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

C2 slow steady
(142012072)

Created by: Patience_iskey Patience_iskey
Started: 10/2022
Stocks
Last trade: Today
Trading style: Equity Pairs Trading / Relative Value

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
Pairs Trading / Relative Value
Category: Equity

Pairs Trading / Relative Value

Seeks to exploit differences in the price or rate of the same or similar securities. The relative value fund trades on gaps, rather than the price of a specific security alone
36.0%
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.

(12.8%)
Max Drawdown
276
Num Trades
84.8%
Win Trades
2.4 : 1
Profit Factor
61.1%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022                                                               +5.4%(3.7%)(5.9%)(4.5%)
2023+15.4%(3.6%)+7.8%+2.9%+1.1%+2.3%+9.1%(3.3%)(5.1%)(2%)+14.6%+6.8%+53.1%
2024(3%)+11.1%+0.5%                                                      +8.3%

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 431 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
3/6/24 9:44 FL FOOT LOCKER LONG 120 25.49 3/28 12:47 28.34 0.51%
Trade id #147551880
Max drawdown($390)
Time3/18/24 0:00
Quant open120
Worst price22.23
Drawdown as % of equity-0.51%
$340
Includes Typical Broker Commissions trade costs of $2.40
2/13/24 15:50 MPX MARINE PRODUCTS LONG 100 10.51 3/28 11:37 11.66 0.05%
Trade id #147328859
Max drawdown($35)
Time2/23/24 0:00
Quant open100
Worst price10.16
Drawdown as % of equity-0.05%
$113
Includes Typical Broker Commissions trade costs of $2.00
1/31/24 10:35 GOOGL ALPHABET INC CLASS A LONG 35 139.73 3/18 10:41 150.50 0.29%
Trade id #147178491
Max drawdown($226)
Time3/5/24 0:00
Quant open25
Worst price130.66
Drawdown as % of equity-0.29%
$376
Includes Typical Broker Commissions trade costs of $0.70
3/11/24 15:25 NVDA NVIDIA LONG 5 855.00 3/12 9:30 880.53 0.01%
Trade id #147595400
Max drawdown($10)
Time3/11/24 15:28
Quant open5
Worst price852.91
Drawdown as % of equity-0.01%
$128
Includes Typical Broker Commissions trade costs of $0.10
2/6/24 11:39 NVDA NVIDIA LONG 4 678.00 3/8 14:10 806.17 0.08%
Trade id #147239047
Max drawdown($60)
Time2/6/24 12:21
Quant open4
Worst price663.00
Drawdown as % of equity-0.08%
$513
Includes Typical Broker Commissions trade costs of $0.08
11/7/23 9:32 XOM EXXON MOBIL LONG 70 102.17 3/5/24 11:58 104.69 0.63%
Trade id #146355003
Max drawdown($447)
Time1/22/24 0:00
Quant open70
Worst price95.77
Drawdown as % of equity-0.63%
$175
Includes Typical Broker Commissions trade costs of $1.40
2/6/24 11:15 AMD ADVANCED MICRO DEVICES INC. C LONG 15 168.20 3/1 9:30 197.84 0.13%
Trade id #147238786
Max drawdown($95)
Time2/21/24 0:00
Quant open15
Worst price161.81
Drawdown as % of equity-0.13%
$445
Includes Typical Broker Commissions trade costs of $0.30
9/20/23 9:59 AAL AMERICAN AIRLINES GROUP INC. C LONG 140 13.02 2/27/24 9:30 13.70 0.41%
Trade id #145877434
Max drawdown($247)
Time10/23/23 0:00
Quant open100
Worst price10.94
Drawdown as % of equity-0.41%
$93
Includes Typical Broker Commissions trade costs of $2.80
2/6/24 11:12 META META PLATFORMS INC. CLASS A LONG 8 455.03 2/23 9:30 483.73 0.01%
Trade id #147238761
Max drawdown($8)
Time2/6/24 15:54
Quant open8
Worst price454.02
Drawdown as % of equity-0.01%
$230
Includes Typical Broker Commissions trade costs of $0.16
12/22/23 11:14 AI C3.AI INC LONG 100 27.34 2/12/24 13:22 31.23 0.5%
Trade id #146788869
Max drawdown($358)
Time2/5/24 0:00
Quant open100
Worst price23.75
Drawdown as % of equity-0.50%
$386
Includes Typical Broker Commissions trade costs of $2.00
12/20/23 9:44 ABNB AIRBNB INC. CLASS A COMMON STOCK LONG 26 141.47 2/8/24 9:30 149.15 0.38%
Trade id #146757869
Max drawdown($276)
Time1/3/24 0:00
Quant open26
Worst price130.82
Drawdown as % of equity-0.38%
$199
Includes Typical Broker Commissions trade costs of $0.52
4/11/23 9:41 DIS WALT DISNEY LONG 120 94.44 2/8/24 9:30 96.64 3.21%
Trade id #144250867
Max drawdown($1,884)
Time10/4/23 0:00
Quant open120
Worst price78.73
Drawdown as % of equity-3.21%
$262
Includes Typical Broker Commissions trade costs of $2.40
1/31/24 10:39 NVDA NVIDIA LONG 7 607.72 2/2 10:03 650.47 0.01%
Trade id #147178566
Max drawdown($5)
Time1/31/24 10:46
Quant open7
Worst price607.00
Drawdown as % of equity-0.01%
$299
Includes Typical Broker Commissions trade costs of $0.14
1/2/24 9:37 AMZN AMAZON.COM LONG 15 151.00 2/2 10:02 166.89 0.15%
Trade id #146862335
Max drawdown($104)
Time1/4/24 0:00
Quant open15
Worst price144.05
Drawdown as % of equity-0.15%
$238
Includes Typical Broker Commissions trade costs of $0.30
1/31/24 10:37 AMD ADVANCED MICRO DEVICES INC. C LONG 10 164.28 2/2 9:38 176.25 0.01%
Trade id #147178523
Max drawdown($5)
Time1/31/24 10:41
Quant open10
Worst price163.71
Drawdown as % of equity-0.01%
$120
Includes Typical Broker Commissions trade costs of $0.20
11/28/23 9:45 NVO NOVO-NORDISK LONG 40 99.84 1/31/24 12:44 109.25 0.29%
Trade id #146553701
Max drawdown($204)
Time12/11/23 0:00
Quant open40
Worst price94.73
Drawdown as % of equity-0.29%
$375
Includes Typical Broker Commissions trade costs of $0.80
1/2/24 9:45 GOOGL ALPHABET INC CLASS A LONG 15 137.69 1/25 9:30 150.07 0.05%
Trade id #146872422
Max drawdown($38)
Time1/5/24 0:00
Quant open15
Worst price135.15
Drawdown as % of equity-0.05%
$186
Includes Typical Broker Commissions trade costs of $0.30
1/19/24 10:07 FL FOOT LOCKER LONG 80 26.25 1/24 9:55 28.55 0.04%
Trade id #147065661
Max drawdown($26)
Time1/19/24 12:11
Quant open80
Worst price25.92
Drawdown as % of equity-0.04%
$182
Includes Typical Broker Commissions trade costs of $1.60
1/2/24 9:30 ADBE ADOBE INC LONG 9 589.51 1/19 14:06 606.66 0.33%
Trade id #146861795
Max drawdown($235)
Time1/5/24 0:00
Quant open9
Worst price563.34
Drawdown as % of equity-0.33%
$154
Includes Typical Broker Commissions trade costs of $0.18
1/2/24 9:43 MSFT MICROSOFT LONG 12 369.21 1/19 13:31 388.48 0.05%
Trade id #146872297
Max drawdown($32)
Time1/5/24 0:00
Quant open12
Worst price366.50
Drawdown as % of equity-0.05%
$231
Includes Typical Broker Commissions trade costs of $0.24
1/2/24 10:10 AMD ADVANCED MICRO DEVICES INC. C LONG 15 140.66 1/19 9:34 162.27 0.14%
Trade id #146873154
Max drawdown($103)
Time1/3/24 0:00
Quant open15
Worst price133.74
Drawdown as % of equity-0.14%
$324
Includes Typical Broker Commissions trade costs of $0.30
8/17/23 9:30 PYPL PAYPAL HOLDINGS CORP LONG 100 57.54 1/19/24 9:33 62.69 0.55%
Trade id #145560016
Max drawdown($320)
Time10/27/23 0:00
Quant open50
Worst price50.25
Drawdown as % of equity-0.55%
$513
Includes Typical Broker Commissions trade costs of $2.00
1/2/24 9:38 META META PLATFORMS INC. CLASS A LONG 14 348.25 1/18 14:00 370.71 0.16%
Trade id #146862391
Max drawdown($115)
Time1/2/24 10:51
Quant open14
Worst price340.01
Drawdown as % of equity-0.16%
$315
Includes Typical Broker Commissions trade costs of $0.28
1/4/24 9:30 ALTM ARCADIUM LITHIUM PLC LONG 600 0.00 1/17 10:07 5.27 n/a $3,157
Includes Typical Broker Commissions trade costs of $5.00
7/21/23 9:36 LTHM LIVENT CORP LONG 300 22.71 1/4/24 9:30 0.00 4.63%
Trade id #145283882
Max drawdown($2,987)
Time11/13/23 0:00
Quant open300
Worst price12.76
Drawdown as % of equity-4.63%
($6,820)
Includes Typical Broker Commissions trade costs of $6.00
12/14/23 12:30 LLY ELI LILLY LONG 12 575.00 1/3/24 9:30 600.00 0.22%
Trade id #146703064
Max drawdown($160)
Time12/15/23 0:00
Quant open12
Worst price561.65
Drawdown as % of equity-0.22%
$300
Includes Typical Broker Commissions trade costs of $0.24
12/4/23 10:00 MSFT MICROSOFT LONG 10 364.90 12/29 9:51 377.08 0.03%
Trade id #146605098
Max drawdown($20)
Time12/4/23 10:54
Quant open10
Worst price362.90
Drawdown as % of equity-0.03%
$122
Includes Typical Broker Commissions trade costs of $0.20
8/7/23 9:30 AI C3.AI INC LONG 300 31.39 12/19 9:50 32.39 4.08%
Trade id #145457375
Max drawdown($2,435)
Time11/1/23 0:00
Quant open300
Worst price23.27
Drawdown as % of equity-4.08%
$295
Includes Typical Broker Commissions trade costs of $6.00
12/14/23 12:12 ADBE ADOBE INC LONG 12 586.67 12/18 9:41 601.00 0.14%
Trade id #146702680
Max drawdown($101)
Time12/15/23 0:00
Quant open12
Worst price578.20
Drawdown as % of equity-0.14%
$172
Includes Typical Broker Commissions trade costs of $0.24
5/19/23 10:56 NKE NIKE LONG 30 115.28 12/13 14:40 120.86 1.35%
Trade id #144685630
Max drawdown($798)
Time9/28/23 0:00
Quant open30
Worst price88.66
Drawdown as % of equity-1.35%
$166
Includes Typical Broker Commissions trade costs of $0.60

Statistics

  • Strategy began
    10/3/2022
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    542.35
  • Age
    18 months ago
  • What it trades
    Stocks
  • # Trades
    276
  • # Profitable
    234
  • % Profitable
    84.80%
  • Avg trade duration
    21.5 days
  • Max peak-to-valley drawdown
    12.84%
  • drawdown period
    Aug 01, 2023 - Oct 26, 2023
  • Annual Return (Compounded)
    36.0%
  • Avg win
    $210.35
  • Avg loss
    $514.43
  • Model Account Values (Raw)
  • Cash
    $64,402
  • Margin Used
    $0
  • Buying Power
    $63,855
  • Ratios
  • W:L ratio
    2.41:1
  • Sharpe Ratio
    1.53
  • Sortino Ratio
    2.61
  • Calmar Ratio
    3.549
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    15.44%
  • Correlation to SP500
    0.48340
  • Return Percent SP500 (cumu) during strategy life
    42.75%
  • Verified
  • C2Star
    0
  • Return Statistics
  • Ann Return (w trading costs)
    36.0%
  • Slump
  • Current Slump as Pcnt Equity
    0.20%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.00%
  • 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)
    0.360%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    38.5%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    12.50%
  • Chance of 20% account loss
    0.50%
  • 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)
    923
  • Popularity (Last 6 weeks)
    957
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    995
  • Popularity (7 days, Percentile 1000 scale)
    896
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $528
  • Avg Win
    $222
  • Sum Trade PL (losers)
    $22,179.000
  • Age
  • Num Months filled monthly returns table
    18
  • Win / Loss
  • Sum Trade PL (winners)
    $51,967.000
  • # Winners
    234
  • Num Months Winners
    11
  • Dividends
  • Dividends Received in Model Acct
    1426
  • AUM
  • AUM (AutoTrader live capital)
    145305
  • Win / Loss
  • # Losers
    42
  • % Winners
    84.8%
  • Frequency
  • Avg Position Time (mins)
    31026.20
  • Avg Position Time (hrs)
    517.10
  • Avg Trade Length
    21.5 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    0.84
  • Daily leverage (max)
    1.81
  • Regression
  • Alpha
    0.05
  • Beta
    0.53
  • Treynor Index
    0.16
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    1.22
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    3.529
  • 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
    1.308
  • Avg(MAE) / Avg(PL) - Losing trades
    -0.947
  • Hold-and-Hope Ratio
    0.318
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.32541
  • SD
    0.20771
  • Sharpe ratio (Glass type estimate)
    1.56665
  • Sharpe ratio (Hedges UMVUE)
    1.49184
  • df
    16.00000
  • t
    1.86468
  • p
    0.28874
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.18780
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.27719
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.23407
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.21776
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.36026
  • Upside Potential Ratio
    4.90375
  • Upside part of mean
    0.47488
  • Downside part of mean
    -0.14947
  • Upside SD
    0.20013
  • Downside SD
    0.09684
  • N nonnegative terms
    11.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    17.00000
  • Mean of predictor
    0.21733
  • Mean of criterion
    0.32541
  • SD of predictor
    0.13901
  • SD of criterion
    0.20771
  • Covariance
    0.01869
  • r
    0.64723
  • b (slope, estimate of beta)
    0.96708
  • a (intercept, estimate of alpha)
    0.11524
  • Mean Square Error
    0.02674
  • DF error
    15.00000
  • t(b)
    3.28839
  • p(b)
    0.11888
  • t(a)
    0.76048
  • p(a)
    0.37810
  • Lowerbound of 95% confidence interval for beta
    0.34024
  • Upperbound of 95% confidence interval for beta
    1.59391
  • Lowerbound of 95% confidence interval for alpha
    -0.20774
  • Upperbound of 95% confidence interval for alpha
    0.43822
  • Treynor index (mean / b)
    0.33649
  • Jensen alpha (a)
    0.11524
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.30111
  • SD
    0.20242
  • Sharpe ratio (Glass type estimate)
    1.48752
  • Sharpe ratio (Hedges UMVUE)
    1.41649
  • df
    16.00000
  • t
    1.77050
  • p
    0.29763
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.25776
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.19073
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.30179
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.13477
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.99765
  • Upside Potential Ratio
    4.53118
  • Upside part of mean
    0.45515
  • Downside part of mean
    -0.15404
  • Upside SD
    0.18982
  • Downside SD
    0.10045
  • N nonnegative terms
    11.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    17.00000
  • Mean of predictor
    0.20602
  • Mean of criterion
    0.30111
  • SD of predictor
    0.13788
  • SD of criterion
    0.20242
  • Covariance
    0.01849
  • r
    0.66244
  • b (slope, estimate of beta)
    0.97254
  • a (intercept, estimate of alpha)
    0.10075
  • Mean Square Error
    0.02453
  • DF error
    15.00000
  • t(b)
    3.42487
  • p(b)
    0.11156
  • t(a)
    0.69966
  • p(a)
    0.38743
  • Lowerbound of 95% confidence interval for beta
    0.36729
  • Upperbound of 95% confidence interval for beta
    1.57780
  • Lowerbound of 95% confidence interval for alpha
    -0.20618
  • Upperbound of 95% confidence interval for alpha
    0.40768
  • Treynor index (mean / b)
    0.30961
  • Jensen alpha (a)
    0.10075
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06856
  • Expected Shortfall on VaR
    0.09082
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02243
  • Expected Shortfall on VaR
    0.04841
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    17.00000
  • Minimum
    0.91492
  • Quartile 1
    0.99319
  • Median
    1.04599
  • Quartile 3
    1.05787
  • Maximum
    1.16140
  • Mean of quarter 1
    0.96091
  • Mean of quarter 2
    1.02084
  • Mean of quarter 3
    1.05297
  • Mean of quarter 4
    1.10019
  • Inter Quartile Range
    0.06467
  • 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
    0.05882
  • Mean of outliers high
    1.16140
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.38935
  • VaR(95%) (moments method)
    0.02539
  • Expected Shortfall (moments method)
    0.03169
  • Extreme Value Index (regression method)
    -0.17114
  • VaR(95%) (regression method)
    0.06644
  • Expected Shortfall (regression method)
    0.09198
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00681
  • Quartile 1
    0.01161
  • Median
    0.05023
  • Quartile 3
    0.08760
  • Maximum
    0.08868
  • Mean of quarter 1
    0.00681
  • Mean of quarter 2
    0.01322
  • Mean of quarter 3
    0.08724
  • Mean of quarter 4
    0.08868
  • Inter Quartile Range
    0.07598
  • 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)
    0.41913
  • Compounded annual return (geometric extrapolation)
    0.38960
  • Calmar ratio (compounded annual return / max draw down)
    4.39338
  • Compounded annual return / average of 25% largest draw downs
    4.39338
  • Compounded annual return / Expected Shortfall lognormal
    4.28996
  • 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
    0.31633
  • SD
    0.16581
  • Sharpe ratio (Glass type estimate)
    1.90780
  • Sharpe ratio (Hedges UMVUE)
    1.90407
  • df
    384.00000
  • t
    2.31266
  • p
    0.01063
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.28414
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.52903
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.28163
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.52651
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.34543
  • Upside Potential Ratio
    11.59050
  • Upside part of mean
    1.09595
  • Downside part of mean
    -0.77962
  • Upside SD
    0.13734
  • Downside SD
    0.09456
  • N nonnegative terms
    194.00000
  • N negative terms
    191.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    385.00000
  • Mean of predictor
    0.22657
  • Mean of criterion
    0.31633
  • SD of predictor
    0.15360
  • SD of criterion
    0.16581
  • Covariance
    0.01203
  • r
    0.47233
  • b (slope, estimate of beta)
    0.50988
  • a (intercept, estimate of alpha)
    0.20100
  • Mean Square Error
    0.02141
  • DF error
    383.00000
  • t(b)
    10.48720
  • p(b)
    -0.00000
  • t(a)
    1.65651
  • p(a)
    0.04922
  • Lowerbound of 95% confidence interval for beta
    0.41428
  • Upperbound of 95% confidence interval for beta
    0.60547
  • Lowerbound of 95% confidence interval for alpha
    -0.03754
  • Upperbound of 95% confidence interval for alpha
    0.43915
  • Treynor index (mean / b)
    0.62040
  • Jensen alpha (a)
    0.20080
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.30251
  • SD
    0.16483
  • Sharpe ratio (Glass type estimate)
    1.83529
  • Sharpe ratio (Hedges UMVUE)
    1.83170
  • df
    384.00000
  • t
    2.22476
  • p
    0.01334
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.21209
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.45618
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.20968
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.45373
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.17525
  • Upside Potential Ratio
    11.40480
  • Upside part of mean
    1.08657
  • Downside part of mean
    -0.78405
  • Upside SD
    0.13554
  • Downside SD
    0.09527
  • N nonnegative terms
    194.00000
  • N negative terms
    191.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    385.00000
  • Mean of predictor
    0.21475
  • Mean of criterion
    0.30251
  • SD of predictor
    0.15309
  • SD of criterion
    0.16483
  • Covariance
    0.01198
  • r
    0.47476
  • b (slope, estimate of beta)
    0.51118
  • a (intercept, estimate of alpha)
    0.19274
  • Mean Square Error
    0.02110
  • DF error
    383.00000
  • t(b)
    10.55690
  • p(b)
    -0.00000
  • t(a)
    1.60242
  • p(a)
    0.05494
  • Lowerbound of 95% confidence interval for beta
    0.41598
  • Upperbound of 95% confidence interval for beta
    0.60639
  • Lowerbound of 95% confidence interval for alpha
    -0.04375
  • Upperbound of 95% confidence interval for alpha
    0.42923
  • Treynor index (mean / b)
    0.59179
  • Jensen alpha (a)
    0.19274
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01547
  • Expected Shortfall on VaR
    0.01965
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00685
  • Expected Shortfall on VaR
    0.01312
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    385.00000
  • Minimum
    0.97193
  • Quartile 1
    0.99601
  • Median
    1.00025
  • Quartile 3
    1.00590
  • Maximum
    1.05360
  • Mean of quarter 1
    0.98986
  • Mean of quarter 2
    0.99853
  • Mean of quarter 3
    1.00273
  • Mean of quarter 4
    1.01426
  • Inter Quartile Range
    0.00989
  • Number outliers low
    10.00000
  • Percentage of outliers low
    0.02597
  • Mean of outliers low
    0.97854
  • Number of outliers high
    17.00000
  • Percentage of outliers high
    0.04416
  • Mean of outliers high
    1.02977
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.28293
  • VaR(95%) (moments method)
    0.00947
  • Expected Shortfall (moments method)
    0.01157
  • Extreme Value Index (regression method)
    -0.20629
  • VaR(95%) (regression method)
    0.00940
  • Expected Shortfall (regression method)
    0.01173
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    25.00000
  • Minimum
    0.00038
  • Quartile 1
    0.00829
  • Median
    0.01818
  • Quartile 3
    0.02757
  • Maximum
    0.11034
  • Mean of quarter 1
    0.00446
  • Mean of quarter 2
    0.01314
  • Mean of quarter 3
    0.02149
  • Mean of quarter 4
    0.06925
  • Inter Quartile Range
    0.01927
  • 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
    0.12000
  • Mean of outliers high
    0.09489
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.58061
  • VaR(95%) (moments method)
    0.06477
  • Expected Shortfall (moments method)
    0.07396
  • Extreme Value Index (regression method)
    -2.71290
  • VaR(95%) (regression method)
    0.08647
  • Expected Shortfall (regression method)
    0.08692
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.42536
  • Compounded annual return (geometric extrapolation)
    0.39155
  • Calmar ratio (compounded annual return / max draw down)
    3.54867
  • Compounded annual return / average of 25% largest draw downs
    5.65445
  • Compounded annual return / Expected Shortfall lognormal
    19.92850
  • 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
    0.54053
  • SD
    0.17474
  • Sharpe ratio (Glass type estimate)
    3.09328
  • Sharpe ratio (Hedges UMVUE)
    3.07540
  • df
    130.00000
  • t
    2.18728
  • p
    0.40580
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.29037
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.88463
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.27850
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.87230
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.77772
  • Upside Potential Ratio
    14.02320
  • Upside part of mean
    1.31193
  • Downside part of mean
    -0.77140
  • Upside SD
    0.15055
  • Downside SD
    0.09355
  • N nonnegative terms
    76.00000
  • N negative terms
    55.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.37065
  • Mean of criterion
    0.54053
  • SD of predictor
    0.11616
  • SD of criterion
    0.17474
  • Covariance
    0.01142
  • r
    0.56278
  • b (slope, estimate of beta)
    0.84664
  • a (intercept, estimate of alpha)
    0.22672
  • Mean Square Error
    0.02103
  • DF error
    129.00000
  • t(b)
    7.73285
  • p(b)
    0.16165
  • t(a)
    1.08459
  • p(a)
    0.43957
  • Lowerbound of 95% confidence interval for beta
    0.63002
  • Upperbound of 95% confidence interval for beta
    1.06327
  • Lowerbound of 95% confidence interval for alpha
    -0.18687
  • Upperbound of 95% confidence interval for alpha
    0.64031
  • Treynor index (mean / b)
    0.63844
  • Jensen alpha (a)
    0.22672
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.52492
  • SD
    0.17356
  • Sharpe ratio (Glass type estimate)
    3.02452
  • Sharpe ratio (Hedges UMVUE)
    3.00703
  • df
    130.00000
  • t
    2.13866
  • p
    0.40782
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.22284
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.81488
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.21123
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.80284
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.57159
  • Upside Potential Ratio
    13.80530
  • Upside part of mean
    1.30065
  • Downside part of mean
    -0.77573
  • Upside SD
    0.14855
  • Downside SD
    0.09421
  • N nonnegative terms
    76.00000
  • N negative terms
    55.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.36367
  • Mean of criterion
    0.52492
  • SD of predictor
    0.11603
  • SD of criterion
    0.17356
  • Covariance
    0.01136
  • r
    0.56414
  • b (slope, estimate of beta)
    0.84384
  • a (intercept, estimate of alpha)
    0.21805
  • Mean Square Error
    0.02069
  • DF error
    129.00000
  • t(b)
    7.76005
  • p(b)
    0.16094
  • t(a)
    1.05209
  • p(a)
    0.44136
  • VAR (95 Confidence Intrvl)
    0.01500
  • Lowerbound of 95% confidence interval for beta
    0.62869
  • Upperbound of 95% confidence interval for beta
    1.05898
  • Lowerbound of 95% confidence interval for alpha
    -0.19201
  • Upperbound of 95% confidence interval for alpha
    0.62810
  • Treynor index (mean / b)
    0.62207
  • Jensen alpha (a)
    0.21805
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01551
  • Expected Shortfall on VaR
    0.01990
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00610
  • Expected Shortfall on VaR
    0.01197
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97988
  • Quartile 1
    0.99587
  • Median
    1.00142
  • Quartile 3
    1.00781
  • Maximum
    1.05040
  • Mean of quarter 1
    0.98981
  • Mean of quarter 2
    0.99900
  • Mean of quarter 3
    1.00451
  • Mean of quarter 4
    1.01544
  • 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
    5.00000
  • Percentage of outliers high
    0.03817
  • Mean of outliers high
    1.03374
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.20275
  • VaR(95%) (moments method)
    0.00975
  • Expected Shortfall (moments method)
    0.01218
  • Extreme Value Index (regression method)
    -0.68482
  • VaR(95%) (regression method)
    0.00961
  • Expected Shortfall (regression method)
    0.01069
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    16.00000
  • Minimum
    0.00038
  • Quartile 1
    0.00796
  • Median
    0.01548
  • Quartile 3
    0.02100
  • Maximum
    0.06903
  • Mean of quarter 1
    0.00343
  • Mean of quarter 2
    0.01133
  • Mean of quarter 3
    0.01878
  • Mean of quarter 4
    0.04262
  • Inter Quartile Range
    0.01304
  • 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
    0.12500
  • Mean of outliers high
    0.05880
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.34181
  • VaR(95%) (moments method)
    0.04625
  • Expected Shortfall (moments method)
    0.05598
  • Extreme Value Index (regression method)
    0.33408
  • VaR(95%) (regression method)
    0.05783
  • Last 4 Months - Pcnt Negative
    0.25%
  • Expected Shortfall (regression method)
    0.09929
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -409486000
  • Max Equity Drawdown (num days)
    86
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.63679
  • Compounded annual return (geometric extrapolation)
    0.73816
  • Calmar ratio (compounded annual return / max draw down)
    10.69260
  • Compounded annual return / average of 25% largest draw downs
    17.32030
  • Compounded annual return / Expected Shortfall lognormal
    37.08460

Strategy Description

The C2 Slow and Steady trading strategy is built upon the principles of patience, long-term investment, and a strong belief in carefully selected companies. With a focus on steady growth and minimizing risk, this strategy aims to provide reliable and consistent performance for investors seeking stable returns.

Long-term Approach: The strategy is designed for long-term investors who are willing to hold positions for extended periods. It emphasizes the importance of giving the selected companies ample time to fulfill their potential.

Daily Order Placement: The strategy typically places orders on a daily basis to take advantage of short-term fluctuations while maintaining a long-term investment horizon. However, the overarching philosophy remains focused on the big picture.

Limited Diversification: The strategy typically maintains a manageable number of positions, with a maximum of 20 different companies in the portfolio at any given time. This approach allows for better monitoring and analysis of each investment.

No Short Positions: The strategy does not engage in short selling, thereby avoiding potential higher risks associated with short positions.

Fundamental Belief in Companies: Investments are made in companies that the strategy's creator firmly believes in, based on thorough fundamental analysis. The focus is on selecting strong, well-established companies with solid growth prospects.

Patient Risk Management: Emphasizing patience and discipline, the strategy avoids making impulsive decisions during market downturns or euphoria. Losses are managed carefully, and exits are only executed when there is a strong conviction that a company's potential has diminished.

Scaling Possibility: Investors have the option to scale their accounts, but the strategy creator suggests a minimum account size of 3K to ensure the timely execution of signals.

Risk and Reward:

The C2 Slow and Steady strategy aims for steady, consistent growth over time, rather than chasing quick gains. By focusing on fundamentally strong companies and exercising patience, the strategy seeks to limit downside risk while participating in potential long-term upsides. Investors should be prepared for moderate volatility in the short term but can expect a smoother equity curve over the long run.

Summary Statistics

Strategy began
2022-10-03
Suggested Minimum Capital
$15,000
Rank at C2 %
Top 0.5%
Rank # 
#4
# Trades
276
# Profitable
234
% Profitable
84.8%
Net Dividends
Correlation S&P500
0.483
Sharpe Ratio
1.53
Sortino Ratio
2.61
Beta
0.53
Alpha
0.05
Leverage
0.84 Average
1.81 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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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.