Max drawdown($60,704)
Time12/1/23 0:00
Quant open1,600
Worst price263.43
Drawdown as % of equity-3.78%
($42,213)
Includes Typical Broker Commissions trade costs of $5.00

Statistics

  • Strategy began
    12/27/2022
  • Suggested Minimum Cap
    $1,800,000
  • Strategy Age (days)
    470.82
  • Age
    16 months ago
  • What it trades
    Stocks
  • # Trades
    99
  • # Profitable
    57
  • % Profitable
    57.60%
  • Avg trade duration
    6.3 days
  • Max peak-to-valley drawdown
    17.63%
  • drawdown period
    May 25, 2023 - June 07, 2023
  • Annual Return (Compounded)
    57.9%
  • Avg win
    $37,429
  • Avg loss
    $30,792
  • Model Account Values (Raw)
  • Cash
    $1,840,200
  • Margin Used
    $0
  • Buying Power
    $1,840,200
  • Ratios
  • W:L ratio
    1.65:1
  • Sharpe Ratio
    1.7
  • Sortino Ratio
    2.93
  • Calmar Ratio
    5.227
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    46.15%
  • Correlation to SP500
    -0.03330
  • Return Percent SP500 (cumu) during strategy life
    33.83%
  • Return Statistics
  • Ann Return (w trading costs)
    57.9%
  • Slump
  • Current Slump as Pcnt Equity
    5.90%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.08%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.579%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    60.0%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    22.00%
  • Chance of 20% account loss
    4.00%
  • Chance of 30% account loss
    0.50%
  • 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
    71.43%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    370
  • Popularity (Last 6 weeks)
    928
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    994
  • Popularity (7 days, Percentile 1000 scale)
    826
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $30,793
  • Avg Win
    $37,430
  • Sum Trade PL (losers)
    $1,293,300.000
  • Age
  • Num Months filled monthly returns table
    15
  • Win / Loss
  • Sum Trade PL (winners)
    $2,133,500.000
  • # Winners
    57
  • Num Months Winners
    7
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    42
  • % Winners
    57.6%
  • Frequency
  • Avg Position Time (mins)
    9021.95
  • Avg Position Time (hrs)
    150.37
  • Avg Trade Length
    6.3 days
  • Last Trade Ago
    24
  • Leverage
  • Daily leverage (average)
    0.61
  • Daily leverage (max)
    2.30
  • Regression
  • Alpha
    0.15
  • Beta
    -0.07
  • Treynor Index
    -2.16
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.53
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.03
  • Avg(MAE) / Avg(PL) - All trades
    2.555
  • 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
    0.202
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.292
  • Hold-and-Hope Ratio
    0.391
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.66250
  • SD
    0.39366
  • Sharpe ratio (Glass type estimate)
    1.68293
  • Sharpe ratio (Hedges UMVUE)
    1.56505
  • df
    11.00000
  • t
    1.68293
  • p
    0.06026
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.43008
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.72892
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.50114
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.63125
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.35857
  • Upside Potential Ratio
    8.42111
  • Upside part of mean
    0.87739
  • Downside part of mean
    -0.21490
  • Upside SD
    0.40960
  • Downside SD
    0.10419
  • N nonnegative terms
    6.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    12.00000
  • Mean of predictor
    0.21415
  • Mean of criterion
    0.66250
  • SD of predictor
    0.09336
  • SD of criterion
    0.39366
  • Covariance
    0.00009
  • r
    0.00249
  • b (slope, estimate of beta)
    0.01051
  • a (intercept, estimate of alpha)
    0.66025
  • Mean Square Error
    0.17046
  • DF error
    10.00000
  • t(b)
    0.00788
  • p(b)
    0.49693
  • t(a)
    1.31523
  • p(a)
    0.10890
  • Lowerbound of 95% confidence interval for beta
    -2.96061
  • Upperbound of 95% confidence interval for beta
    2.98164
  • Lowerbound of 95% confidence interval for alpha
    -0.45828
  • Upperbound of 95% confidence interval for alpha
    1.77877
  • Treynor index (mean / b)
    63.01280
  • Jensen alpha (a)
    0.66025
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.58204
  • SD
    0.36277
  • Sharpe ratio (Glass type estimate)
    1.60443
  • Sharpe ratio (Hedges UMVUE)
    1.49205
  • df
    11.00000
  • t
    1.60443
  • p
    0.06846
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.49675
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.64103
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.56469
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.54879
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.43068
  • Upside Potential Ratio
    7.48358
  • Upside part of mean
    0.80207
  • Downside part of mean
    -0.22002
  • Upside SD
    0.37065
  • Downside SD
    0.10718
  • N nonnegative terms
    6.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    12.00000
  • Mean of predictor
    0.20790
  • Mean of criterion
    0.58204
  • SD of predictor
    0.09206
  • SD of criterion
    0.36277
  • Covariance
    -0.00078
  • r
    -0.02344
  • b (slope, estimate of beta)
    -0.09237
  • a (intercept, estimate of alpha)
    0.60125
  • Mean Square Error
    0.14469
  • DF error
    10.00000
  • t(b)
    -0.07415
  • p(b)
    0.52882
  • t(a)
    1.30656
  • p(a)
    0.11031
  • Lowerbound of 95% confidence interval for beta
    -2.86804
  • Upperbound of 95% confidence interval for beta
    2.68331
  • Lowerbound of 95% confidence interval for alpha
    -0.42409
  • Upperbound of 95% confidence interval for alpha
    1.62658
  • Treynor index (mean / b)
    -6.30140
  • Jensen alpha (a)
    0.60125
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.11640
  • Expected Shortfall on VaR
    0.15360
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.04187
  • Expected Shortfall on VaR
    0.07196
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    12.00000
  • Minimum
    0.93108
  • Quartile 1
    0.97657
  • Median
    1.00699
  • Quartile 3
    1.13210
  • Maximum
    1.26279
  • Mean of quarter 1
    0.94643
  • Mean of quarter 2
    0.98660
  • Mean of quarter 3
    1.08245
  • Mean of quarter 4
    1.21467
  • Inter Quartile Range
    0.15553
  • 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)
    -28.59780
  • VaR(95%) (moments method)
    0.05559
  • Expected Shortfall (moments method)
    0.05559
  • Extreme Value Index (regression method)
    -2.24188
  • VaR(95%) (regression method)
    0.08686
  • Expected Shortfall (regression method)
    0.08810
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00820
  • Quartile 1
    0.01098
  • Median
    0.04977
  • Quartile 3
    0.08818
  • Maximum
    0.08985
  • Mean of quarter 1
    0.00820
  • Mean of quarter 2
    0.01190
  • Mean of quarter 3
    0.08763
  • Mean of quarter 4
    0.08985
  • Inter Quartile Range
    0.07721
  • 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)
    0.84034
  • Compounded annual return (geometric extrapolation)
    0.84034
  • Calmar ratio (compounded annual return / max draw down)
    9.35262
  • Compounded annual return / average of 25% largest draw downs
    9.35262
  • Compounded annual return / Expected Shortfall lognormal
    5.47081
  • 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
    0.61268
  • SD
    0.27309
  • Sharpe ratio (Glass type estimate)
    2.24352
  • Sharpe ratio (Hedges UMVUE)
    2.23714
  • df
    264.00000
  • t
    2.25633
  • p
    0.01243
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.28327
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.19963
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.27898
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.19530
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.90578
  • Upside Potential Ratio
    8.53005
  • Upside part of mean
    1.33808
  • Downside part of mean
    -0.72539
  • Upside SD
    0.22610
  • Downside SD
    0.15687
  • N nonnegative terms
    107.00000
  • N negative terms
    158.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    265.00000
  • Mean of predictor
    0.20633
  • Mean of criterion
    0.61268
  • SD of predictor
    0.13684
  • SD of criterion
    0.27309
  • Covariance
    -0.00117
  • r
    -0.03137
  • b (slope, estimate of beta)
    -0.06261
  • a (intercept, estimate of alpha)
    0.62600
  • Mean Square Error
    0.07479
  • DF error
    263.00000
  • t(b)
    -0.50899
  • p(b)
    0.69441
  • t(a)
    2.29071
  • p(a)
    0.01139
  • Lowerbound of 95% confidence interval for beta
    -0.30480
  • Upperbound of 95% confidence interval for beta
    0.17959
  • Lowerbound of 95% confidence interval for alpha
    0.08785
  • Upperbound of 95% confidence interval for alpha
    1.16335
  • Treynor index (mean / b)
    -9.78617
  • Jensen alpha (a)
    0.62560
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.57514
  • SD
    0.27137
  • Sharpe ratio (Glass type estimate)
    2.11936
  • Sharpe ratio (Hedges UMVUE)
    2.11333
  • df
    264.00000
  • t
    2.13146
  • p
    0.01699
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.16018
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.07458
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.15617
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.07049
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.56333
  • Upside Potential Ratio
    8.13627
  • Upside part of mean
    1.31323
  • Downside part of mean
    -0.73809
  • Upside SD
    0.22040
  • Downside SD
    0.16140
  • N nonnegative terms
    107.00000
  • N negative terms
    158.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    265.00000
  • Mean of predictor
    0.19689
  • Mean of criterion
    0.57514
  • SD of predictor
    0.13697
  • SD of criterion
    0.27137
  • Covariance
    -0.00122
  • r
    -0.03276
  • b (slope, estimate of beta)
    -0.06490
  • a (intercept, estimate of alpha)
    0.58792
  • Mean Square Error
    0.07384
  • DF error
    263.00000
  • t(b)
    -0.53154
  • p(b)
    0.70225
  • t(a)
    2.16729
  • p(a)
    0.01556
  • Lowerbound of 95% confidence interval for beta
    -0.30532
  • Upperbound of 95% confidence interval for beta
    0.17552
  • Lowerbound of 95% confidence interval for alpha
    0.05378
  • Upperbound of 95% confidence interval for alpha
    1.12205
  • Treynor index (mean / b)
    -8.86168
  • Jensen alpha (a)
    0.58792
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02506
  • Expected Shortfall on VaR
    0.03185
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00693
  • Expected Shortfall on VaR
    0.01549
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    265.00000
  • Minimum
    0.92365
  • Quartile 1
    0.99952
  • Median
    1.00000
  • Quartile 3
    1.00284
  • Maximum
    1.07307
  • Mean of quarter 1
    0.98934
  • Mean of quarter 2
    0.99996
  • Mean of quarter 3
    1.00073
  • Mean of quarter 4
    1.01995
  • Inter Quartile Range
    0.00332
  • Number outliers low
    32.00000
  • Percentage of outliers low
    0.12076
  • Mean of outliers low
    0.98007
  • Number of outliers high
    43.00000
  • Percentage of outliers high
    0.16226
  • Mean of outliers high
    1.02792
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.61871
  • VaR(95%) (moments method)
    0.00544
  • Expected Shortfall (moments method)
    0.01786
  • Extreme Value Index (regression method)
    0.38553
  • VaR(95%) (regression method)
    0.00994
  • Expected Shortfall (regression method)
    0.02326
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    18.00000
  • Minimum
    0.00008
  • Quartile 1
    0.00299
  • Median
    0.01247
  • Quartile 3
    0.03991
  • Maximum
    0.15833
  • Mean of quarter 1
    0.00096
  • Mean of quarter 2
    0.00935
  • Mean of quarter 3
    0.02051
  • Mean of quarter 4
    0.08720
  • Inter Quartile Range
    0.03692
  • 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
    0.11111
  • Mean of outliers high
    0.13175
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.96192
  • VaR(95%) (moments method)
    0.09241
  • Expected Shortfall (moments method)
    0.10028
  • Extreme Value Index (regression method)
    -0.07066
  • VaR(95%) (regression method)
    0.13508
  • Expected Shortfall (regression method)
    0.18490
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.83082
  • Compounded annual return (geometric extrapolation)
    0.82767
  • Calmar ratio (compounded annual return / max draw down)
    5.22748
  • Compounded annual return / average of 25% largest draw downs
    9.49179
  • Compounded annual return / Expected Shortfall lognormal
    25.98690
  • 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
    0.49584
  • SD
    0.22282
  • Sharpe ratio (Glass type estimate)
    2.22524
  • Sharpe ratio (Hedges UMVUE)
    2.21237
  • df
    130.00000
  • t
    1.57348
  • p
    0.43165
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.56386
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.00597
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.57245
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.99719
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.84266
  • Upside Potential Ratio
    8.52993
  • Upside part of mean
    1.10066
  • Downside part of mean
    -0.60482
  • Upside SD
    0.18319
  • Downside SD
    0.12903
  • N nonnegative terms
    47.00000
  • N negative terms
    84.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.24926
  • Mean of criterion
    0.49584
  • SD of predictor
    0.13927
  • SD of criterion
    0.22282
  • Covariance
    0.00303
  • r
    0.09754
  • b (slope, estimate of beta)
    0.15605
  • a (intercept, estimate of alpha)
    0.45694
  • Mean Square Error
    0.04956
  • DF error
    129.00000
  • t(b)
    1.11311
  • p(b)
    0.43800
  • t(a)
    1.44252
  • p(a)
    0.42000
  • Lowerbound of 95% confidence interval for beta
    -0.12133
  • Upperbound of 95% confidence interval for beta
    0.43343
  • Lowerbound of 95% confidence interval for alpha
    -0.16979
  • Upperbound of 95% confidence interval for alpha
    1.08366
  • Treynor index (mean / b)
    3.17734
  • Jensen alpha (a)
    0.45694
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.47082
  • SD
    0.22214
  • Sharpe ratio (Glass type estimate)
    2.11950
  • Sharpe ratio (Hedges UMVUE)
    2.10725
  • df
    130.00000
  • t
    1.49872
  • p
    0.43484
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.66825
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.89926
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.67636
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.89087
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.54114
  • Upside Potential Ratio
    8.15479
  • Upside part of mean
    1.08424
  • Downside part of mean
    -0.61342
  • Upside SD
    0.17927
  • Downside SD
    0.13296
  • N nonnegative terms
    47.00000
  • N negative terms
    84.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.23946
  • Mean of criterion
    0.47082
  • SD of predictor
    0.13961
  • SD of criterion
    0.22214
  • Covariance
    0.00292
  • r
    0.09421
  • b (slope, estimate of beta)
    0.14990
  • a (intercept, estimate of alpha)
    0.43493
  • Mean Square Error
    0.04929
  • DF error
    129.00000
  • t(b)
    1.07480
  • p(b)
    0.44011
  • t(a)
    1.37751
  • p(a)
    0.42354
  • VAR (95 Confidence Intrvl)
    0.02500
  • Lowerbound of 95% confidence interval for beta
    -0.12604
  • Upperbound of 95% confidence interval for beta
    0.42584
  • Lowerbound of 95% confidence interval for alpha
    -0.18976
  • Upperbound of 95% confidence interval for alpha
    1.05961
  • Treynor index (mean / b)
    3.14092
  • Jensen alpha (a)
    0.43493
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02056
  • Expected Shortfall on VaR
    0.02615
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00606
  • Expected Shortfall on VaR
    0.01342
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.92365
  • Quartile 1
    0.99949
  • Median
    1.00000
  • Quartile 3
    1.00270
  • Maximum
    1.06868
  • Mean of quarter 1
    0.99115
  • Mean of quarter 2
    0.99996
  • Mean of quarter 3
    1.00052
  • Mean of quarter 4
    1.01632
  • Inter Quartile Range
    0.00321
  • Number outliers low
    17.00000
  • Percentage of outliers low
    0.12977
  • Mean of outliers low
    0.98488
  • Number of outliers high
    20.00000
  • Percentage of outliers high
    0.15267
  • Mean of outliers high
    1.02362
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.04106
  • VaR(95%) (moments method)
    0.00378
  • Expected Shortfall (moments method)
    0.00585
  • Extreme Value Index (regression method)
    -0.16511
  • VaR(95%) (regression method)
    0.00791
  • Expected Shortfall (regression method)
    0.01146
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.00226
  • Quartile 1
    0.01113
  • Median
    0.01306
  • Quartile 3
    0.03640
  • Maximum
    0.10517
  • Mean of quarter 1
    0.00753
  • Mean of quarter 2
    0.01247
  • Mean of quarter 3
    0.03006
  • Mean of quarter 4
    0.07312
  • Inter Quartile Range
    0.02527
  • 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
    0.11111
  • Mean of outliers high
    0.10517
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.30046
  • VaR(95%) (moments method)
    0.07688
  • Expected Shortfall (moments method)
    0.12502
  • Extreme Value Index (regression method)
    2.77503
  • VaR(95%) (regression method)
    0.19338
  • 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?
    -324928000
  • Max Equity Drawdown (num days)
    13
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.56642
  • Compounded annual return (geometric extrapolation)
    0.64662
  • Calmar ratio (compounded annual return / max draw down)
    6.14847
  • Compounded annual return / average of 25% largest draw downs
    8.84285
  • Compounded annual return / Expected Shortfall lognormal
    24.72750

Strategy Description

Summary Statistics

Strategy began
2022-12-27
Suggested Minimum Capital
$1,800,000
Rank at C2 %
Top 0.6%
Rank # 
#5
# Trades
99
# Profitable
57
% Profitable
57.6%
Correlation S&P500
-0.033
Sharpe Ratio
1.70
Sortino Ratio
2.93
Beta
-0.07
Alpha
0.15
Leverage
0.61 Average
2.30 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.