Collective2 Collective2
C2Star Strategy FDXM dax +83.2% Cumul. Return since Dec 3, 2022 Hypothetical

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City of London
(141141675)

Created by: MikeM5 MikeM5
Started: 07/2022
Stocks
Last trade: 2 days ago

Subscriptions not available

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

Subscription terms. 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.

19.5%
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.

(22.4%)
Max Drawdown
463
Num Trades
37.4%
Win Trades
1.2 : 1
Profit Factor
46.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022                                          +3.5%+9.2%+14.3%(1.6%)(1.3%)+2.0%+27.9%
2023(4.7%)(0.5%)(4.4%)+15.6%+7.5%(3.5%)+5.4%(3.3%)(12.9%)                  (3.5%)

Model Account Details

A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.

Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.

Trading Record

This strategy has placed 767 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
9/5/23 15:51 LNZA LANZATECH GLOBAL INC. LONG 718 7.85 9/21 9:33 6.60 1.52%
Trade id #145741494
Max drawdown($948)
Time9/21/23 9:33
Quant open718
Worst price6.53
Drawdown as % of equity-1.52%
 ($906)
Includes Typical Broker Commissions trade costs of $9.68
9/18/23 13:52 CLSK CLEANSPARK INC. COMMON STOCK LONG 441 4.55 9/21 9:30 4.02 0.42%
Trade id #145858810
Max drawdown($262)
Time9/21/23 9:30
Quant open441
Worst price3.96
Drawdown as % of equity-0.42%
 ($244)
Includes Typical Broker Commissions trade costs of $8.82
8/22/23 15:39 ETNB 89BIO INC. LONG 402 16.56 9/20 11:53 16.23 0.22%
Trade id #145607084
Max drawdown($148)
Time8/24/23 0:00
Quant open201
Worst price15.87
Drawdown as % of equity-0.22%
 ($143)
Includes Typical Broker Commissions trade costs of $8.04
8/28/23 10:20 CVNA CARVANA CO LONG 70 47.45 9/19 11:21 46.05 0.16%
Trade id #145661747
Max drawdown($100)
Time9/19/23 11:21
Quant open70
Worst price46.01
Drawdown as % of equity-0.16%
 ($99)
Includes Typical Broker Commissions trade costs of $1.40
9/6/23 10:29 MNSO MINISO GROUP HOLDING LTD LONG 108 27.37 9/19 9:58 24.96 0.41%
Trade id #145747882
Max drawdown($262)
Time9/19/23 9:58
Quant open108
Worst price24.94
Drawdown as % of equity-0.41%
 ($262)
Includes Typical Broker Commissions trade costs of $2.16
9/12/23 10:10 SOFI SOFI TECHNOLOGIES INC LONG 646 9.00 9/19 9:54 8.55 0.46%
Trade id #145797521
Max drawdown($292)
Time9/19/23 9:54
Quant open646
Worst price8.54
Drawdown as % of equity-0.46%
 ($297)
Includes Typical Broker Commissions trade costs of $8.96
8/29/23 13:29 IONQ IONQ INC LONG 149 17.56 9/18 10:37 17.26 0.17%
Trade id #145680095
Max drawdown($112)
Time9/18/23 10:37
Quant open120
Worst price16.62
Drawdown as % of equity-0.17%
 ($48)
Includes Typical Broker Commissions trade costs of $2.98
9/5/23 15:54 FNGR FINGERMOTION INC. COMMON STOCK LONG 342 5.73 9/18 10:32 5.45 0.18%
Trade id #145741655
Max drawdown($115)
Time9/18/23 10:32
Quant open342
Worst price5.39
Drawdown as % of equity-0.18%
 ($102)
Includes Typical Broker Commissions trade costs of $6.84
9/13/23 14:28 IMGN IMMUNOGEN LONG 248 15.84 9/18 9:45 15.28 0.22%
Trade id #145813394
Max drawdown($144)
Time9/18/23 9:45
Quant open248
Worst price15.26
Drawdown as % of equity-0.22%
 ($145)
Includes Typical Broker Commissions trade costs of $4.96
9/11/23 13:19 KNSA KINIKSA PHARMACEUTICALS LTD. CLASS A LONG 224 17.48 9/18 9:45 16.77 0.25%
Trade id #145789588
Max drawdown($164)
Time9/18/23 9:45
Quant open224
Worst price16.75
Drawdown as % of equity-0.25%
 ($164)
Includes Typical Broker Commissions trade costs of $4.48
8/23/23 15:53 ABEO ABEONA THERAPEUTICS INC. COMMON STOCK LONG 1,702 4.02 9/18 9:40 3.88 0.53%
Trade id #145618562
Max drawdown($351)
Time8/28/23 0:00
Quant open1,702
Worst price3.81
Drawdown as % of equity-0.53%
 ($244)
Includes Typical Broker Commissions trade costs of $7.50
9/6/23 10:46 RGTI RIGETTI COMPUTING INC. COMMON STOCK LONG 2,952 1.97 9/18 9:35 1.79 0.82%
Trade id #145748174
Max drawdown($541)
Time9/18/23 9:35
Quant open2,952
Worst price1.79
Drawdown as % of equity-0.82%
 ($552)
Includes Typical Broker Commissions trade costs of $19.76
9/15/23 10:00 LI LI AUTO INC LONG 100 41.17 9/18 9:32 38.92 0.35%
Trade id #145836057
Max drawdown($228)
Time9/18/23 9:32
Quant open100
Worst price38.88
Drawdown as % of equity-0.35%
 ($227)
Includes Typical Broker Commissions trade costs of $2.00
8/22/23 15:37 ACMR ACM RESEARCH INC. CLASS A COMMON STOCK LONG 454 14.99 9/18 9:30 16.19 0.03%
Trade id #145607056
Max drawdown($22)
Time8/22/23 15:50
Quant open227
Worst price14.62
Drawdown as % of equity-0.03%
 $536
Includes Typical Broker Commissions trade costs of $9.08
9/15/23 10:07 U UNITY SOFTWARE INC LONG 110 35.83 9/18 9:30 34.99 0.15%
Trade id #145836216
Max drawdown($100)
Time9/18/23 9:30
Quant open110
Worst price34.92
Drawdown as % of equity-0.15%
 ($95)
Includes Typical Broker Commissions trade costs of $2.20
8/23/23 15:55 FSLY FASTLY INC LONG 336 21.42 9/14 12:28 21.39 0.27%
Trade id #145618629
Max drawdown($179)
Time8/24/23 0:00
Quant open168
Worst price19.97
Drawdown as % of equity-0.27%
 ($16)
Includes Typical Broker Commissions trade costs of $6.72
9/5/23 15:56 U UNITY SOFTWARE INC LONG 78 38.60 9/13 10:09 36.19 0.28%
Trade id #145741747
Max drawdown($194)
Time9/13/23 10:09
Quant open78
Worst price36.12
Drawdown as % of equity-0.28%
 ($190)
Includes Typical Broker Commissions trade costs of $1.56
8/23/23 15:56 GRAB GRAB HOLDINGS LIMITED CLASS A LONG 1,922 3.71 9/13 9:30 3.44 0.75%
Trade id #145618751
Max drawdown($518)
Time9/13/23 9:30
Quant open1,922
Worst price3.44
Drawdown as % of equity-0.75%
 ($526)
Includes Typical Broker Commissions trade costs of $7.50
8/22/23 10:11 VTEX VTEX LONG 1,216 5.87 9/12 9:42 5.55 0.58%
Trade id #145602488
Max drawdown($404)
Time9/12/23 9:42
Quant open1,216
Worst price5.54
Drawdown as % of equity-0.58%
 ($394)
Includes Typical Broker Commissions trade costs of $7.50
8/23/23 15:56 MNDY MONDAY.COM LTD. ORDINARY SHARES LONG 40 170.89 9/12 9:30 166.06 0.34%
Trade id #145618957
Max drawdown($235)
Time9/12/23 9:30
Quant open40
Worst price165.00
Drawdown as % of equity-0.34%
 ($194)
Includes Typical Broker Commissions trade costs of $0.80
8/28/23 15:54 NRDY NERDY INC LONG 700 4.75 9/12 9:30 4.49 0.26%
Trade id #145667883
Max drawdown($177)
Time9/12/23 9:30
Quant open700
Worst price4.50
Drawdown as % of equity-0.26%
 ($193)
Includes Typical Broker Commissions trade costs of $9.50
9/5/23 15:52 RKLB ROCKET LAB USA INC. COMMON STOCK LONG 467 6.29 9/12 9:30 5.81 0.39%
Trade id #145741575
Max drawdown($268)
Time9/12/23 9:30
Quant open467
Worst price5.72
Drawdown as % of equity-0.39%
 ($234)
Includes Typical Broker Commissions trade costs of $9.34
9/8/23 15:46 OPRA OPERA LIMITED ADS LONG 213 13.89 9/11 12:00 13.61 0.09%
Trade id #145774866
Max drawdown($62)
Time9/11/23 12:00
Quant open213
Worst price13.60
Drawdown as % of equity-0.09%
 ($64)
Includes Typical Broker Commissions trade costs of $4.26
8/21/23 9:54 NVDA NVIDIA LONG 16 472.26 9/11 9:39 450.81 0.57%
Trade id #145589375
Max drawdown($374)
Time8/28/23 0:00
Quant open16
Worst price448.88
Drawdown as % of equity-0.57%
 ($343)
Includes Typical Broker Commissions trade costs of $0.32
9/8/23 9:32 SMAR SMARTSHEET INC LONG 87 45.97 9/8 9:42 45.03 0.16%
Trade id #145768760
Max drawdown($111)
Time9/8/23 9:42
Quant open87
Worst price44.68
Drawdown as % of equity-0.16%
 ($83)
Includes Typical Broker Commissions trade costs of $1.74
8/23/23 15:53 WVE WAVE LIFE SCIENCES LTD. ORDINARY SHARES LONG 930 4.80 9/6 15:34 4.35 0.73%
Trade id #145618587
Max drawdown($519)
Time9/6/23 10:15
Quant open930
Worst price4.24
Drawdown as % of equity-0.73%
 ($429)
Includes Typical Broker Commissions trade costs of $11.80
8/23/23 15:54 AUTL AUTOLUS THERAPEUTICS PLC ADS LONG 2,058 3.26 9/6 15:33 3.06 0.75%
Trade id #145618596
Max drawdown($527)
Time9/6/23 10:15
Quant open2,058
Worst price3.00
Drawdown as % of equity-0.75%
 ($422)
Includes Typical Broker Commissions trade costs of $7.50
8/22/23 15:39 VYGR VOYAGER THERAPEUTICS INC. COMMON STOCK LONG 704 9.60 9/5 15:44 9.22 0.52%
Trade id #145607073
Max drawdown($367)
Time9/5/23 14:57
Quant open704
Worst price9.08
Drawdown as % of equity-0.52%
 ($277)
Includes Typical Broker Commissions trade costs of $9.54
8/22/23 15:38 KNSA KINIKSA PHARMACEUTICALS LTD. CLASS A LONG 370 17.80 9/5 12:49 16.60 0.61%
Trade id #145607068
Max drawdown($442)
Time9/5/23 12:49
Quant open370
Worst price16.60
Drawdown as % of equity-0.61%
 ($451)
Includes Typical Broker Commissions trade costs of $7.40
8/29/23 10:21 LI LI AUTO INC LONG 70 42.45 9/5 9:52 39.11 0.32%
Trade id #145673874
Max drawdown($234)
Time9/5/23 9:52
Quant open70
Worst price39.10
Drawdown as % of equity-0.32%
 ($235)
Includes Typical Broker Commissions trade costs of $1.40
Next

Statistics

  • Strategy began
    7/21/2022
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    429.46
  • Age
    14 months ago
  • What it trades
    Stocks
  • # Trades
    463
  • # Profitable
    173
  • % Profitable
    37.40%
  • Avg trade duration
    13.9 days
  • Max peak-to-valley drawdown
    22.42%
  • drawdown period
    July 19, 2023 - Sept 18, 2023
  • Annual Return (Compounded)
    19.5%
  • Avg win
    $511.86
  • Avg loss
    $257.94
  • Model Account Values (Raw)
  • Cash
    $40,710
  • Margin Used
    $0
  • Buying Power
    $42,622
  • Ratios
  • W:L ratio
    1.18:1
  • Sharpe Ratio
    0.69
  • Sortino Ratio
    1.12
  • Calmar Ratio
    1.591
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    15.44%
  • Correlation to SP500
    -0.08860
  • Return Percent SP500 (cumu) during strategy life
    8.03%
  • Return Statistics
  • Ann Return (w trading costs)
    19.5%
  • Slump
  • Current Slump as Pcnt Equity
    20.20%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.15%
  • Return Statistics
  • Return Pcnt Since TOS Status
    5.030%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.195%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    23.0%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    58.50%
  • Chance of 20% account loss
    27.00%
  • Chance of 30% account loss
    8.50%
  • 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
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    825
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    632
  • Popularity (7 days, Percentile 1000 scale)
    639
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $258
  • Avg Win
    $512
  • Sum Trade PL (losers)
    $74,804.000
  • Age
  • Num Months filled monthly returns table
    15
  • Win / Loss
  • Sum Trade PL (winners)
    $88,552.000
  • # Winners
    173
  • Num Months Winners
    7
  • Dividends
  • Dividends Received in Model Acct
    67
  • AUM
  • AUM (AutoTrader live capital)
    6224
  • Win / Loss
  • # Losers
    290
  • % Winners
    37.4%
  • Frequency
  • Avg Position Time (mins)
    19949.30
  • Avg Position Time (hrs)
    332.49
  • Avg Trade Length
    13.9 days
  • Last Trade Ago
    2
  • Leverage
  • Daily leverage (average)
    0.80
  • Daily leverage (max)
    2.07
  • Regression
  • Alpha
    0.05
  • Beta
    -0.11
  • Treynor Index
    -0.46
  • 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)
    -0.72
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    13.206
  • 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
    0.399
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.126
  • Hold-and-Hope Ratio
    0.078
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.21671
  • SD
    0.27033
  • Sharpe ratio (Glass type estimate)
    0.80165
  • Sharpe ratio (Hedges UMVUE)
    0.75434
  • df
    13.00000
  • t
    0.86589
  • p
    0.35270
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.05317
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.62689
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.08325
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.59194
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.33048
  • Upside Potential Ratio
    4.52738
  • Upside part of mean
    0.42100
  • Downside part of mean
    -0.20429
  • Upside SD
    0.25125
  • Downside SD
    0.09299
  • N nonnegative terms
    6.00000
  • N negative terms
    8.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    14.00000
  • Mean of predictor
    0.04717
  • Mean of criterion
    0.21671
  • SD of predictor
    0.13635
  • SD of criterion
    0.27033
  • Covariance
    -0.01007
  • r
    -0.27329
  • b (slope, estimate of beta)
    -0.54183
  • a (intercept, estimate of alpha)
    0.24227
  • Mean Square Error
    0.07326
  • DF error
    12.00000
  • t(b)
    -0.98416
  • p(b)
    0.63664
  • t(a)
    0.96169
  • p(a)
    0.36625
  • Lowerbound of 95% confidence interval for beta
    -1.74136
  • Upperbound of 95% confidence interval for beta
    0.65771
  • Lowerbound of 95% confidence interval for alpha
    -0.30662
  • Upperbound of 95% confidence interval for alpha
    0.79116
  • Treynor index (mean / b)
    -0.39996
  • Jensen alpha (a)
    0.24227
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.18370
  • SD
    0.25270
  • Sharpe ratio (Glass type estimate)
    0.72696
  • Sharpe ratio (Hedges UMVUE)
    0.68405
  • df
    13.00000
  • t
    0.78520
  • p
    0.36556
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.12209
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.54898
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.14947
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.51758
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.92821
  • Upside Potential Ratio
    4.11435
  • Upside part of mean
    0.39197
  • Downside part of mean
    -0.20827
  • Upside SD
    0.23029
  • Downside SD
    0.09527
  • N nonnegative terms
    6.00000
  • N negative terms
    8.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    14.00000
  • Mean of predictor
    0.03830
  • Mean of criterion
    0.18370
  • SD of predictor
    0.13729
  • SD of criterion
    0.25270
  • Covariance
    -0.00959
  • r
    -0.27641
  • b (slope, estimate of beta)
    -0.50875
  • a (intercept, estimate of alpha)
    0.20318
  • Mean Square Error
    0.06389
  • DF error
    12.00000
  • t(b)
    -0.99633
  • p(b)
    0.63821
  • t(a)
    0.86522
  • p(a)
    0.37884
  • Lowerbound of 95% confidence interval for beta
    -1.62131
  • Upperbound of 95% confidence interval for beta
    0.60381
  • Lowerbound of 95% confidence interval for alpha
    -0.30848
  • Upperbound of 95% confidence interval for alpha
    0.71485
  • Treynor index (mean / b)
    -0.36108
  • Jensen alpha (a)
    0.20318
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.09939
  • Expected Shortfall on VaR
    0.12611
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.04262
  • Expected Shortfall on VaR
    0.06798
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    14.00000
  • Minimum
    0.93359
  • Quartile 1
    0.97585
  • Median
    0.99268
  • Quartile 3
    1.04901
  • Maximum
    1.22870
  • Mean of quarter 1
    0.95663
  • Mean of quarter 2
    0.98629
  • Mean of quarter 3
    1.00457
  • Mean of quarter 4
    1.12158
  • Inter Quartile Range
    0.07316
  • 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
    0.07143
  • Mean of outliers high
    1.22870
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -2.01781
  • VaR(95%) (moments method)
    0.04835
  • Expected Shortfall (moments method)
    0.04918
  • Extreme Value Index (regression method)
    -0.23464
  • VaR(95%) (regression method)
    0.06145
  • Expected Shortfall (regression method)
    0.07544
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.08729
  • Quartile 1
    0.09326
  • Median
    0.09922
  • Quartile 3
    0.10519
  • Maximum
    0.11116
  • Mean of quarter 1
    0.08729
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.11116
  • Inter Quartile Range
    0.01194
  • 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)
    0.24002
  • Compounded annual return (geometric extrapolation)
    0.23566
  • Calmar ratio (compounded annual return / max draw down)
    2.12003
  • Compounded annual return / average of 25% largest draw downs
    2.12003
  • Compounded annual return / Expected Shortfall lognormal
    1.86872
  • 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
    0.20781
  • SD
    0.22195
  • Sharpe ratio (Glass type estimate)
    0.93627
  • Sharpe ratio (Hedges UMVUE)
    0.93397
  • df
    305.00000
  • t
    1.01184
  • p
    0.15621
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.87956
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.75066
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.88113
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.74907
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.55541
  • Upside Potential Ratio
    9.22284
  • Upside part of mean
    1.23219
  • Downside part of mean
    -1.02438
  • Upside SD
    0.17725
  • Downside SD
    0.13360
  • N nonnegative terms
    151.00000
  • N negative terms
    155.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    306.00000
  • Mean of predictor
    0.05451
  • Mean of criterion
    0.20781
  • SD of predictor
    0.18096
  • SD of criterion
    0.22195
  • Covariance
    -0.00336
  • r
    -0.08376
  • b (slope, estimate of beta)
    -0.10274
  • a (intercept, estimate of alpha)
    0.21300
  • Mean Square Error
    0.04908
  • DF error
    304.00000
  • t(b)
    -1.46560
  • p(b)
    0.92810
  • t(a)
    1.04088
  • p(a)
    0.14938
  • Lowerbound of 95% confidence interval for beta
    -0.24068
  • Upperbound of 95% confidence interval for beta
    0.03520
  • Lowerbound of 95% confidence interval for alpha
    -0.19004
  • Upperbound of 95% confidence interval for alpha
    0.61686
  • Treynor index (mean / b)
    -2.02272
  • Jensen alpha (a)
    0.21341
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.18347
  • SD
    0.21992
  • Sharpe ratio (Glass type estimate)
    0.83427
  • Sharpe ratio (Hedges UMVUE)
    0.83221
  • df
    305.00000
  • t
    0.90160
  • p
    0.18399
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.98120
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.64839
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.98257
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.64700
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.35414
  • Upside Potential Ratio
    8.98110
  • Upside part of mean
    1.21684
  • Downside part of mean
    -1.03337
  • Upside SD
    0.17314
  • Downside SD
    0.13549
  • N nonnegative terms
    151.00000
  • N negative terms
    155.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    306.00000
  • Mean of predictor
    0.03822
  • Mean of criterion
    0.18347
  • SD of predictor
    0.18064
  • SD of criterion
    0.21992
  • Covariance
    -0.00343
  • r
    -0.08636
  • b (slope, estimate of beta)
    -0.10514
  • a (intercept, estimate of alpha)
    0.18749
  • Mean Square Error
    0.04816
  • DF error
    304.00000
  • t(b)
    -1.51144
  • p(b)
    0.93414
  • t(a)
    0.92321
  • p(a)
    0.17832
  • Lowerbound of 95% confidence interval for beta
    -0.24203
  • Upperbound of 95% confidence interval for beta
    0.03175
  • Lowerbound of 95% confidence interval for alpha
    -0.21214
  • Upperbound of 95% confidence interval for alpha
    0.58712
  • Treynor index (mean / b)
    -1.74499
  • Jensen alpha (a)
    0.18749
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02142
  • Expected Shortfall on VaR
    0.02694
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00906
  • Expected Shortfall on VaR
    0.01796
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    306.00000
  • Minimum
    0.94068
  • Quartile 1
    0.99560
  • Median
    1.00002
  • Quartile 3
    1.00549
  • Maximum
    1.10068
  • Mean of quarter 1
    0.98678
  • Mean of quarter 2
    0.99786
  • Mean of quarter 3
    1.00236
  • Mean of quarter 4
    1.01657
  • Inter Quartile Range
    0.00989
  • Number outliers low
    17.00000
  • Percentage of outliers low
    0.05556
  • Mean of outliers low
    0.97278
  • Number of outliers high
    18.00000
  • Percentage of outliers high
    0.05882
  • Mean of outliers high
    1.03606
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.26936
  • VaR(95%) (moments method)
    0.01248
  • Expected Shortfall (moments method)
    0.02096
  • Extreme Value Index (regression method)
    0.22110
  • VaR(95%) (regression method)
    0.01095
  • Expected Shortfall (regression method)
    0.01714
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    16.00000
  • Minimum
    0.00037
  • Quartile 1
    0.00770
  • Median
    0.01679
  • Quartile 3
    0.06696
  • Maximum
    0.14799
  • Mean of quarter 1
    0.00405
  • Mean of quarter 2
    0.00945
  • Mean of quarter 3
    0.03502
  • Mean of quarter 4
    0.10908
  • Inter Quartile Range
    0.05926
  • 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)
    -0.95074
  • VaR(95%) (moments method)
    0.12434
  • Expected Shortfall (moments method)
    0.13338
  • Extreme Value Index (regression method)
    -0.33301
  • VaR(95%) (regression method)
    0.13805
  • Expected Shortfall (regression method)
    0.16039
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.23976
  • Compounded annual return (geometric extrapolation)
    0.23538
  • Calmar ratio (compounded annual return / max draw down)
    1.59054
  • Compounded annual return / average of 25% largest draw downs
    2.15788
  • Compounded annual return / Expected Shortfall lognormal
    8.73626
  • 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
    0.18792
  • SD
    0.25876
  • Sharpe ratio (Glass type estimate)
    0.72624
  • Sharpe ratio (Hedges UMVUE)
    0.72204
  • df
    130.00000
  • t
    0.51353
  • p
    0.47750
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.04830
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.49812
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.05115
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.49524
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.27762
  • Upside Potential Ratio
    9.65981
  • Upside part of mean
    1.42082
  • Downside part of mean
    -1.23290
  • Upside SD
    0.21200
  • Downside SD
    0.14708
  • N nonnegative terms
    64.00000
  • N negative terms
    67.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.15845
  • Mean of criterion
    0.18792
  • SD of predictor
    0.11488
  • SD of criterion
    0.25876
  • Covariance
    0.00936
  • r
    0.31492
  • b (slope, estimate of beta)
    0.70935
  • a (intercept, estimate of alpha)
    0.07552
  • Mean Square Error
    0.06078
  • DF error
    129.00000
  • t(b)
    3.76860
  • p(b)
    0.30288
  • t(a)
    0.21582
  • p(a)
    0.48791
  • Lowerbound of 95% confidence interval for beta
    0.33694
  • Upperbound of 95% confidence interval for beta
    1.08177
  • Lowerbound of 95% confidence interval for alpha
    -0.61683
  • Upperbound of 95% confidence interval for alpha
    0.76788
  • Treynor index (mean / b)
    0.26492
  • Jensen alpha (a)
    0.07552
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.15531
  • SD
    0.25481
  • Sharpe ratio (Glass type estimate)
    0.60953
  • Sharpe ratio (Hedges UMVUE)
    0.60600
  • df
    130.00000
  • t
    0.43100
  • p
    0.48111
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.16436
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.38124
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.16678
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.37879
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.04366
  • Upside Potential Ratio
    9.40149
  • Upside part of mean
    1.39906
  • Downside part of mean
    -1.24375
  • Upside SD
    0.20586
  • Downside SD
    0.14881
  • N nonnegative terms
    64.00000
  • N negative terms
    67.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.15185
  • Mean of criterion
    0.15531
  • SD of predictor
    0.11473
  • SD of criterion
    0.25481
  • Covariance
    0.00928
  • r
    0.31760
  • b (slope, estimate of beta)
    0.70537
  • a (intercept, estimate of alpha)
    0.04820
  • Mean Square Error
    0.05883
  • DF error
    129.00000
  • t(b)
    3.80426
  • p(b)
    0.30126
  • t(a)
    0.14005
  • p(a)
    0.49215
  • VAR (95 Confidence Intrvl)
    0.02100
  • Lowerbound of 95% confidence interval for beta
    0.33852
  • Upperbound of 95% confidence interval for beta
    1.07222
  • Lowerbound of 95% confidence interval for alpha
    -0.63274
  • Upperbound of 95% confidence interval for alpha
    0.72914
  • Treynor index (mean / b)
    0.22018
  • Jensen alpha (a)
    0.04820
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02498
  • Expected Shortfall on VaR
    0.03136
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01105
  • Expected Shortfall on VaR
    0.02088
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96653
  • Quartile 1
    0.99444
  • Median
    0.99963
  • Quartile 3
    1.00714
  • Maximum
    1.10068
  • Mean of quarter 1
    0.98447
  • Mean of quarter 2
    0.99707
  • Mean of quarter 3
    1.00266
  • Mean of quarter 4
    1.01915
  • Inter Quartile Range
    0.01270
  • Number outliers low
    6.00000
  • Percentage of outliers low
    0.04580
  • Mean of outliers low
    0.97036
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.05344
  • Mean of outliers high
    1.04449
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.04362
  • VaR(95%) (moments method)
    0.01385
  • Expected Shortfall (moments method)
    0.01947
  • Extreme Value Index (regression method)
    -0.32656
  • VaR(95%) (regression method)
    0.01763
  • Expected Shortfall (regression method)
    0.02191
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.00037
  • Quartile 1
    0.00707
  • Median
    0.01154
  • Quartile 3
    0.04077
  • Maximum
    0.14799
  • Mean of quarter 1
    0.00356
  • Mean of quarter 2
    0.00818
  • Mean of quarter 3
    0.01937
  • Mean of quarter 4
    0.11825
  • Inter Quartile Range
    0.03369
  • 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
    0.12500
  • Mean of outliers high
    0.14799
  • 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
    0.75%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -320812000
  • Max Equity Drawdown (num days)
    61
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.19187
  • Compounded annual return (geometric extrapolation)
    0.20108
  • Calmar ratio (compounded annual return / max draw down)
    1.35874
  • Compounded annual return / average of 25% largest draw downs
    1.70049
  • Compounded annual return / Expected Shortfall lognormal
    6.41205

Strategy Description

Please do not join existing positions!

During the period between October 2022 and March 2023, I tried a new money management strategy which proved that it wasn't profitable. Starting with April 2023, we resumed the initial money management strategy and will stick with it. The underlying strategy remained the same.

We believe that you can't reliably and scalably foresee the future. But we think that you can follow the trend and the momentum.

This strategy is hunting for trends and momentum. We open up as many instruments as C2 allows, up to 1% in risk per position (1% is the maximum risk per position, not the position size).

This is a scalable strategy. We're currently issuing market orders, but in time we'll issue limit orders. Anyway, all the instruments are quite liquid (100k shares/day is our filter minimum) so it doesn't really make a big difference.

We only use equities so your account should be able to trade all the instruments we trade. Let us know otherwise.

Thank you!
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2022-07-21
Suggested Minimum Capital
$35,000
# Trades
463
# Profitable
173
% Profitable
37.4%
Net Dividends
$66
Correlation S&P500
-0.089
Sharpe Ratio
0.69
Sortino Ratio
1.12
Beta
-0.11
Alpha
0.05
Leverage
0.80 Average
2.07 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.