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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 04/29/2024
Most recent certification approved 4/29/24 14:02 ET
Trades at broker Interactive Brokers (Server 4)
Scaling percentage used 100%
# trading signals issued by system since certification 40
# trading signals executed in manager's Interactive Brokers (Server 4) account 40
Percent signals followed since 04/29/2024 100%
This information was last updated 6/16/24 2:54 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 04/29/2024, 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.

Easiest
(144065368)

Created by: PatienceToInvest_com PatienceToInvest_com
Started: 03/2023
Stocks
Last trade: 12 days ago
Trading style: Equity Trend-following

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 $59.00 per month.

C2Star

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

You can read more about C2Star certification requirements here.

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

Trading Category: Equity
Trend-following
Category: Equity

Trend-following

Tries to take advantage of long, medium or short-term moves that seem to play out in various markets. Typically, trend-following analysis is backward looking; that is, it attempts to recognize and profit from already-established trends.
103.8%
Annual Return (Compounded)

Rate of Return Calculations

Overview

To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.

How Annualized (Compounded) Rate of Return is calculated

= ((Ending_equity / Starting_equity) ^ (1 / age_in_years)) - 1

Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.

All results are hypothetical.

(16.4%)
Max Drawdown
30
Num Trades
60.0%
Win Trades
20.9 : 1
Profit Factor
81.2%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2023              +7.1%+9.9%+0.9%+26.6%+4.3%(3.5%)(6.5%)+3.9%+24.7%+11.0%+103.3%
2024+0.8%+12.0%+1.3%(3.4%)+2.8%+4.1%                                    +18.2%

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.

System developer has asked us to delay this information by 168 hours.

Trading Record

This strategy has placed 70 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
5/7/24 12:16 BITO PROSHARES BITCOIN STRATEGY ETF LONG 196 25.91 5/10 11:38 24.73 0.4%
Trade id #148112989
Max drawdown($252)
Time5/10/24 11:11
Quant open196
Worst price24.62
Drawdown as % of equity-0.40%
($234)
Includes Typical Broker Commissions trade costs of $3.92
5/7/24 12:16 TQQQ PROSHARES ULTRAPRO QQQ LONG 229 59.09 5/10 11:38 58.85 0.6%
Trade id #148112987
Max drawdown($376)
Time5/8/24 0:00
Quant open229
Worst price57.45
Drawdown as % of equity-0.60%
($59)
Includes Typical Broker Commissions trade costs of $4.58
5/7/24 12:16 SVIX VS TR -1X SHORT VIX FUTURES ETF LONG 318 42.74 5/10 11:38 43.58 0.07%
Trade id #148112984
Max drawdown($42)
Time5/7/24 15:18
Quant open318
Worst price42.61
Drawdown as % of equity-0.07%
$261
Includes Typical Broker Commissions trade costs of $6.36
2/23/24 12:47 SVIX VS TR -1X SHORT VIX FUTURES ETF LONG 539 39.41 4/30 11:59 40.17 3.27%
Trade id #147437048
Max drawdown($2,015)
Time4/19/24 0:00
Quant open433
Worst price34.61
Drawdown as % of equity-3.27%
$400
Includes Typical Broker Commissions trade costs of $10.78
2/23/24 12:47 TQQQ PROSHARES ULTRAPRO QQQ LONG 478 57.38 4/30 11:59 55.74 2.59%
Trade id #147437047
Max drawdown($1,598)
Time4/19/24 0:00
Quant open136
Worst price48.85
Drawdown as % of equity-2.59%
($796)
Includes Typical Broker Commissions trade costs of $9.56
2/23/24 12:47 BITO PROSHARES BITCOIN STRATEGY ETF LONG 271 26.45 4/30 11:59 26.70 0.02%
Trade id #147437046
Max drawdown($15)
Time2/23/24 15:24
Quant open166
Worst price24.10
Drawdown as % of equity-0.02%
$62
Includes Typical Broker Commissions trade costs of $5.42
1/22/24 15:58 BITO PROSHARES BITCOIN STRATEGY ETF LONG 763 19.39 2/23 12:21 24.20 1.03%
Trade id #147091230
Max drawdown($598)
Time1/23/24 0:00
Quant open763
Worst price18.61
Drawdown as % of equity-1.03%
$3,657
Includes Typical Broker Commissions trade costs of $5.00
11/30/23 15:29 SVIX VS TR -1X SHORT VIX FUTURES ETF LONG 753 34.22 2/23/24 12:21 39.61 1.08%
Trade id #146581607
Max drawdown($602)
Time12/20/23 0:00
Quant open753
Worst price33.42
Drawdown as % of equity-1.08%
$4,051
Includes Typical Broker Commissions trade costs of $10.03
11/30/23 15:29 TQQQ PROSHARES ULTRAPRO QQQ LONG 299 43.07 2/23/24 12:11 57.46 0.78%
Trade id #146581613
Max drawdown($400)
Time12/4/23 0:00
Quant open299
Worst price41.73
Drawdown as % of equity-0.78%
$4,298
Includes Typical Broker Commissions trade costs of $5.98
11/30/23 15:29 BITO PROSHARES BITCOIN STRATEGY ETF LONG 682 18.87 1/22/24 14:40 19.11 0.05%
Trade id #146581612
Max drawdown($27)
Time11/30/23 15:56
Quant open682
Worst price18.83
Drawdown as % of equity-0.05%
$159
Includes Typical Broker Commissions trade costs of $5.00
11/30/23 15:12: Rescaled downward to 45% of previous Model Account size
5/3/23 15:54 SVIX VS TR -1X SHORT VIX FUTURES ETF LONG 970.650000000 19.08 11/30 15:11 33.14 4.31%
Trade id #144518260
Max drawdown($1,291)
Time5/4/23 0:00
Quant open855
Worst price16.68
Drawdown as % of equity-4.31%
$13,637
Includes Typical Broker Commissions trade costs of $8.02
5/3/23 15:54 TQQQ PROSHARES ULTRAPRO QQQ LONG 197.100000000 26.93 11/30 15:11 43.12 0.43%
Trade id #144518259
Max drawdown($127)
Time5/4/23 0:00
Quant open197
Worst price26.28
Drawdown as % of equity-0.43%
$3,187
Includes Typical Broker Commissions trade costs of $3.94
5/1/23 15:51 BITO PROSHARES BITCOIN STRATEGY ETF LONG 1,049.850000000 15.35 11/30 15:11 18.04 6.39%
Trade id #144493906
Max drawdown($2,689)
Time9/11/23 0:00
Quant open1,050
Worst price12.79
Drawdown as % of equity-6.39%
$2,813
Includes Typical Broker Commissions trade costs of $11.54
5/2/23 15:49 SVIX VS TR -1X SHORT VIX FUTURES ETF LONG 1,674.900000000 18.47 5/3 15:34 18.07 1.04%
Trade id #144506435
Max drawdown($324)
Time5/3/23 15:34
Quant open754
Worst price18.04
Drawdown as % of equity-1.04%
($678)
Includes Typical Broker Commissions trade costs of $7.50
5/2/23 15:50 TQQQ PROSHARES ULTRAPRO QQQ LONG 387 27.37 5/3 15:32 26.92 0.25%
Trade id #144506442
Max drawdown($78)
Time5/3/23 15:32
Quant open174
Worst price26.92
Drawdown as % of equity-0.25%
($182)
Includes Typical Broker Commissions trade costs of $7.75
5/1/23 15:57 BIL SPDR BLOOMBERG 1-3 MONTH T-BILL LONG 247.500000000 91.45 5/3 15:23 91.42 0.01%
Trade id #144494079
Max drawdown($4)
Time5/2/23 0:00
Quant open112
Worst price91.41
Drawdown as % of equity-0.01%
($12)
Includes Typical Broker Commissions trade costs of $4.96
3/27/23 15:57 SVIX VS TR -1X SHORT VIX FUTURES ETF LONG 900 15.53 5/2 10:36 17.78 0.19%
Trade id #144085312
Max drawdown($52)
Time3/28/23 0:00
Quant open405
Worst price15.40
Drawdown as % of equity-0.19%
$2,020
Includes Typical Broker Commissions trade costs of $5.00
4/26/23 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 202.050000000 26.02 5/2 10:31 27.49 0.15%
Trade id #144427340
Max drawdown($46)
Time4/26/23 15:50
Quant open91
Worst price25.51
Drawdown as % of equity-0.15%
$293
Includes Typical Broker Commissions trade costs of $4.04
4/28/23 9:35 BIL SPDR BLOOMBERG 1-3 MONTH T-BILL SHORT 0.450000000 91.77 5/1 9:56 91.45 0%
Trade id #144462211
Max drawdown$0
Time4/28/23 9:38
Quant open0
Worst price91.78
Drawdown as % of equity0.00%
$0
4/27/23 13:40 TMF DIREXION DAILY 20-YR TREASURY BULL 3X SHRS LONG 1,080 8.47 5/1 9:30 8.63 0.09%
Trade id #144448648
Max drawdown($29)
Time4/27/23 14:02
Quant open486
Worst price8.41
Drawdown as % of equity-0.09%
$168
Includes Typical Broker Commissions trade costs of $5.00
3/27/23 15:58 BITO PROSHARES BITCOIN STRATEGY ETF LONG 567.900000000 16.61 5/1 9:30 16.55 0.48%
Trade id #144085367
Max drawdown($149)
Time4/24/23 0:00
Quant open256
Worst price16.03
Drawdown as % of equity-0.48%
($44)
Includes Typical Broker Commissions trade costs of $5.09
3/27/23 15:54 TQQQ PROSHARES ULTRAPRO QQQ LONG 225 25.38 4/25 12:00 25.84 0.39%
Trade id #144085050
Max drawdown($110)
Time3/28/23 0:00
Quant open101
Worst price24.29
Drawdown as % of equity-0.39%
$100
Includes Typical Broker Commissions trade costs of $4.50
4/20/23 14:48 SPXL DIREXION DAILY S&P500 BULL 3X LONG 90 73.59 4/25 9:47 73.00 0.07%
Trade id #144377394
Max drawdown($22)
Time4/21/23 0:00
Quant open40
Worst price73.04
Drawdown as % of equity-0.07%
($55)
Includes Typical Broker Commissions trade costs of $1.80
4/20/23 14:23 SPXL DIREXION DAILY S&P500 BULL 3X LONG 45 74.56 4/20 14:26 74.39 0.01%
Trade id #144377117
Max drawdown($3)
Time4/20/23 14:26
Quant open20
Worst price74.38
Drawdown as % of equity-0.01%
($9)
Includes Typical Broker Commissions trade costs of $0.90
4/20/23 14:08 SPXL DIREXION DAILY S&P500 BULL 3X LONG 90 74.58 4/20 14:19 74.45 0.02%
Trade id #144376994
Max drawdown($6)
Time4/20/23 14:19
Quant open40
Worst price74.42
Drawdown as % of equity-0.02%
($14)
Includes Typical Broker Commissions trade costs of $1.80
4/18/23 10:32 TMF DIREXION DAILY 20-YR TREASURY BULL 3X SHRS LONG 1,800 8.44 4/20 14:01 8.51 0.16%
Trade id #144350067
Max drawdown($52)
Time4/19/23 0:00
Quant open202
Worst price8.18
Drawdown as % of equity-0.16%
$111
Includes Typical Broker Commissions trade costs of $20.50

Statistics

  • Strategy began
    3/27/2023
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    446.52
  • Age
    15 months ago
  • What it trades
    Stocks
  • # Trades
    30
  • # Profitable
    18
  • % Profitable
    60.00%
  • Avg trade duration
    45.5 days
  • Max peak-to-valley drawdown
    16.35%
  • drawdown period
    Sept 14, 2023 - Oct 20, 2023
  • Annual Return (Compounded)
    103.8%
  • Avg win
    $2,192
  • Avg loss
    $169.83
  • Model Account Values (Raw)
  • Cash
    $44,225
  • Margin Used
    $0
  • Buying Power
    $48,361
  • Ratios
  • W:L ratio
    20.91:1
  • Sharpe Ratio
    2.32
  • Sortino Ratio
    3.58
  • Calmar Ratio
    7.22
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    103.81%
  • Correlation to SP500
    0.61430
  • Return Percent SP500 (cumu) during strategy life
    36.56%
  • Return Statistics
  • Ann Return (w trading costs)
    103.8%
  • Slump
  • Current Slump as Pcnt Equity
    0.80%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.01%
  • 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)
    1.038%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    107.2%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    21.00%
  • Chance of 20% account loss
    3.00%
  • 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
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    987
  • Popularity (Last 6 weeks)
    995
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    990
  • Popularity (7 days, Percentile 1000 scale)
    986
  • Trades-Own-System Certification
  • Trades Own System?
    Yes
  • TOS percent
    100%
  • Win / Loss
  • Avg Loss
    $170
  • Avg Win
    $2,193
  • Sum Trade PL (losers)
    $2,038.000
  • Age
  • Num Months filled monthly returns table
    16
  • Win / Loss
  • Sum Trade PL (winners)
    $39,468.000
  • # Winners
    18
  • Num Months Winners
    13
  • Dividends
  • Dividends Received in Model Acct
    3145
  • AUM
  • AUM (AutoTrader live capital)
    1214170
  • Win / Loss
  • # Losers
    12
  • % Winners
    60.0%
  • Frequency
  • Avg Position Time (mins)
    65452.40
  • Avg Position Time (hrs)
    1090.87
  • Avg Trade Length
    45.5 days
  • Last Trade Ago
    4
  • Leverage
  • Daily leverage (average)
    1.05
  • Daily leverage (max)
    2.68
  • Regression
  • Alpha
    0.11
  • Beta
    1.42
  • Treynor Index
    0.14
  • 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)
    -0.28
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    0.306
  • 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
    0.216
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.375
  • Hold-and-Hope Ratio
    3.317
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.78733
  • SD
    0.37730
  • Sharpe ratio (Glass type estimate)
    2.08676
  • Sharpe ratio (Hedges UMVUE)
    1.96361
  • df
    13.00000
  • t
    2.25396
  • p
    0.17909
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.07276
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.03412
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.00168
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.92890
  • Statistics related to Sortino ratio
  • Sortino ratio
    7.16875
  • Upside Potential Ratio
    8.29729
  • Upside part of mean
    0.91128
  • Downside part of mean
    -0.12394
  • Upside SD
    0.41446
  • Downside SD
    0.10983
  • N nonnegative terms
    12.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    14.00000
  • Mean of predictor
    0.21900
  • Mean of criterion
    0.78733
  • SD of predictor
    0.14084
  • SD of criterion
    0.37730
  • Covariance
    0.04126
  • r
    0.77643
  • b (slope, estimate of beta)
    2.07995
  • a (intercept, estimate of alpha)
    0.33182
  • Mean Square Error
    0.06125
  • DF error
    12.00000
  • t(b)
    4.26787
  • p(b)
    0.11178
  • t(a)
    1.31278
  • p(a)
    0.32281
  • Lowerbound of 95% confidence interval for beta
    1.01811
  • Upperbound of 95% confidence interval for beta
    3.14180
  • Lowerbound of 95% confidence interval for alpha
    -0.21890
  • Upperbound of 95% confidence interval for alpha
    0.88255
  • Treynor index (mean / b)
    0.37853
  • Jensen alpha (a)
    0.33182
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.70523
  • SD
    0.34301
  • Sharpe ratio (Glass type estimate)
    2.05603
  • Sharpe ratio (Hedges UMVUE)
    1.93468
  • df
    13.00000
  • t
    2.22076
  • p
    0.18214
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.04697
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.99906
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.02636
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.89573
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.07654
  • Upside Potential Ratio
    7.19787
  • Upside part of mean
    0.83537
  • Downside part of mean
    -0.13014
  • Upside SD
    0.37044
  • Downside SD
    0.11606
  • N nonnegative terms
    12.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    14.00000
  • Mean of predictor
    0.20763
  • Mean of criterion
    0.70523
  • SD of predictor
    0.13859
  • SD of criterion
    0.34301
  • Covariance
    0.03712
  • r
    0.78095
  • b (slope, estimate of beta)
    1.93280
  • a (intercept, estimate of alpha)
    0.30391
  • Mean Square Error
    0.04972
  • DF error
    12.00000
  • t(b)
    4.33129
  • p(b)
    0.10952
  • t(a)
    1.34305
  • p(a)
    0.31926
  • Lowerbound of 95% confidence interval for beta
    0.96052
  • Upperbound of 95% confidence interval for beta
    2.90508
  • Lowerbound of 95% confidence interval for alpha
    -0.18912
  • Upperbound of 95% confidence interval for alpha
    0.79694
  • Treynor index (mean / b)
    0.36487
  • Jensen alpha (a)
    0.30391
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.09886
  • Expected Shortfall on VaR
    0.13481
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00771
  • Expected Shortfall on VaR
    0.02412
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    14.00000
  • Minimum
    0.88750
  • Quartile 1
    1.01193
  • Median
    1.04515
  • Quartile 3
    1.09681
  • Maximum
    1.30435
  • Mean of quarter 1
    0.96881
  • Mean of quarter 2
    1.02702
  • Mean of quarter 3
    1.06336
  • Mean of quarter 4
    1.20119
  • Inter Quartile Range
    0.08488
  • 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
    1.28386
  • 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)
    0.37339
  • VaR(95%) (regression method)
    0.09710
  • Expected Shortfall (regression method)
    0.24824
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.02744
  • Quartile 1
    0.04871
  • Median
    0.06997
  • Quartile 3
    0.09124
  • Maximum
    0.11250
  • Mean of quarter 1
    0.02744
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.11250
  • Inter Quartile Range
    0.04253
  • 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)
    1.15897
  • Compounded annual return (geometric extrapolation)
    1.08159
  • Calmar ratio (compounded annual return / max draw down)
    9.61390
  • Compounded annual return / average of 25% largest draw downs
    9.61390
  • Compounded annual return / Expected Shortfall lognormal
    8.02291
  • 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
    0.74069
  • SD
    0.24827
  • Sharpe ratio (Glass type estimate)
    2.98338
  • Sharpe ratio (Hedges UMVUE)
    2.97629
  • df
    316.00000
  • t
    3.28161
  • p
    0.00057
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.18410
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.77802
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.17940
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.77318
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.58971
  • Upside Potential Ratio
    11.57110
  • Upside part of mean
    1.86734
  • Downside part of mean
    -1.12665
  • Upside SD
    0.19364
  • Downside SD
    0.16138
  • N nonnegative terms
    192.00000
  • N negative terms
    125.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    317.00000
  • Mean of predictor
    0.23634
  • Mean of criterion
    0.74069
  • SD of predictor
    0.11516
  • SD of criterion
    0.24827
  • Covariance
    0.01815
  • r
    0.63469
  • b (slope, estimate of beta)
    1.36835
  • a (intercept, estimate of alpha)
    0.41700
  • Mean Square Error
    0.03693
  • DF error
    315.00000
  • t(b)
    14.57710
  • p(b)
    -0.00000
  • t(a)
    2.36968
  • p(a)
    0.00920
  • Lowerbound of 95% confidence interval for beta
    1.18366
  • Upperbound of 95% confidence interval for beta
    1.55304
  • Lowerbound of 95% confidence interval for alpha
    0.07082
  • Upperbound of 95% confidence interval for alpha
    0.76378
  • Treynor index (mean / b)
    0.54130
  • Jensen alpha (a)
    0.41730
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.70888
  • SD
    0.24839
  • Sharpe ratio (Glass type estimate)
    2.85392
  • Sharpe ratio (Hedges UMVUE)
    2.84715
  • df
    316.00000
  • t
    3.13922
  • p
    0.00093
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.05603
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.64739
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.05153
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.64276
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.32145
  • Upside Potential Ratio
    11.27010
  • Upside part of mean
    1.84872
  • Downside part of mean
    -1.13984
  • Upside SD
    0.19108
  • Downside SD
    0.16404
  • N nonnegative terms
    192.00000
  • N negative terms
    125.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    317.00000
  • Mean of predictor
    0.22961
  • Mean of criterion
    0.70888
  • SD of predictor
    0.11504
  • SD of criterion
    0.24839
  • Covariance
    0.01815
  • r
    0.63519
  • b (slope, estimate of beta)
    1.37141
  • a (intercept, estimate of alpha)
    0.39400
  • Mean Square Error
    0.03692
  • DF error
    315.00000
  • t(b)
    14.59610
  • p(b)
    -0.00000
  • t(a)
    2.23845
  • p(a)
    0.01295
  • Lowerbound of 95% confidence interval for beta
    1.18655
  • Upperbound of 95% confidence interval for beta
    1.55627
  • Lowerbound of 95% confidence interval for alpha
    0.04769
  • Upperbound of 95% confidence interval for alpha
    0.74031
  • Treynor index (mean / b)
    0.51690
  • Jensen alpha (a)
    0.39400
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02228
  • Expected Shortfall on VaR
    0.02852
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00834
  • Expected Shortfall on VaR
    0.01788
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    317.00000
  • Minimum
    0.94298
  • Quartile 1
    0.99608
  • Median
    1.00299
  • Quartile 3
    1.01063
  • Maximum
    1.05321
  • Mean of quarter 1
    0.98412
  • Mean of quarter 2
    0.99969
  • Mean of quarter 3
    1.00682
  • Mean of quarter 4
    1.02135
  • Inter Quartile Range
    0.01454
  • Number outliers low
    13.00000
  • Percentage of outliers low
    0.04101
  • Mean of outliers low
    0.96199
  • Number of outliers high
    10.00000
  • Percentage of outliers high
    0.03155
  • Mean of outliers high
    1.03875
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.18924
  • VaR(95%) (moments method)
    0.01254
  • Expected Shortfall (moments method)
    0.02023
  • Extreme Value Index (regression method)
    -0.03018
  • VaR(95%) (regression method)
    0.01550
  • Expected Shortfall (regression method)
    0.02229
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    28.00000
  • Minimum
    0.00100
  • Quartile 1
    0.00537
  • Median
    0.01143
  • Quartile 3
    0.04058
  • Maximum
    0.15086
  • Mean of quarter 1
    0.00256
  • Mean of quarter 2
    0.00808
  • Mean of quarter 3
    0.02718
  • Mean of quarter 4
    0.08870
  • Inter Quartile Range
    0.03521
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.10714
  • Mean of outliers high
    0.13082
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.30247
  • VaR(95%) (moments method)
    0.10059
  • Expected Shortfall (moments method)
    0.15908
  • Extreme Value Index (regression method)
    1.22392
  • VaR(95%) (regression method)
    0.07839
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.18908
  • Compounded annual return (geometric extrapolation)
    1.08922
  • Calmar ratio (compounded annual return / max draw down)
    7.21991
  • Compounded annual return / average of 25% largest draw downs
    12.27950
  • Compounded annual return / Expected Shortfall lognormal
    38.19540
  • 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
    0.40213
  • SD
    0.17305
  • Sharpe ratio (Glass type estimate)
    2.32374
  • Sharpe ratio (Hedges UMVUE)
    2.31031
  • df
    130.00000
  • t
    1.64314
  • p
    0.42868
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.46679
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.10554
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.47568
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.09631
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.60634
  • Upside Potential Ratio
    11.13090
  • Upside part of mean
    1.24116
  • Downside part of mean
    -0.83903
  • Upside SD
    0.13380
  • Downside SD
    0.11151
  • N nonnegative terms
    78.00000
  • N negative terms
    53.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.29177
  • Mean of criterion
    0.40213
  • SD of predictor
    0.11038
  • SD of criterion
    0.17305
  • Covariance
    0.01116
  • r
    0.58410
  • b (slope, estimate of beta)
    0.91573
  • a (intercept, estimate of alpha)
    0.13495
  • Mean Square Error
    0.01988
  • DF error
    129.00000
  • t(b)
    8.17328
  • p(b)
    0.15054
  • t(a)
    0.66783
  • p(a)
    0.46265
  • Lowerbound of 95% confidence interval for beta
    0.69406
  • Upperbound of 95% confidence interval for beta
    1.13740
  • Lowerbound of 95% confidence interval for alpha
    -0.26486
  • Upperbound of 95% confidence interval for alpha
    0.53476
  • Treynor index (mean / b)
    0.43914
  • Jensen alpha (a)
    0.13495
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.38695
  • SD
    0.17296
  • Sharpe ratio (Glass type estimate)
    2.23724
  • Sharpe ratio (Hedges UMVUE)
    2.22430
  • df
    130.00000
  • t
    1.58196
  • p
    0.43128
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.55200
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.01811
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.56066
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.00927
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.43405
  • Upside Potential Ratio
    10.93540
  • Upside part of mean
    1.23219
  • Downside part of mean
    -0.84524
  • Upside SD
    0.13252
  • Downside SD
    0.11268
  • N nonnegative terms
    78.00000
  • N negative terms
    53.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.28554
  • Mean of criterion
    0.38695
  • SD of predictor
    0.11030
  • SD of criterion
    0.17296
  • Covariance
    0.01114
  • r
    0.58403
  • b (slope, estimate of beta)
    0.91578
  • a (intercept, estimate of alpha)
    0.12546
  • Mean Square Error
    0.01986
  • DF error
    129.00000
  • t(b)
    8.17187
  • p(b)
    0.15057
  • t(a)
    0.62148
  • p(a)
    0.46523
  • VAR (95 Confidence Intrvl)
    0.02200
  • Lowerbound of 95% confidence interval for beta
    0.69406
  • Upperbound of 95% confidence interval for beta
    1.13750
  • Lowerbound of 95% confidence interval for alpha
    -0.27394
  • Upperbound of 95% confidence interval for alpha
    0.52486
  • Treynor index (mean / b)
    0.42253
  • Jensen alpha (a)
    0.12546
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01597
  • Expected Shortfall on VaR
    0.02035
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00639
  • Expected Shortfall on VaR
    0.01322
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96341
  • Quartile 1
    0.99604
  • Median
    1.00196
  • Quartile 3
    1.00655
  • Maximum
    1.03451
  • Mean of quarter 1
    0.98853
  • Mean of quarter 2
    0.99935
  • Mean of quarter 3
    1.00402
  • Mean of quarter 4
    1.01474
  • Inter Quartile Range
    0.01051
  • Number outliers low
    6.00000
  • Percentage of outliers low
    0.04580
  • Mean of outliers low
    0.97548
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.02290
  • Mean of outliers high
    1.02874
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.03287
  • VaR(95%) (moments method)
    0.00987
  • Expected Shortfall (moments method)
    0.01336
  • Extreme Value Index (regression method)
    -0.22004
  • VaR(95%) (regression method)
    0.01279
  • Expected Shortfall (regression method)
    0.01651
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    14.00000
  • Minimum
    0.00186
  • Quartile 1
    0.00687
  • Median
    0.01964
  • Quartile 3
    0.03464
  • Maximum
    0.06747
  • Mean of quarter 1
    0.00337
  • Mean of quarter 2
    0.01087
  • Mean of quarter 3
    0.02986
  • Mean of quarter 4
    0.04789
  • Inter Quartile Range
    0.02777
  • 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)
    -0.21584
  • VaR(95%) (moments method)
    0.05461
  • Expected Shortfall (moments method)
    0.06407
  • Extreme Value Index (regression method)
    0.78739
  • VaR(95%) (regression method)
    0.05971
  • Last 4 Months - Pcnt Negative
    0.25%
  • Expected Shortfall (regression method)
    0.18487
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -396702000
  • Max Equity Drawdown (num days)
    36
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.46102
  • Compounded annual return (geometric extrapolation)
    0.51415
  • Calmar ratio (compounded annual return / max draw down)
    7.62052
  • Compounded annual return / average of 25% largest draw downs
    10.73580
  • Compounded annual return / Expected Shortfall lognormal
    25.27000

Strategy Description

This strategy is designed to be the easiest strategy to follow. It doesn't trade very often. The trades are all algorithmically determined and submitted here on C2, but it doesn't trade very often. The inspiration for this strategy was twofold. For one thing trading more frequently doesn't necessarily lead to higher profits. Many studies seem to show this phenomena. The other reason this strategy exists is that I have an HSA at an institution where I have to manually enter orders. So I designed this strategy to determine what orders I should place in my Schwab HSA. I wanted to design something that didn't require many trades. Signals usually occur about 10 minutes before market close. Personally when I am too busy near market close I may just place my HSA trades to submit at open to mimic the C2 allocation. Ideally it would be good to copy the signals into my HSA when they occur but sometimes I don't have enough time and that is okay.

My investment philosophy is as follows:

1. Passive investors in an appreciating market typically have better returns compared to active investors of the same market.

2. Active trading that is done in a systematic manner may be beneficial for obtaining better risk adjusted returns.

3. Taking on more risk via investing in a more aggressive market or adding limited leverage may help improve long-term returns.

4. Using too much risk can cause catastrophic losses. There is a limit to how much risk should be taken. It is best to use leverage that has limited losses. For example, buying $100 worth of a 2X leveraged ETF is likely better than buying $100 of the underlying outright and another $100 with borrowed money. I prefer to only use leverage that has limited losses and can't result in owing money to a lender or losing more than the cost basis of a trade.

5. The number one hurdle for most investors is a lack of patience and consistency. Most investors jump to whatever is shiny and new this year or that. I am of the opinion that sticking to a solid investment strategy in good times and bad will typically have better long-term results.


If you would like to follow and learn more about how I trade and think, I encourage you to reach out.

Summary Statistics

Strategy began
2023-03-27
Suggested Minimum Capital
$15,000
Rank at C2 %
Top 1.0%
Rank # 
#8
# Trades
30
# Profitable
18
% Profitable
60.0%
Net Dividends
Correlation S&P500
0.614
Sharpe Ratio
2.32
Sortino Ratio
3.58
Beta
1.42
Alpha
0.11
Leverage
1.05 Average
2.68 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.