Collective2 Collective2
Featured Strategy Goldvantage Pro +203.7% Cumul. Return since Apr 8, 2025 Hypothetical

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This is an archived track record. This track record was archived on 8/15/24 12:52 ET. (See latest track record)
These are hypothetical performance results that have certain inherent limitations. Learn more
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Accumulate Alpha B
(144769121)

Created by: James-Yang James-Yang
Started: 07/2023
Stocks
Last trade: 267 days ago

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 $50.00 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.

26.5%
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.

(38.5%)
Max Drawdown
143
Num Trades
44.8%
Win Trades
1.1 : 1
Profit Factor
31.8%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2023                                          +1.1%(6.4%)+9.6%(0.3%)+19.2%+22.5%+50.8%
2024(4.1%)+35.6%(10.6%)(7.5%)+1.6%(1.9%)+4.0%(23.5%)  -    -    -    -  (14.7%)
2025  -    -    -    -                                                  

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 290 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
8/12/24 15:55 UDOW PROSHARES ULTRAPRO DOW30 LONG 292 78.18 8/15 12:50 85.15 0.05%
Trade id #148897695
Max drawdown($28)
Time8/12/24 15:58
Quant open292
Worst price78.08
Drawdown as % of equity-0.05%
 $2,030
Includes Typical Broker Commissions trade costs of $5.84
8/12/24 15:55 SPXL DIREXION DAILY S&P500 BULL 3X LONG 171 133.06 8/15 12:50 147.57 0.06%
Trade id #148897710
Max drawdown($33)
Time8/12/24 15:58
Quant open171
Worst price132.86
Drawdown as % of equity-0.06%
 $2,478
Includes Typical Broker Commissions trade costs of $3.42
8/12/24 15:55 BTAL AGF US MARKET NEUT ANTI-BETA LONG 1,092 20.59 8/15 12:49 20.13 0.76%
Trade id #148897689
Max drawdown($467)
Time8/14/24 0:00
Quant open1,092
Worst price20.16
Drawdown as % of equity-0.76%
 ($504)
Includes Typical Broker Commissions trade costs of $5.00
8/9/24 15:55 XLRE SELECT SECTOR SPDR REAL ESTATE FUND LONG 155 41.81 8/12 9:31 41.59 0.07%
Trade id #148881544
Max drawdown($39)
Time8/12/24 9:31
Quant open155
Worst price41.56
Drawdown as % of equity-0.07%
 ($38)
Includes Typical Broker Commissions trade costs of $3.10
8/9/24 15:55 URTY PROSHARES ULTRAPRO RUSSELL2000 LONG 223 43.46 8/12 9:31 43.50 n/a $6
Includes Typical Broker Commissions trade costs of $4.46
8/9/24 15:55 SPLV INVESCO S&P 500 LOW VOLATI LONG 287 67.81 8/12 9:31 67.81 0%
Trade id #148881529
Max drawdown($1)
Time8/12/24 9:31
Quant open287
Worst price67.80
Drawdown as % of equity-0.00%
 ($6)
Includes Typical Broker Commissions trade costs of $5.74
8/9/24 15:55 QQQ POWERSHARES QQQ LONG 14 449.88 8/12 9:31 451.45 n/a $22
Includes Typical Broker Commissions trade costs of $0.28
8/9/24 15:55 IWM ISHARES RUSSELL 2000 INDEX LONG 31 206.04 8/12 9:31 206.06 0%
Trade id #148881521
Max drawdown($0)
Time8/12/24 9:31
Quant open31
Worst price206.02
Drawdown as % of equity-0.00%
 $0
Includes Typical Broker Commissions trade costs of $0.62
8/9/24 15:55 DRN DIREXION DAILY REAL ES BULL 3X LONG 884 11.02 8/12 9:31 10.83 0.28%
Trade id #148881518
Max drawdown($167)
Time8/12/24 9:31
Quant open884
Worst price10.83
Drawdown as % of equity-0.28%
 ($172)
Includes Typical Broker Commissions trade costs of $5.00
8/8/24 15:55 UVXY PROSHARES ULTRA VIX SHORT-TERM LONG 1,861 38.07 8/9 15:55 31.43 21.15%
Trade id #148871027
Max drawdown($13,166)
Time8/9/24 15:53
Quant open1,861
Worst price31.00
Drawdown as % of equity-21.15%
 ($12,371)
Includes Typical Broker Commissions trade costs of $5.00
8/5/24 15:55 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 1,568 39.33 8/8 15:55 45.64 0.56%
Trade id #148835759
Max drawdown($358)
Time8/5/24 15:59
Quant open1,568
Worst price39.10
Drawdown as % of equity-0.56%
 $9,883
Includes Typical Broker Commissions trade costs of $5.00
8/2/24 15:55 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 1,423 50.12 8/5 4:06 42.06 0.72%
Trade id #148812252
Max drawdown($539)
Time8/2/24 15:59
Quant open1,423
Worst price49.74
Drawdown as % of equity-0.72%
 ($11,486)
Includes Typical Broker Commissions trade costs of $5.00
7/31/24 15:55 XLK TECHNOLOGY SELECT SECTOR SPDR LONG 40 218.89 8/2 15:55 204.27 0.93%
Trade id #148788921
Max drawdown($705)
Time8/2/24 10:14
Quant open40
Worst price201.25
Drawdown as % of equity-0.93%
 ($586)
Includes Typical Broker Commissions trade costs of $0.80
7/31/24 15:55 URTY PROSHARES ULTRAPRO RUSSELL2000 LONG 246 56.36 8/2 15:55 45.65 4.02%
Trade id #148788919
Max drawdown($2,963)
Time8/2/24 11:27
Quant open246
Worst price44.31
Drawdown as % of equity-4.02%
 ($2,638)
Includes Typical Broker Commissions trade costs of $4.92
8/1/24 15:55 UDOW PROSHARES ULTRAPRO DOW30 LONG 299 84.77 8/2 15:55 80.58 2.46%
Trade id #148801485
Max drawdown($1,809)
Time8/2/24 11:27
Quant open299
Worst price78.72
Drawdown as % of equity-2.46%
 ($1,260)
Includes Typical Broker Commissions trade costs of $5.98
8/1/24 15:55 SOXX ISHARES SEMICONDUCTOR ETF LONG 38 217.81 8/2 15:55 205.84 0.68%
Trade id #148801482
Max drawdown($516)
Time8/2/24 10:14
Quant open38
Worst price204.21
Drawdown as % of equity-0.68%
 ($456)
Includes Typical Broker Commissions trade costs of $0.76
8/1/24 15:55 SOXL DIREXION DAILY SEMICONDCT BULL LONG 362 34.68 8/2 15:55 28.95 3.13%
Trade id #148801479
Max drawdown($2,366)
Time8/2/24 10:14
Quant open362
Worst price28.14
Drawdown as % of equity-3.13%
 ($2,080)
Includes Typical Broker Commissions trade costs of $7.24
7/31/24 15:55 IWM ISHARES RUSSELL 2000 INDEX LONG 39 223.77 8/2 15:55 208.92 0.89%
Trade id #148788907
Max drawdown($654)
Time8/2/24 11:27
Quant open39
Worst price206.99
Drawdown as % of equity-0.89%
 ($580)
Includes Typical Broker Commissions trade costs of $0.78
7/31/24 15:55 TMF DIREXION DAILY 20-YR TREASURY BULL 3X SHRS LONG 249 52.97 8/1 15:55 54.57 0.04%
Trade id #148788913
Max drawdown($37)
Time7/31/24 16:00
Quant open249
Worst price52.82
Drawdown as % of equity-0.04%
 $394
Includes Typical Broker Commissions trade costs of $4.98
7/31/24 15:55 TECL DIREXION DAILY TECHNOLOGY BULL LONG 156 84.91 8/1 15:55 74.77 2.36%
Trade id #148788910
Max drawdown($1,896)
Time8/1/24 14:49
Quant open156
Worst price72.75
Drawdown as % of equity-2.36%
 ($1,584)
Includes Typical Broker Commissions trade costs of $3.12
7/31/24 15:55 FAS DIREXION DAILY FINANCIAL BULL LONG 110 120.39 8/1 15:55 114.39 1.01%
Trade id #148788903
Max drawdown($804)
Time8/1/24 15:07
Quant open110
Worst price113.08
Drawdown as % of equity-1.01%
 ($662)
Includes Typical Broker Commissions trade costs of $2.20
7/31/24 15:55 EEM ISHARES MSCI EMERGING MARKETS LONG 205 42.99 8/1 15:55 42.20 0.23%
Trade id #148788901
Max drawdown($184)
Time8/1/24 14:54
Quant open205
Worst price42.09
Drawdown as % of equity-0.23%
 ($164)
Includes Typical Broker Commissions trade costs of $4.10
7/30/24 15:55 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 1,353 58.57 7/31 15:55 59.41 0.38%
Trade id #148777310
Max drawdown($317)
Time7/30/24 15:59
Quant open1,353
Worst price58.34
Drawdown as % of equity-0.38%
 $1,123
Includes Typical Broker Commissions trade costs of $5.00
7/29/24 15:55 XLK TECHNOLOGY SELECT SECTOR SPDR LONG 42 215.61 7/30 15:55 210.54 0.38%
Trade id #148768218
Max drawdown($307)
Time7/30/24 12:59
Quant open42
Worst price208.30
Drawdown as % of equity-0.38%
 ($214)
Includes Typical Broker Commissions trade costs of $0.84
7/29/24 15:55 TQQQ PROSHARES ULTRAPRO QQQ LONG 417 65.66 7/30 15:55 63.24 2.21%
Trade id #148768215
Max drawdown($1,800)
Time7/30/24 13:03
Quant open417
Worst price61.34
Drawdown as % of equity-2.21%
 ($1,017)
Includes Typical Broker Commissions trade costs of $8.34
7/29/24 15:55 TECL DIREXION DAILY TECHNOLOGY BULL LONG 167 81.80 7/30 15:55 76.05 1.7%
Trade id #148768212
Max drawdown($1,386)
Time7/30/24 12:59
Quant open167
Worst price73.50
Drawdown as % of equity-1.70%
 ($965)
Includes Typical Broker Commissions trade costs of $3.34
7/29/24 15:55 SOXX ISHARES SEMICONDUCTOR ETF LONG 39 229.23 7/30 15:55 221.39 0.45%
Trade id #148768207
Max drawdown($366)
Time7/30/24 13:03
Quant open39
Worst price219.82
Drawdown as % of equity-0.45%
 ($307)
Includes Typical Broker Commissions trade costs of $0.78
7/29/24 15:55 SOXL DIREXION DAILY SEMICONDCT BULL LONG 326 41.91 7/30 15:55 37.63 2.05%
Trade id #148768204
Max drawdown($1,672)
Time7/30/24 13:03
Quant open326
Worst price36.78
Drawdown as % of equity-2.05%
 ($1,401)
Includes Typical Broker Commissions trade costs of $6.52
7/29/24 15:55 QQQ POWERSHARES QQQ LONG 19 464.24 7/30 15:55 458.58 0.24%
Trade id #148768201
Max drawdown($191)
Time7/30/24 13:03
Quant open19
Worst price454.15
Drawdown as % of equity-0.24%
 ($107)
Includes Typical Broker Commissions trade costs of $0.38
7/24/24 15:55 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 1,400 57.19 7/29 15:55 59.41 1.34%
Trade id #148732962
Max drawdown($1,128)
Time7/25/24 0:00
Quant open1,400
Worst price56.38
Drawdown as % of equity-1.34%
 $3,113
Includes Typical Broker Commissions trade costs of $5.00
Next

Statistics

  • Strategy began
    7/26/2023
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    642.33
  • Age
    22 months ago
  • What it trades
    Stocks
  • # Trades
    143
  • # Profitable
    64
  • % Profitable
    44.80%
  • Avg trade duration
    3.0 days
  • Max peak-to-valley drawdown
    38.49%
  • drawdown period
    Feb 29, 2024 - Aug 12, 2024
  • Annual Return (Compounded)
    26.5%
  • Avg win
    $2,657
  • Avg loss
    $1,980
  • Model Account Values (Raw)
  • Cash
    $65,983
  • Margin Used
    $0
  • Buying Power
    $65,983
  • Ratios
  • W:L ratio
    1.10:1
  • Sharpe Ratio
    0.42
  • Sortino Ratio
    0.61
  • Calmar Ratio
    0.767
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    9.18%
  • Correlation to SP500
    0.25710
  • Return Percent SP500 (cumu) during strategy life
    24.03%
  • Return Statistics
  • Ann Return (w trading costs)
    26.5%
  • Slump
  • Current Slump as Pcnt Equity
    52.40%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.66%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.265%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    16.8%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    79.00%
  • Chance of 20% account loss
    49.50%
  • Chance of 30% account loss
    30.50%
  • Chance of 40% account loss
    13.00%
  • 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)
    0
  • Popularity (Last 6 weeks)
    893
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    730
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $1,981
  • Avg Win
    $2,658
  • Sum Trade PL (losers)
    $156,498.000
  • Age
  • Num Months filled monthly returns table
    22
  • Win / Loss
  • Sum Trade PL (winners)
    $170,110.000
  • # Winners
    64
  • Num Months Winners
    7
  • Dividends
  • Dividends Received in Model Acct
    2364
  • Win / Loss
  • # Losers
    79
  • % Winners
    44.8%
  • Frequency
  • Avg Position Time (mins)
    4320.75
  • Avg Position Time (hrs)
    72.01
  • Avg Trade Length
    3.0 days
  • Last Trade Ago
    256
  • Leverage
  • Daily leverage (average)
    2.67
  • Daily leverage (max)
    3.77
  • Regression
  • Alpha
    0.04
  • Beta
    0.69
  • Treynor Index
    0.08
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.03
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.43
  • MAE:Equity, average, winning trades
    0.02
  • MAE:Equity, average, losing trades
    0.04
  • Avg(MAE) / Avg(PL) - All trades
    -4.527
  • 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
    0.468
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.300
  • Hold-and-Hope Ratio
    -0.221
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.65471
  • SD
    0.56125
  • Sharpe ratio (Glass type estimate)
    1.16653
  • Sharpe ratio (Hedges UMVUE)
    1.08483
  • df
    11.00000
  • t
    1.16653
  • p
    0.13403
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.87638
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.16013
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.92688
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.09653
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.73199
  • Upside Potential Ratio
    4.49952
  • Upside part of mean
    1.07830
  • Downside part of mean
    -0.42358
  • Upside SD
    0.51676
  • Downside SD
    0.23965
  • N nonnegative terms
    6.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    12.00000
  • Mean of predictor
    0.15812
  • Mean of criterion
    0.65471
  • SD of predictor
    0.15266
  • SD of criterion
    0.56125
  • Covariance
    0.03389
  • r
    0.39549
  • b (slope, estimate of beta)
    1.45401
  • a (intercept, estimate of alpha)
    0.42480
  • Mean Square Error
    0.29230
  • DF error
    10.00000
  • t(b)
    1.36167
  • p(b)
    0.10159
  • t(a)
    0.75000
  • p(a)
    0.23527
  • Lowerbound of 95% confidence interval for beta
    -0.92523
  • Upperbound of 95% confidence interval for beta
    3.83326
  • Lowerbound of 95% confidence interval for alpha
    -0.83722
  • Upperbound of 95% confidence interval for alpha
    1.68682
  • Treynor index (mean / b)
    0.45028
  • Jensen alpha (a)
    0.42480
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.50728
  • SD
    0.52998
  • Sharpe ratio (Glass type estimate)
    0.95717
  • Sharpe ratio (Hedges UMVUE)
    0.89013
  • df
    11.00000
  • t
    0.95717
  • p
    0.17952
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.06283
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.93595
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.10482
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.88507
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.92817
  • Upside Potential Ratio
    3.65785
  • Upside part of mean
    0.96233
  • Downside part of mean
    -0.45506
  • Upside SD
    0.45793
  • Downside SD
    0.26309
  • N nonnegative terms
    6.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    12.00000
  • Mean of predictor
    0.14642
  • Mean of criterion
    0.50728
  • SD of predictor
    0.14982
  • SD of criterion
    0.52998
  • Covariance
    0.03169
  • r
    0.39915
  • b (slope, estimate of beta)
    1.41194
  • a (intercept, estimate of alpha)
    0.30055
  • Mean Square Error
    0.25974
  • DF error
    10.00000
  • t(b)
    1.37663
  • p(b)
    0.09933
  • t(a)
    0.56567
  • p(a)
    0.29204
  • Lowerbound of 95% confidence interval for beta
    -0.87335
  • Upperbound of 95% confidence interval for beta
    3.69723
  • Lowerbound of 95% confidence interval for alpha
    -0.88329
  • Upperbound of 95% confidence interval for alpha
    1.48438
  • Treynor index (mean / b)
    0.35928
  • Jensen alpha (a)
    0.30055
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.18891
  • Expected Shortfall on VaR
    0.23794
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.08165
  • Expected Shortfall on VaR
    0.15608
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    12.00000
  • Minimum
    0.79567
  • Quartile 1
    0.95636
  • Median
    1.01462
  • Quartile 3
    1.21022
  • Maximum
    1.28614
  • Mean of quarter 1
    0.88163
  • Mean of quarter 2
    0.98183
  • Mean of quarter 3
    1.08548
  • Mean of quarter 4
    1.27861
  • Inter Quartile Range
    0.25386
  • 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)
    -1.05809
  • VaR(95%) (moments method)
    0.12819
  • Expected Shortfall (moments method)
    0.14223
  • Extreme Value Index (regression method)
    0.66762
  • VaR(95%) (regression method)
    0.20019
  • Expected Shortfall (regression method)
    0.64707
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.01572
  • Quartile 1
    0.09718
  • Median
    0.17864
  • Quartile 3
    0.19148
  • Maximum
    0.20433
  • Mean of quarter 1
    0.01572
  • Mean of quarter 2
    0.17864
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.20433
  • Inter Quartile Range
    0.09430
  • 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)
    0.70776
  • Compounded annual return (geometric extrapolation)
    0.70776
  • Calmar ratio (compounded annual return / max draw down)
    3.46384
  • Compounded annual return / average of 25% largest draw downs
    3.46384
  • Compounded annual return / Expected Shortfall lognormal
    2.97452
  • 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
    0.34945
  • SD
    0.51896
  • Sharpe ratio (Glass type estimate)
    0.67337
  • Sharpe ratio (Hedges UMVUE)
    0.67151
  • df
    273.00000
  • t
    0.68861
  • p
    0.24583
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.24461
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.59019
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.24588
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.58891
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.96985
  • Upside Potential Ratio
    8.71072
  • Upside part of mean
    3.13858
  • Downside part of mean
    -2.78913
  • Upside SD
    0.37280
  • Downside SD
    0.36031
  • N nonnegative terms
    147.00000
  • N negative terms
    127.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    274.00000
  • Mean of predictor
    0.14986
  • Mean of criterion
    0.34945
  • SD of predictor
    0.12448
  • SD of criterion
    0.51896
  • Covariance
    0.02608
  • r
    0.40375
  • b (slope, estimate of beta)
    1.68332
  • a (intercept, estimate of alpha)
    0.23000
  • Mean Square Error
    0.22624
  • DF error
    272.00000
  • t(b)
    7.27855
  • p(b)
    0.00000
  • t(a)
    0.20838
  • p(a)
    0.41754
  • Lowerbound of 95% confidence interval for beta
    1.22801
  • Upperbound of 95% confidence interval for beta
    2.13863
  • Lowerbound of 95% confidence interval for alpha
    -0.82104
  • Upperbound of 95% confidence interval for alpha
    1.01542
  • Treynor index (mean / b)
    0.20760
  • Jensen alpha (a)
    0.09719
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.21468
  • SD
    0.52047
  • Sharpe ratio (Glass type estimate)
    0.41247
  • Sharpe ratio (Hedges UMVUE)
    0.41133
  • df
    273.00000
  • t
    0.42181
  • p
    0.33675
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.50476
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.32900
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.50554
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.32821
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.57526
  • Upside Potential Ratio
    8.23058
  • Upside part of mean
    3.07152
  • Downside part of mean
    -2.85684
  • Upside SD
    0.36168
  • Downside SD
    0.37318
  • N nonnegative terms
    147.00000
  • N negative terms
    127.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    274.00000
  • Mean of predictor
    0.14208
  • Mean of criterion
    0.21468
  • SD of predictor
    0.12455
  • SD of criterion
    0.52047
  • Covariance
    0.02618
  • r
    0.40383
  • b (slope, estimate of beta)
    1.68748
  • a (intercept, estimate of alpha)
    -0.02507
  • Mean Square Error
    0.22755
  • DF error
    272.00000
  • t(b)
    7.28008
  • p(b)
    0.00000
  • t(a)
    -0.05362
  • p(a)
    0.52136
  • Lowerbound of 95% confidence interval for beta
    1.23114
  • Upperbound of 95% confidence interval for beta
    2.14381
  • Lowerbound of 95% confidence interval for alpha
    -0.94569
  • Upperbound of 95% confidence interval for alpha
    0.89554
  • Treynor index (mean / b)
    0.12722
  • Jensen alpha (a)
    -0.02507
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05074
  • Expected Shortfall on VaR
    0.06334
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02332
  • Expected Shortfall on VaR
    0.04662
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    274.00000
  • Minimum
    0.87843
  • Quartile 1
    0.98621
  • Median
    1.00224
  • Quartile 3
    1.01502
  • Maximum
    1.13576
  • Mean of quarter 1
    0.96265
  • Mean of quarter 2
    0.99536
  • Mean of quarter 3
    1.00782
  • Mean of quarter 4
    1.03994
  • Inter Quartile Range
    0.02881
  • Number outliers low
    10.00000
  • Percentage of outliers low
    0.03650
  • Mean of outliers low
    0.91745
  • Number of outliers high
    11.00000
  • Percentage of outliers high
    0.04015
  • Mean of outliers high
    1.07609
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.01613
  • VaR(95%) (moments method)
    0.03290
  • Expected Shortfall (moments method)
    0.04446
  • Extreme Value Index (regression method)
    -0.03749
  • VaR(95%) (regression method)
    0.03709
  • Expected Shortfall (regression method)
    0.05057
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    17.00000
  • Minimum
    0.00131
  • Quartile 1
    0.02144
  • Median
    0.04828
  • Quartile 3
    0.09554
  • Maximum
    0.36796
  • Mean of quarter 1
    0.00760
  • Mean of quarter 2
    0.03261
  • Mean of quarter 3
    0.07120
  • Mean of quarter 4
    0.21643
  • Inter Quartile Range
    0.07410
  • 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
    0.11765
  • Mean of outliers high
    0.31773
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.29941
  • VaR(95%) (moments method)
    0.22490
  • Expected Shortfall (moments method)
    0.37388
  • Extreme Value Index (regression method)
    0.72413
  • VaR(95%) (regression method)
    0.25920
  • Expected Shortfall (regression method)
    0.86333
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.27613
  • Compounded annual return (geometric extrapolation)
    0.27454
  • Calmar ratio (compounded annual return / max draw down)
    0.74610
  • Compounded annual return / average of 25% largest draw downs
    1.26849
  • Compounded annual return / Expected Shortfall lognormal
    4.33429
  • 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
    -0.49501
  • SD
    0.53706
  • Sharpe ratio (Glass type estimate)
    -0.92170
  • Sharpe ratio (Hedges UMVUE)
    -0.91638
  • df
    130.00000
  • t
    -0.65174
  • p
    0.52853
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.69408
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.85406
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.69042
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.85767
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.20753
  • Upside Potential Ratio
    6.37242
  • Upside part of mean
    2.61230
  • Downside part of mean
    -3.10731
  • Upside SD
    0.34514
  • Downside SD
    0.40994
  • N nonnegative terms
    68.00000
  • N negative terms
    63.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.15442
  • Mean of criterion
    -0.49501
  • SD of predictor
    0.12886
  • SD of criterion
    0.53706
  • Covariance
    0.03098
  • r
    0.44765
  • b (slope, estimate of beta)
    1.86578
  • a (intercept, estimate of alpha)
    -0.78313
  • Mean Square Error
    0.23242
  • DF error
    129.00000
  • t(b)
    5.68591
  • p(b)
    0.22484
  • t(a)
    -1.14547
  • p(a)
    0.56377
  • Lowerbound of 95% confidence interval for beta
    1.21654
  • Upperbound of 95% confidence interval for beta
    2.51501
  • Lowerbound of 95% confidence interval for alpha
    -2.13579
  • Upperbound of 95% confidence interval for alpha
    0.56954
  • Treynor index (mean / b)
    -0.26531
  • Jensen alpha (a)
    -0.78313
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.64053
  • SD
    0.54243
  • Sharpe ratio (Glass type estimate)
    -1.18086
  • Sharpe ratio (Hedges UMVUE)
    -1.17404
  • df
    130.00000
  • t
    -0.83500
  • p
    0.53652
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.95421
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.59683
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.94951
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.60144
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.49891
  • Upside Potential Ratio
    5.97949
  • Upside part of mean
    2.55523
  • Downside part of mean
    -3.19577
  • Upside SD
    0.33307
  • Downside SD
    0.42733
  • N nonnegative terms
    68.00000
  • N negative terms
    63.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.14611
  • Mean of criterion
    -0.64053
  • SD of predictor
    0.12902
  • SD of criterion
    0.54243
  • Covariance
    0.03127
  • r
    0.44679
  • b (slope, estimate of beta)
    1.87845
  • a (intercept, estimate of alpha)
    -0.91500
  • Mean Square Error
    0.23732
  • DF error
    129.00000
  • t(b)
    5.67220
  • p(b)
    0.22533
  • t(a)
    -1.32486
  • p(a)
    0.57359
  • VAR (95 Confidence Intrvl)
    0.04900
  • Lowerbound of 95% confidence interval for beta
    1.22322
  • Upperbound of 95% confidence interval for beta
    2.53367
  • Lowerbound of 95% confidence interval for alpha
    -2.28145
  • Upperbound of 95% confidence interval for alpha
    0.45145
  • Treynor index (mean / b)
    -0.34099
  • Jensen alpha (a)
    -0.91500
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05594
  • Expected Shortfall on VaR
    0.06900
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02655
  • Expected Shortfall on VaR
    0.05331
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.87843
  • Quartile 1
    0.98587
  • Median
    1.00085
  • Quartile 3
    1.01192
  • Maximum
    1.13576
  • Mean of quarter 1
    0.95895
  • Mean of quarter 2
    0.99422
  • Mean of quarter 3
    1.00584
  • Mean of quarter 4
    1.03409
  • Inter Quartile Range
    0.02605
  • Number outliers low
    7.00000
  • Percentage of outliers low
    0.05344
  • Mean of outliers low
    0.91119
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.05344
  • Mean of outliers high
    1.07156
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.24453
  • VaR(95%) (moments method)
    0.03918
  • Expected Shortfall (moments method)
    0.06396
  • Extreme Value Index (regression method)
    0.23511
  • VaR(95%) (regression method)
    0.04247
  • Expected Shortfall (regression method)
    0.06969
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.00955
  • Quartile 1
    0.03887
  • Median
    0.06818
  • Quartile 3
    0.21807
  • Maximum
    0.36796
  • Mean of quarter 1
    0.00955
  • Mean of quarter 2
    0.06818
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.36796
  • Inter Quartile Range
    0.17921
  • 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
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -351660000
  • Max Equity Drawdown (num days)
    165
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.52769
  • Compounded annual return (geometric extrapolation)
    -0.45808
  • Calmar ratio (compounded annual return / max draw down)
    -1.24489
  • Compounded annual return / average of 25% largest draw downs
    -1.24489
  • Compounded annual return / Expected Shortfall lognormal
    -6.63911

Strategy Description

1. Seizing Opportunities, Managing Risk: The algorithm is designed to capture opportunities both in rising markets and during market downturns. By incorporating both long and short positions, it aims to optimize your investment returns while managing risk (DD) effectively.

2. Strategic Adjustments for Optimal Performance: Timing is crucial in trading, and our algorithm dynamically adjusts your investment portfolio based on real-time market signals. By adapting to changing market conditions, it seeks to position the strategy for optimal performance.

3. Informed Decision-Making for Better Results: Driven by AI technology and advanced technical indicators, the algorithm leverages data-driven insights to make informed investment decisions. By analyzing indicators such as the relative strength index (RSI), moving averages, and other advanced technical indicators, it aims to identify high-potential trades and execute them.

4. Safeguarding Your Investments: Protecting your capital is the priority. The algorithm integrates comprehensive risk management protocols, considering factors such as market volatility, asset correlations, and historical performance. By prioritizing risk management, it aims to help safeguard our capital.

5. Proven Performance, Backed by Data: The strategy has undergone rigorous backtesting and analysis, demonstrating a track record of success; of course certain years perform better than others. Through various market conditions, the algorithm has shown the potential to deliver solid returns while preserving capital. Check our historical trades in Collective2 for transparent performance metrics and historical picks/backtesting results to help you decide if you would like to invest in this algorithm.

A. Do you monitor trades full-time for the period that they are on?
Trades are closely monitored throughout their duration to promptly respond to market fluctuations.

B. Is this an Algorithm controlled/managed strategy with no manual inputs?
The trading strategy is a carefully balanced blend of advanced algorithms and human expertise. While algorithms play a crucial role in executing trades and capturing opportunities, manual inputs, oversight, and adjustments are made when needed. This combined approach allows us to benefit from the speed and precision of algorithmic trading while leveraging the human element to adapt to market dynamics and optimize performance.

C. Can you provide a summary of the methodologies used for your trading strategy so I can get a sense of what to expect?
The trading strategy incorporates a multi-faceted approach. It utilizes a combination of technical analysis, quantitative models, and machine learning algorithms. I know this is not saying much but it does exactly that. By leveraging historical market data, statistical indicators, and advanced pattern recognition techniques, potential trading opportunities are identified and executed when deemed fit. Additionally, human expertise and market insights contribute to the decision-making process, allowing the algorithm to adapt our strategies to prevailing market conditions effectively.

D. Do you have stop/loss built in?
No, our trading strategy does not rely on a built-in stop-loss mechanism. While we acknowledge the importance of risk management, extensive backtesting since 2003 has consistently shown that the drawdowns associated with our strategy are significantly smaller compared to the potential profits generated by the algorithm. This strong historical performance supports our decision not to rely on stop-loss orders. Instead, we actively manage and mitigate risks through careful monitoring, continuous evaluation, and disciplined risk management practices.

Finally, please note that past performance does not guarantee future results, and it is important to conduct your due diligence before making any investment decisions.

Summary Statistics

Strategy began
2023-07-26
Suggested Minimum Capital
$15,000
# Trades
143
# Profitable
64
% Profitable
44.8%
Net Dividends
$2,363
Correlation S&P500
0.257
Sharpe Ratio
0.42
Sortino Ratio
0.61
Beta
0.69
Alpha
0.04
Leverage
2.67 Average
3.77 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.