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

UnicornSP500
(129575948)

Created by: MarkEriksson MarkEriksson
Started: 06/2020
Stocks
Last trade: 7 days ago
Trading style: Equity Event-driven Sector: Technology

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 $129.00 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
Event-driven
Category: Equity

Event-driven

Seeks to exploit pricing inefficiencies that may occur before or after a corporate event, such as an earnings call, bankruptcy, merger, acquisition, or spinoff.
Sector: Technology
Category: Equity

Sector: Technology

Focuses primarily on stocks of technology companies.
41.5%
Annual Return (Compounded)

Rate of Return Calculations

Overview

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

How Annualized (Compounded) Rate of Return is calculated

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

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

All results are hypothetical.

(63.2%)
Max Drawdown
2257
Num Trades
70.7%
Win Trades
1.2 : 1
Profit Factor
70.8%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020                                   +0.3%+5.4%+7.9%+0.6%(5.7%)+27.5%(6.9%)+28.5%
2021+37.3%+10.8%+1.8%+10.9%+2.7%+43.8%+5.0%(0.4%)+0.4%+6.6%(11.2%)+10.8%+179.1%
2022+9.4%(3%)+7.4%(33.9%)(27.7%)                                          (45.6%)

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 168 hours.

Trading Record

This strategy has placed 7,249 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
5/5/22 11:01 GOOGL ALPHABET INC CLASS A LONG 5 2325.12 5/5 14:23 2328.88 0.06%
Trade id #140379901
Max drawdown($91)
Time5/5/22 11:54
Quant open5
Worst price2306.88
Drawdown as % of equity-0.06%
$19
Includes Typical Broker Commissions trade costs of $0.10
5/3/22 13:23 GOOGL ALPHABET INC CLASS A LONG 3 2365.97 5/5 9:45 2406.03 0.13%
Trade id #140351651
Max drawdown($190)
Time5/4/22 0:00
Quant open3
Worst price2302.32
Drawdown as % of equity-0.13%
$120
Includes Typical Broker Commissions trade costs of $0.06
5/2/22 9:57 UPS UNITED PARCEL SERVICE LONG 100 180.54 5/5 9:44 180.82 0.39%
Trade id #140332600
Max drawdown($532)
Time5/2/22 14:44
Quant open100
Worst price175.22
Drawdown as % of equity-0.39%
$26
Includes Typical Broker Commissions trade costs of $2.00
4/29/22 9:45 OLN OLIN LONG 10 60.06 4/29 10:10 60.32 0%
Trade id #140312139
Max drawdown($5)
Time4/29/22 9:48
Quant open10
Worst price59.54
Drawdown as % of equity-0.00%
$3
Includes Typical Broker Commissions trade costs of $0.20
4/11/22 9:35 MRK MERCK LONG 70 89.49 4/29 9:59 89.58 0.29%
Trade id #140096162
Max drawdown($417)
Time4/25/22 0:00
Quant open70
Worst price83.53
Drawdown as % of equity-0.29%
$5
Includes Typical Broker Commissions trade costs of $1.40
4/22/22 10:05 PINS PINTEREST INC LONG 425 20.34 4/29 9:43 20.49 0.13%
Trade id #140227850
Max drawdown($173)
Time4/27/22 0:00
Quant open102
Worst price18.32
Drawdown as % of equity-0.13%
$55
Includes Typical Broker Commissions trade costs of $8.50
4/27/22 12:05 TWTR TWITTER INC LONG 270 48.68 4/27 12:33 48.86 0.03%
Trade id #140285945
Max drawdown($37)
Time4/27/22 12:15
Quant open270
Worst price48.54
Drawdown as % of equity-0.03%
$44
Includes Typical Broker Commissions trade costs of $5.40
4/27/22 11:17 COF CAPITAL ONE FINANCIAL LONG 110 124.17 4/27 11:54 123.61 0.05%
Trade id #140284052
Max drawdown($63)
Time4/27/22 11:54
Quant open110
Worst price123.58
Drawdown as % of equity-0.05%
($63)
Includes Typical Broker Commissions trade costs of $2.20
4/26/22 9:43 ADM ARCHER-DANIELS MIDLAND LONG 75 92.54 4/27 10:09 93.11 0.03%
Trade id #140264875
Max drawdown($41)
Time4/26/22 10:42
Quant open20
Worst price91.40
Drawdown as % of equity-0.03%
$42
Includes Typical Broker Commissions trade costs of $1.50
4/26/22 14:39 GOOGL ALPHABET INC CLASS A LONG 2 2415.99 4/27 9:55 2301.88 0.23%
Trade id #140271445
Max drawdown($321)
Time4/27/22 0:00
Quant open2
Worst price2255.06
Drawdown as % of equity-0.23%
($228)
Includes Typical Broker Commissions trade costs of $0.04
4/22/22 9:56 NTES NETEASE LONG 101 89.72 4/22 10:04 90.05 0.01%
Trade id #140227442
Max drawdown($13)
Time4/22/22 9:59
Quant open101
Worst price89.58
Drawdown as % of equity-0.01%
$31
Includes Typical Broker Commissions trade costs of $2.02
3/30/22 15:27 TXN TEXAS INSTRUMENTS LONG 201 180.86 4/21 9:41 181.30 0.69%
Trade id #139971799
Max drawdown($1,256)
Time4/11/22 0:00
Quant open130
Worst price171.78
Drawdown as % of equity-0.69%
$85
Includes Typical Broker Commissions trade costs of $4.02
4/11/22 9:49 GS GOLDMAN SACHS GROUP LONG 12 330.62 4/19 10:16 330.88 0.04%
Trade id #140096632
Max drawdown($64)
Time4/13/22 0:00
Quant open5
Worst price314.72
Drawdown as % of equity-0.04%
$3
Includes Typical Broker Commissions trade costs of $0.24
4/19/22 9:42 HOG HARLEY-DAVIDSON LONG 230 39.41 4/19 10:06 39.54 n/a $24
Includes Typical Broker Commissions trade costs of $4.60
4/18/22 12:48 COF CAPITAL ONE FINANCIAL LONG 131 137.33 4/18 13:48 138.32 0.01%
Trade id #140171513
Max drawdown($20)
Time4/18/22 12:52
Quant open100
Worst price136.87
Drawdown as % of equity-0.01%
$126
Includes Typical Broker Commissions trade costs of $2.62
4/18/22 10:19 SOXL DIREXION DAILY SEMICONDCT BULL LONG 115 26.75 4/18 10:36 26.98 0.01%
Trade id #140167951
Max drawdown($10)
Time4/18/22 10:22
Quant open115
Worst price26.66
Drawdown as % of equity-0.01%
$25
Includes Typical Broker Commissions trade costs of $2.30
4/1/22 14:06 NEM NEWMONT CORP LONG 140 82.04 4/14 13:40 82.44 0.01%
Trade id #140001818
Max drawdown($13)
Time4/1/22 14:11
Quant open100
Worst price81.60
Drawdown as % of equity-0.01%
$54
Includes Typical Broker Commissions trade costs of $2.80
4/12/22 9:30 SOXL DIREXION DAILY SEMICONDCT BULL LONG 335 27.74 4/13 12:07 28.09 0.06%
Trade id #140108484
Max drawdown($114)
Time4/12/22 9:38
Quant open200
Worst price27.46
Drawdown as % of equity-0.06%
$110
Includes Typical Broker Commissions trade costs of $6.70
4/11/22 11:15 T AT&T LONG 312 19.62 4/12 9:42 19.65 0.03%
Trade id #140098452
Max drawdown($51)
Time4/11/22 11:19
Quant open305
Worst price19.45
Drawdown as % of equity-0.03%
$2
Includes Typical Broker Commissions trade costs of $6.24
4/11/22 9:56 HOG HARLEY-DAVIDSON LONG 120 38.49 4/11 10:04 38.53 n/a $3
Includes Typical Broker Commissions trade costs of $2.40
4/11/22 9:45 UPS UNITED PARCEL SERVICE LONG 20 193.04 4/11 9:55 193.55 0%
Trade id #140096533
Max drawdown($0)
Time4/11/22 9:51
Quant open20
Worst price193.00
Drawdown as % of equity-0.00%
$10
Includes Typical Broker Commissions trade costs of $0.40
4/8/22 11:37 VALE VALE LONG 42 20.00 4/8 15:38 20.14 0%
Trade id #140075352
Max drawdown($3)
Time4/8/22 11:47
Quant open42
Worst price19.92
Drawdown as % of equity-0.00%
$5
Includes Typical Broker Commissions trade costs of $0.84
4/6/22 10:50 COF CAPITAL ONE FINANCIAL LONG 100 131.00 4/8 11:23 131.95 0.22%
Trade id #140044322
Max drawdown($416)
Time4/7/22 0:00
Quant open100
Worst price126.83
Drawdown as % of equity-0.22%
$93
Includes Typical Broker Commissions trade costs of $2.00
4/7/22 10:17 HPQ HEWLETT-PACKARD LONG 162 40.73 4/7 11:06 40.87 n/a $21
Includes Typical Broker Commissions trade costs of $3.24
4/7/22 9:54 TSLA TESLA INC. LONG 15 1066.16 4/7 10:17 1066.97 0.01%
Trade id #140057635
Max drawdown($10)
Time4/7/22 10:17
Quant open15
Worst price1065.43
Drawdown as % of equity-0.01%
$12
Includes Typical Broker Commissions trade costs of $0.30
4/7/22 9:53 LLY ELI LILLY LONG 20 311.57 4/7 10:07 313.16 n/a $32
Includes Typical Broker Commissions trade costs of $0.40
4/4/22 15:12 HPQ HEWLETT-PACKARD LONG 70 40.13 4/7 10:07 40.77 0%
Trade id #140022656
Max drawdown($3)
Time4/6/22 0:00
Quant open2
Worst price34.47
Drawdown as % of equity-0.00%
$44
Includes Typical Broker Commissions trade costs of $1.40
4/5/22 9:30 PSX PHILLIPS 66 LONG 220 88.05 4/7 9:54 83.11 0.59%
Trade id #140028013
Max drawdown($1,102)
Time4/7/22 9:54
Quant open220
Worst price83.04
Drawdown as % of equity-0.59%
($1,092)
Includes Typical Broker Commissions trade costs of $4.40
3/31/22 10:25 WBA WALGREEN BOOTS ALLIANCE INC. LONG 255 43.82 4/6 14:04 44.32 0.07%
Trade id #139979234
Max drawdown($140)
Time4/6/22 9:34
Quant open204
Worst price43.06
Drawdown as % of equity-0.07%
$123
Includes Typical Broker Commissions trade costs of $5.10
4/6/22 9:57 PTR PETROCHINA LONG 160 53.65 4/6 10:49 53.55 0.01%
Trade id #140043094
Max drawdown($25)
Time4/6/22 10:47
Quant open160
Worst price53.49
Drawdown as % of equity-0.01%
($19)
Includes Typical Broker Commissions trade costs of $3.20

Statistics

  • Strategy began
    6/16/2020
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    699.61
  • Age
    23 months ago
  • What it trades
    Stocks
  • # Trades
    2257
  • # Profitable
    1595
  • % Profitable
    70.70%
  • Avg trade duration
    3.7 days
  • Max peak-to-valley drawdown
    63.18%
  • drawdown period
    March 29, 2022 - May 12, 2022
  • Annual Return (Compounded)
    41.5%
  • Avg win
    $188.64
  • Avg loss
    $372.34
  • Model Account Values (Raw)
  • Cash
    $3,489
  • Margin Used
    $0
  • Buying Power
    ($133,480)
  • Ratios
  • W:L ratio
    1.24:1
  • Sharpe Ratio
    0.81
  • Sortino Ratio
    1.37
  • Calmar Ratio
    0.933
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    66.92%
  • Correlation to SP500
    0.39510
  • Return Percent SP500 (cumu) during strategy life
    28.27%
  • Return Statistics
  • Ann Return (w trading costs)
    41.5%
  • Slump
  • Current Slump as Pcnt Equity
    122.50%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.07%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.415%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    50.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    76.50%
  • Chance of 20% account loss
    62.50%
  • Chance of 30% account loss
    41.50%
  • Chance of 40% account loss
    30.00%
  • Chance of 60% account loss (Monte Carlo)
    3.00%
  • Chance of 70% account loss (Monte Carlo)
    0.50%
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    13.47%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    15.00%
  • Popularity
  • Popularity (Today)
    608
  • Popularity (Last 6 weeks)
    967
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    335
  • Popularity (7 days, Percentile 1000 scale)
    861
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $372
  • Avg Win
    $189
  • Sum Trade PL (losers)
    $246,491.000
  • Age
  • Num Months filled monthly returns table
    24
  • Win / Loss
  • Sum Trade PL (winners)
    $300,883.000
  • # Winners
    1595
  • Num Months Winners
    17
  • Dividends
  • Dividends Received in Model Acct
    4891
  • AUM
  • AUM (AutoTrader live capital)
    131876
  • Win / Loss
  • # Losers
    662
  • % Winners
    70.7%
  • Frequency
  • Avg Position Time (mins)
    5343.10
  • Avg Position Time (hrs)
    89.05
  • Avg Trade Length
    3.7 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    1.93
  • Daily leverage (max)
    7.40
  • Regression
  • Alpha
    0.09
  • Beta
    1.11
  • Treynor Index
    0.11
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.47
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    -10.322
  • 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
    1.592
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.498
  • Hold-and-Hope Ratio
    -0.051
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.77610
  • SD
    0.54429
  • Sharpe ratio (Glass type estimate)
    1.42589
  • Sharpe ratio (Hedges UMVUE)
    1.37425
  • df
    21.00000
  • t
    1.93067
  • p
    0.25919
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.09926
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.92001
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.13176
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.88026
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.94651
  • Upside Potential Ratio
    5.32912
  • Upside part of mean
    1.04800
  • Downside part of mean
    -0.27190
  • Upside SD
    0.54250
  • Downside SD
    0.19665
  • N nonnegative terms
    15.00000
  • N negative terms
    7.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    22.00000
  • Mean of predictor
    0.16331
  • Mean of criterion
    0.77610
  • SD of predictor
    0.09073
  • SD of criterion
    0.54429
  • Covariance
    0.01465
  • r
    0.29660
  • b (slope, estimate of beta)
    1.77931
  • a (intercept, estimate of alpha)
    0.48551
  • Mean Square Error
    0.28370
  • DF error
    20.00000
  • t(b)
    1.38894
  • p(b)
    0.35170
  • t(a)
    1.08968
  • p(a)
    0.38163
  • Lowerbound of 95% confidence interval for beta
    -0.89292
  • Upperbound of 95% confidence interval for beta
    4.45154
  • Lowerbound of 95% confidence interval for alpha
    -0.44389
  • Upperbound of 95% confidence interval for alpha
    1.41491
  • Treynor index (mean / b)
    0.43618
  • Jensen alpha (a)
    0.48551
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.63504
  • SD
    0.48427
  • Sharpe ratio (Glass type estimate)
    1.31135
  • Sharpe ratio (Hedges UMVUE)
    1.26385
  • df
    21.00000
  • t
    1.77557
  • p
    0.27510
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.20332
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.79715
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.23329
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.76099
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.91054
  • Upside Potential Ratio
    4.25538
  • Upside part of mean
    0.92847
  • Downside part of mean
    -0.29343
  • Upside SD
    0.45810
  • Downside SD
    0.21819
  • N nonnegative terms
    15.00000
  • N negative terms
    7.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    22.00000
  • Mean of predictor
    0.15799
  • Mean of criterion
    0.63504
  • SD of predictor
    0.09006
  • SD of criterion
    0.48427
  • Covariance
    0.01476
  • r
    0.33845
  • b (slope, estimate of beta)
    1.81988
  • a (intercept, estimate of alpha)
    0.34752
  • Mean Square Error
    0.21803
  • DF error
    20.00000
  • t(b)
    1.60853
  • p(b)
    0.33077
  • t(a)
    0.89467
  • p(a)
    0.40192
  • Lowerbound of 95% confidence interval for beta
    -0.54017
  • Upperbound of 95% confidence interval for beta
    4.17994
  • Lowerbound of 95% confidence interval for alpha
    -0.46274
  • Upperbound of 95% confidence interval for alpha
    1.15777
  • Treynor index (mean / b)
    0.34895
  • Jensen alpha (a)
    0.34752
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.16224
  • Expected Shortfall on VaR
    0.20874
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03714
  • Expected Shortfall on VaR
    0.08511
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    22.00000
  • Minimum
    0.77294
  • Quartile 1
    0.98941
  • Median
    1.04680
  • Quartile 3
    1.11177
  • Maximum
    1.49323
  • Mean of quarter 1
    0.92050
  • Mean of quarter 2
    1.02332
  • Mean of quarter 3
    1.06613
  • Mean of quarter 4
    1.25064
  • Inter Quartile Range
    0.12235
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.04545
  • Mean of outliers low
    0.77294
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.09091
  • Mean of outliers high
    1.46649
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.30297
  • VaR(95%) (moments method)
    0.04632
  • Expected Shortfall (moments method)
    0.05987
  • Extreme Value Index (regression method)
    0.21636
  • VaR(95%) (regression method)
    0.12086
  • Expected Shortfall (regression method)
    0.22051
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00517
  • Quartile 1
    0.02840
  • Median
    0.06834
  • Quartile 3
    0.08999
  • Maximum
    0.22706
  • Mean of quarter 1
    0.01349
  • Mean of quarter 2
    0.04820
  • Mean of quarter 3
    0.08847
  • Mean of quarter 4
    0.15878
  • Inter Quartile Range
    0.06158
  • 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
    0.16667
  • Mean of outliers high
    0.22706
  • 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)
    1.29363
  • Compounded annual return (geometric extrapolation)
    0.94050
  • Calmar ratio (compounded annual return / max draw down)
    4.14203
  • Compounded annual return / average of 25% largest draw downs
    5.92344
  • Compounded annual return / Expected Shortfall lognormal
    4.50573
  • 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
    0.49711
  • SD
    0.44380
  • Sharpe ratio (Glass type estimate)
    1.12011
  • Sharpe ratio (Hedges UMVUE)
    1.11841
  • df
    496.00000
  • t
    1.54272
  • p
    0.06177
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.30516
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.54436
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.30634
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.54316
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.91089
  • Upside Potential Ratio
    9.32728
  • Upside part of mean
    2.42643
  • Downside part of mean
    -1.92933
  • Upside SD
    0.36032
  • Downside SD
    0.26014
  • N nonnegative terms
    267.00000
  • N negative terms
    230.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    497.00000
  • Mean of predictor
    0.11750
  • Mean of criterion
    0.49711
  • SD of predictor
    0.16806
  • SD of criterion
    0.44380
  • Covariance
    0.02963
  • r
    0.39725
  • b (slope, estimate of beta)
    1.04902
  • a (intercept, estimate of alpha)
    0.37400
  • Mean Square Error
    0.16621
  • DF error
    495.00000
  • t(b)
    9.63089
  • p(b)
    -0.00000
  • t(a)
    1.26178
  • p(a)
    0.10381
  • Lowerbound of 95% confidence interval for beta
    0.83501
  • Upperbound of 95% confidence interval for beta
    1.26302
  • Lowerbound of 95% confidence interval for alpha
    -0.20829
  • Upperbound of 95% confidence interval for alpha
    0.95598
  • Treynor index (mean / b)
    0.47388
  • Jensen alpha (a)
    0.37385
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.40150
  • SD
    0.43368
  • Sharpe ratio (Glass type estimate)
    0.92581
  • Sharpe ratio (Hedges UMVUE)
    0.92441
  • df
    496.00000
  • t
    1.27512
  • p
    0.10143
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.49885
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.34958
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.49980
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.34862
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.49681
  • Upside Potential Ratio
    8.82000
  • Upside part of mean
    2.36586
  • Downside part of mean
    -1.96436
  • Upside SD
    0.34112
  • Downside SD
    0.26824
  • N nonnegative terms
    267.00000
  • N negative terms
    230.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    497.00000
  • Mean of predictor
    0.10333
  • Mean of criterion
    0.40150
  • SD of predictor
    0.16847
  • SD of criterion
    0.43368
  • Covariance
    0.02977
  • r
    0.40750
  • b (slope, estimate of beta)
    1.04898
  • a (intercept, estimate of alpha)
    0.29311
  • Mean Square Error
    0.15716
  • DF error
    495.00000
  • t(b)
    9.92798
  • p(b)
    -0.00000
  • t(a)
    1.01761
  • p(a)
    0.15468
  • Lowerbound of 95% confidence interval for beta
    0.84138
  • Upperbound of 95% confidence interval for beta
    1.25657
  • Lowerbound of 95% confidence interval for alpha
    -0.27282
  • Upperbound of 95% confidence interval for alpha
    0.85905
  • Treynor index (mean / b)
    0.38276
  • Jensen alpha (a)
    0.29311
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04165
  • Expected Shortfall on VaR
    0.05227
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01604
  • Expected Shortfall on VaR
    0.03271
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    497.00000
  • Minimum
    0.87762
  • Quartile 1
    0.99042
  • Median
    1.00115
  • Quartile 3
    1.01153
  • Maximum
    1.19708
  • Mean of quarter 1
    0.97462
  • Mean of quarter 2
    0.99635
  • Mean of quarter 3
    1.00579
  • Mean of quarter 4
    1.03148
  • Inter Quartile Range
    0.02111
  • Number outliers low
    18.00000
  • Percentage of outliers low
    0.03622
  • Mean of outliers low
    0.93821
  • Number of outliers high
    16.00000
  • Percentage of outliers high
    0.03219
  • Mean of outliers high
    1.08941
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.34918
  • VaR(95%) (moments method)
    0.02592
  • Expected Shortfall (moments method)
    0.04633
  • Extreme Value Index (regression method)
    0.13548
  • VaR(95%) (regression method)
    0.02473
  • Expected Shortfall (regression method)
    0.03681
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    46.00000
  • Minimum
    0.00015
  • Quartile 1
    0.00612
  • Median
    0.02283
  • Quartile 3
    0.05211
  • Maximum
    0.57513
  • Mean of quarter 1
    0.00285
  • Mean of quarter 2
    0.01447
  • Mean of quarter 3
    0.03859
  • Mean of quarter 4
    0.14340
  • Inter Quartile Range
    0.04599
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.08696
  • Mean of outliers high
    0.26746
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.43481
  • VaR(95%) (moments method)
    0.14957
  • Expected Shortfall (moments method)
    0.29966
  • Extreme Value Index (regression method)
    0.72019
  • VaR(95%) (regression method)
    0.14492
  • Expected Shortfall (regression method)
    0.48632
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.66327
  • Compounded annual return (geometric extrapolation)
    0.53635
  • Calmar ratio (compounded annual return / max draw down)
    0.93258
  • Compounded annual return / average of 25% largest draw downs
    3.74018
  • Compounded annual return / Expected Shortfall lognormal
    10.26150
  • 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
    -1.01513
  • SD
    0.57094
  • Sharpe ratio (Glass type estimate)
    -1.77799
  • Sharpe ratio (Hedges UMVUE)
    -1.76771
  • df
    130.00000
  • t
    -1.25723
  • p
    0.55480
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.55482
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.00550
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.54783
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.01241
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.43845
  • Upside Potential Ratio
    6.34412
  • Upside part of mean
    2.64107
  • Downside part of mean
    -3.65620
  • Upside SD
    0.39257
  • Downside SD
    0.41630
  • N nonnegative terms
    59.00000
  • N negative terms
    72.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.31515
  • Mean of criterion
    -1.01513
  • SD of predictor
    0.21871
  • SD of criterion
    0.57094
  • Covariance
    0.06308
  • r
    0.50514
  • b (slope, estimate of beta)
    1.31865
  • a (intercept, estimate of alpha)
    -0.59956
  • Mean Square Error
    0.24468
  • DF error
    129.00000
  • t(b)
    6.64783
  • p(b)
    0.19267
  • t(a)
    -0.85368
  • p(a)
    0.54767
  • Lowerbound of 95% confidence interval for beta
    0.92620
  • Upperbound of 95% confidence interval for beta
    1.71111
  • Lowerbound of 95% confidence interval for alpha
    -1.98913
  • Upperbound of 95% confidence interval for alpha
    0.79001
  • Treynor index (mean / b)
    -0.76982
  • Jensen alpha (a)
    -0.59956
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -1.17806
  • SD
    0.56846
  • Sharpe ratio (Glass type estimate)
    -2.07237
  • Sharpe ratio (Hedges UMVUE)
    -2.06039
  • df
    130.00000
  • t
    -1.46539
  • p
    0.56374
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.85172
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.71474
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.84349
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.72271
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.72674
  • Upside Potential Ratio
    5.94572
  • Upside part of mean
    2.56878
  • Downside part of mean
    -3.74683
  • Upside SD
    0.37325
  • Downside SD
    0.43204
  • N nonnegative terms
    59.00000
  • N negative terms
    72.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.33913
  • Mean of criterion
    -1.17806
  • SD of predictor
    0.21924
  • SD of criterion
    0.56846
  • Covariance
    0.06286
  • r
    0.50438
  • b (slope, estimate of beta)
    1.30777
  • a (intercept, estimate of alpha)
    -0.73455
  • Mean Square Error
    0.24280
  • DF error
    129.00000
  • t(b)
    6.63442
  • p(b)
    0.19309
  • t(a)
    -1.04927
  • p(a)
    0.55848
  • VAR (95 Confidence Intrvl)
    0.04200
  • Lowerbound of 95% confidence interval for beta
    0.91777
  • Upperbound of 95% confidence interval for beta
    1.69778
  • Lowerbound of 95% confidence interval for alpha
    -2.11963
  • Upperbound of 95% confidence interval for alpha
    0.65053
  • Treynor index (mean / b)
    -0.90081
  • Jensen alpha (a)
    -0.73455
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06036
  • Expected Shortfall on VaR
    0.07397
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03430
  • Expected Shortfall on VaR
    0.06236
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.87762
  • Quartile 1
    0.97975
  • Median
    0.99517
  • Quartile 3
    1.01202
  • Maximum
    1.18335
  • Mean of quarter 1
    0.95724
  • Mean of quarter 2
    0.98810
  • Mean of quarter 3
    1.00345
  • Mean of quarter 4
    1.03636
  • Inter Quartile Range
    0.03227
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.03053
  • Mean of outliers low
    0.90192
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.02290
  • Mean of outliers high
    1.11206
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.22675
  • VaR(95%) (moments method)
    0.04499
  • Expected Shortfall (moments method)
    0.06893
  • Extreme Value Index (regression method)
    0.01244
  • VaR(95%) (regression method)
    0.04541
  • Expected Shortfall (regression method)
    0.06134
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00589
  • Quartile 1
    0.03568
  • Median
    0.08821
  • Quartile 3
    0.17726
  • Maximum
    0.57513
  • Mean of quarter 1
    0.01432
  • Mean of quarter 2
    0.06841
  • Mean of quarter 3
    0.16615
  • Mean of quarter 4
    0.38175
  • Inter Quartile Range
    0.14158
  • 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
    0.14286
  • Mean of outliers high
    0.57513
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    0.75%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -297829000
  • Max Equity Drawdown (num days)
    44
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.87467
  • Compounded annual return (geometric extrapolation)
    -0.68341
  • Calmar ratio (compounded annual return / max draw down)
    -1.18828
  • Compounded annual return / average of 25% largest draw downs
    -1.79023
  • Compounded annual return / Expected Shortfall lognormal
    -9.23849

Strategy Description

true intrinsic value vs market price

Summary Statistics

Strategy began
2020-06-16
Suggested Minimum Capital
$35,000
# Trades
2257
# Profitable
1595
% Profitable
70.7%
Net Dividends
Correlation S&P500
0.395
Sharpe Ratio
0.81
Sortino Ratio
1.37
Beta
1.11
Alpha
0.09
Leverage
1.93 Average
7.40 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.