Collective2 Collective2
C2Star Strategy TRADE FUTURES NOW +44.9% Cumul. Return since Jul 10, 2026 Hypothetical

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The Trading Digest Portfolio

By UserRemoved31

Stocks · Started Feb 2007

hypothetical · Annual Return (Compounded)
0.7%
Max Drawdown
35.3%
Trades
649
Win Trades
61.2%
Profit Factor
1.10
Win Months
10.2%

About this strategy







The Trading Digest system is a long only, swing trading equity portfolio system. Unlike many other systems, The Trading Digest system is designed to operate as an entire portfolio, complete with position sizing and strong risk management. Along with each signal, we include the percentage of the portfolio each position should be. This makes it extremely easy to obtain the same results in your real portfolio. The portfolio can hold up 8 positions and can go up to 100% cash

All entries and exit are at market open, making it easy to trade for customers unable to watch the market during the day. We also limit our list of potential equities to only the most liquid to reduce the impacts of slippage or our orders impacting the market. We have also taken steps to limit the total number of subscribers to the system to prevent too many orders being placed for the same symbol.

This is not a system aiming make 150% a year with a high chance of blowing up, it is a robust system aimed to significantly outperform the S&P 500 while maintaining reasonable risk parameters. The system has been traded in realtime and extensively backtested across many types of market conditions with very very strong results with good drawdown to return ratios.

Additional information about the system is available at our blog at

http://thetradingdigest.com/blog/collective-system-information/



Hypothetical Monthly Returns (includes fees/commissions)

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
20070.03.14.01.4-2.90.76.25.91.3-5.2-1.013.6
2008-8.0-0.18.3-0.82.2-4.10.92.7-7.4-12.4-1.14.1-16.2
20095.6-10.43.58.42.2-0.61.01.02.1-6.84.05.715.1
20102.8-0.10.00.00.00.00.00.10.0-0.00.01.14.0
20110.00.00.00.0-0.00.00.00.00.00.00.00.00.0
20120.00.00.00.00.00.00.00.00.0-0.00.00.00.0
20130.00.00.00.00.00.00.00.0-0.00.00.00.00.0
20140.00.00.00.00.00.00.00.00.00.0-0.00.00.0
20150.00.00.00.00.0-0.0-0.00.00.00.00.00.0-0.0
20160.00.00.00.00.00.00.00.00.00.00.00.00.0
20170.00.00.00.00.00.00.00.00.00.00.00.00.0
20180.00.00.00.00.00.00.00.00.00.00.00.00.0
20190.00.00.00.00.00.00.00.00.00.00.00.0
20200.00.00.00.00.00.00.00.00.00.00.00.00.0
20210.00.00.00.00.00.00.00.00.00.00.00.00.0
20220.00.00.00.00.00.00.00.00.00.00.00.00.0
20230.00.00.00.00.00.00.00.00.00.00.00.00.0
20240.00.00.00.00.00.00.00.00.00.00.00.00.0
20250.00.00.00.00.00.00.00.00.00.00.00.00.0
20260.00.00.00.00.00.00.00.00.00.0

Statistics

Overview

Strategy began2/27/2007
Suggested Minimum Capital$100,000
Age238 months
What it tradesStocks
# Trades649
# Profitable397
% Profitable61.2%
Avg trade duration8.2 days
Max peak-to-valley drawdown35.3%
drawdown periodOct 12, 2007 - Oct 10, 2008
Annual Return (Compounded)0.7%
Avg win$553
Avg loss$787

Ratios

W:L ratio1.12
Sharpe Ratio-0.10
Sortino Ratio-0.14
Calmar Ratio0.08

CORRELATION STATISTICS

Correlation to SP5000.21
Return Percent SP500 (cumu) during strategy life445.9%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)-433.4%

Return Statistics

Ann Return (w trading costs)0.7%
Return Pcnt (Compound or Annual, age-based, NFA compliant)0.0%
Return Pcnt Since TOS Status0.0%
Ann Return (Compnd, No Fees)1.1%

Slump

Current Slump as Pcnt Equity8.4%
Current Slump, time of slump as pcnt of strategy life1.0%

Instruments

Percent Trades Forex0.0%
Percent Trades Futures0.0%
Percent Trades Options0.0%
Percent Trades Stocks1.0%

Risk of Ruin (Monte-Carlo)

Chance of 10% account loss100.0%
Chance of 20% account loss100.0%
Chance of 30% account loss100.0%
Chance of 40% account loss0.0%
Chance of 50% account loss0.0%
Chance of 60% account loss (Monte Carlo)0.0%
Chance of 70% account loss (Monte Carlo)0.0%
Chance of 80% account loss (Monte Carlo)0.0%
Chance of 90% account loss (Monte Carlo)0.0%
Chance of 100% account loss (Monte Carlo)—

Automation

Percentage Signals Automated0.0%

Popularity

Popularity (Today)0
Popularity (Last 6 weeks)0
Popularity (7 days, Percentile 1000 scale)0

Trading Style

Any stock shorts? 0/10

Trades-Own-System Certification

Trades Own System?0
TOS percent0.0%

Win / Loss

Avg Loss$787
Avg Win$553
# Winners397
Sum Trade PL (losers)$198,394
Sum Trade PL (winners)$219,538
Num Months Winners32
# Losers252
% Winners61.2%

Dividends

Dividends Received in Model Acct1822

Age

Num Months filled monthly returns table236

Frequency

Avg Position Time (mins)11860.97
Avg Position Time (hrs)197.68
Avg Trade Length8.20
Last Trade Ago6085

Regression

Alpha0
Beta0.09
Treynor Index-0.03

Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.01
MAE:Equity, 95th Percentile Value for this strat0.01
MAE:Equity, average, losing trades0.01
MAE:Equity, losing trades only, 95th Percentile Value for this strat—
MAE:Equity, average, winning trades0
MAE:Equity, win trades only, 95th Percentile Value for this strat—
Avg(MAE) / Avg(PL) - All trades-445.94
MAE:PL (avg, all trades)1.26
MAE:PL (avg, losing trades)—
MAE:PL - Losing Trades - this strat Percentile of All Strats83.93
MAE:PL - Winning Trades - this strat Percentile of All Strats89.06
MAE:PL (avg, winning trades)—
MAE:PL - worst single value for strategy—
Avg(MAE) / Avg(PL) - Winning trades0.77
Avg(MAE) / Avg(PL) - Losing trades-1.83
Hold-and-Hope Ratio-0.00

RATIO STATISTICS

Mean0.03
SD0.14
Sharpe ratio (Glass type estimate)0.24
Sharpe ratio (Hedges UMVUE)0.23
df73
t0.59
p0.28
Lowerbound of 95% confidence interval for Sharpe Ratio-0.55
Upperbound of 95% confidence interval for Sharpe Ratio1.03
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.56
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.02
Sortino ratio0.33
Upside Potential Ratio1.49
Upside part of mean0.15
Downside part of mean-0.11
Upside SD0.10
Downside SD0.10
N nonnegative terms54
N negative terms20
N of observations74
Mean of predictor0.20
Mean of criterion0.03
SD of predictor0.28
SD of criterion0.14
Covariance0.02
r0.54
b (slope, estimate of beta)0.27
a (intercept, estimate of alpha)-0.02
Mean Square Error0.01
DF error72
t(b)5.42
p(b)0
t(a)-0.45
p(a)0.67
Lowerbound of 95% confidence interval for beta0.17
Upperbound of 95% confidence interval for beta0.36
Lowerbound of 95% confidence interval for alpha-0.12
Upperbound of 95% confidence interval for alpha0.07
Treynor index (mean / b)0.12
Jensen alpha (a)-0.02
Mean0.02
SD0.14
Sharpe ratio (Glass type estimate)0.16
Sharpe ratio (Hedges UMVUE)0.16
df73
t0.41
p0.34
Lowerbound of 95% confidence interval for Sharpe Ratio-0.63
Upperbound of 95% confidence interval for Sharpe Ratio0.95
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.63
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.95
Sortino ratio0.22
Upside Potential Ratio1.36
Upside part of mean0.14
Downside part of mean-0.12
Upside SD0.09
Downside SD0.10
N nonnegative terms54
N negative terms20
N of observations74
Mean of predictor0.16
Mean of criterion0.02
SD of predictor0.29
SD of criterion0.14
Covariance0.02
r0.58
b (slope, estimate of beta)0.28
a (intercept, estimate of alpha)-0.02
Mean Square Error0.01
DF error72
t(b)6.00
p(b)0
t(a)-0.49
p(a)0.69
Lowerbound of 95% confidence interval for beta0.19
Upperbound of 95% confidence interval for beta0.38
Lowerbound of 95% confidence interval for alpha-0.12
Upperbound of 95% confidence interval for alpha0.07
Treynor index (mean / b)0.08
Jensen alpha (a)-0.02
VaR(95%)0.06
Expected Shortfall on VaR0.08
VaR(95%)0.01
Expected Shortfall on VaR0.03
Mean0.09
SD0.38
Sharpe ratio (Glass type estimate)0.25
Sharpe ratio (Hedges UMVUE)0.25
df1627
t0.62
p0.49
Lowerbound of 95% confidence interval for Sharpe Ratio-0.54
Upperbound of 95% confidence interval for Sharpe Ratio1.03
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.54
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.03
Sortino ratio0.37
Upside Potential Ratio4.72
Upside part of mean1.19
Downside part of mean-1.10
Upside SD0.28
Downside SD0.25
N nonnegative terms1259
N negative terms369
N of observations1628
Mean of predictor0.34
Mean of criterion0.09
SD of predictor0.61
SD of criterion0.38
Covariance0.15
r0.68
b (slope, estimate of beta)0.42
a (intercept, estimate of alpha)-0.05
Mean Square Error0.08
DF error1626
t(b)37.34
p(b)0.16
t(a)-0.46
p(a)0.51
Lowerbound of 95% confidence interval for beta0.40
Upperbound of 95% confidence interval for beta0.44
Lowerbound of 95% confidence interval for alpha-0.27
Upperbound of 95% confidence interval for alpha0.17
Treynor index (mean / b)0.22
Jensen alpha (a)-0.05
Mean0.02
SD0.37
Sharpe ratio (Glass type estimate)0.06
Sharpe ratio (Hedges UMVUE)0.06
df1627
t0.15
p0.50
Lowerbound of 95% confidence interval for Sharpe Ratio-0.73
Upperbound of 95% confidence interval for Sharpe Ratio0.85
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.73
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.85
Sortino ratio0.09
Upside Potential Ratio4.37
Upside part of mean1.16
Downside part of mean-1.13
Upside SD0.26
Downside SD0.26
N nonnegative terms1259
N negative terms369
N of observations1628
Mean of predictor0.16
Mean of criterion0.02
SD of predictor0.60
SD of criterion0.37
Covariance0.15
r0.67
b (slope, estimate of beta)0.42
a (intercept, estimate of alpha)-0.04
Mean Square Error0.08
DF error1626
t(b)36.68
p(b)0.16
t(a)-0.40
p(a)0.50
Lowerbound of 95% confidence interval for beta0.40
Upperbound of 95% confidence interval for beta0.44
Lowerbound of 95% confidence interval for alpha-0.26
Upperbound of 95% confidence interval for alpha0.17
Treynor index (mean / b)0.05
Jensen alpha (a)-0.04
VaR(95%)0.04
Expected Shortfall on VaR0.05
VaR(95%)0.00
Expected Shortfall on VaR0.01
Mean0
SD0
Sharpe ratio (Glass type estimate)0
Sharpe ratio (Hedges UMVUE)0
df0
t0
p0
Lowerbound of 95% confidence interval for Sharpe Ratio0
Upperbound of 95% confidence interval for Sharpe Ratio0
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0
Sortino ratio0
Upside Potential Ratio0
Upside part of mean0
Downside part of mean0
Upside SD0
Downside SD0
N nonnegative terms131
N negative terms0
N of observations131
Mean of predictor1.05
Mean of criterion0
SD of predictor0.65
SD of criterion0
Covariance0
r0
b (slope, estimate of beta)0
a (intercept, estimate of alpha)0
Mean Square Error0
DF error0
t(b)0
p(b)0
t(a)0
p(a)0
Lowerbound of 95% confidence interval for beta0
Upperbound of 95% confidence interval for beta0
Lowerbound of 95% confidence interval for alpha0
Upperbound of 95% confidence interval for alpha0
Treynor index (mean / b)0
Jensen alpha (a)0
Mean0
SD0
Sharpe ratio (Glass type estimate)0
Sharpe ratio (Hedges UMVUE)0
df0
t0
p0
Lowerbound of 95% confidence interval for Sharpe Ratio0
Upperbound of 95% confidence interval for Sharpe Ratio0
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0
Sortino ratio0
Upside Potential Ratio0
Upside part of mean0
Downside part of mean0
Upside SD0
Downside SD0
N nonnegative terms131
N negative terms0
N of observations131
Mean of predictor0.81
Mean of criterion0
SD of predictor0.71
SD of criterion0
Covariance0
r0
b (slope, estimate of beta)0
a (intercept, estimate of alpha)0
Mean Square Error0
DF error0
t(b)0
p(b)0
t(a)0
p(a)0
Lowerbound of 95% confidence interval for beta0
VAR (95 Confidence Intrvl)0.04
Upperbound of 95% confidence interval for beta0
Lowerbound of 95% confidence interval for alpha0
Upperbound of 95% confidence interval for alpha0
Treynor index (mean / b)0
Jensen alpha (a)0
VaR(95%)0
Expected Shortfall on VaR0
VaR(95%)0
Expected Shortfall on VaR0

ORDER STATISTICS

Number of observations74
Minimum0.84
Quartile 11.00
Median1
Quartile 31.00
Maximum1.10
Mean of quarter 10.96
Mean of quarter 21
Mean of quarter 31.00
Mean of quarter 41.05
Inter Quartile Range0.00
Number outliers low12
Percentage of outliers low0.16
Mean of outliers low0.94
Number of outliers high18
Percentage of outliers high0.24
Mean of outliers high1.05
Extreme Value Index (moments method)-2.05
VaR(95%) (moments method)0.00
Expected Shortfall (moments method)0.00
Extreme Value Index (regression method)0.14
VaR(95%) (regression method)0.04
Expected Shortfall (regression method)0.08
Number of observations1628
Minimum0.82
Quartile 11
Median1
Quartile 31
Maximum1.22
Mean of quarter 10.98
Mean of quarter 21
Mean of quarter 31
Mean of quarter 41.02
Inter Quartile Range0
Number outliers low369
Percentage of outliers low0.23
Mean of outliers low0.98
Number of outliers high404
Percentage of outliers high0.25
Mean of outliers high1.02
Extreme Value Index (moments method)0.82
VaR(95%) (moments method)0.01
Expected Shortfall (moments method)0.05
Extreme Value Index (regression method)0.35
VaR(95%) (regression method)0.01
Expected Shortfall (regression method)0.03
Number of observations131
Minimum1
Quartile 11
Median1
Quartile 31
Maximum1
Mean of quarter 11
Mean of quarter 21
Mean of quarter 31
Mean of quarter 41
Inter Quartile Range0
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high0
Percentage of outliers high0
Mean of outliers high0
Extreme Value Index (moments method)0
VaR(95%) (moments method)0
Expected Shortfall (moments method)0
Extreme Value Index (regression method)0
VaR(95%) (regression method)0
Expected Shortfall (regression method)0

DRAW DOWN STATISTICS

Number of observations2
Minimum0.03
Quartile 10.09
Median0.14
Quartile 30.19
Maximum0.25
Mean of quarter 10.03
Mean of quarter 20
Mean of quarter 30
Mean of quarter 40.25
Inter Quartile Range0.11
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high0
Percentage of outliers high0
Mean of outliers high0
Extreme Value Index (moments method)0
VaR(95%) (moments method)0
Expected Shortfall (moments method)0
Extreme Value Index (regression method)0
VaR(95%) (regression method)0
Expected Shortfall (regression method)0
Number of observations11
Minimum0.00
Quartile 10.00
Median0.01
Quartile 30.05
Maximum0.30
Mean of quarter 10.00
Mean of quarter 20.01
Mean of quarter 30.02
Mean of quarter 40.15
Inter Quartile Range0.04
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high1
Percentage of outliers high0.09
Mean of outliers high0.30
Extreme Value Index (moments method)-0.16
VaR(95%) (moments method)0.14
Expected Shortfall (moments method)0.19
Extreme Value Index (regression method)1.47
VaR(95%) (regression method)0.33
Expected Shortfall (regression method)0
Number of observations0
Minimum0
Quartile 10
Median0
Quartile 30
Maximum0
Mean of quarter 10
Mean of quarter 20
Mean of quarter 30
Mean of quarter 40
Inter Quartile Range0
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high0
Percentage of outliers high0
Mean of outliers high0
Extreme Value Index (moments method)0
VaR(95%) (moments method)0
Expected Shortfall (moments method)0
Extreme Value Index (regression method)0
VaR(95%) (regression method)0
Expected Shortfall (regression method)0
Strat Max DD how much worse than SP500 max DD during strat life?-374077312
Max Equity Drawdown (num days)364
Last 4 Months - Pcnt Negative0.0%

COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.02
Compounded annual return (geometric extrapolation)0.02
Calmar ratio (compounded annual return / max draw down)0.09
Compounded annual return / average of 25% largest draw downs0.09
Compounded annual return / Expected Shortfall lognormal0.30
j156mfCOMBRisPar0
j157mfCOMBRisPar0
Annualized return (arithmetic extrapolation)0.02
Compounded annual return (geometric extrapolation)0.02
Calmar ratio (compounded annual return / max draw down)0.08
Compounded annual return / average of 25% largest draw downs0.15
Compounded annual return / Expected Shortfall lognormal0.50
j313dfCOMBRisPar0
j314dfCOMBRisPar0
Annualized return (arithmetic extrapolation)0
Compounded annual return (geometric extrapolation)0
Calmar ratio (compounded annual return / max draw down)0
Compounded annual return / average of 25% largest draw downs0
Compounded annual return / Expected Shortfall lognormal0

Trading record

SymbolSideQtyOpenedClosedP/L
AMZN long90Dec 9, 2009Jan 15, 2010($490)
STLD long700Dec 18, 2009Jan 15, 2010$751
RGLD long240Dec 9, 2009Jan 15, 2010($696)
TDSC long1662Dec 2, 2009Jan 15, 2010$967
ATHN long280Dec 14, 2009Jan 7, 2010$1,198
BEAV long550Dec 11, 2009Jan 7, 2010$2,014
RINO long416Dec 4, 2009Dec 15, 2009$113
APWR long780Dec 3, 2009Dec 14, 2009$2,616
PALM long800Oct 28, 2009Dec 10, 2009($981)
FSYS long269Nov 25, 2009Dec 9, 2009$407
MDRX long600Nov 20, 2009Dec 3, 2009$193
SNDK long600Nov 20, 2009Dec 2, 2009$541
OTEX long640Nov 19, 2009Nov 25, 2009$88
EBAY long517Nov 19, 2009Nov 25, 2009$341
BGFV long745Nov 17, 2009Nov 18, 2009$84
ANGO long881Nov 6, 2009Nov 17, 2009$753
INSU long619Nov 11, 2009Nov 17, 2009$391
VPRT long220Nov 12, 2009Nov 17, 2009$361
TLEO long550Nov 13, 2009Nov 17, 2009$518
IDXX long510Nov 4, 2009Nov 10, 2009$176
NITE long555Oct 20, 2009Nov 10, 2009($3,280)
DISH long625Oct 15, 2009Nov 6, 2009($449)
MKSI long700Oct 28, 2009Nov 6, 2009($712)
DRIV long489Oct 16, 2009Nov 6, 2009($338)
SSRI long576Oct 16, 2009Nov 6, 2009($1,232)
CTRP long458Oct 30, 2009Nov 4, 2009$83
QSII long408Oct 22, 2009Oct 27, 2009($104)
YHOO long746Oct 13, 2009Oct 15, 2009($87)
GYMB long270Oct 13, 2009Oct 15, 2009$206
SNDK long590Oct 14, 2009Oct 15, 2009$308

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.