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

MegaSwing
(134964093)

Created by: LeoA LeoA
Started: 04/2021
Stocks
Last trade: 4 days ago
Trading style: Equity Event-driven

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

Subscription terms. You can subscribe to this system for free.

C2Star

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

You can read more about C2Star certification requirements here.

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

Trading Category: Equity
Event-driven
Category: Equity

Event-driven

Seeks to exploit pricing inefficiencies that may occur before or after a corporate event, such as an earnings call, bankruptcy, merger, acquisition, or spinoff.
224.2%
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.

(27.2%)
Max Drawdown
121
Num Trades
77.7%
Win Trades
4.4 : 1
Profit Factor
87.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2021                     +52.4%+14.3%+62.2%+10.5%+10.6%+13.1%+0.6%+3.2%+1.0%+309.4%
2022+2.1%+0.2%(1.1%)+1.3%+1.1%+4.3%(0.3%)                              +7.8%

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 29 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
5/13/22 9:30 KPLT KATAPULT HOLDINGS INC SHORT 1,600 1.35 6/28 11:24 1.21 0.44%
Trade id #140464932
Max drawdown($928)
Time6/8/22 0:00
Quant open1,600
Worst price1.93
Drawdown as % of equity-0.44%
$219
Includes Typical Broker Commissions trade costs of $5.00
5/26/22 11:39 WEBR WEBER INC SHORT 410 7.41 6/27 14:48 8.26 0.9%
Trade id #140607227
Max drawdown($1,984)
Time6/23/22 0:00
Quant open410
Worst price12.25
Drawdown as % of equity-0.90%
($356)
Includes Typical Broker Commissions trade costs of $8.20
5/12/22 13:20 U UNITY SOFTWARE INC SHORT 70 34.04 6/16 9:33 33.40 0.43%
Trade id #140457240
Max drawdown($915)
Time6/8/22 0:00
Quant open70
Worst price47.12
Drawdown as % of equity-0.43%
$44
Includes Typical Broker Commissions trade costs of $1.40
5/12/22 12:57 CZOO CAZOO GROUP LTD SHORT 1,500 1.34 6/14 15:10 0.93 0.18%
Trade id #140456825
Max drawdown($382)
Time5/19/22 0:00
Quant open1,500
Worst price1.59
Drawdown as % of equity-0.18%
$606
Includes Typical Broker Commissions trade costs of $5.00
5/16/22 9:35 DBD DIEBOLD INC SHORT 900 3.46 6/13 15:56 2.47 0.02%
Trade id #140485371
Max drawdown($49)
Time5/16/22 9:42
Quant open900
Worst price3.52
Drawdown as % of equity-0.02%
$886
Includes Typical Broker Commissions trade costs of $5.00
5/23/22 12:52 AVPT AVEPOINT INC SHORT 550 5.42 6/13 15:49 4.78 0.18%
Trade id #140568331
Max drawdown($390)
Time6/6/22 0:00
Quant open550
Worst price6.13
Drawdown as % of equity-0.18%
$348
Includes Typical Broker Commissions trade costs of $5.00
5/12/22 12:59 SIDU SIDUS SPACE INC. CLASS A COMMON STOCK SHORT 1,500 1.45 6/13 15:17 1.41 0.32%
Trade id #140456877
Max drawdown($675)
Time6/2/22 0:00
Quant open1,500
Worst price1.90
Drawdown as % of equity-0.32%
$60
Includes Typical Broker Commissions trade costs of $5.00
8/3/21 10:33 LMFA LM FUNDING AMERICA INC. COMMON STOCK SHORT 600 4.17 6/13/22 12:12 0.94 1.08%
Trade id #136804423
Max drawdown($2,082)
Time11/8/21 0:00
Quant open600
Worst price7.64
Drawdown as % of equity-1.08%
$1,934
Includes Typical Broker Commissions trade costs of $5.00
8/10/21 14:22 SDC SMILEDIRECTCLUB INC. SHORT 500 5.11 6/10/22 14:41 1.24 0.67%
Trade id #136906928
Max drawdown($1,155)
Time9/17/21 0:00
Quant open500
Worst price7.42
Drawdown as % of equity-0.67%
$1,927
Includes Typical Broker Commissions trade costs of $10.00
8/10/21 14:00 AIN ALBANY INTERNATIONAL SHORT 15 77.40 6/10/22 14:30 81.59 0.1%
Trade id #136906524
Max drawdown($211)
Time1/7/22 0:00
Quant open15
Worst price91.53
Drawdown as % of equity-0.10%
($63)
Includes Typical Broker Commissions trade costs of $0.30
8/16/21 14:20 JRJCY CHINA FINANCE ONLINE SHORT 500 5.05 6/10/22 14:24 1.47 1.45%
Trade id #136986645
Max drawdown($2,789)
Time10/21/21 0:00
Quant open500
Worst price10.63
Drawdown as % of equity-1.45%
$1,780
Includes Typical Broker Commissions trade costs of $10.00
8/20/21 15:21 CDK CDK GLOBAL INC. COMMON STOCK SHORT 50 40.09 6/10/22 14:20 54.57 0.34%
Trade id #137060998
Max drawdown($731)
Time6/10/22 9:30
Quant open50
Worst price54.72
Drawdown as % of equity-0.34%
($725)
Includes Typical Broker Commissions trade costs of $1.00
5/16/22 9:42 UPST UPSTART HOLDINGS INC. COMMON STOCK SHORT 50 40.00 6/10 14:15 38.05 0.34%
Trade id #140485781
Max drawdown($737)
Time5/19/22 0:00
Quant open50
Worst price54.75
Drawdown as % of equity-0.34%
$97
Includes Typical Broker Commissions trade costs of $1.00
8/5/21 11:39 TELL TELLURIAN INC SHORT 1,000 3.09 6/10/22 14:14 4.08 1.66%
Trade id #136844048
Max drawdown($3,445)
Time4/1/22 0:00
Quant open1,000
Worst price6.54
Drawdown as % of equity-1.66%
($994)
Includes Typical Broker Commissions trade costs of $5.00
5/12/22 13:11 XELA EXELA TECHNOLOGIES INC SHORT 5,500 0.27 5/25 9:47 0.23 0.17%
Trade id #140457102
Max drawdown($368)
Time5/17/22 0:00
Quant open5,500
Worst price0.34
Drawdown as % of equity-0.17%
$231
Includes Typical Broker Commissions trade costs of $5.00
8/10/21 14:25 LOTZ CARLOTZ INC SHORT 600 4.11 5/25/22 9:30 0.48 0.2%
Trade id #136906990
Max drawdown($384)
Time11/2/21 0:00
Quant open600
Worst price4.75
Drawdown as % of equity-0.20%
$2,173
Includes Typical Broker Commissions trade costs of $5.00
8/10/21 14:23 FNHC FEDERATED NATIONAL SHORT 500 2.16 5/24/22 10:15 0.33 0.28%
Trade id #136906957
Max drawdown($495)
Time8/16/21 0:00
Quant open500
Worst price3.15
Drawdown as % of equity-0.28%
$905
Includes Typical Broker Commissions trade costs of $10.00
8/5/21 11:39 AEI ALSET EHOME INTERNATIONAL INC SHORT 1,500 2.02 5/20/22 11:59 0.30 1.22%
Trade id #136844042
Max drawdown($2,099)
Time9/16/21 0:00
Quant open1,500
Worst price3.42
Drawdown as % of equity-1.22%
$2,575
Includes Typical Broker Commissions trade costs of $5.00
5/16/22 9:47 SYSX SYSOREX INC COMMON STOCK SHORT 25,000 0.08 5/18 15:16 0.06 0.01%
Trade id #140486058
Max drawdown($22)
Time5/16/22 10:39
Quant open25,000
Worst price0.08
Drawdown as % of equity-0.01%
$595
Includes Typical Broker Commissions trade costs of $5.00
8/16/21 14:17 SWIR SIERRA WIRELESS SHORT 150 16.26 5/10/22 10:50 15.34 0.27%
Trade id #136986612
Max drawdown($559)
Time3/2/22 0:00
Quant open150
Worst price19.99
Drawdown as % of equity-0.27%
$135
Includes Typical Broker Commissions trade costs of $3.00
8/10/21 14:02 ZNGA ZYNGA SHORT 300 7.99 5/9/22 11:31 7.75 0.2%
Trade id #136906559
Max drawdown($411)
Time4/5/22 0:00
Quant open300
Worst price9.36
Drawdown as % of equity-0.20%
$66
Includes Typical Broker Commissions trade costs of $6.00
8/2/21 10:40 XFLT XAI OCTAGON FLTNG RT & ALTERNATIVE INCOME TERM TRU SHORT 350 8.95 3/11/22 11:45 8.65 0.13%
Trade id #136785373
Max drawdown($269)
Time2/9/22 0:00
Quant open350
Worst price9.72
Drawdown as % of equity-0.13%
$98
Includes Typical Broker Commissions trade costs of $7.00
8/2/21 10:43 IRT INDEPENDENCE REALTY TRUST INC SHORT 160 19.70 3/7/22 15:20 26.90 0.58%
Trade id #136785445
Max drawdown($1,210)
Time3/7/22 10:05
Quant open160
Worst price27.27
Drawdown as % of equity-0.58%
($1,155)
Includes Typical Broker Commissions trade costs of $3.20
7/26/21 10:45 NVFY NOVA LIFESTYLE INC. COMMON ST SHORT 1,300 2.28 11/30 11:48 1.88 0.29%
Trade id #136677507
Max drawdown($558)
Time10/22/21 0:00
Quant open1,300
Worst price2.71
Drawdown as % of equity-0.29%
$515
Includes Typical Broker Commissions trade costs of $5.00
9/28/21 13:00 COPHF CRESO PHARMA LTD LONG 500,000 0.08 9/30 15:21 0.10 0.63%
Trade id #137566129
Max drawdown($1,150)
Time9/29/21 0:00
Quant open500,000
Worst price0.07
Drawdown as % of equity-0.63%
$12,245
Includes Typical Broker Commissions trade costs of $5.00
8/10/21 14:05 BAOS BAOSHENG MEDIA GROUP HOLDINGS LIMITED ORDINARY SHA SHORT 750 2.16 9/28 15:39 1.85 0.12%
Trade id #136906638
Max drawdown($202)
Time8/27/21 0:00
Quant open750
Worst price2.43
Drawdown as % of equity-0.12%
$228
Includes Typical Broker Commissions trade costs of $5.00
8/16/21 14:34 PSFE PAYSAFE LTD SHORT 250 8.61 9/28 15:38 7.80 0.11%
Trade id #136986829
Max drawdown($187)
Time9/7/21 0:00
Quant open250
Worst price9.36
Drawdown as % of equity-0.11%
$198
Includes Typical Broker Commissions trade costs of $5.00
8/10/21 14:21 WTRH WAITR HOLDINGS INC SHORT 850 1.25 9/28 15:38 0.96 0.11%
Trade id #136906896
Max drawdown($187)
Time9/1/21 0:00
Quant open850
Worst price1.47
Drawdown as % of equity-0.11%
$246
Includes Typical Broker Commissions trade costs of $5.00
8/3/21 10:14 TDOC TELADOC HEALTH INC SHORT 17 147.74 9/28 15:37 130.95 0.07%
Trade id #136803301
Max drawdown($110)
Time8/5/21 0:00
Quant open17
Worst price154.22
Drawdown as % of equity-0.07%
$285
Includes Typical Broker Commissions trade costs of $0.34
8/10/21 14:03 FROG JFROG LTD. ORDINARY SHARES SHORT 65 37.84 9/28 15:37 33.81 0.06%
Trade id #136906605
Max drawdown($100)
Time8/27/21 0:00
Quant open65
Worst price39.38
Drawdown as % of equity-0.06%
$261
Includes Typical Broker Commissions trade costs of $1.30

Statistics

  • Strategy began
    4/1/2021
  • Suggested Minimum Cap
    $5,000
  • Strategy Age (days)
    457.05
  • Age
    15 months ago
  • What it trades
    Stocks
  • # Trades
    121
  • # Profitable
    94
  • % Profitable
    77.70%
  • Avg trade duration
    57.4 days
  • Max peak-to-valley drawdown
    27.17%
  • drawdown period
    May 13, 2021 - June 17, 2021
  • Annual Return (Compounded)
    224.2%
  • Avg win
    $2,366
  • Avg loss
    $1,871
  • Model Account Values (Raw)
  • Cash
    $268,854
  • Margin Used
    $90,600
  • Buying Power
    $188,968
  • Ratios
  • W:L ratio
    4.40:1
  • Sharpe Ratio
    2.26
  • Sortino Ratio
    6.05
  • Calmar Ratio
    9.692
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    346.07%
  • Correlation to SP500
    -0.01800
  • Return Percent SP500 (cumu) during strategy life
    -4.84%
  • Return Statistics
  • Ann Return (w trading costs)
    224.2%
  • Slump
  • Current Slump as Pcnt Equity
    2.80%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.07%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    2.242%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    227.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    34.50%
  • Chance of 20% account loss
    16.50%
  • Chance of 30% account loss
    4.00%
  • Chance of 40% account loss
    0.50%
  • 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
    0.50%
  • Popularity
  • Popularity (Today)
    965
  • Popularity (Last 6 weeks)
    991
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    975
  • Popularity (7 days, Percentile 1000 scale)
    966
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $1,872
  • Avg Win
    $2,367
  • Sum Trade PL (losers)
    $50,535.000
  • Age
  • Num Months filled monthly returns table
    16
  • Win / Loss
  • Sum Trade PL (winners)
    $222,492.000
  • # Winners
    94
  • Num Months Winners
    14
  • Dividends
  • Dividends Received in Model Acct
    -265
  • AUM
  • AUM (AutoTrader live capital)
    1647530
  • Win / Loss
  • # Losers
    27
  • % Winners
    77.7%
  • Frequency
  • Avg Position Time (mins)
    82721.60
  • Avg Position Time (hrs)
    1378.69
  • Avg Trade Length
    57.4 days
  • Last Trade Ago
    5
  • Leverage
  • Daily leverage (average)
    0.47
  • Daily leverage (max)
    2.10
  • Regression
  • Alpha
    0.36
  • Beta
    -0.05
  • Treynor Index
    -7.25
  • 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)
    1.12
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.03
  • Avg(MAE) / Avg(PL) - All trades
    2.246
  • 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
    0.498
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.621
  • Hold-and-Hope Ratio
    0.469
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.56728
  • SD
    0.78020
  • Sharpe ratio (Glass type estimate)
    2.00882
  • Sharpe ratio (Hedges UMVUE)
    1.89026
  • df
    13.00000
  • t
    2.16977
  • p
    0.18693
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00738
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.94533
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.06437
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.84490
  • Statistics related to Sortino ratio
  • Sortino ratio
    82.88200
  • Upside Potential Ratio
    84.01790
  • Upside part of mean
    1.58876
  • Downside part of mean
    -0.02148
  • Upside SD
    0.87725
  • Downside SD
    0.01891
  • N nonnegative terms
    11.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    14.00000
  • Mean of predictor
    -0.08857
  • Mean of criterion
    1.56728
  • SD of predictor
    0.19355
  • SD of criterion
    0.78020
  • Covariance
    0.04420
  • r
    0.29272
  • b (slope, estimate of beta)
    1.17994
  • a (intercept, estimate of alpha)
    1.67178
  • Mean Square Error
    0.60293
  • DF error
    12.00000
  • t(b)
    1.06045
  • p(b)
    0.35364
  • t(a)
    2.30396
  • p(a)
    0.22310
  • Lowerbound of 95% confidence interval for beta
    -1.24439
  • Upperbound of 95% confidence interval for beta
    3.60428
  • Lowerbound of 95% confidence interval for alpha
    0.09081
  • Upperbound of 95% confidence interval for alpha
    3.25276
  • Treynor index (mean / b)
    1.32827
  • Jensen alpha (a)
    1.67178
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.28828
  • SD
    0.59566
  • Sharpe ratio (Glass type estimate)
    2.16277
  • Sharpe ratio (Hedges UMVUE)
    2.03513
  • df
    13.00000
  • t
    2.33606
  • p
    0.17175
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.13619
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.12110
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.05912
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.01114
  • Statistics related to Sortino ratio
  • Sortino ratio
    67.64160
  • Upside Potential Ratio
    68.77630
  • Upside part of mean
    1.30989
  • Downside part of mean
    -0.02161
  • Upside SD
    0.68368
  • Downside SD
    0.01905
  • N nonnegative terms
    11.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    14.00000
  • Mean of predictor
    -0.10671
  • Mean of criterion
    1.28828
  • SD of predictor
    0.19831
  • SD of criterion
    0.59566
  • Covariance
    0.03336
  • r
    0.28242
  • b (slope, estimate of beta)
    0.84831
  • a (intercept, estimate of alpha)
    1.37880
  • Mean Square Error
    0.35372
  • DF error
    12.00000
  • t(b)
    1.01984
  • p(b)
    0.35879
  • t(a)
    2.47214
  • p(a)
    0.20955
  • Lowerbound of 95% confidence interval for beta
    -0.96404
  • Upperbound of 95% confidence interval for beta
    2.66065
  • Lowerbound of 95% confidence interval for alpha
    0.16360
  • Upperbound of 95% confidence interval for alpha
    2.59401
  • Treynor index (mean / b)
    1.51865
  • Jensen alpha (a)
    1.37880
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.16095
  • Expected Shortfall on VaR
    0.21757
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00204
  • Expected Shortfall on VaR
    0.00544
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    14.00000
  • Minimum
    0.98255
  • Quartile 1
    1.00903
  • Median
    1.04472
  • Quartile 3
    1.12408
  • Maximum
    1.70432
  • Mean of quarter 1
    0.99657
  • Mean of quarter 2
    1.03194
  • Mean of quarter 3
    1.07109
  • Mean of quarter 4
    1.39144
  • Inter Quartile Range
    0.11505
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.14286
  • Mean of outliers high
    1.65013
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.57072
  • VaR(95%) (regression method)
    0.01440
  • Expected Shortfall (regression method)
    0.05465
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.00278
  • Quartile 1
    0.00645
  • Median
    0.01011
  • Quartile 3
    0.01378
  • Maximum
    0.01745
  • Mean of quarter 1
    0.00278
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.01745
  • Inter Quartile Range
    0.00733
  • 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)
    3.12333
  • Compounded annual return (geometric extrapolation)
    2.72917
  • Calmar ratio (compounded annual return / max draw down)
    156.43500
  • Compounded annual return / average of 25% largest draw downs
    156.43500
  • Compounded annual return / Expected Shortfall lognormal
    12.54380
  • 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
    1.34760
  • SD
    0.47988
  • Sharpe ratio (Glass type estimate)
    2.80819
  • Sharpe ratio (Hedges UMVUE)
    2.80152
  • df
    316.00000
  • t
    3.08891
  • p
    0.00109
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.01079
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.60127
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.00634
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.59669
  • Statistics related to Sortino ratio
  • Sortino ratio
    8.71050
  • Upside Potential Ratio
    14.87160
  • Upside part of mean
    2.30078
  • Downside part of mean
    -0.95318
  • Upside SD
    0.46104
  • Downside SD
    0.15471
  • N nonnegative terms
    181.00000
  • N negative terms
    136.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    317.00000
  • Mean of predictor
    -0.05292
  • Mean of criterion
    1.34760
  • SD of predictor
    0.17875
  • SD of criterion
    0.47988
  • Covariance
    -0.00322
  • r
    -0.03755
  • b (slope, estimate of beta)
    -0.10081
  • a (intercept, estimate of alpha)
    1.34200
  • Mean Square Error
    0.23069
  • DF error
    315.00000
  • t(b)
    -0.66690
  • p(b)
    0.74734
  • t(a)
    3.07346
  • p(a)
    0.00115
  • Lowerbound of 95% confidence interval for beta
    -0.39821
  • Upperbound of 95% confidence interval for beta
    0.19660
  • Lowerbound of 95% confidence interval for alpha
    0.48299
  • Upperbound of 95% confidence interval for alpha
    2.20153
  • Treynor index (mean / b)
    -13.36810
  • Jensen alpha (a)
    1.34226
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.24024
  • SD
    0.44646
  • Sharpe ratio (Glass type estimate)
    2.77796
  • Sharpe ratio (Hedges UMVUE)
    2.77136
  • df
    316.00000
  • t
    3.05566
  • p
    0.00122
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.98090
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.57076
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.97647
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.56626
  • Statistics related to Sortino ratio
  • Sortino ratio
    7.84177
  • Upside Potential Ratio
    13.94580
  • Upside part of mean
    2.20564
  • Downside part of mean
    -0.96540
  • Upside SD
    0.42374
  • Downside SD
    0.15816
  • N nonnegative terms
    181.00000
  • N negative terms
    136.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    317.00000
  • Mean of predictor
    -0.06891
  • Mean of criterion
    1.24024
  • SD of predictor
    0.17929
  • SD of criterion
    0.44646
  • Covariance
    -0.00328
  • r
    -0.04097
  • b (slope, estimate of beta)
    -0.10203
  • a (intercept, estimate of alpha)
    1.23321
  • Mean Square Error
    0.19962
  • DF error
    315.00000
  • t(b)
    -0.72778
  • p(b)
    0.76636
  • t(a)
    3.03522
  • p(a)
    0.00130
  • Lowerbound of 95% confidence interval for beta
    -0.37785
  • Upperbound of 95% confidence interval for beta
    0.17380
  • Lowerbound of 95% confidence interval for alpha
    0.43381
  • Upperbound of 95% confidence interval for alpha
    2.03262
  • Treynor index (mean / b)
    -12.15600
  • Jensen alpha (a)
    1.23321
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03982
  • Expected Shortfall on VaR
    0.05077
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00738
  • Expected Shortfall on VaR
    0.01627
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    317.00000
  • Minimum
    0.92231
  • Quartile 1
    0.99724
  • Median
    1.00072
  • Quartile 3
    1.00511
  • Maximum
    1.28074
  • Mean of quarter 1
    0.98653
  • Mean of quarter 2
    0.99935
  • Mean of quarter 3
    1.00272
  • Mean of quarter 4
    1.03264
  • Inter Quartile Range
    0.00787
  • Number outliers low
    29.00000
  • Percentage of outliers low
    0.09148
  • Mean of outliers low
    0.97345
  • Number of outliers high
    38.00000
  • Percentage of outliers high
    0.11987
  • Mean of outliers high
    1.05701
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.58722
  • VaR(95%) (moments method)
    0.01190
  • Expected Shortfall (moments method)
    0.03322
  • Extreme Value Index (regression method)
    0.26849
  • VaR(95%) (regression method)
    0.01195
  • Expected Shortfall (regression method)
    0.02155
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    23.00000
  • Minimum
    0.00002
  • Quartile 1
    0.00673
  • Median
    0.01172
  • Quartile 3
    0.03534
  • Maximum
    0.26354
  • Mean of quarter 1
    0.00387
  • Mean of quarter 2
    0.00976
  • Mean of quarter 3
    0.02830
  • Mean of quarter 4
    0.09627
  • Inter Quartile Range
    0.02861
  • 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
    0.08696
  • Mean of outliers high
    0.18193
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.41086
  • VaR(95%) (moments method)
    0.10258
  • Expected Shortfall (moments method)
    0.20010
  • Extreme Value Index (regression method)
    0.89021
  • VaR(95%) (regression method)
    0.13072
  • Expected Shortfall (regression method)
    1.10552
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    3.00710
  • Compounded annual return (geometric extrapolation)
    2.55426
  • Calmar ratio (compounded annual return / max draw down)
    9.69216
  • Compounded annual return / average of 25% largest draw downs
    26.53090
  • Compounded annual return / Expected Shortfall lognormal
    50.30670
  • 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
    0.12561
  • SD
    0.09700
  • Sharpe ratio (Glass type estimate)
    1.29492
  • Sharpe ratio (Hedges UMVUE)
    1.28743
  • df
    130.00000
  • t
    0.91565
  • p
    0.45998
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.48377
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.06878
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.48879
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.06365
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.90666
  • Upside Potential Ratio
    8.58454
  • Upside part of mean
    0.56555
  • Downside part of mean
    -0.43994
  • Upside SD
    0.07112
  • Downside SD
    0.06588
  • N nonnegative terms
    74.00000
  • N negative terms
    57.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.37733
  • Mean of criterion
    0.12561
  • SD of predictor
    0.23741
  • SD of criterion
    0.09700
  • Covariance
    -0.00933
  • r
    -0.40528
  • b (slope, estimate of beta)
    -0.16559
  • a (intercept, estimate of alpha)
    0.06313
  • Mean Square Error
    0.00792
  • DF error
    129.00000
  • t(b)
    -5.03512
  • p(b)
    0.75076
  • t(a)
    0.49900
  • p(a)
    0.47207
  • Lowerbound of 95% confidence interval for beta
    -0.23066
  • Upperbound of 95% confidence interval for beta
    -0.10052
  • Lowerbound of 95% confidence interval for alpha
    -0.18717
  • Upperbound of 95% confidence interval for alpha
    0.31342
  • Treynor index (mean / b)
    -0.75855
  • Jensen alpha (a)
    0.06313
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.12090
  • SD
    0.09701
  • Sharpe ratio (Glass type estimate)
    1.24630
  • Sharpe ratio (Hedges UMVUE)
    1.23910
  • df
    130.00000
  • t
    0.88127
  • p
    0.46147
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.53194
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.01995
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.53679
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.01500
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.82197
  • Upside Potential Ratio
    8.48414
  • Upside part of mean
    0.56298
  • Downside part of mean
    -0.44208
  • Upside SD
    0.07065
  • Downside SD
    0.06636
  • N nonnegative terms
    74.00000
  • N negative terms
    57.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.40568
  • Mean of criterion
    0.12090
  • SD of predictor
    0.23822
  • SD of criterion
    0.09701
  • Covariance
    -0.00936
  • r
    -0.40516
  • b (slope, estimate of beta)
    -0.16499
  • a (intercept, estimate of alpha)
    0.05397
  • Mean Square Error
    0.00793
  • DF error
    129.00000
  • t(b)
    -5.03337
  • p(b)
    0.75069
  • t(a)
    0.42625
  • p(a)
    0.47613
  • VAR (95 Confidence Intrvl)
    0.04000
  • Lowerbound of 95% confidence interval for beta
    -0.22984
  • Upperbound of 95% confidence interval for beta
    -0.10013
  • Lowerbound of 95% confidence interval for alpha
    -0.19653
  • Upperbound of 95% confidence interval for alpha
    0.30447
  • Treynor index (mean / b)
    -0.73279
  • Jensen alpha (a)
    0.05397
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00935
  • Expected Shortfall on VaR
    0.01183
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00347
  • Expected Shortfall on VaR
    0.00744
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97800
  • Quartile 1
    0.99858
  • Median
    1.00041
  • Quartile 3
    1.00258
  • Maximum
    1.02266
  • Mean of quarter 1
    0.99398
  • Mean of quarter 2
    0.99961
  • Mean of quarter 3
    1.00142
  • Mean of quarter 4
    1.00736
  • Inter Quartile Range
    0.00400
  • Number outliers low
    9.00000
  • Percentage of outliers low
    0.06870
  • Mean of outliers low
    0.98653
  • Number of outliers high
    10.00000
  • Percentage of outliers high
    0.07634
  • Mean of outliers high
    1.01318
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.49693
  • VaR(95%) (moments method)
    0.00545
  • Expected Shortfall (moments method)
    0.01269
  • Extreme Value Index (regression method)
    0.47463
  • VaR(95%) (regression method)
    0.00550
  • Expected Shortfall (regression method)
    0.01234
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00640
  • Quartile 1
    0.00921
  • Median
    0.01172
  • Quartile 3
    0.02717
  • Maximum
    0.03919
  • Mean of quarter 1
    0.00668
  • Mean of quarter 2
    0.01160
  • Mean of quarter 3
    0.02709
  • Mean of quarter 4
    0.03322
  • Inter Quartile Range
    0.01795
  • 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
    0.25%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -326111000
  • Max Equity Drawdown (num days)
    35
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.15448
  • Compounded annual return (geometric extrapolation)
    0.16045
  • Calmar ratio (compounded annual return / max draw down)
    4.09403
  • Compounded annual return / average of 25% largest draw downs
    4.83058
  • Compounded annual return / Expected Shortfall lognormal
    13.56560

Strategy Description

Summary Statistics

Strategy began
2021-04-01
Suggested Minimum Capital
$5,000
Rank at C2 %
Top 2.5%
Rank # 
#19
# Trades
121
# Profitable
94
% Profitable
77.7%
Net Dividends
Correlation S&P500
-0.018
Sharpe Ratio
2.26
Sortino Ratio
6.05
Beta
-0.05
Alpha
0.36
Leverage
0.47 Average
2.10 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.