Collective2 Collective2
Featured Strategy Income Trades Followed by live capital $64,700 Hypothetical

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These are hypothetical performance results that have certain inherent limitations. Learn more
Listing Edit Subscribers Broadcast More...

SPDR
(146811132)

Created by: DavidOwen2 DavidOwen2
Started: 12/2023
Stocks
Last trade: Yesterday
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 $50.00 per month.

C2Star

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

You can read more about C2Star certification requirements here.

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

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.
10.2%
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.

(2.2%)
Max Drawdown
88
Num Trades
86.4%
Win Trades
3.7 : 1
Profit Factor
64.3%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2023                                                                             (0.2%)(0.2%)
2024(0.3%)+0.7%+0.4%  -  +2.0%+0.6%+1.5%+2.1%+2.1%(0.2%)+1.7%(1%)+9.9%
2025+1.0%                                                                  +1.0%

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 32 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 51 days ago.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
1/3/25 11:15 XLV HEALTH CARE SELECT SECTOR SPDR LONG 100 138.49 1/7 10:14 140.32 0%
Trade id #150477208
Max drawdown($3)
Time1/3/25 11:23
Quant open100
Worst price138.45
Drawdown as % of equity-0.00%
 $182
Includes Typical Broker Commissions trade costs of $2.00
1/3/25 10:19 IBIT ISHARES BITCOIN TRUST LONG 200 55.22 1/3 15:43 56.06 0.03%
Trade id #150475980
Max drawdown($32)
Time1/3/25 10:22
Quant open200
Worst price55.06
Drawdown as % of equity-0.03%
 $165
Includes Typical Broker Commissions trade costs of $4.00
12/18/24 10:56 IGV ISHARES EXPANDED TECH-SOFTWARE SECTOR ETF SHORT 150 105.53 12/19 9:30 103.00 0.04%
Trade id #150353247
Max drawdown($42)
Time12/18/24 13:08
Quant open150
Worst price105.81
Drawdown as % of equity-0.04%
 $377
Includes Typical Broker Commissions trade costs of $3.00
12/5/24 9:53 IBIT ISHARES BITCOIN TRUST LONG 200 58.93 12/12 11:52 57.91 0.97%
Trade id #150251165
Max drawdown($1,062)
Time12/10/24 0:00
Quant open200
Worst price53.62
Drawdown as % of equity-0.97%
 ($208)
Includes Typical Broker Commissions trade costs of $4.00
11/21/24 10:09 XLY SPDR CONSUMER DISCRET SELECT SHORT 150 215.46 12/5 9:39 227.30 1.62%
Trade id #150142246
Max drawdown($1,789)
Time12/5/24 9:39
Quant open150
Worst price227.39
Drawdown as % of equity-1.62%
 ($1,779)
Includes Typical Broker Commissions trade costs of $3.00
12/3/24 10:11 XLE ENERGY SELECT SECTOR SPDR SHORT 200 94.26 12/5 9:38 92.83 0.12%
Trade id #150231605
Max drawdown($136)
Time12/3/24 14:06
Quant open200
Worst price94.94
Drawdown as % of equity-0.12%
 $282
Includes Typical Broker Commissions trade costs of $4.00
11/22/24 9:31 XLV HEALTH CARE SELECT SECTOR SPDR LONG 100 144.51 11/27 12:48 147.40 0.05%
Trade id #150152161
Max drawdown($57)
Time11/22/24 15:15
Quant open100
Worst price143.94
Drawdown as % of equity-0.05%
 $287
Includes Typical Broker Commissions trade costs of $2.00
11/22/24 9:31 XLRE SELECT SECTOR SPDR REAL ESTATE FUND LONG 310 44.00 11/27 12:22 45.30 0.03%
Trade id #150152204
Max drawdown($34)
Time11/22/24 9:59
Quant open310
Worst price43.89
Drawdown as % of equity-0.03%
 $397
Includes Typical Broker Commissions trade costs of $6.20
11/21/24 9:30 XLB MATERIALS SELECT SECTOR SPDR LONG 146 92.42 11/22 11:20 93.80 0.03%
Trade id #150141028
Max drawdown($33)
Time11/21/24 9:42
Quant open146
Worst price92.19
Drawdown as % of equity-0.03%
 $198
Includes Typical Broker Commissions trade costs of $2.92
11/15/24 10:18 XLY SPDR CONSUMER DISCRET SELECT SHORT 150 215.01 11/19 9:36 213.12 0.15%
Trade id #150096095
Max drawdown($169)
Time11/18/24 0:00
Quant open50
Worst price217.06
Drawdown as % of equity-0.15%
 $281
Includes Typical Broker Commissions trade costs of $3.00
11/15/24 10:11 XLI INDUSTRIAL SELECT SECTOR SPDR SHORT 100 139.35 11/18 10:15 138.97 0.01%
Trade id #150095987
Max drawdown($16)
Time11/15/24 10:17
Quant open100
Worst price139.52
Drawdown as % of equity-0.01%
 $36
Includes Typical Broker Commissions trade costs of $2.00
11/15/24 10:00 QQQ POWERSHARES QQQ SHORT 50 501.29 11/15 10:28 499.28 n/a $100
Includes Typical Broker Commissions trade costs of $1.00
11/6/24 9:50 XLK TECHNOLOGY SELECT SECTOR SPDR SHORT 100 230.79 11/15 9:31 231.35 0.65%
Trade id #150008204
Max drawdown($714)
Time11/8/24 0:00
Quant open100
Worst price237.94
Drawdown as % of equity-0.65%
 ($58)
Includes Typical Broker Commissions trade costs of $2.00
11/13/24 9:35 XLP SPDR CONSUMER STAPLES SELECT LONG 165 80.52 11/14 10:10 80.75 0.02%
Trade id #150074559
Max drawdown($18)
Time11/13/24 9:53
Quant open165
Worst price80.40
Drawdown as % of equity-0.02%
 $35
Includes Typical Broker Commissions trade costs of $3.30
11/7/24 9:35 XLV HEALTH CARE SELECT SECTOR SPDR LONG 90 148.84 11/11 9:34 149.49 0.05%
Trade id #150027300
Max drawdown($56)
Time11/7/24 10:18
Quant open90
Worst price148.21
Drawdown as % of equity-0.05%
 $57
Includes Typical Broker Commissions trade costs of $1.80
11/7/24 9:41 QQQ POWERSHARES QQQ LONG 100 510.13 11/8 9:45 513.00 0.07%
Trade id #150027631
Max drawdown($72)
Time11/7/24 9:50
Quant open100
Worst price509.41
Drawdown as % of equity-0.07%
 $285
Includes Typical Broker Commissions trade costs of $2.00
10/11/24 9:56 XLE ENERGY SELECT SECTOR SPDR LONG 200 90.97 11/6 9:30 92.74 0.57%
Trade id #149637784
Max drawdown($623)
Time11/1/24 0:00
Quant open200
Worst price87.85
Drawdown as % of equity-0.57%
 $351
Includes Typical Broker Commissions trade costs of $4.00
11/1/24 11:41 IBIT ISHARES BITCOIN TRUST LONG 380 39.75 11/5 9:48 39.90 0.32%
Trade id #149931746
Max drawdown($349)
Time11/4/24 0:00
Quant open380
Worst price38.83
Drawdown as % of equity-0.32%
 $49
Includes Typical Broker Commissions trade costs of $7.60
10/30/24 10:09 XLU UTILITIES SELECT SECTOR SPDR SHORT 150 79.34 11/4 10:04 77.11 0.13%
Trade id #149893686
Max drawdown($140)
Time10/31/24 0:00
Quant open100
Worst price80.50
Drawdown as % of equity-0.13%
 $332
Includes Typical Broker Commissions trade costs of $3.00
10/21/24 11:53 PGF INVESCO FINANCIAL PFD LONG 1,500 15.48 10/31 9:30 15.28 0.34%
Trade id #149741029
Max drawdown($376)
Time10/29/24 0:00
Quant open1,500
Worst price15.23
Drawdown as % of equity-0.34%
 ($314)
Includes Typical Broker Commissions trade costs of $10.00
10/29/24 10:22 XLU UTILITIES SELECT SECTOR SPDR SHORT 100 79.60 10/30 9:52 79.36 0.03%
Trade id #149874396
Max drawdown($30)
Time10/29/24 13:03
Quant open100
Worst price79.90
Drawdown as % of equity-0.03%
 $23
Includes Typical Broker Commissions trade costs of $2.00
10/25/24 11:01 HACK AMPLIFY CYBER SECURITY ETF SHORT 100 70.94 10/29 10:10 70.82 0%
Trade id #149831850
Max drawdown($3)
Time10/25/24 11:23
Quant open100
Worst price70.97
Drawdown as % of equity-0.00%
 $10
Includes Typical Broker Commissions trade costs of $2.00
10/23/24 9:36 XLP SPDR CONSUMER STAPLES SELECT LONG 162 81.62 10/23 10:14 81.84 0.01%
Trade id #149803957
Max drawdown($9)
Time10/23/24 9:43
Quant open162
Worst price81.56
Drawdown as % of equity-0.01%
 $32
Includes Typical Broker Commissions trade costs of $3.24
10/22/24 10:06 XLY SPDR CONSUMER DISCRET SELECT SHORT 60 196.75 10/23 9:34 195.78 0.06%
Trade id #149790382
Max drawdown($67)
Time10/22/24 14:05
Quant open60
Worst price197.87
Drawdown as % of equity-0.06%
 $57
Includes Typical Broker Commissions trade costs of $1.20
10/10/24 10:08 XLV HEALTH CARE SELECT SECTOR SPDR LONG 100 153.09 10/11 12:00 153.82 0.06%
Trade id #149627857
Max drawdown($69)
Time10/10/24 15:16
Quant open100
Worst price152.40
Drawdown as % of equity-0.06%
 $71
Includes Typical Broker Commissions trade costs of $2.00
10/3/24 10:21 XLY SPDR CONSUMER DISCRET SELECT SHORT 150 196.33 10/7 9:54 195.90 0.24%
Trade id #149568934
Max drawdown($266)
Time10/4/24 0:00
Quant open100
Worst price198.63
Drawdown as % of equity-0.24%
 $62
Includes Typical Broker Commissions trade costs of $3.00
10/3/24 10:45 XLI INDUSTRIAL SELECT SECTOR SPDR SHORT 200 134.84 10/7 9:50 135.15 0.14%
Trade id #149569233
Max drawdown($150)
Time10/4/24 0:00
Quant open100
Worst price135.92
Drawdown as % of equity-0.14%
 ($66)
Includes Typical Broker Commissions trade costs of $4.00
9/27/24 15:14 XLE ENERGY SELECT SECTOR SPDR LONG 200 87.03 10/2 9:30 90.20 0.09%
Trade id #149527596
Max drawdown($101)
Time9/30/24 0:00
Quant open200
Worst price86.53
Drawdown as % of equity-0.09%
 $630
Includes Typical Broker Commissions trade costs of $4.00
10/1/24 10:09 XLK TECHNOLOGY SELECT SECTOR SPDR SHORT 100 221.22 10/1 10:20 220.80 0.01%
Trade id #149549524
Max drawdown($8)
Time10/1/24 10:13
Quant open100
Worst price221.30
Drawdown as % of equity-0.01%
 $40
Includes Typical Broker Commissions trade costs of $2.00
9/26/24 9:40 QQQ POWERSHARES QQQ SHORT 100 491.44 9/26 9:48 491.24 0.06%
Trade id #149512796
Max drawdown($64)
Time9/26/24 9:46
Quant open100
Worst price492.08
Drawdown as % of equity-0.06%
 $18
Includes Typical Broker Commissions trade costs of $2.00
Next

Statistics

  • Strategy began
    12/26/2023
  • Suggested Minimum Cap
    $5,000
  • Strategy Age (days)
    379.17
  • Age
    13 months ago
  • What it trades
    Stocks
  • # Trades
    88
  • # Profitable
    76
  • % Profitable
    86.40%
  • Avg trade duration
    7.0 days
  • Max peak-to-valley drawdown
    2.17%
  • drawdown period
    Dec 26, 2023 - Feb 19, 2024
  • Annual Return (Compounded)
    10.2%
  • Avg win
    $210.39
  • Avg loss
    $404.50
  • Model Account Values (Raw)
  • Cash
    $71,969
  • Margin Used
    $0
  • Buying Power
    $71,889
  • Ratios
  • W:L ratio
    3.74:1
  • Sharpe Ratio
    2.23
  • Sortino Ratio
    3.97
  • Calmar Ratio
    7.559
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -13.24%
  • Correlation to SP500
    0.21460
  • Return Percent SP500 (cumu) during strategy life
    23.95%
  • Return Statistics
  • Ann Return (w trading costs)
    10.2%
  • Slump
  • Current Slump as Pcnt Equity
    0.40%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.11%
  • 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)
    0.102%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    11.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    n/a
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • 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)
    0
  • Popularity (Last 6 weeks)
    833
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    949
  • Popularity (7 days, Percentile 1000 scale)
    755
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $404
  • Avg Win
    $210
  • Sum Trade PL (losers)
    $4,854.000
  • Age
  • Num Months filled monthly returns table
    14
  • Win / Loss
  • Sum Trade PL (winners)
    $15,990.000
  • # Winners
    76
  • Num Months Winners
    10
  • Dividends
  • Dividends Received in Model Acct
    993
  • Win / Loss
  • # Losers
    12
  • % Winners
    86.4%
  • Frequency
  • Avg Position Time (mins)
    10082.20
  • Avg Position Time (hrs)
    168.04
  • Avg Trade Length
    7.0 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    0.39
  • Daily leverage (max)
    1.04
  • Regression
  • Alpha
    0.02
  • Beta
    0.05
  • Treynor Index
    0.43
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    1.41
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    1.943
  • 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
    0.792
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.415
  • Hold-and-Hope Ratio
    0.549
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.08446
  • SD
    0.03422
  • Sharpe ratio (Glass type estimate)
    2.46805
  • Sharpe ratio (Hedges UMVUE)
    2.29519
  • df
    11.00000
  • t
    2.46805
  • p
    0.01561
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.21557
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.63350
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.11315
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.47723
  • Statistics related to Sortino ratio
  • Sortino ratio
    8.30140
  • Upside Potential Ratio
    9.81231
  • Upside part of mean
    0.09983
  • Downside part of mean
    -0.01537
  • Upside SD
    0.03955
  • Downside SD
    0.01017
  • N nonnegative terms
    9.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    12.00000
  • Mean of predictor
    0.20356
  • Mean of criterion
    0.08446
  • SD of predictor
    0.10567
  • SD of criterion
    0.03422
  • Covariance
    0.00071
  • r
    0.19595
  • b (slope, estimate of beta)
    0.06346
  • a (intercept, estimate of alpha)
    0.07154
  • Mean Square Error
    0.00124
  • DF error
    10.00000
  • t(b)
    0.63191
  • p(b)
    0.27081
  • t(a)
    1.75770
  • p(a)
    0.05465
  • Lowerbound of 95% confidence interval for beta
    -0.16030
  • Upperbound of 95% confidence interval for beta
    0.28721
  • Lowerbound of 95% confidence interval for alpha
    -0.01915
  • Upperbound of 95% confidence interval for alpha
    0.16223
  • Treynor index (mean / b)
    1.33091
  • Jensen alpha (a)
    0.07154
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.08344
  • SD
    0.03389
  • Sharpe ratio (Glass type estimate)
    2.46197
  • Sharpe ratio (Hedges UMVUE)
    2.28953
  • df
    11.00000
  • t
    2.46197
  • p
    0.01578
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.21068
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.62633
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.10853
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.47053
  • Statistics related to Sortino ratio
  • Sortino ratio
    8.19116
  • Upside Potential Ratio
    9.70175
  • Upside part of mean
    0.09883
  • Downside part of mean
    -0.01539
  • Upside SD
    0.03911
  • Downside SD
    0.01019
  • N nonnegative terms
    9.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    12.00000
  • Mean of predictor
    0.19640
  • Mean of criterion
    0.08344
  • SD of predictor
    0.10466
  • SD of criterion
    0.03389
  • Covariance
    0.00068
  • r
    0.19179
  • b (slope, estimate of beta)
    0.06211
  • a (intercept, estimate of alpha)
    0.07124
  • Mean Square Error
    0.00122
  • DF error
    10.00000
  • t(b)
    0.61797
  • p(b)
    0.27520
  • t(a)
    1.77736
  • p(a)
    0.05294
  • Lowerbound of 95% confidence interval for beta
    -0.16183
  • Upperbound of 95% confidence interval for beta
    0.28604
  • Lowerbound of 95% confidence interval for alpha
    -0.01807
  • Upperbound of 95% confidence interval for alpha
    0.16055
  • Treynor index (mean / b)
    1.34346
  • Jensen alpha (a)
    0.07124
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00910
  • Expected Shortfall on VaR
    0.01313
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00176
  • Expected Shortfall on VaR
    0.00413
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    12.00000
  • Minimum
    0.99461
  • Quartile 1
    1.00390
  • Median
    1.00746
  • Quartile 3
    1.01749
  • Maximum
    1.02606
  • Mean of quarter 1
    0.99720
  • Mean of quarter 2
    1.00578
  • Mean of quarter 3
    1.01283
  • Mean of quarter 4
    1.02166
  • Inter Quartile Range
    0.01359
  • 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)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -3.19055
  • VaR(95%) (regression method)
    0.01107
  • Expected Shortfall (regression method)
    0.01114
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.00420
  • Quartile 1
    0.00450
  • Median
    0.00480
  • Quartile 3
    0.00509
  • Maximum
    0.00539
  • Mean of quarter 1
    0.00420
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00539
  • Inter Quartile Range
    0.00059
  • 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)
    0.11778
  • Compounded annual return (geometric extrapolation)
    0.11778
  • Calmar ratio (compounded annual return / max draw down)
    21.85160
  • Compounded annual return / average of 25% largest draw downs
    21.85160
  • Compounded annual return / Expected Shortfall lognormal
    8.96783
  • 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
    0.08345
  • SD
    0.02890
  • Sharpe ratio (Glass type estimate)
    2.88796
  • Sharpe ratio (Hedges UMVUE)
    2.87972
  • df
    263.00000
  • t
    2.89897
  • p
    0.00203
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.91725
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.85331
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.91175
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.84769
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.19792
  • Upside Potential Ratio
    12.93090
  • Upside part of mean
    0.20760
  • Downside part of mean
    -0.12415
  • Upside SD
    0.02451
  • Downside SD
    0.01605
  • N nonnegative terms
    130.00000
  • N negative terms
    134.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    264.00000
  • Mean of predictor
    0.19332
  • Mean of criterion
    0.08345
  • SD of predictor
    0.12713
  • SD of criterion
    0.02890
  • Covariance
    0.00080
  • r
    0.21816
  • b (slope, estimate of beta)
    0.04958
  • a (intercept, estimate of alpha)
    0.07400
  • Mean Square Error
    0.00080
  • DF error
    262.00000
  • t(b)
    3.61831
  • p(b)
    0.00018
  • t(a)
    2.61276
  • p(a)
    0.00475
  • Lowerbound of 95% confidence interval for beta
    0.02260
  • Upperbound of 95% confidence interval for beta
    0.07657
  • Lowerbound of 95% confidence interval for alpha
    0.01820
  • Upperbound of 95% confidence interval for alpha
    0.12953
  • Treynor index (mean / b)
    1.68303
  • Jensen alpha (a)
    0.07386
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.08301
  • SD
    0.02887
  • Sharpe ratio (Glass type estimate)
    2.87534
  • Sharpe ratio (Hedges UMVUE)
    2.86714
  • df
    263.00000
  • t
    2.88630
  • p
    0.00211
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.90476
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.84061
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.89930
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.83497
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.16354
  • Upside Potential Ratio
    12.89300
  • Upside part of mean
    0.20727
  • Downside part of mean
    -0.12426
  • Upside SD
    0.02446
  • Downside SD
    0.01608
  • N nonnegative terms
    130.00000
  • N negative terms
    134.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    264.00000
  • Mean of predictor
    0.18517
  • Mean of criterion
    0.08301
  • SD of predictor
    0.12730
  • SD of criterion
    0.02887
  • Covariance
    0.00080
  • r
    0.21691
  • b (slope, estimate of beta)
    0.04919
  • a (intercept, estimate of alpha)
    0.07390
  • Mean Square Error
    0.00080
  • DF error
    262.00000
  • t(b)
    3.59657
  • p(b)
    0.00019
  • t(a)
    2.61665
  • p(a)
    0.00470
  • Lowerbound of 95% confidence interval for beta
    0.02226
  • Upperbound of 95% confidence interval for beta
    0.07613
  • Lowerbound of 95% confidence interval for alpha
    0.01829
  • Upperbound of 95% confidence interval for alpha
    0.12952
  • Treynor index (mean / b)
    1.68745
  • Jensen alpha (a)
    0.07390
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00261
  • Expected Shortfall on VaR
    0.00336
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00110
  • Expected Shortfall on VaR
    0.00217
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    264.00000
  • Minimum
    0.99425
  • Quartile 1
    0.99951
  • Median
    1.00009
  • Quartile 3
    1.00121
  • Maximum
    1.00635
  • Mean of quarter 1
    0.99843
  • Mean of quarter 2
    0.99988
  • Mean of quarter 3
    1.00063
  • Mean of quarter 4
    1.00275
  • Inter Quartile Range
    0.00170
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.01894
  • Mean of outliers low
    0.99598
  • Number of outliers high
    13.00000
  • Percentage of outliers high
    0.04924
  • Mean of outliers high
    1.00496
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.41029
  • VaR(95%) (moments method)
    0.00184
  • Expected Shortfall (moments method)
    0.00231
  • Extreme Value Index (regression method)
    -0.07791
  • VaR(95%) (regression method)
    0.00173
  • Expected Shortfall (regression method)
    0.00234
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    27.00000
  • Minimum
    0.00018
  • Quartile 1
    0.00090
  • Median
    0.00167
  • Quartile 3
    0.00320
  • Maximum
    0.01552
  • Mean of quarter 1
    0.00049
  • Mean of quarter 2
    0.00120
  • Mean of quarter 3
    0.00270
  • Mean of quarter 4
    0.00810
  • Inter Quartile Range
    0.00230
  • 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
    0.11111
  • Mean of outliers high
    0.01230
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.43446
  • VaR(95%) (moments method)
    0.00788
  • Expected Shortfall (moments method)
    0.00941
  • Extreme Value Index (regression method)
    -0.48786
  • VaR(95%) (regression method)
    0.01091
  • Expected Shortfall (regression method)
    0.01300
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.11736
  • Compounded annual return (geometric extrapolation)
    0.11730
  • Calmar ratio (compounded annual return / max draw down)
    7.55908
  • Compounded annual return / average of 25% largest draw downs
    14.48620
  • Compounded annual return / Expected Shortfall lognormal
    34.94970
  • 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
    0.12056
  • SD
    0.03149
  • Sharpe ratio (Glass type estimate)
    3.82883
  • Sharpe ratio (Hedges UMVUE)
    3.80670
  • df
    130.00000
  • t
    2.70739
  • p
    0.38449
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.01125
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.63222
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.99653
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.61686
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.76048
  • Upside Potential Ratio
    14.46790
  • Upside part of mean
    0.25801
  • Downside part of mean
    -0.13745
  • Upside SD
    0.02686
  • Downside SD
    0.01783
  • 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
    0.10501
  • Mean of criterion
    0.12056
  • SD of predictor
    0.14584
  • SD of criterion
    0.03149
  • Covariance
    0.00094
  • r
    0.20495
  • b (slope, estimate of beta)
    0.04425
  • a (intercept, estimate of alpha)
    0.11591
  • Mean Square Error
    0.00096
  • DF error
    129.00000
  • t(b)
    2.37827
  • p(b)
    0.37044
  • t(a)
    2.64661
  • p(a)
    0.35678
  • Lowerbound of 95% confidence interval for beta
    0.00744
  • Upperbound of 95% confidence interval for beta
    0.08106
  • Lowerbound of 95% confidence interval for alpha
    0.02926
  • Upperbound of 95% confidence interval for alpha
    0.20257
  • Treynor index (mean / b)
    2.72446
  • Jensen alpha (a)
    0.11591
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.12003
  • SD
    0.03147
  • Sharpe ratio (Glass type estimate)
    3.81449
  • Sharpe ratio (Hedges UMVUE)
    3.79244
  • df
    130.00000
  • t
    2.69725
  • p
    0.38489
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.99720
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.61771
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.98256
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.60232
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.72057
  • Upside Potential Ratio
    14.42450
  • Upside part of mean
    0.25762
  • Downside part of mean
    -0.13759
  • Upside SD
    0.02681
  • Downside SD
    0.01786
  • 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
    0.09439
  • Mean of criterion
    0.12003
  • SD of predictor
    0.14617
  • SD of criterion
    0.03147
  • Covariance
    0.00094
  • r
    0.20381
  • b (slope, estimate of beta)
    0.04387
  • a (intercept, estimate of alpha)
    0.11589
  • Mean Square Error
    0.00096
  • DF error
    129.00000
  • t(b)
    2.36445
  • p(b)
    0.37116
  • t(a)
    2.64764
  • p(a)
    0.35672
  • VAR (95 Confidence Intrvl)
    0.00300
  • Lowerbound of 95% confidence interval for beta
    0.00716
  • Upperbound of 95% confidence interval for beta
    0.08059
  • Lowerbound of 95% confidence interval for alpha
    0.02929
  • Upperbound of 95% confidence interval for alpha
    0.20249
  • Treynor index (mean / b)
    2.73576
  • Jensen alpha (a)
    0.11589
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00274
  • Expected Shortfall on VaR
    0.00355
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00105
  • Expected Shortfall on VaR
    0.00215
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.99425
  • Quartile 1
    0.99943
  • Median
    1.00048
  • Quartile 3
    1.00158
  • Maximum
    1.00605
  • Mean of quarter 1
    0.99823
  • Mean of quarter 2
    0.99998
  • Mean of quarter 3
    1.00105
  • Mean of quarter 4
    1.00303
  • Inter Quartile Range
    0.00215
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.00763
  • Mean of outliers low
    0.99425
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.02290
  • Mean of outliers high
    1.00567
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.26145
  • VaR(95%) (moments method)
    0.00194
  • Expected Shortfall (moments method)
    0.00247
  • Extreme Value Index (regression method)
    -0.17505
  • VaR(95%) (regression method)
    0.00192
  • Expected Shortfall (regression method)
    0.00248
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    15.00000
  • Minimum
    0.00018
  • Quartile 1
    0.00075
  • Median
    0.00167
  • Quartile 3
    0.00375
  • Maximum
    0.01552
  • Mean of quarter 1
    0.00040
  • Mean of quarter 2
    0.00120
  • Mean of quarter 3
    0.00276
  • Mean of quarter 4
    0.00848
  • Inter Quartile Range
    0.00300
  • 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
    0.06667
  • Mean of outliers high
    0.01552
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.59859
  • VaR(95%) (moments method)
    0.00922
  • Expected Shortfall (moments method)
    0.01062
  • Extreme Value Index (regression method)
    0.41901
  • VaR(95%) (regression method)
    0.01191
  • Last 4 Months - Pcnt Negative
    0.50%
  • Expected Shortfall (regression method)
    0.02294
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -372162000
  • Max Equity Drawdown (num days)
    55
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.15354
  • Compounded annual return (geometric extrapolation)
    0.15944
  • Calmar ratio (compounded annual return / max draw down)
    10.27410
  • Compounded annual return / average of 25% largest draw downs
    18.80660
  • Compounded annual return / Expected Shortfall lognormal
    44.97250

Strategy Description

Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2023-12-26
Suggested Minimum Capital
$5,000
Rank at C2 %
Top 5.1%
Rank # 
#37
# Trades
88
# Profitable
76
% Profitable
86.4%
Net Dividends
$992
Correlation S&P500
0.215
Sharpe Ratio
2.23
Sortino Ratio
3.97
Beta
0.05
Alpha
0.02
Leverage
0.39 Average
1.04 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.