Collective2 Collective2
Featured Strategy SK Trader +43.0% Annual Return (Compounded) since Apr 3, 2024 Hypothetical

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Recession Proof System
(139373540)

Created by: WallStForMainSt WallStForMainSt
Started: 02/2022
Stocks
Last trade: 6 days ago
Trading style: Equity Trend-following Short-term Reversal

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 $99.00 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.
Short-term Reversal
Category: Equity

Short-term Reversal

Exploits the tendency of stocks with strong gains and stocks with strong losses to reverse in a short-term time frame (up to one month).
-6.8%
Annual Return (Compounded)

Rate of Return Calculations

Overview

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

How Annualized (Compounded) Rate of Return is calculated

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

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

All results are hypothetical.

(43.3%)
Max Drawdown
446
Num Trades
62.1%
Win Trades
1.1 : 1
Profit Factor
45.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022       +2.4%+6.3%(6.7%)+5.5%+6.4%(1.7%)(1.2%)(1.9%)(1.9%)(7.7%)(5.1%)(6.6%)
2023(11%)+2.2%(6.2%)+0.6%(5.7%)+5.0%(3.2%)(1.6%)(4%)(6.8%)+7.4%+0.4%(21.8%)
2024+4.8%(0.1%)+5.4%(7%)(2.2%)+4.7%+1.9%  -  +1.2%(5.5%)+5.5%(6.2%)+1.3%
2025+7.8%(0.1%)+0.8%(1.5%)+0.2%                                          +7.2%

Model Account Details

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

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

System developer has asked us to delay this information by 25 hours.

Trading Record

This strategy has placed 832 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/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
5/5/25 9:30 NVO NOVO-NORDISK LONG 56 69.00 5/6 13:37 66.24 0.77%
Trade id #151619160
Max drawdown($154)
Time5/6/25 13:37
Quant open56
Worst price66.24
Drawdown as % of equity-0.77%
 ($156)
Includes Typical Broker Commissions trade costs of $1.12
4/28/25 9:34 META META PLATFORMS INC. CLASS A LONG 7 547.00 5/1 9:30 592.58 0.62%
Trade id #151546179
Max drawdown($122)
Time4/30/25 0:00
Quant open7
Worst price529.50
Drawdown as % of equity-0.62%
 $319
Includes Typical Broker Commissions trade costs of $0.14
2/28/25 15:50 VST VISTRA CORP LONG 5 133.16 5/1 9:30 137.67 1.08%
Trade id #150984430
Max drawdown($213)
Time4/7/25 0:00
Quant open5
Worst price90.51
Drawdown as % of equity-1.08%
 $23
Includes Typical Broker Commissions trade costs of $0.10
4/16/25 9:52 AAON AAON LONG 18 81.00 4/25 10:00 86.42 0.36%
Trade id #151425381
Max drawdown($69)
Time4/21/25 0:00
Quant open18
Worst price77.13
Drawdown as % of equity-0.36%
 $98
Includes Typical Broker Commissions trade costs of $0.36
4/21/25 11:26 PM PHILIP MORRIS LONG 24 162.00 4/23 9:30 167.00 0.35%
Trade id #151470877
Max drawdown($67)
Time4/21/25 14:01
Quant open24
Worst price159.17
Drawdown as % of equity-0.35%
 $120
Includes Typical Broker Commissions trade costs of $0.48
4/15/25 9:30 AA ALCOA LONG 163 24.50 4/17 15:27 23.17 1.2%
Trade id #151408577
Max drawdown($234)
Time4/17/25 15:16
Quant open163
Worst price23.06
Drawdown as % of equity-1.20%
 ($220)
Includes Typical Broker Commissions trade costs of $3.26
4/4/25 10:51 BTO JH BANK & THRIFT OPPORTUNITY C LONG 70 29.08 4/8 14:45 28.76 0.48%
Trade id #151284635
Max drawdown($94)
Time4/7/25 0:00
Quant open70
Worst price27.73
Drawdown as % of equity-0.48%
 ($23)
Includes Typical Broker Commissions trade costs of $1.40
4/4/25 10:34 UHAL AMERCO LONG 33 61.50 4/7 9:47 58.70 0.54%
Trade id #151284274
Max drawdown($106)
Time4/7/25 9:47
Quant open33
Worst price58.26
Drawdown as % of equity-0.54%
 ($93)
Includes Typical Broker Commissions trade costs of $0.66
4/3/25 16:28 @MESM5 MICRO E-MINI S&P 500 LONG 1 5418.50 4/4 6:21 5318.00 2.53%
Trade id #151276134
Max drawdown($508)
Time4/4/25 6:21
Quant open1
Worst price5316.75
Drawdown as % of equity-2.53%
 ($504)
Includes Typical Broker Commissions trade costs of $0.94
3/31/25 11:55 SVIX2504P20 SVIX Apr4'25 20 put SHORT 1 0.80 4/2 15:31 0.40 0.1%
Trade id #151235884
Max drawdown($20)
Time4/1/25 0:00
Quant open1
Worst price1.00
Drawdown as % of equity-0.10%
 $38
Includes Typical Broker Commissions trade costs of $2.00
3/31/25 9:30 SLP SIMULATIONS PLUS LONG 168 23.75 4/1 12:02 24.79 0.21%
Trade id #151233043
Max drawdown($42)
Time4/1/25 10:10
Quant open168
Worst price23.50
Drawdown as % of equity-0.21%
 $172
Includes Typical Broker Commissions trade costs of $3.36
3/28/25 12:12 PRGS PROGRESS SOFTWARE LONG 38 52.00 4/1 9:31 55.25 0.2%
Trade id #151220703
Max drawdown($41)
Time3/31/25 0:00
Quant open38
Worst price50.92
Drawdown as % of equity-0.20%
 $123
Includes Typical Broker Commissions trade costs of $0.76
3/31/25 9:31 DAL DELTA AIR LINES LONG 49 41.50 3/31 14:09 43.45 0.18%
Trade id #151233181
Max drawdown($35)
Time3/31/25 9:45
Quant open49
Worst price40.78
Drawdown as % of equity-0.18%
 $95
Includes Typical Broker Commissions trade costs of $0.98
3/25/25 10:06 CL COLGATE-PALMOLIVE LONG 23 89.54 3/31 11:44 93.87 0.06%
Trade id #151181186
Max drawdown($11)
Time3/25/25 11:32
Quant open23
Worst price89.04
Drawdown as % of equity-0.06%
 $100
Includes Typical Broker Commissions trade costs of $0.46
3/26/25 10:53 VXX2528O46.5 VXX Mar28'25 46.5 put SHORT 1 1.20 3/28 10:00 0.05 n/a $113
Includes Typical Broker Commissions trade costs of $2.00
3/3/25 11:49 WRD WERIDE INC. ADS LONG 100 19.09 3/27 15:55 15.25 2.07%
Trade id #150997821
Max drawdown($420)
Time3/26/25 0:00
Quant open100
Worst price14.88
Drawdown as % of equity-2.07%
 ($386)
Includes Typical Broker Commissions trade costs of $2.00
2/28/25 15:20 TEM TEMPUS AI INC. CLASS A LONG 10 54.94 3/24 10:25 57.28 0.64%
Trade id #150983971
Max drawdown($128)
Time3/13/25 0:00
Quant open10
Worst price42.10
Drawdown as % of equity-0.64%
 $23
Includes Typical Broker Commissions trade costs of $0.20
3/20/25 9:30 NIO NIO INC LONG 826 4.90 3/21 9:31 4.43 2.03%
Trade id #151143393
Max drawdown($413)
Time3/21/25 9:31
Quant open826
Worst price4.40
Drawdown as % of equity-2.03%
 ($394)
Includes Typical Broker Commissions trade costs of $5.00
2/28/25 9:30 SOXL2521O22 SOXL Mar21'25 22 put SHORT 1 2.50 3/19 15:52 1.60 1.57%
Trade id #150978777
Max drawdown($310)
Time3/11/25 0:00
Quant open1
Worst price5.60
Drawdown as % of equity-1.57%
 $88
Includes Typical Broker Commissions trade costs of $2.00
3/10/25 9:30 FLR FLUOR LONG 20 35.13 3/19 15:52 38.25 0.11%
Trade id #151053077
Max drawdown($22)
Time3/10/25 15:08
Quant open20
Worst price34.01
Drawdown as % of equity-0.11%
 $62
Includes Typical Broker Commissions trade costs of $0.40
3/18/25 10:45 DASH DOORDASH INC. CLASS A LONG 11 182.55 3/19 10:28 188.59 0.11%
Trade id #151124965
Max drawdown($21)
Time3/18/25 11:06
Quant open11
Worst price180.57
Drawdown as % of equity-0.11%
 $66
Includes Typical Broker Commissions trade costs of $0.22
3/10/25 9:30 DOCU DOCUSIGN INC. COMMON STOCK LONG 50 79.50 3/14 9:42 86.50 1.31%
Trade id #151053119
Max drawdown($262)
Time3/13/25 0:00
Quant open50
Worst price74.26
Drawdown as % of equity-1.31%
 $349
Includes Typical Broker Commissions trade costs of $1.00
3/3/25 15:22 LULU LULULEMON ATHLETICA LONG 6 348.00 3/11 10:33 325.92 0.67%
Trade id #151000359
Max drawdown($132)
Time3/11/25 10:33
Quant open6
Worst price325.96
Drawdown as % of equity-0.67%
 ($132)
Includes Typical Broker Commissions trade costs of $0.12
3/3/25 11:29 NBIS NEBIUS GROUP N.V. CLASS A LONG 30 30.06 3/10 10:52 25.89 0.64%
Trade id #150996857
Max drawdown($127)
Time3/10/25 10:52
Quant open30
Worst price25.80
Drawdown as % of equity-0.64%
 ($126)
Includes Typical Broker Commissions trade costs of $0.60
3/7/25 10:35 @MESH5 MICRO E-MINI S&P 500 LONG 1 5710.00 3/7 13:37 5755.50 0.93%
Trade id #151039275
Max drawdown($185)
Time3/7/25 11:53
Quant open1
Worst price5673.00
Drawdown as % of equity-0.93%
 $227
Includes Typical Broker Commissions trade costs of $0.94
3/6/25 12:01 TNA2521O32 TNA Mar21'25 32 put LONG 1 2.09 3/6 12:01 2.09 n/a ($2)
Includes Typical Broker Commissions trade costs of $2.00
3/3/25 9:30 JD JD.COM INC LONG 95 41.29 3/5 10:50 43.07 0.67%
Trade id #150994190
Max drawdown($126)
Time3/3/25 15:42
Quant open95
Worst price39.96
Drawdown as % of equity-0.67%
 $167
Includes Typical Broker Commissions trade costs of $1.90
3/4/25 9:59 @YMH5 MINI DOW LONG 1 42665 3/4 14:02 42900 6.94%
Trade id #151007262
Max drawdown($1,220)
Time3/4/25 11:29
Quant open1
Worst price42421
Drawdown as % of equity-6.94%
 $1,167
Includes Typical Broker Commissions trade costs of $8.00
3/3/25 15:11 @MESH5 MICRO E-MINI S&P 500 LONG 1 5850.00 3/4 10:18 5749.00 2.88%
Trade id #151000189
Max drawdown($512)
Time3/4/25 10:18
Quant open1
Worst price5747.50
Drawdown as % of equity-2.88%
 ($506)
Includes Typical Broker Commissions trade costs of $0.94
3/3/25 14:18 FLS FLOWSERVE LONG 37 53.50 3/4 10:03 50.00 0.69%
Trade id #150999660
Max drawdown($130)
Time3/4/25 10:03
Quant open37
Worst price49.96
Drawdown as % of equity-0.69%
 ($131)
Includes Typical Broker Commissions trade costs of $0.74
Next

Statistics

  • Strategy began
    2/13/2022
  • Suggested Minimum Cap
    $20,000
  • Strategy Age (days)
    1183.88
  • Age
    39 months ago
  • What it trades
    Stocks
  • # Trades
    446
  • # Profitable
    277
  • % Profitable
    62.10%
  • Avg trade duration
    12.3 days
  • Max peak-to-valley drawdown
    43.29%
  • drawdown period
    June 28, 2022 - March 21, 2023
  • Annual Return (Compounded)
    -6.8%
  • Avg win
    $142.89
  • Avg loss
    $232.23
  • Model Account Values (Raw)
  • Cash
    $24,168
  • Margin Used
    $725
  • Buying Power
    $23,428
  • Ratios
  • W:L ratio
    1.06:1
  • Sharpe Ratio
    -0.33
  • Sortino Ratio
    -0.48
  • Calmar Ratio
    0.04
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -52.68%
  • Correlation to SP500
    0.14380
  • Return Percent SP500 (cumu) during strategy life
    32.26%
  • Return Statistics
  • Ann Return (w trading costs)
    -6.8%
  • Slump
  • Current Slump as Pcnt Equity
    46.40%
  • Instruments
  • Percent Trades Futures
    0.01%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.89%
  • Return Statistics
  • Return Pcnt Since TOS Status
    -13.840%
  • Instruments
  • Short Options - Percent Covered
    n/a
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.068%
  • Instruments
  • Percent Trades Options
    0.04%
  • Percent Trades Stocks
    0.95%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    1.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    77.00%
  • Chance of 20% account loss
    47.00%
  • Chance of 30% account loss
    17.50%
  • Chance of 40% account loss
    3.00%
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    0.50%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    325
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    65
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $232
  • Avg Win
    $143
  • Sum Trade PL (losers)
    $39,247.000
  • Age
  • Num Months filled monthly returns table
    40
  • Win / Loss
  • Sum Trade PL (winners)
    $39,581.000
  • # Winners
    277
  • Num Months Winners
    19
  • Dividends
  • Dividends Received in Model Acct
    743
  • AUM
  • AUM (AutoTrader live capital)
    125882
  • Win / Loss
  • # Losers
    169
  • % Winners
    62.1%
  • Frequency
  • Avg Position Time (mins)
    17732.20
  • Avg Position Time (hrs)
    295.54
  • Avg Trade Length
    12.3 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    0.90
  • Daily leverage (max)
    13.61
  • Regression
  • Alpha
    -0.02
  • Beta
    0.14
  • Treynor Index
    -0.14
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.45
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    -8.230
  • 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
    0.854
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.086
  • Hold-and-Hope Ratio
    -0.119
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.00327
  • SD
    0.14088
  • Sharpe ratio (Glass type estimate)
    -0.02318
  • Sharpe ratio (Hedges UMVUE)
    -0.02271
  • df
    37.00000
  • t
    -0.04125
  • p
    0.51634
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.12447
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.07837
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.12412
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.07871
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.03419
  • Upside Potential Ratio
    1.82981
  • Upside part of mean
    0.17477
  • Downside part of mean
    -0.17803
  • Upside SD
    0.10101
  • Downside SD
    0.09551
  • N nonnegative terms
    19.00000
  • N negative terms
    19.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    38.00000
  • Mean of predictor
    0.06039
  • Mean of criterion
    -0.00327
  • SD of predictor
    0.15563
  • SD of criterion
    0.14088
  • Covariance
    -0.00248
  • r
    -0.11296
  • b (slope, estimate of beta)
    -0.10226
  • a (intercept, estimate of alpha)
    0.00291
  • Mean Square Error
    0.02014
  • DF error
    36.00000
  • t(b)
    -0.68215
  • p(b)
    0.75024
  • t(a)
    0.03625
  • p(a)
    0.48564
  • Lowerbound of 95% confidence interval for beta
    -0.40627
  • Upperbound of 95% confidence interval for beta
    0.20176
  • Lowerbound of 95% confidence interval for alpha
    -0.15986
  • Upperbound of 95% confidence interval for alpha
    0.16568
  • Treynor index (mean / b)
    0.03194
  • Jensen alpha (a)
    0.00291
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.01285
  • SD
    0.14028
  • Sharpe ratio (Glass type estimate)
    -0.09160
  • Sharpe ratio (Hedges UMVUE)
    -0.08973
  • df
    37.00000
  • t
    -0.16301
  • p
    0.56430
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.19263
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.01058
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.19132
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.01186
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.13034
  • Upside Potential Ratio
    1.71951
  • Upside part of mean
    0.16952
  • Downside part of mean
    -0.18237
  • Upside SD
    0.09723
  • Downside SD
    0.09859
  • N nonnegative terms
    19.00000
  • N negative terms
    19.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    38.00000
  • Mean of predictor
    0.04836
  • Mean of criterion
    -0.01285
  • SD of predictor
    0.15566
  • SD of criterion
    0.14028
  • Covariance
    -0.00235
  • r
    -0.10758
  • b (slope, estimate of beta)
    -0.09695
  • a (intercept, estimate of alpha)
    -0.00816
  • Mean Square Error
    0.01999
  • DF error
    36.00000
  • t(b)
    -0.64923
  • p(b)
    0.73984
  • t(a)
    -0.10229
  • p(a)
    0.54046
  • Lowerbound of 95% confidence interval for beta
    -0.39979
  • Upperbound of 95% confidence interval for beta
    0.20590
  • Lowerbound of 95% confidence interval for alpha
    -0.16996
  • Upperbound of 95% confidence interval for alpha
    0.15364
  • Treynor index (mean / b)
    0.13254
  • Jensen alpha (a)
    -0.00816
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06544
  • Expected Shortfall on VaR
    0.08102
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03447
  • Expected Shortfall on VaR
    0.06382
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    38.00000
  • Minimum
    0.90223
  • Quartile 1
    0.97256
  • Median
    1.00224
  • Quartile 3
    1.01926
  • Maximum
    1.09945
  • Mean of quarter 1
    0.95356
  • Mean of quarter 2
    0.99388
  • Mean of quarter 3
    1.00996
  • Mean of quarter 4
    1.05080
  • Inter Quartile Range
    0.04670
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.02632
  • Mean of outliers low
    0.90223
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.02632
  • Mean of outliers high
    1.09945
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.25107
  • VaR(95%) (moments method)
    0.05315
  • Expected Shortfall (moments method)
    0.07711
  • Extreme Value Index (regression method)
    0.52375
  • VaR(95%) (regression method)
    0.05616
  • Expected Shortfall (regression method)
    0.10609
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.03113
  • Quartile 1
    0.09605
  • Median
    0.16098
  • Quartile 3
    0.22590
  • Maximum
    0.29083
  • Mean of quarter 1
    0.03113
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.29083
  • Inter Quartile Range
    0.12985
  • 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)
    0.01542
  • Compounded annual return (geometric extrapolation)
    0.01517
  • Calmar ratio (compounded annual return / max draw down)
    0.05217
  • Compounded annual return / average of 25% largest draw downs
    0.05217
  • Compounded annual return / Expected Shortfall lognormal
    0.18726
  • 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
    -0.00292
  • SD
    0.15480
  • Sharpe ratio (Glass type estimate)
    -0.01887
  • Sharpe ratio (Hedges UMVUE)
    -0.01885
  • df
    836.00000
  • t
    -0.03372
  • p
    0.51345
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.11544
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.07770
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.11542
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.07772
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.02732
  • Upside Potential Ratio
    7.59220
  • Upside part of mean
    0.81168
  • Downside part of mean
    -0.81460
  • Upside SD
    0.11182
  • Downside SD
    0.10691
  • N nonnegative terms
    404.00000
  • N negative terms
    433.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    837.00000
  • Mean of predictor
    0.07863
  • Mean of criterion
    -0.00292
  • SD of predictor
    0.18894
  • SD of criterion
    0.15480
  • Covariance
    0.00374
  • r
    0.12793
  • b (slope, estimate of beta)
    0.10481
  • a (intercept, estimate of alpha)
    -0.01100
  • Mean Square Error
    0.02360
  • DF error
    835.00000
  • t(b)
    3.72734
  • p(b)
    0.00010
  • t(a)
    -0.12984
  • p(a)
    0.55164
  • Lowerbound of 95% confidence interval for beta
    0.04962
  • Upperbound of 95% confidence interval for beta
    0.16001
  • Lowerbound of 95% confidence interval for alpha
    -0.17991
  • Upperbound of 95% confidence interval for alpha
    0.15759
  • Treynor index (mean / b)
    -0.02787
  • Jensen alpha (a)
    -0.01116
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.01487
  • SD
    0.15467
  • Sharpe ratio (Glass type estimate)
    -0.09615
  • Sharpe ratio (Hedges UMVUE)
    -0.09606
  • df
    836.00000
  • t
    -0.17186
  • p
    0.56820
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.19273
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.00043
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.19264
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.00051
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.13715
  • Upside Potential Ratio
    7.42831
  • Upside part of mean
    0.80547
  • Downside part of mean
    -0.82034
  • Upside SD
    0.11016
  • Downside SD
    0.10843
  • N nonnegative terms
    404.00000
  • N negative terms
    433.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    837.00000
  • Mean of predictor
    0.06082
  • Mean of criterion
    -0.01487
  • SD of predictor
    0.18870
  • SD of criterion
    0.15467
  • Covariance
    0.00374
  • r
    0.12831
  • b (slope, estimate of beta)
    0.10517
  • a (intercept, estimate of alpha)
    -0.02127
  • Mean Square Error
    0.02356
  • DF error
    835.00000
  • t(b)
    3.73866
  • p(b)
    0.00010
  • t(a)
    -0.24763
  • p(a)
    0.59776
  • Lowerbound of 95% confidence interval for beta
    0.04996
  • Upperbound of 95% confidence interval for beta
    0.16039
  • Lowerbound of 95% confidence interval for alpha
    -0.18985
  • Upperbound of 95% confidence interval for alpha
    0.14731
  • Treynor index (mean / b)
    -0.14140
  • Jensen alpha (a)
    -0.02127
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01565
  • Expected Shortfall on VaR
    0.01957
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00730
  • Expected Shortfall on VaR
    0.01447
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    837.00000
  • Minimum
    0.92561
  • Quartile 1
    0.99596
  • Median
    1.00000
  • Quartile 3
    1.00417
  • Maximum
    1.07112
  • Mean of quarter 1
    0.98960
  • Mean of quarter 2
    0.99822
  • Mean of quarter 3
    1.00171
  • Mean of quarter 4
    1.01091
  • Inter Quartile Range
    0.00821
  • Number outliers low
    26.00000
  • Percentage of outliers low
    0.03106
  • Mean of outliers low
    0.97513
  • Number of outliers high
    28.00000
  • Percentage of outliers high
    0.03345
  • Mean of outliers high
    1.02637
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.16869
  • VaR(95%) (moments method)
    0.00992
  • Expected Shortfall (moments method)
    0.01495
  • Extreme Value Index (regression method)
    0.06436
  • VaR(95%) (regression method)
    0.00963
  • Expected Shortfall (regression method)
    0.01354
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.00456
  • Quartile 1
    0.01159
  • Median
    0.01551
  • Quartile 3
    0.04626
  • Maximum
    0.33185
  • Mean of quarter 1
    0.00724
  • Mean of quarter 2
    0.01347
  • Mean of quarter 3
    0.02714
  • Mean of quarter 4
    0.20135
  • Inter Quartile Range
    0.03467
  • 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
    0.33185
  • 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)
    0.01331
  • Compounded annual return (geometric extrapolation)
    0.01312
  • Calmar ratio (compounded annual return / max draw down)
    0.03954
  • Compounded annual return / average of 25% largest draw downs
    0.06517
  • Compounded annual return / Expected Shortfall lognormal
    0.67059
  • 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
    0.07852
  • SD
    0.16454
  • Sharpe ratio (Glass type estimate)
    0.47719
  • Sharpe ratio (Hedges UMVUE)
    0.47443
  • df
    130.00000
  • t
    0.33742
  • p
    0.48521
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.29607
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.24876
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.29797
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.24684
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.82830
  • Upside Potential Ratio
    7.64746
  • Upside part of mean
    0.72493
  • Downside part of mean
    -0.64642
  • Upside SD
    0.13381
  • Downside SD
    0.09479
  • N nonnegative terms
    67.00000
  • N negative terms
    64.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.02280
  • Mean of criterion
    0.07852
  • SD of predictor
    0.24528
  • SD of criterion
    0.16454
  • Covariance
    0.01505
  • r
    0.37293
  • b (slope, estimate of beta)
    0.25017
  • a (intercept, estimate of alpha)
    0.07281
  • Mean Square Error
    0.02349
  • DF error
    129.00000
  • t(b)
    4.56502
  • p(b)
    0.26821
  • t(a)
    0.33594
  • p(a)
    0.48118
  • Lowerbound of 95% confidence interval for beta
    0.14175
  • Upperbound of 95% confidence interval for beta
    0.35860
  • Lowerbound of 95% confidence interval for alpha
    -0.35603
  • Upperbound of 95% confidence interval for alpha
    0.50166
  • Treynor index (mean / b)
    0.31386
  • Jensen alpha (a)
    0.07281
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.06527
  • SD
    0.16266
  • Sharpe ratio (Glass type estimate)
    0.40131
  • Sharpe ratio (Hedges UMVUE)
    0.39899
  • df
    130.00000
  • t
    0.28377
  • p
    0.48756
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.37165
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.17282
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.37324
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.17122
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.67979
  • Upside Potential Ratio
    7.45864
  • Upside part of mean
    0.71619
  • Downside part of mean
    -0.65092
  • Upside SD
    0.13058
  • Downside SD
    0.09602
  • N nonnegative terms
    67.00000
  • N negative terms
    64.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.00677
  • Mean of criterion
    0.06527
  • SD of predictor
    0.24363
  • SD of criterion
    0.16266
  • Covariance
    0.01508
  • r
    0.38053
  • b (slope, estimate of beta)
    0.25406
  • a (intercept, estimate of alpha)
    0.06700
  • Mean Square Error
    0.02280
  • DF error
    129.00000
  • t(b)
    4.67352
  • p(b)
    0.26373
  • t(a)
    0.31373
  • p(a)
    0.48242
  • VAR (95 Confidence Intrvl)
    0.01600
  • Lowerbound of 95% confidence interval for beta
    0.14650
  • Upperbound of 95% confidence interval for beta
    0.36161
  • Lowerbound of 95% confidence interval for alpha
    -0.35552
  • Upperbound of 95% confidence interval for alpha
    0.48951
  • Treynor index (mean / b)
    0.25693
  • Jensen alpha (a)
    0.06700
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01615
  • Expected Shortfall on VaR
    0.02026
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00552
  • Expected Shortfall on VaR
    0.01156
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.95690
  • Quartile 1
    0.99761
  • Median
    1.00018
  • Quartile 3
    1.00238
  • Maximum
    1.07112
  • Mean of quarter 1
    0.99141
  • Mean of quarter 2
    0.99901
  • Mean of quarter 3
    1.00115
  • Mean of quarter 4
    1.01008
  • Inter Quartile Range
    0.00477
  • Number outliers low
    9.00000
  • Percentage of outliers low
    0.06870
  • Mean of outliers low
    0.98225
  • Number of outliers high
    10.00000
  • Percentage of outliers high
    0.07634
  • Mean of outliers high
    1.02257
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.35716
  • VaR(95%) (moments method)
    0.00784
  • Expected Shortfall (moments method)
    0.01472
  • Extreme Value Index (regression method)
    0.07325
  • VaR(95%) (regression method)
    0.00734
  • Expected Shortfall (regression method)
    0.01080
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    11.00000
  • Minimum
    0.00076
  • Quartile 1
    0.00193
  • Median
    0.01060
  • Quartile 3
    0.03715
  • Maximum
    0.05641
  • Mean of quarter 1
    0.00147
  • Mean of quarter 2
    0.00556
  • Mean of quarter 3
    0.02233
  • Mean of quarter 4
    0.05277
  • Inter Quartile Range
    0.03522
  • 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)
    -346.24700
  • VaR(95%) (moments method)
    0.05513
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -4.52260
  • VaR(95%) (regression method)
    0.07206
  • Last 4 Months - Pcnt Negative
    0.50%
  • Expected Shortfall (regression method)
    0.07208
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -392392000
  • Max Equity Drawdown (num days)
    266
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.09539
  • Compounded annual return (geometric extrapolation)
    0.09766
  • Calmar ratio (compounded annual return / max draw down)
    1.73113
  • Compounded annual return / average of 25% largest draw downs
    1.85083
  • Compounded annual return / Expected Shortfall lognormal
    4.81951

Strategy Description

Hi, Yagami Consulting here!

We’re sending this message to invite you to simulate our strategy, “Bear Market System”.
on Collective2 https://collective2.com/details/139373540

What makes our system different?
-actively managed / trader style portfolio
-we only swing trade
-no long-term positions because we don't want exposure to the market like that.
-all the trades are both fundamentally researched and technically analyzed
-every trade has a stoploss and take profit planned to ensure limited losses
-everything is systematic

Here's a little more about us.
Yagami Consulting is a team of two professional analysts with over 15 years of experience, we designed a portfolio that can yield consistent and robust returns even in the harshest of market conditions. Many other portfolios only perform well during bull markets, and the ones that perform well are expensive to subscribe to. Our All-Conditions System is affordable and generates consistent returns.

New plays are added into the system every week as we find more opportunities to short or to buy the dip.

As you can see in our performance chart, we have been out-performing the S&P 500 so far in this time of great volatility. Please let us know if you have any questions (edited)
Collective2
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2022-02-13
Suggested Minimum Capital
$20,000
# Trades
446
# Profitable
277
% Profitable
62.1%
Net Dividends
$743
Correlation S&P500
0.144
Sharpe Ratio
-0.33
Sortino Ratio
-0.48
Beta
0.14
Alpha
-0.02
Leverage
0.90 Average
13.61 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

#PERSONNAME#
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.