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

Episodic Pivot
(141141675)

Created by: MikeM5 MikeM5
Started: 07/2022
Stocks
Last trade: Yesterday

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

Subscription terms. You can subscribe to this system for free.

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.

35.8%
Annual Return (Compounded)

Rate of Return Calculations

Overview

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

How Annualized (Compounded) Rate of Return is calculated

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

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

All results are hypothetical.

(29.1%)
Max Drawdown
691
Num Trades
36.0%
Win Trades
1.3 : 1
Profit Factor
52.4%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022                                          +3.5%+9.2%+14.3%(1.6%)(1.3%)+2.0%+27.9%
2023(4.7%)(0.5%)(4.4%)+15.6%+7.5%(3.5%)+5.4%(3.3%)(13.4%)(12.2%)+13.2%+5.6%+0.7%
2024(2.2%)+22.8%+8.6%                                                      +30.5%

Model Account Details

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

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

Trading Record

This strategy has placed 1,246 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
2/13/24 9:35 NTWK NETSOL TECHNOLOGIES LONG 2,181 2.69 3/25 10:33 2.73 0.59%
Trade id #147323745
Max drawdown($408)
Time2/13/24 9:51
Quant open2,181
Worst price2.50
Drawdown as % of equity-0.59%
$91
Includes Typical Broker Commissions trade costs of $5.00
2/28/24 9:33 QUIK QUICKLOGIC LONG 700 15.76 3/25 10:04 16.27 0.55%
Trade id #147470957
Max drawdown($417)
Time2/28/24 10:07
Quant open410
Worst price14.28
Drawdown as % of equity-0.55%
$346
Includes Typical Broker Commissions trade costs of $14.00
3/20/24 9:33 TSHA TAYSHA GENE THERAPIES INC. LONG 2,106 3.15 3/20 9:43 2.72 1.28%
Trade id #147692690
Max drawdown($1,031)
Time3/20/24 9:43
Quant open2,106
Worst price2.66
Drawdown as % of equity-1.28%
($911)
Includes Typical Broker Commissions trade costs of $5.00
3/20/24 9:31 PDD PINDUODUO INC. ADS LONG 40 147.82 3/20 9:32 143.78 0.2%
Trade id #147692642
Max drawdown($161)
Time3/20/24 9:32
Quant open40
Worst price143.78
Drawdown as % of equity-0.20%
($162)
Includes Typical Broker Commissions trade costs of $0.80
2/1/24 9:31 NXT NEXTRACKER INC. CLASS A LONG 221 55.10 3/19 10:08 58.33 0.42%
Trade id #147191876
Max drawdown($262)
Time2/1/24 10:03
Quant open114
Worst price51.78
Drawdown as % of equity-0.42%
$709
Includes Typical Broker Commissions trade costs of $4.42
2/28/24 9:31 ACMR ACM RESEARCH INC. CLASS A COMMON STOCK LONG 411 26.83 3/19 9:32 27.83 0.22%
Trade id #147470856
Max drawdown($184)
Time3/19/24 9:32
Quant open270
Worst price26.15
Drawdown as % of equity-0.22%
$402
Includes Typical Broker Commissions trade costs of $8.22
3/5/24 9:32 AVAV AEROVIRONMENT LONG 40 152.88 3/15 15:32 151.96 0.1%
Trade id #147537131
Max drawdown($80)
Time3/15/24 15:32
Quant open20
Worst price148.86
Drawdown as % of equity-0.10%
($38)
Includes Typical Broker Commissions trade costs of $0.80
3/8/24 9:31 IOT SAMSARA INC LONG 156 37.86 3/15 9:31 35.87 0.41%
Trade id #147574790
Max drawdown($327)
Time3/15/24 9:31
Quant open156
Worst price35.76
Drawdown as % of equity-0.41%
($314)
Includes Typical Broker Commissions trade costs of $3.12
3/14/24 9:33 SPRO SPERO THERAPEUTICS INC. COMMON STOCK LONG 3,243 1.88 3/14 9:34 1.81 0.26%
Trade id #147635772
Max drawdown($212)
Time3/14/24 9:34
Quant open3,243
Worst price1.81
Drawdown as % of equity-0.26%
($217)
Includes Typical Broker Commissions trade costs of $5.00
3/13/24 9:41 SKIN BEAUTY HEALTH CO LONG 1,365 4.97 3/13 10:31 4.38 1%
Trade id #147621655
Max drawdown($816)
Time3/13/24 10:31
Quant open1,365
Worst price4.37
Drawdown as % of equity-1.00%
($804)
Includes Typical Broker Commissions trade costs of $5.00
3/13/24 9:31 HRTX HERON THERAPEUTICS INC. COMMO LONG 2,120 2.95 3/13 9:51 2.69 0.7%
Trade id #147620293
Max drawdown($569)
Time3/13/24 9:51
Quant open2,120
Worst price2.68
Drawdown as % of equity-0.70%
($553)
Includes Typical Broker Commissions trade costs of $5.00
3/6/24 9:34 CXDO CREXENDO COMMON STOCK LONG 961 6.42 3/11 9:42 5.64 0.92%
Trade id #147551549
Max drawdown($758)
Time3/11/24 9:42
Quant open961
Worst price5.63
Drawdown as % of equity-0.92%
($747)
Includes Typical Broker Commissions trade costs of $5.00
2/8/24 9:31 ARM ARM HOLDINGS PLC ADS LONG 106 113.73 3/11 9:30 131.26 n/a $1,856
Includes Typical Broker Commissions trade costs of $2.12
1/5/24 11:58 MGNX MACROGENICS INC. COMMON STOCK LONG 255 9.73 3/8 15:17 15.58 0.08%
Trade id #146918542
Max drawdown($47)
Time1/8/24 0:00
Quant open255
Worst price9.54
Drawdown as % of equity-0.08%
$1,487
Includes Typical Broker Commissions trade costs of $5.10
1/8/24 9:33 RXST RXSIGHT INC. COMMON STOCK LONG 142 41.92 3/8 13:35 53.47 0.1%
Trade id #146930473
Max drawdown($61)
Time1/8/24 9:36
Quant open142
Worst price41.49
Drawdown as % of equity-0.10%
$1,636
Includes Typical Broker Commissions trade costs of $2.84
2/22/24 9:42 ROOT ROOT INC. CLASS A COMMON STOCK LONG 531 12.24 3/7 15:39 29.48 0.2%
Trade id #147409293
Max drawdown($130)
Time2/22/24 9:46
Quant open531
Worst price11.99
Drawdown as % of equity-0.20%
$9,147
Includes Typical Broker Commissions trade costs of $7.81
3/7/24 9:33 OSPN ONESPAN INC. COMMON STOCK LONG 508 12.30 3/7 10:20 11.30 0.78%
Trade id #147564298
Max drawdown($640)
Time3/7/24 10:20
Quant open508
Worst price11.04
Drawdown as % of equity-0.78%
($513)
Includes Typical Broker Commissions trade costs of $5.00
3/6/24 9:31 HIPO HIPPO HOLDINGS INC LONG 337 18.47 3/6 9:32 17.52 0.4%
Trade id #147551384
Max drawdown($320)
Time3/6/24 9:32
Quant open337
Worst price17.52
Drawdown as % of equity-0.40%
($327)
Includes Typical Broker Commissions trade costs of $6.74
3/5/24 9:31 PAY PAYMENTUS HOLDINGS INC LONG 300 20.39 3/5 9:47 19.02 0.58%
Trade id #147537058
Max drawdown($477)
Time3/5/24 9:47
Quant open300
Worst price18.80
Drawdown as % of equity-0.58%
($419)
Includes Typical Broker Commissions trade costs of $6.00
2/26/24 9:34 LI LI AUTO INC LONG 150 40.37 3/4 9:39 40.01 0.29%
Trade id #147449552
Max drawdown($241)
Time3/4/24 9:39
Quant open120
Worst price38.36
Drawdown as % of equity-0.29%
($57)
Includes Typical Broker Commissions trade costs of $3.00
3/1/24 9:32 REAL THE REALREAL INC. COMMON STOCK LONG 2,666 2.25 3/1 9:34 2.14 0.37%
Trade id #147511264
Max drawdown($287)
Time3/1/24 9:34
Quant open2,666
Worst price2.14
Drawdown as % of equity-0.37%
($292)
Includes Typical Broker Commissions trade costs of $5.00
2/29/24 9:32 AI C3.AI INC LONG 172 36.38 2/29 9:40 34.33 0.58%
Trade id #147499385
Max drawdown($452)
Time2/29/24 9:40
Quant open172
Worst price33.75
Drawdown as % of equity-0.58%
($356)
Includes Typical Broker Commissions trade costs of $3.44
2/27/24 9:35 HIMS HIMS AND HERS HEALTH INC LONG 485 12.37 2/27 9:36 11.57 0.52%
Trade id #147459449
Max drawdown($386)
Time2/27/24 9:36
Quant open485
Worst price11.57
Drawdown as % of equity-0.52%
($396)
Includes Typical Broker Commissions trade costs of $9.70
2/26/24 9:31 FRPT FRESHPET INC. COMMON STOCK LONG 56 111.50 2/26 9:32 106.41 0.41%
Trade id #147449400
Max drawdown($285)
Time2/26/24 9:32
Quant open56
Worst price106.41
Drawdown as % of equity-0.41%
($286)
Includes Typical Broker Commissions trade costs of $1.12
2/21/24 15:38 THRM GENTHERM LONG 103 58.30 2/23 13:13 55.95 0.35%
Trade id #147402471
Max drawdown($241)
Time2/23/24 13:13
Quant open103
Worst price55.96
Drawdown as % of equity-0.35%
($244)
Includes Typical Broker Commissions trade costs of $2.06
2/23/24 9:32 SQ BLOCK INC LONG 75 80.44 2/23 10:00 78.74 0.2%
Trade id #147433021
Max drawdown($131)
Time2/23/24 10:00
Quant open75
Worst price78.69
Drawdown as % of equity-0.20%
($130)
Includes Typical Broker Commissions trade costs of $1.50
2/22/24 10:34 TALK TALKSPACE INC. COMMON STOCK LONG 2,239 2.69 2/22 10:40 2.62 0.22%
Trade id #147410712
Max drawdown($145)
Time2/22/24 10:40
Quant open2,239
Worst price2.62
Drawdown as % of equity-0.22%
($150)
Includes Typical Broker Commissions trade costs of $5.00
2/22/24 9:41 TS TENARIS LONG 165 36.33 2/22 9:52 35.85 0.13%
Trade id #147409262
Max drawdown($90)
Time2/22/24 9:52
Quant open165
Worst price35.78
Drawdown as % of equity-0.13%
($81)
Includes Typical Broker Commissions trade costs of $3.30
2/22/24 9:37 LNTH LANTHEUS HOLDINGS INC. COMMON STOCK LONG 96 62.90 2/22 9:41 61.90 0.17%
Trade id #147409168
Max drawdown($114)
Time2/22/24 9:41
Quant open96
Worst price61.71
Drawdown as % of equity-0.17%
($98)
Includes Typical Broker Commissions trade costs of $1.92
2/22/24 9:31 ACVA ACV AUCTIONS INC. CLASS A COMMON STOCK LONG 375 16.76 2/22 9:41 15.98 0.53%
Trade id #147408808
Max drawdown($353)
Time2/22/24 9:41
Quant open375
Worst price15.82
Drawdown as % of equity-0.53%
($302)
Includes Typical Broker Commissions trade costs of $7.50

Statistics

  • Strategy began
    7/21/2022
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    615.61
  • Age
    21 months ago
  • What it trades
    Stocks
  • # Trades
    691
  • # Profitable
    249
  • % Profitable
    36.00%
  • Avg trade duration
    12.8 days
  • Max peak-to-valley drawdown
    29.06%
  • drawdown period
    July 19, 2023 - Nov 13, 2023
  • Annual Return (Compounded)
    35.8%
  • Avg win
    $609.07
  • Avg loss
    $272.19
  • Model Account Values (Raw)
  • Cash
    $23,470
  • Margin Used
    $0
  • Buying Power
    $41,118
  • Ratios
  • W:L ratio
    1.26:1
  • Sharpe Ratio
    1.03
  • Sortino Ratio
    1.72
  • Calmar Ratio
    1.53
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    36.76%
  • Correlation to SP500
    0.02180
  • Return Percent SP500 (cumu) during strategy life
    31.25%
  • Return Statistics
  • Ann Return (w trading costs)
    35.8%
  • Slump
  • Current Slump as Pcnt Equity
    0.70%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.00%
  • Return Statistics
  • Return Pcnt Since TOS Status
    43.730%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.358%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    39.2%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    49.50%
  • Chance of 20% account loss
    26.00%
  • Chance of 30% account loss
    4.50%
  • Chance of 40% account loss
    0.50%
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    885
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    949
  • Popularity (7 days, Percentile 1000 scale)
    770
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $272
  • Avg Win
    $633
  • Sum Trade PL (losers)
    $120,306.000
  • Age
  • Num Months filled monthly returns table
    21
  • Win / Loss
  • Sum Trade PL (winners)
    $157,538.000
  • # Winners
    249
  • Num Months Winners
    11
  • Dividends
  • Dividends Received in Model Acct
    144
  • AUM
  • AUM (AutoTrader live capital)
    42341
  • Win / Loss
  • # Losers
    442
  • % Winners
    36.0%
  • Frequency
  • Avg Position Time (mins)
    18382.60
  • Avg Position Time (hrs)
    306.38
  • Avg Trade Length
    12.8 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    0.84
  • Daily leverage (max)
    2.07
  • Regression
  • Alpha
    0.09
  • Beta
    0.03
  • Treynor Index
    2.55
  • 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)
    -0.73
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    17.754
  • 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
    0.333
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.123
  • Hold-and-Hope Ratio
    0.074
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.35416
  • SD
    0.31138
  • Sharpe ratio (Glass type estimate)
    1.13739
  • Sharpe ratio (Hedges UMVUE)
    1.09179
  • df
    19.00000
  • t
    1.46836
  • p
    0.30027
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.43679
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.68340
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.46557
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.64915
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.72714
  • Upside Potential Ratio
    4.58456
  • Upside part of mean
    0.59537
  • Downside part of mean
    -0.24121
  • Upside SD
    0.29274
  • Downside SD
    0.12986
  • N nonnegative terms
    10.00000
  • N negative terms
    10.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    20.00000
  • Mean of predictor
    0.14459
  • Mean of criterion
    0.35416
  • SD of predictor
    0.13156
  • SD of criterion
    0.31138
  • Covariance
    0.00278
  • r
    0.06779
  • b (slope, estimate of beta)
    0.16044
  • a (intercept, estimate of alpha)
    0.33096
  • Mean Square Error
    0.10187
  • DF error
    18.00000
  • t(b)
    0.28826
  • p(b)
    0.46611
  • t(a)
    1.27293
  • p(a)
    0.35631
  • Lowerbound of 95% confidence interval for beta
    -1.00888
  • Upperbound of 95% confidence interval for beta
    1.32976
  • Lowerbound of 95% confidence interval for alpha
    -0.21528
  • Upperbound of 95% confidence interval for alpha
    0.87720
  • Treynor index (mean / b)
    2.20744
  • Jensen alpha (a)
    0.33096
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.30584
  • SD
    0.29739
  • Sharpe ratio (Glass type estimate)
    1.02841
  • Sharpe ratio (Hedges UMVUE)
    0.98718
  • df
    19.00000
  • t
    1.32768
  • p
    0.31716
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.53695
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.56808
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.56310
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.53747
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.24124
  • Upside Potential Ratio
    4.07066
  • Upside part of mean
    0.55549
  • Downside part of mean
    -0.24964
  • Upside SD
    0.27054
  • Downside SD
    0.13646
  • N nonnegative terms
    10.00000
  • N negative terms
    10.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    20.00000
  • Mean of predictor
    0.13524
  • Mean of criterion
    0.30584
  • SD of predictor
    0.13168
  • SD of criterion
    0.29739
  • Covariance
    0.00285
  • r
    0.07286
  • b (slope, estimate of beta)
    0.16455
  • a (intercept, estimate of alpha)
    0.28359
  • Mean Square Error
    0.09286
  • DF error
    18.00000
  • t(b)
    0.30994
  • p(b)
    0.46357
  • t(a)
    1.14943
  • p(a)
    0.36925
  • Lowerbound of 95% confidence interval for beta
    -0.95085
  • Upperbound of 95% confidence interval for beta
    1.27996
  • Lowerbound of 95% confidence interval for alpha
    -0.23475
  • Upperbound of 95% confidence interval for alpha
    0.80193
  • Treynor index (mean / b)
    1.85862
  • Jensen alpha (a)
    0.28359
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.10928
  • Expected Shortfall on VaR
    0.14023
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.04669
  • Expected Shortfall on VaR
    0.08664
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    20.00000
  • Minimum
    0.87241
  • Quartile 1
    0.97262
  • Median
    0.99920
  • Quartile 3
    1.09250
  • Maximum
    1.22870
  • Mean of quarter 1
    0.93870
  • Mean of quarter 2
    0.98555
  • Mean of quarter 3
    1.04486
  • Mean of quarter 4
    1.15825
  • Inter Quartile Range
    0.11988
  • 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)
    0.18925
  • VaR(95%) (moments method)
    0.06446
  • Expected Shortfall (moments method)
    0.09787
  • Extreme Value Index (regression method)
    0.81797
  • VaR(95%) (regression method)
    0.08556
  • Expected Shortfall (regression method)
    0.42290
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.08729
  • Quartile 1
    0.12161
  • Median
    0.15593
  • Quartile 3
    0.19025
  • Maximum
    0.22457
  • Mean of quarter 1
    0.08729
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.22457
  • Inter Quartile Range
    0.06864
  • 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)
    0.44647
  • Compounded annual return (geometric extrapolation)
    0.39619
  • Calmar ratio (compounded annual return / max draw down)
    1.76421
  • Compounded annual return / average of 25% largest draw downs
    1.76421
  • Compounded annual return / Expected Shortfall lognormal
    2.82521
  • 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
    0.33812
  • SD
    0.25378
  • Sharpe ratio (Glass type estimate)
    1.33233
  • Sharpe ratio (Hedges UMVUE)
    1.33004
  • df
    437.00000
  • t
    1.72265
  • p
    0.04283
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.18684
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.85004
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.18839
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.84847
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.25961
  • Upside Potential Ratio
    10.17800
  • Upside part of mean
    1.52299
  • Downside part of mean
    -1.18487
  • Upside SD
    0.20568
  • Downside SD
    0.14964
  • N nonnegative terms
    217.00000
  • N negative terms
    221.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    438.00000
  • Mean of predictor
    0.14824
  • Mean of criterion
    0.33812
  • SD of predictor
    0.16437
  • SD of criterion
    0.25378
  • Covariance
    0.00097
  • r
    0.02331
  • b (slope, estimate of beta)
    0.03598
  • a (intercept, estimate of alpha)
    0.33300
  • Mean Square Error
    0.06452
  • DF error
    436.00000
  • t(b)
    0.48681
  • p(b)
    0.31332
  • t(a)
    1.69136
  • p(a)
    0.04574
  • Lowerbound of 95% confidence interval for beta
    -0.10930
  • Upperbound of 95% confidence interval for beta
    0.18127
  • Lowerbound of 95% confidence interval for alpha
    -0.05392
  • Upperbound of 95% confidence interval for alpha
    0.71949
  • Treynor index (mean / b)
    9.39611
  • Jensen alpha (a)
    0.33278
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.30612
  • SD
    0.25172
  • Sharpe ratio (Glass type estimate)
    1.21611
  • Sharpe ratio (Hedges UMVUE)
    1.21402
  • df
    437.00000
  • t
    1.57239
  • p
    0.05829
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.30255
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.73347
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.30398
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.73203
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.01702
  • Upside Potential Ratio
    9.89853
  • Upside part of mean
    1.50227
  • Downside part of mean
    -1.19616
  • Upside SD
    0.20135
  • Downside SD
    0.15177
  • N nonnegative terms
    217.00000
  • N negative terms
    221.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    438.00000
  • Mean of predictor
    0.13474
  • Mean of criterion
    0.30612
  • SD of predictor
    0.16412
  • SD of criterion
    0.25172
  • Covariance
    0.00091
  • r
    0.02198
  • b (slope, estimate of beta)
    0.03371
  • a (intercept, estimate of alpha)
    0.30157
  • Mean Square Error
    0.06348
  • DF error
    436.00000
  • t(b)
    0.45908
  • p(b)
    0.32320
  • t(a)
    1.54566
  • p(a)
    0.06146
  • Lowerbound of 95% confidence interval for beta
    -0.11062
  • Upperbound of 95% confidence interval for beta
    0.17805
  • Lowerbound of 95% confidence interval for alpha
    -0.08190
  • Upperbound of 95% confidence interval for alpha
    0.68505
  • Treynor index (mean / b)
    9.07991
  • Jensen alpha (a)
    0.30157
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02412
  • Expected Shortfall on VaR
    0.03042
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01048
  • Expected Shortfall on VaR
    0.02047
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    438.00000
  • Minimum
    0.94068
  • Quartile 1
    0.99451
  • Median
    1.00007
  • Quartile 3
    1.00694
  • Maximum
    1.10068
  • Mean of quarter 1
    0.98462
  • Mean of quarter 2
    0.99757
  • Mean of quarter 3
    1.00282
  • Mean of quarter 4
    1.02057
  • Inter Quartile Range
    0.01244
  • Number outliers low
    18.00000
  • Percentage of outliers low
    0.04110
  • Mean of outliers low
    0.96725
  • Number of outliers high
    32.00000
  • Percentage of outliers high
    0.07306
  • Mean of outliers high
    1.03923
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.11427
  • VaR(95%) (moments method)
    0.01399
  • Expected Shortfall (moments method)
    0.02051
  • Extreme Value Index (regression method)
    0.09227
  • VaR(95%) (regression method)
    0.01327
  • Expected Shortfall (regression method)
    0.01898
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    19.00000
  • Minimum
    0.00037
  • Quartile 1
    0.00753
  • Median
    0.02076
  • Quartile 3
    0.04723
  • Maximum
    0.25924
  • Mean of quarter 1
    0.00408
  • Mean of quarter 2
    0.01171
  • Mean of quarter 3
    0.02841
  • Mean of quarter 4
    0.12219
  • Inter Quartile Range
    0.03970
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.10526
  • Mean of outliers high
    0.19069
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.18297
  • VaR(95%) (moments method)
    0.13118
  • Expected Shortfall (moments method)
    0.19682
  • Extreme Value Index (regression method)
    0.81442
  • VaR(95%) (regression method)
    0.17357
  • Expected Shortfall (regression method)
    0.83564
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.44737
  • Compounded annual return (geometric extrapolation)
    0.39658
  • Calmar ratio (compounded annual return / max draw down)
    1.52976
  • Compounded annual return / average of 25% largest draw downs
    3.24559
  • Compounded annual return / Expected Shortfall lognormal
    13.03660
  • 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
    0.65619
  • SD
    0.31668
  • Sharpe ratio (Glass type estimate)
    2.07208
  • Sharpe ratio (Hedges UMVUE)
    2.06010
  • df
    130.00000
  • t
    1.46518
  • p
    0.43627
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.71503
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.85143
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.72299
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.84320
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.60627
  • Upside Potential Ratio
    12.16710
  • Upside part of mean
    2.21390
  • Downside part of mean
    -1.55771
  • Upside SD
    0.26088
  • Downside SD
    0.18196
  • N nonnegative terms
    66.00000
  • N negative terms
    65.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.36048
  • Mean of criterion
    0.65619
  • SD of predictor
    0.11714
  • SD of criterion
    0.31668
  • Covariance
    0.01084
  • r
    0.29217
  • b (slope, estimate of beta)
    0.78986
  • a (intercept, estimate of alpha)
    0.37146
  • Mean Square Error
    0.09244
  • DF error
    129.00000
  • t(b)
    3.46978
  • p(b)
    0.31668
  • t(a)
    0.84860
  • p(a)
    0.45261
  • Lowerbound of 95% confidence interval for beta
    0.33947
  • Upperbound of 95% confidence interval for beta
    1.24024
  • Lowerbound of 95% confidence interval for alpha
    -0.49460
  • Upperbound of 95% confidence interval for alpha
    1.23752
  • Treynor index (mean / b)
    0.83077
  • Jensen alpha (a)
    0.37146
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.60607
  • SD
    0.31457
  • Sharpe ratio (Glass type estimate)
    1.92668
  • Sharpe ratio (Hedges UMVUE)
    1.91554
  • df
    130.00000
  • t
    1.36237
  • p
    0.44068
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.85864
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.70473
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.86603
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.69711
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.28347
  • Upside Potential Ratio
    11.81310
  • Upside part of mean
    2.18048
  • Downside part of mean
    -1.57442
  • Upside SD
    0.25599
  • Downside SD
    0.18458
  • N nonnegative terms
    66.00000
  • N negative terms
    65.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.35341
  • Mean of criterion
    0.60607
  • SD of predictor
    0.11700
  • SD of criterion
    0.31457
  • Covariance
    0.01079
  • r
    0.29314
  • b (slope, estimate of beta)
    0.78813
  • a (intercept, estimate of alpha)
    0.32754
  • Mean Square Error
    0.09115
  • DF error
    129.00000
  • t(b)
    3.48248
  • p(b)
    0.31609
  • t(a)
    0.75401
  • p(a)
    0.45786
  • VAR (95 Confidence Intrvl)
    0.02400
  • Lowerbound of 95% confidence interval for beta
    0.34037
  • Upperbound of 95% confidence interval for beta
    1.23590
  • Lowerbound of 95% confidence interval for alpha
    -0.53192
  • Upperbound of 95% confidence interval for alpha
    1.18699
  • Treynor index (mean / b)
    0.76899
  • Jensen alpha (a)
    0.32754
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02922
  • Expected Shortfall on VaR
    0.03704
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01373
  • Expected Shortfall on VaR
    0.02573
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.95175
  • Quartile 1
    0.99068
  • Median
    1.00040
  • Quartile 3
    1.01219
  • Maximum
    1.05395
  • Mean of quarter 1
    0.98035
  • Mean of quarter 2
    0.99627
  • Mean of quarter 3
    1.00492
  • Mean of quarter 4
    1.02897
  • Inter Quartile Range
    0.02152
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.01527
  • Mean of outliers low
    0.95486
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.04580
  • Mean of outliers high
    1.04975
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00624
  • VaR(95%) (moments method)
    0.01935
  • Expected Shortfall (moments method)
    0.02557
  • Extreme Value Index (regression method)
    0.06533
  • VaR(95%) (regression method)
    0.01982
  • Expected Shortfall (regression method)
    0.02697
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.00421
  • Quartile 1
    0.02547
  • Median
    0.03106
  • Quartile 3
    0.07189
  • Maximum
    0.12582
  • Mean of quarter 1
    0.01570
  • Mean of quarter 2
    0.02886
  • Mean of quarter 3
    0.06446
  • Mean of quarter 4
    0.09944
  • Inter Quartile Range
    0.04642
  • 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)
    0.22705
  • VaR(95%) (moments method)
    0.10864
  • Expected Shortfall (moments method)
    0.14621
  • Extreme Value Index (regression method)
    4.50265
  • VaR(95%) (regression method)
    0.33746
  • 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?
    -429541000
  • Max Equity Drawdown (num days)
    117
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.74597
  • Compounded annual return (geometric extrapolation)
    0.88509
  • Calmar ratio (compounded annual return / max draw down)
    7.03440
  • Compounded annual return / average of 25% largest draw downs
    8.90074
  • Compounded annual return / Expected Shortfall lognormal
    23.89290

Strategy Description

Please do not join existing positions!

During the period between October 2022 and March 2023, I tried a new money management strategy which proved that it wasn't profitable. Starting with April 2023, we resumed the initial money management strategy and will stick with it. The underlying strategy remained the same.

We believe that you can't reliably and scalably foresee the future. But we think that you can follow the trend and the momentum.

This strategy is hunting for trends and momentum. We open up as many instruments as C2 allows, up to 1% in risk per position (1% is the maximum risk per position, not the position size).

This is a scalable strategy. We're currently issuing market orders, but in time we'll issue limit orders. Anyway, all the instruments are quite liquid (100k shares/day is our filter minimum) so it doesn't really make a big difference.

We only use equities so your account should be able to trade all the instruments we trade. Let us know otherwise.

Thank you!

Summary Statistics

Strategy began
2022-07-21
Suggested Minimum Capital
$35,000
Rank at C2 %
Top 5.1%
Rank # 
#41
# Trades
691
# Profitable
249
% Profitable
36.0%
Net Dividends
Correlation S&P500
0.022
Sharpe Ratio
1.03
Sortino Ratio
1.72
Beta
0.03
Alpha
0.09
Leverage
0.84 Average
2.07 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

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

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

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

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

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

Latest Activity

#PERSONNAME#
subscribed on started simulation #SUBSCRIBEDDATE#

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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Suggested Minimum Capital

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