Collective2 Collective2
Featured Strategy Quant AI pro +16.4% Cumul. Return since Dec 2, 2024 Hypothetical

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These are hypothetical performance results that have certain inherent limitations. Learn more
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Trades-Own-Strategy Certification

This system has earned Trades-Own-Strategy (TOS) Certification. This means that the manager of this system trades his own strategy in a real-life, funded brokerage account.

Trades-Own-Strategy (TOS) Certification Details
Certification process started 09/28/2023
Most recent certification approved 9/28/23 9:30 ET
Trades at broker Interactive Brokers (Stocks, Options, Futures)
Scaling percentage used 100%
# trading signals issued by system since certification 3,017
# trading signals executed in manager's Interactive Brokers (Stocks, Options, Futures) account 3,017
Percent signals followed since 09/28/2023 100%
This information was last updated 12/23/24 9:55 ET

Warning: System trading results are still hypothetical.

Even though the system developer is currently trading his own system in a real-life brokerage account, the trading results presented on this Web site must still be regarded as purely hypothetical results. This is because (among other reasons) the system developer may not have traded all signals, particularly those that occurred before 09/28/2023, and the system developer's results may not match the system results presented here. In addition, not all subscribers have received the same trades or prices as the system manager has. For these reasons, and others, it is extremely important you remember the following:

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. Hypothetical performance results have many inherent limitations, some of which are described below. No representation is being made that any account will or is likely to achieve profits or losses similar to those shown. In fact, there are frequently sharp differences between hypothetical performance results and the actual results subsequently achieved by any particular trading program.

One of the limitations of hypothetical performance results is that they are generally prepared with the benefit of hindsight. 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.

You may be interested to learn more technical details about how Collective2 calculates the hypothetical results you see on this web site.

Steady MAKE money
(145879204)

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Read important disclosures.

Created by: RayHsieh RayHsieh
Started: 09/2023
Stocks
Last trade: 6 days ago
Trading style: Equity Trend-following

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 $100.00 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.
66.9%
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.

(40.8%)
Max Drawdown
1386
Num Trades
61.2%
Win Trades
1.3 : 1
Profit Factor
68.8%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2023                                                        +3.1%(5.4%)+21.4%+9.5%+29.7%
2024+8.2%+20.8%+10.0%(18.2%)+15.9%+8.4%(8.7%)(1.8%)+1.1%(6.1%)+5.9%+10.6%+47.6%

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 72 hours.

Trading Record

This strategy has placed 3,017 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
12/17/24 12:58 IWM ISHARES RUSSELL 2000 INDEX LONG 200 232.09 12/17 15:51 231.25 0.14%
Trade id #150345848
Max drawdown($307)
Time12/17/24 15:38
Quant open200
Worst price230.55
Drawdown as % of equity-0.14%
 ($172)
Includes Typical Broker Commissions trade costs of $4.00
11/1/24 10:37 NUGT DIREXION DAILY GOLD MINERS BULL 2X LONG 100 50.50 12/11 11:55 45.98 0.7%
Trade id #149930604
Max drawdown($1,252)
Time11/14/24 0:00
Quant open100
Worst price37.98
Drawdown as % of equity-0.70%
 ($454)
Includes Typical Broker Commissions trade costs of $2.00
11/7/24 11:04 ARM ARM HOLDINGS PLC ADS LONG 200 150.14 11/7 11:58 153.37 0.02%
Trade id #150028967
Max drawdown($43)
Time11/7/24 11:07
Quant open100
Worst price149.32
Drawdown as % of equity-0.02%
 $643
Includes Typical Broker Commissions trade costs of $4.00
9/12/24 10:36 ARM ARM HOLDINGS PLC ADS LONG 400 140.58 11/7 9:36 144.50 1.89%
Trade id #149370704
Max drawdown($3,113)
Time10/2/24 0:00
Quant open400
Worst price132.80
Drawdown as % of equity-1.89%
 $1,558
Includes Typical Broker Commissions trade costs of $8.00
9/11/24 9:31 AMZN AMAZON.COM LONG 130 179.81 10/31 11:55 186.09 0.37%
Trade id #149355128
Max drawdown($530)
Time9/11/24 10:55
Quant open130
Worst price175.73
Drawdown as % of equity-0.37%
 $813
Includes Typical Broker Commissions trade costs of $2.60
9/25/24 13:29 TSM TAIWAN SEMICONDUCTOR LONG 320 179.57 10/11 10:08 188.60 1.62%
Trade id #149506049
Max drawdown($2,812)
Time10/1/24 0:00
Quant open320
Worst price170.78
Drawdown as % of equity-1.62%
 $2,885
Includes Typical Broker Commissions trade costs of $6.40
9/12/24 10:49 AMD ADVANCED MICRO DEVICES INC. C LONG 300 157.69 10/9 11:01 171.19 0.18%
Trade id #149370965
Max drawdown($284)
Time9/18/24 0:00
Quant open150
Worst price148.01
Drawdown as % of equity-0.18%
 $4,044
Includes Typical Broker Commissions trade costs of $6.00
9/6/24 12:25 NVDA NVIDIA LONG 600 106.88 10/9 10:22 133.26 0.16%
Trade id #149305083
Max drawdown($220)
Time9/6/24 12:53
Quant open400
Worst price101.60
Drawdown as % of equity-0.16%
 $15,818
Includes Typical Broker Commissions trade costs of $8.50
10/2/24 9:30 USO UNITED STATES OIL LONG 400 74.10 10/7 19:59 77.49 0.31%
Trade id #149558611
Max drawdown($533)
Time10/2/24 12:00
Quant open300
Worst price71.62
Drawdown as % of equity-0.31%
 $1,347
Includes Typical Broker Commissions trade costs of $8.00
9/11/24 13:35 META META PLATFORMS INC. CLASS A LONG 80 556.25 10/7 19:58 588.10 0.02%
Trade id #149362102
Max drawdown($30)
Time9/11/24 14:18
Quant open20
Worst price505.68
Drawdown as % of equity-0.02%
 $2,546
Includes Typical Broker Commissions trade costs of $1.60
9/25/24 13:31 AVGO BROADCOM LIMITED ORDINARY SHARES LONG 200 174.63 10/7 19:58 175.30 1.01%
Trade id #149506092
Max drawdown($1,765)
Time10/1/24 0:00
Quant open200
Worst price165.80
Drawdown as % of equity-1.01%
 $130
Includes Typical Broker Commissions trade costs of $4.00
9/12/24 9:30 GOOG ALPHABET INC CLASS C LONG 266 159.78 10/7 19:57 165.20 0.11%
Trade id #149369246
Max drawdown($173)
Time9/12/24 12:08
Quant open166
Worst price153.81
Drawdown as % of equity-0.11%
 $1,437
Includes Typical Broker Commissions trade costs of $5.32
9/26/24 13:10 TSLA TESLA INC. LONG 100 253.79 10/4 15:51 249.97 0.94%
Trade id #149516770
Max drawdown($1,598)
Time10/3/24 0:00
Quant open100
Worst price237.81
Drawdown as % of equity-0.94%
 ($384)
Includes Typical Broker Commissions trade costs of $2.00
9/10/24 10:09 AAPL APPLE LONG 100 219.15 10/3 15:47 224.41 0.32%
Trade id #149337191
Max drawdown($522)
Time9/16/24 0:00
Quant open100
Worst price213.92
Drawdown as % of equity-0.32%
 $524
Includes Typical Broker Commissions trade costs of $2.00
9/6/24 15:36 AVGO BROADCOM LIMITED ORDINARY SHARES LONG 145 137.99 9/24 14:56 174.76 0.32%
Trade id #149312058
Max drawdown($447)
Time9/9/24 0:00
Quant open145
Worst price134.90
Drawdown as % of equity-0.32%
 $5,329
Includes Typical Broker Commissions trade costs of $2.90
9/12/24 10:37 TSM TAIWAN SEMICONDUCTOR LONG 220 173.98 9/24 14:56 181.22 0.37%
Trade id #149370713
Max drawdown($581)
Time9/17/24 0:00
Quant open120
Worst price166.35
Drawdown as % of equity-0.37%
 $1,588
Includes Typical Broker Commissions trade costs of $4.40
9/6/24 13:37 TSM TAIWAN SEMICONDUCTOR LONG 150 156.42 9/11 11:36 163.68 0.04%
Trade id #149309999
Max drawdown($55)
Time9/6/24 13:46
Quant open150
Worst price156.05
Drawdown as % of equity-0.04%
 $1,085
Includes Typical Broker Commissions trade costs of $3.00
8/29/24 12:18 TSLA TESLA INC. LONG 100 211.23 9/11 11:36 220.57 0.31%
Trade id #149098185
Max drawdown($525)
Time8/29/24 15:58
Quant open100
Worst price205.97
Drawdown as % of equity-0.31%
 $932
Includes Typical Broker Commissions trade costs of $2.00
9/6/24 13:37 SOXX ISHARES SEMICONDUCTOR ETF LONG 244 204.48 9/11 11:36 210.07 0.2%
Trade id #149310001
Max drawdown($276)
Time9/6/24 15:55
Quant open244
Worst price203.35
Drawdown as % of equity-0.20%
 $1,358
Includes Typical Broker Commissions trade costs of $4.88
9/6/24 15:36 META META PLATFORMS INC. CLASS A LONG 40 501.82 9/11 11:36 499.08 0.17%
Trade id #149312065
Max drawdown($248)
Time9/11/24 10:58
Quant open40
Worst price495.60
Drawdown as % of equity-0.17%
 ($110)
Includes Typical Broker Commissions trade costs of $0.80
9/6/24 15:36 GOOG ALPHABET INC CLASS C LONG 133 152.65 9/11 11:36 149.65 0.42%
Trade id #149312062
Max drawdown($585)
Time9/9/24 0:00
Quant open131
Worst price148.20
Drawdown as % of equity-0.42%
 ($401)
Includes Typical Broker Commissions trade costs of $2.66
9/6/24 15:36 ASML ASML HOLDING LONG 26 755.63 9/11 11:35 768.61 0.39%
Trade id #149312055
Max drawdown($555)
Time9/10/24 0:00
Quant open26
Worst price734.25
Drawdown as % of equity-0.39%
 $336
Includes Typical Broker Commissions trade costs of $0.52
9/9/24 12:35 ARM ARM HOLDINGS PLC ADS LONG 80 124.41 9/10 10:36 126.59 0.04%
Trade id #149325615
Max drawdown($64)
Time9/9/24 12:39
Quant open80
Worst price123.61
Drawdown as % of equity-0.04%
 $173
Includes Typical Broker Commissions trade costs of $1.60
9/6/24 15:35 AMZN AMAZON.COM LONG 116 172.29 9/10 9:31 178.26 0.09%
Trade id #149312052
Max drawdown($130)
Time9/6/24 15:56
Quant open116
Worst price171.16
Drawdown as % of equity-0.09%
 $690
Includes Typical Broker Commissions trade costs of $2.32
8/29/24 10:01 AAPL APPLE LONG 100 231.40 9/10 9:30 219.51 0.91%
Trade id #149095397
Max drawdown($1,391)
Time9/4/24 0:00
Quant open100
Worst price217.48
Drawdown as % of equity-0.91%
 ($1,191)
Includes Typical Broker Commissions trade costs of $2.00
8/29/24 10:03 ARM ARM HOLDINGS PLC ADS LONG 200 131.25 9/6 14:35 116.89 2.33%
Trade id #149095464
Max drawdown($3,268)
Time9/6/24 12:00
Quant open200
Worst price114.91
Drawdown as % of equity-2.33%
 ($2,876)
Includes Typical Broker Commissions trade costs of $4.00
8/29/24 9:47 TSM TAIWAN SEMICONDUCTOR LONG 150 170.99 9/6 11:37 156.69 1.56%
Trade id #149095051
Max drawdown($2,209)
Time9/6/24 11:36
Quant open150
Worst price156.26
Drawdown as % of equity-1.56%
 ($2,148)
Includes Typical Broker Commissions trade costs of $3.00
8/29/24 9:42 SOXX ISHARES SEMICONDUCTOR ETF LONG 200 221.87 9/6 11:37 204.25 2.55%
Trade id #149094961
Max drawdown($3,610)
Time9/6/24 10:58
Quant open200
Worst price203.82
Drawdown as % of equity-2.55%
 ($3,529)
Includes Typical Broker Commissions trade costs of $4.00
9/4/24 10:30 NVDA NVIDIA LONG 400 107.84 9/6 11:37 102.05 1.68%
Trade id #149246085
Max drawdown($2,381)
Time9/6/24 11:36
Quant open400
Worst price101.89
Drawdown as % of equity-1.68%
 ($2,325)
Includes Typical Broker Commissions trade costs of $8.00
8/29/24 9:38 META META PLATFORMS INC. CLASS A LONG 40 522.40 9/6 11:36 506.73 0.48%
Trade id #149094883
Max drawdown($733)
Time9/4/24 0:00
Quant open40
Worst price504.07
Drawdown as % of equity-0.48%
 ($628)
Includes Typical Broker Commissions trade costs of $0.80
Next

Statistics

  • Strategy began
    9/20/2023
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    459.92
  • Age
    15 months ago
  • What it trades
    Stocks
  • # Trades
    1386
  • # Profitable
    848
  • % Profitable
    61.20%
  • Avg trade duration
    5.4 days
  • Max peak-to-valley drawdown
    40.82%
  • drawdown period
    July 11, 2024 - Aug 05, 2024
  • Annual Return (Compounded)
    66.9%
  • Avg win
    $464.44
  • Avg loss
    $560.13
  • Model Account Values (Raw)
  • Cash
    ($80,596)
  • Margin Used
    ($240,248)
  • Buying Power
    $168,572
  • Ratios
  • W:L ratio
    1.32:1
  • Sharpe Ratio
    1.1
  • Sortino Ratio
    1.5
  • Calmar Ratio
    2.021
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    56.69%
  • Correlation to SP500
    0.64420
  • Return Percent SP500 (cumu) during strategy life
    34.72%
  • Return Statistics
  • Ann Return (w trading costs)
    66.9%
  • Slump
  • Current Slump as Pcnt Equity
    18.60%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.01%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.669%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    70.7%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    69.00%
  • Chance of 20% account loss
    39.50%
  • Chance of 30% account loss
    21.50%
  • Chance of 40% account loss
    5.00%
  • 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
    3.00%
  • Popularity
  • Popularity (Today)
    642
  • Popularity (Last 6 weeks)
    957
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    515
  • Popularity (7 days, Percentile 1000 scale)
    942
  • Trades-Own-System Certification
  • Trades Own System?
    Yes
  • TOS percent
    100%
  • Win / Loss
  • Avg Loss
    $560
  • Avg Win
    $464
  • Sum Trade PL (losers)
    $301,348.000
  • Age
  • Num Months filled monthly returns table
    16
  • Win / Loss
  • Sum Trade PL (winners)
    $393,842.000
  • # Winners
    848
  • Num Months Winners
    11
  • Dividends
  • Dividends Received in Model Acct
    3942
  • AUM
  • AUM (AutoTrader live capital)
    614134
  • Win / Loss
  • # Losers
    538
  • % Winners
    61.2%
  • Frequency
  • Avg Position Time (mins)
    7736.95
  • Avg Position Time (hrs)
    128.95
  • Avg Trade Length
    5.4 days
  • Last Trade Ago
    6
  • Leverage
  • Daily leverage (average)
    2.70
  • Daily leverage (max)
    4.01
  • Regression
  • Alpha
    0.02
  • Beta
    2.34
  • Treynor Index
    0.07
  • 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)
    -0.12
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    9.824
  • 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
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    0.426
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.514
  • Hold-and-Hope Ratio
    0.120
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.52109
  • SD
    0.32131
  • Sharpe ratio (Glass type estimate)
    1.62175
  • Sharpe ratio (Hedges UMVUE)
    1.52604
  • df
    13.00000
  • t
    1.75169
  • p
    0.23093
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.32252
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.51072
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.38099
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.43307
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.27968
  • Upside Potential Ratio
    4.87738
  • Upside part of mean
    0.77494
  • Downside part of mean
    -0.25385
  • Upside SD
    0.30537
  • Downside SD
    0.15888
  • N nonnegative terms
    9.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    14.00000
  • Mean of predictor
    0.24380
  • Mean of criterion
    0.52109
  • SD of predictor
    0.10642
  • SD of criterion
    0.32131
  • Covariance
    0.02189
  • r
    0.64023
  • b (slope, estimate of beta)
    1.93296
  • a (intercept, estimate of alpha)
    0.04983
  • Mean Square Error
    0.06600
  • DF error
    12.00000
  • t(b)
    2.88709
  • p(b)
    0.17988
  • t(a)
    0.17274
  • p(a)
    0.47510
  • Lowerbound of 95% confidence interval for beta
    0.47420
  • Upperbound of 95% confidence interval for beta
    3.39171
  • Lowerbound of 95% confidence interval for alpha
    -0.57869
  • Upperbound of 95% confidence interval for alpha
    0.67835
  • Treynor index (mean / b)
    0.26958
  • Jensen alpha (a)
    0.04983
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.46354
  • SD
    0.31554
  • Sharpe ratio (Glass type estimate)
    1.46904
  • Sharpe ratio (Hedges UMVUE)
    1.38234
  • df
    13.00000
  • t
    1.58674
  • p
    0.25068
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.45522
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.34223
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.50843
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.27310
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.74328
  • Upside Potential Ratio
    4.32305
  • Upside part of mean
    0.73048
  • Downside part of mean
    -0.26694
  • Upside SD
    0.28602
  • Downside SD
    0.16897
  • N nonnegative terms
    9.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    14.00000
  • Mean of predictor
    0.23570
  • Mean of criterion
    0.46354
  • SD of predictor
    0.10512
  • SD of criterion
    0.31554
  • Covariance
    0.02117
  • r
    0.63817
  • b (slope, estimate of beta)
    1.91553
  • a (intercept, estimate of alpha)
    0.01204
  • Mean Square Error
    0.06393
  • DF error
    12.00000
  • t(b)
    2.87140
  • p(b)
    0.18092
  • t(a)
    0.04269
  • p(a)
    0.49384
  • Lowerbound of 95% confidence interval for beta
    0.46203
  • Upperbound of 95% confidence interval for beta
    3.36903
  • Lowerbound of 95% confidence interval for alpha
    -0.60239
  • Upperbound of 95% confidence interval for alpha
    0.62647
  • Treynor index (mean / b)
    0.24199
  • Jensen alpha (a)
    0.01204
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.10524
  • Expected Shortfall on VaR
    0.13817
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03863
  • Expected Shortfall on VaR
    0.08198
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    14.00000
  • Minimum
    0.85985
  • Quartile 1
    0.97829
  • Median
    1.05685
  • Quartile 3
    1.12224
  • Maximum
    1.17328
  • Mean of quarter 1
    0.92929
  • Mean of quarter 2
    1.03234
  • Mean of quarter 3
    1.07876
  • Mean of quarter 4
    1.14751
  • Inter Quartile Range
    0.14395
  • 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 for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.17344
  • VaR(95%) (moments method)
    0.07238
  • Expected Shortfall (moments method)
    0.11376
  • Extreme Value Index (regression method)
    1.02338
  • VaR(95%) (regression method)
    0.11598
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.11309
  • Quartile 1
    0.11986
  • Median
    0.12662
  • Quartile 3
    0.13338
  • Maximum
    0.14015
  • Mean of quarter 1
    0.11309
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.14015
  • Inter Quartile Range
    0.01353
  • 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)
    0.66361
  • Compounded annual return (geometric extrapolation)
    0.63468
  • Calmar ratio (compounded annual return / max draw down)
    4.52868
  • Compounded annual return / average of 25% largest draw downs
    4.52868
  • Compounded annual return / Expected Shortfall lognormal
    4.59345
  • 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
    0.61864
  • SD
    0.45088
  • Sharpe ratio (Glass type estimate)
    1.37208
  • Sharpe ratio (Hedges UMVUE)
    1.36891
  • df
    325.00000
  • t
    1.53051
  • p
    0.06343
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.38918
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.13130
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.39131
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.12913
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.87868
  • Upside Potential Ratio
    8.67782
  • Upside part of mean
    2.85756
  • Downside part of mean
    -2.23892
  • Upside SD
    0.30934
  • Downside SD
    0.32930
  • N nonnegative terms
    180.00000
  • N negative terms
    146.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    326.00000
  • Mean of predictor
    0.21971
  • Mean of criterion
    0.61864
  • SD of predictor
    0.12626
  • SD of criterion
    0.45088
  • Covariance
    0.03669
  • r
    0.64455
  • b (slope, estimate of beta)
    2.30163
  • a (intercept, estimate of alpha)
    0.11300
  • Mean Square Error
    0.11920
  • DF error
    324.00000
  • t(b)
    15.17470
  • p(b)
    0.00000
  • t(a)
    0.36284
  • p(a)
    0.35848
  • Lowerbound of 95% confidence interval for beta
    2.00323
  • Upperbound of 95% confidence interval for beta
    2.60002
  • Lowerbound of 95% confidence interval for alpha
    -0.49948
  • Upperbound of 95% confidence interval for alpha
    0.72539
  • Treynor index (mean / b)
    0.26878
  • Jensen alpha (a)
    0.11295
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.51497
  • SD
    0.45671
  • Sharpe ratio (Glass type estimate)
    1.12756
  • Sharpe ratio (Hedges UMVUE)
    1.12496
  • df
    325.00000
  • t
    1.25776
  • p
    0.10469
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.63247
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.88595
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.63424
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.88416
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.50245
  • Upside Potential Ratio
    8.20072
  • Upside part of mean
    2.81083
  • Downside part of mean
    -2.29586
  • Upside SD
    0.30245
  • Downside SD
    0.34275
  • N nonnegative terms
    180.00000
  • N negative terms
    146.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    326.00000
  • Mean of predictor
    0.21164
  • Mean of criterion
    0.51497
  • SD of predictor
    0.12639
  • SD of criterion
    0.45671
  • Covariance
    0.03716
  • r
    0.64370
  • b (slope, estimate of beta)
    2.32603
  • a (intercept, estimate of alpha)
    0.02269
  • Mean Square Error
    0.12254
  • DF error
    324.00000
  • t(b)
    15.14050
  • p(b)
    0.00000
  • t(a)
    0.07192
  • p(a)
    0.47136
  • Lowerbound of 95% confidence interval for beta
    2.02380
  • Upperbound of 95% confidence interval for beta
    2.62827
  • Lowerbound of 95% confidence interval for alpha
    -0.59799
  • Upperbound of 95% confidence interval for alpha
    0.64336
  • Treynor index (mean / b)
    0.22140
  • Jensen alpha (a)
    0.02269
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04347
  • Expected Shortfall on VaR
    0.05463
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01804
  • Expected Shortfall on VaR
    0.03827
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    326.00000
  • Minimum
    0.86159
  • Quartile 1
    0.99186
  • Median
    1.00408
  • Quartile 3
    1.01629
  • Maximum
    1.08499
  • Mean of quarter 1
    0.96866
  • Mean of quarter 2
    0.99800
  • Mean of quarter 3
    1.00988
  • Mean of quarter 4
    1.03336
  • Inter Quartile Range
    0.02443
  • Number outliers low
    14.00000
  • Percentage of outliers low
    0.04294
  • Mean of outliers low
    0.91993
  • Number of outliers high
    12.00000
  • Percentage of outliers high
    0.03681
  • Mean of outliers high
    1.06414
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.12531
  • VaR(95%) (moments method)
    0.02447
  • Expected Shortfall (moments method)
    0.03727
  • Extreme Value Index (regression method)
    0.16176
  • VaR(95%) (regression method)
    0.02915
  • Expected Shortfall (regression method)
    0.04675
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    20.00000
  • Minimum
    0.00118
  • Quartile 1
    0.00637
  • Median
    0.03144
  • Quartile 3
    0.06693
  • Maximum
    0.35671
  • Mean of quarter 1
    0.00318
  • Mean of quarter 2
    0.01311
  • Mean of quarter 3
    0.04882
  • Mean of quarter 4
    0.18821
  • Inter Quartile Range
    0.06056
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.15000
  • Mean of outliers high
    0.24263
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -1.88070
  • VaR(95%) (moments method)
    0.18473
  • Expected Shortfall (moments method)
    0.19017
  • Extreme Value Index (regression method)
    -0.34225
  • VaR(95%) (regression method)
    0.22125
  • Expected Shortfall (regression method)
    0.27221
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.77555
  • Compounded annual return (geometric extrapolation)
    0.72096
  • Calmar ratio (compounded annual return / max draw down)
    2.02111
  • Compounded annual return / average of 25% largest draw downs
    3.83049
  • Compounded annual return / Expected Shortfall lognormal
    13.19660
  • 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
    0.10531
  • SD
    0.60319
  • Sharpe ratio (Glass type estimate)
    0.17458
  • Sharpe ratio (Hedges UMVUE)
    0.17357
  • df
    130.00000
  • t
    0.12345
  • p
    0.49459
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.59755
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.94623
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.59831
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.94546
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.22863
  • Upside Potential Ratio
    7.71683
  • Upside part of mean
    3.55445
  • Downside part of mean
    -3.44914
  • Upside SD
    0.38594
  • Downside SD
    0.46061
  • N nonnegative terms
    71.00000
  • N negative terms
    60.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.14585
  • Mean of criterion
    0.10531
  • SD of predictor
    0.14143
  • SD of criterion
    0.60319
  • Covariance
    0.05467
  • r
    0.64086
  • b (slope, estimate of beta)
    2.73330
  • a (intercept, estimate of alpha)
    -0.29334
  • Mean Square Error
    0.21607
  • DF error
    129.00000
  • t(b)
    9.48182
  • p(b)
    0.12198
  • t(a)
    -0.44531
  • p(a)
    0.52494
  • Lowerbound of 95% confidence interval for beta
    2.16296
  • Upperbound of 95% confidence interval for beta
    3.30365
  • Lowerbound of 95% confidence interval for alpha
    -1.59664
  • Upperbound of 95% confidence interval for alpha
    1.00996
  • Treynor index (mean / b)
    0.03853
  • Jensen alpha (a)
    -0.29334
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.07924
  • SD
    0.61349
  • Sharpe ratio (Glass type estimate)
    -0.12916
  • Sharpe ratio (Hedges UMVUE)
    -0.12841
  • df
    130.00000
  • t
    -0.09133
  • p
    0.50401
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.90077
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.64294
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.90026
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.64344
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.16443
  • Upside Potential Ratio
    7.22603
  • Upside part of mean
    3.48217
  • Downside part of mean
    -3.56141
  • Upside SD
    0.37590
  • Downside SD
    0.48189
  • N nonnegative terms
    71.00000
  • N negative terms
    60.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.13584
  • Mean of criterion
    -0.07924
  • SD of predictor
    0.14178
  • SD of criterion
    0.61349
  • Covariance
    0.05585
  • r
    0.64207
  • b (slope, estimate of beta)
    2.77832
  • a (intercept, estimate of alpha)
    -0.45664
  • Mean Square Error
    0.22293
  • DF error
    129.00000
  • t(b)
    9.51223
  • p(b)
    0.12139
  • t(a)
    -0.68267
  • p(a)
    0.53817
  • VAR (95 Confidence Intrvl)
    0.04300
  • Lowerbound of 95% confidence interval for beta
    2.20043
  • Upperbound of 95% confidence interval for beta
    3.35620
  • Lowerbound of 95% confidence interval for alpha
    -1.78008
  • Upperbound of 95% confidence interval for alpha
    0.86679
  • Treynor index (mean / b)
    -0.02852
  • Jensen alpha (a)
    -0.45664
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06072
  • Expected Shortfall on VaR
    0.07539
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02851
  • Expected Shortfall on VaR
    0.05798
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.86159
  • Quartile 1
    0.98565
  • Median
    1.00416
  • Quartile 3
    1.02217
  • Maximum
    1.08499
  • Mean of quarter 1
    0.95310
  • Mean of quarter 2
    0.99525
  • Mean of quarter 3
    1.01127
  • Mean of quarter 4
    1.04274
  • Inter Quartile Range
    0.03652
  • Number outliers low
    6.00000
  • Percentage of outliers low
    0.04580
  • Mean of outliers low
    0.89844
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.01527
  • Mean of outliers high
    1.08413
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.04010
  • VaR(95%) (moments method)
    0.03807
  • Expected Shortfall (moments method)
    0.05192
  • Extreme Value Index (regression method)
    0.07010
  • VaR(95%) (regression method)
    0.04720
  • Expected Shortfall (regression method)
    0.07032
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00267
  • Quartile 1
    0.02658
  • Median
    0.08379
  • Quartile 3
    0.18896
  • Maximum
    0.35671
  • Mean of quarter 1
    0.00267
  • Mean of quarter 2
    0.03455
  • Mean of quarter 3
    0.13304
  • Mean of quarter 4
    0.35671
  • Inter Quartile Range
    0.16238
  • 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
  • Last 4 Months - Pcnt Negative
    0.25%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -369578000
  • Max Equity Drawdown (num days)
    25
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.05068
  • Compounded annual return (geometric extrapolation)
    -0.05004
  • Calmar ratio (compounded annual return / max draw down)
    -0.14027
  • Compounded annual return / average of 25% largest draw downs
    -0.14027
  • Compounded annual return / Expected Shortfall lognormal
    -0.66368

Strategy Description

As a data analyst with nine years of experience, I deeply understand that formulating a successful trading strategy is not possible without thorough stock screening, monitoring market trends, implementing technical analysis strategies, continuous backtesting of data, and analyzing backtest results.
Fortunately, my background in knowledge supports me through the entire process, and I've successfully implemented fully automated trading. This includes automated data feeding, automated calculations, and the automatic generation of trading signals according to predefined strategies. Most importantly, I use it on my own money in my Interactive Brokers account. In this age where data can easily be manipulated, you may find it reassuring to know that there are individuals who use the system for real trading in their own accounts. The fluctuations on my statements represent my actual investments, with no exaggerations or false claims of profits. My automated trading strategy strives to exit positions when stock prices reach relative highs and enter when they are relatively low, eliminating emotional trading. Ultimately, this approach allows for stability and the realization of deserved profits in the market. It's that simple!
I maintain a disciplined routine of checking the market every hour while trading, making necessary adjustments, and potentially entering or exiting positions. I also personally monitor the connection of my automated trading system to Interactive Brokers to prevent any unnecessary losses. You're welcome to replicate my trades now and join me in experiencing stable growth in the market for your assets!
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2023-09-20
Suggested Minimum Capital
$15,000
# Trades
1386
# Profitable
848
% Profitable
61.2%
Net Dividends
$3,941
Correlation S&P500
0.644
Sharpe Ratio
1.10
Sortino Ratio
1.50
Beta
2.34
Alpha
0.02
Leverage
2.70 Average
4.01 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

Collective2 calculates the maximum leverage used by a strategy in each day. We then display the average of these measurements (i.e. the average daily maximum leverage) and the greatest of these measurements (maximum daily leverage).

Leverage is the ratio of total notional value controlled by a strategy divided by its Model Account equity. Generally higher leverage implies greater risk.

Example of calculation:
The Strategy buys 100 shares of stock at $12 per share.
The Model Account equity during that day is $5,000.
The leverage is: $1200 / $5,000 = 0.24

This is a useful measurement, but it should be considered in context. This measurement doesn't take into account important factors, such as when multiple positions are held that are inversely correlated. Nor does the measurement take into account the volatility of the instruments being held.

In addition, certain asset classes are inherently more leveraged than others. For example, futures contracts are highly leveraged. Forex positions are often even more leveraged than futures.

Latest Activity

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subscribed on started simulation #SUBSCRIBEDDATE#

Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.

Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

Material assumptions and methods used when calculating results

The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.

  • Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
  • Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been re-scaled downward to make current go-forward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
  • All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any per-trade AutoTrade fees, plus estimated broker commissions if any.
  • "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.

Trading is risky

There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.

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Suggested Minimum Capital

This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.