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Featured Strategy Lazy Trading ES +44.1% Cumul. Return since Sep 25, 2024 Hypothetical

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Tesla S
(139682545)

Created by: Andrea_Canto Andrea_Canto
Started: 03/2022
Stocks
Last trade: 3 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 $120.00 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.
55.9%
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.

(37.6%)
Max Drawdown
148
Num Trades
39.9%
Win Trades
1.5 : 1
Profit Factor
69.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022              +11.0%+2.6%+9.0%(5.9%)(1.1%)(9.2%)+10.3%+11.3%+17.2%+27.5%+92.4%
2023+3.9%(11.2%)+1.8%(5.2%)+15.9%+15.2%+4.7%+13.0%(1.9%)+4.1%(0.8%)+3.6%+47.5%
2024+0.1%+1.8%+0.2%(13.5%)(11.8%)(8.5%)+19.3%+0.1%+13.1%+6.9%+14.8%      +18.0%

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 259 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
11/11/24 9:33 TSLA TESLA INC. LONG 260 348.64 11/12 13:24 324.75 7.15%
Trade id #150053910
Max drawdown($6,290)
Time11/12/24 13:24
Quant open260
Worst price324.45
Drawdown as % of equity-7.15%
 ($6,217)
Includes Typical Broker Commissions trade costs of $5.20
11/5/24 9:45 TSLA TESLA INC. LONG 280 252.86 11/8 15:28 322.00 1.03%
Trade id #149985661
Max drawdown($725)
Time11/5/24 10:27
Quant open280
Worst price250.27
Drawdown as % of equity-1.03%
 $19,352
Includes Typical Broker Commissions trade costs of $5.60
10/24/24 9:34 TSLA TESLA INC. LONG 300 249.24 11/4 9:32 241.95 3.06%
Trade id #149817071
Max drawdown($2,171)
Time11/4/24 9:32
Quant open300
Worst price242.00
Drawdown as % of equity-3.06%
 ($2,193)
Includes Typical Broker Commissions trade costs of $6.00
10/14/24 9:46 TSLA TESLA INC. SHORT 350 216.95 10/14 12:52 220.25 1.64%
Trade id #149651928
Max drawdown($1,201)
Time10/14/24 12:52
Quant open350
Worst price220.38
Drawdown as % of equity-1.64%
 ($1,163)
Includes Typical Broker Commissions trade costs of $7.00
10/2/24 9:55 TSLA TESLA INC. SHORT 435 243.15 10/11 10:29 229.77 3.31%
Trade id #149559342
Max drawdown($2,264)
Time10/4/24 0:00
Quant open290
Worst price250.96
Drawdown as % of equity-3.31%
 $5,812
Includes Typical Broker Commissions trade costs of $8.70
9/10/24 9:30 TSLA TESLA INC. LONG 280 220.76 9/26 12:19 255.35 1.84%
Trade id #149336360
Max drawdown($1,109)
Time9/11/24 0:00
Quant open280
Worst price216.80
Drawdown as % of equity-1.84%
 $9,679
Includes Typical Broker Commissions trade costs of $5.60
9/9/24 9:32 TSLA TESLA INC. SHORT 295 213.94 9/9 10:03 219.44 2.88%
Trade id #149321662
Max drawdown($1,699)
Time9/9/24 10:03
Quant open295
Worst price219.70
Drawdown as % of equity-2.88%
 ($1,629)
Includes Typical Broker Commissions trade costs of $5.90
8/30/24 10:01 TSLA TESLA INC. LONG 295 210.09 9/9 9:32 214.12 0.86%
Trade id #149133959
Max drawdown($508)
Time8/30/24 11:00
Quant open295
Worst price208.37
Drawdown as % of equity-0.86%
 $1,182
Includes Typical Broker Commissions trade costs of $5.90
8/28/24 10:52 TSLA TESLA INC. SHORT 310 205.32 8/30 10:00 209.95 4.91%
Trade id #149081875
Max drawdown($2,967)
Time8/29/24 0:00
Quant open310
Worst price214.89
Drawdown as % of equity-4.91%
 ($1,443)
Includes Typical Broker Commissions trade costs of $6.20
8/15/24 9:52 TSLA TESLA INC. LONG 310 211.62 8/28 10:52 205.29 3.2%
Trade id #148925183
Max drawdown($1,976)
Time8/28/24 10:52
Quant open310
Worst price205.25
Drawdown as % of equity-3.20%
 ($1,970)
Includes Typical Broker Commissions trade costs of $6.20
8/14/24 10:26 TSLA TESLA INC. SHORT 340 201.11 8/15 9:37 210.16 4.69%
Trade id #148914049
Max drawdown($3,079)
Time8/15/24 9:37
Quant open340
Worst price210.17
Drawdown as % of equity-4.69%
 ($3,084)
Includes Typical Broker Commissions trade costs of $6.80
8/13/24 12:58 TSLA TESLA INC. LONG 340 206.37 8/14 10:26 201.18 3.03%
Trade id #148906579
Max drawdown($1,998)
Time8/14/24 10:26
Quant open340
Worst price200.49
Drawdown as % of equity-3.03%
 ($1,772)
Includes Typical Broker Commissions trade costs of $6.80
7/24/24 9:30 TSLA TESLA INC. SHORT 285 225.04 8/13 12:54 206.51 4.36%
Trade id #148726747
Max drawdown($2,747)
Time7/31/24 0:00
Quant open285
Worst price234.68
Drawdown as % of equity-4.36%
 $5,274
Includes Typical Broker Commissions trade costs of $5.70
7/12/24 9:41 TSLA TESLA INC. LONG 255 241.60 7/16 9:49 252.46 0.02%
Trade id #148633272
Max drawdown($11)
Time7/12/24 9:47
Quant open255
Worst price241.55
Drawdown as % of equity-0.02%
 $2,765
Includes Typical Broker Commissions trade costs of $5.10
7/2/24 9:30 TSLA TESLA INC. LONG 240 220.67 7/11 11:37 258.85 0.95%
Trade id #148553928
Max drawdown($481)
Time7/2/24 9:34
Quant open240
Worst price218.66
Drawdown as % of equity-0.95%
 $9,159
Includes Typical Broker Commissions trade costs of $4.80
6/26/24 9:39 TSLA TESLA INC. LONG 265 190.97 6/28 11:59 199.62 n/a $2,289
Includes Typical Broker Commissions trade costs of $5.30
6/24/24 10:08 TSLA TESLA INC. SHORT 300 186.05 6/26 9:32 189.47 2.62%
Trade id #148482962
Max drawdown($1,282)
Time6/26/24 9:32
Quant open300
Worst price190.33
Drawdown as % of equity-2.62%
 ($1,030)
Includes Typical Broker Commissions trade costs of $6.00
6/20/24 13:33 TSLA TESLA INC. SHORT 300 179.96 6/24 9:40 187.92 5.21%
Trade id #148458121
Max drawdown($2,652)
Time6/24/24 9:35
Quant open300
Worst price188.80
Drawdown as % of equity-5.21%
 ($2,395)
Includes Typical Broker Commissions trade costs of $6.00
6/12/24 10:37 TSLA TESLA INC. LONG 300 176.76 6/20 13:28 180.12 0.49%
Trade id #148389767
Max drawdown($256)
Time6/12/24 10:57
Quant open300
Worst price175.91
Drawdown as % of equity-0.49%
 $1,001
Includes Typical Broker Commissions trade costs of $6.00
6/11/24 9:38 TSLA TESLA INC. SHORT 320 170.32 6/12 10:34 176.76 3.93%
Trade id #148379482
Max drawdown($2,074)
Time6/12/24 10:34
Quant open320
Worst price176.80
Drawdown as % of equity-3.93%
 ($2,069)
Includes Typical Broker Commissions trade costs of $6.40
5/24/24 10:09 TSLA TESLA INC. LONG 320 176.80 6/11 9:37 170.72 3.89%
Trade id #148244142
Max drawdown($2,095)
Time6/11/24 9:37
Quant open320
Worst price170.25
Drawdown as % of equity-3.89%
 ($1,952)
Includes Typical Broker Commissions trade costs of $6.40
5/23/24 14:35 TSLA TESLA INC. SHORT 330 173.70 5/24 9:46 176.40 1.77%
Trade id #148238614
Max drawdown($986)
Time5/24/24 9:46
Quant open330
Worst price176.69
Drawdown as % of equity-1.77%
 ($898)
Includes Typical Broker Commissions trade costs of $6.60
5/23/24 11:14 TSLA TESLA INC. LONG 330 176.49 5/23 14:33 173.49 1.82%
Trade id #148235737
Max drawdown($1,028)
Time5/23/24 14:31
Quant open330
Worst price173.37
Drawdown as % of equity-1.82%
 ($994)
Includes Typical Broker Commissions trade costs of $6.60
5/14/24 11:01 TSLA TESLA INC. LONG 330 178.18 5/23 10:52 175.41 3.95%
Trade id #148163433
Max drawdown($2,227)
Time5/16/24 0:00
Quant open330
Worst price171.43
Drawdown as % of equity-3.95%
 ($920)
Includes Typical Broker Commissions trade costs of $6.60
5/9/24 9:36 TSLA TESLA INC. SHORT 350 173.63 5/14 10:59 178.13 2.7%
Trade id #148131094
Max drawdown($1,577)
Time5/14/24 10:59
Quant open350
Worst price178.14
Drawdown as % of equity-2.70%
 ($1,580)
Includes Typical Broker Commissions trade costs of $7.00
4/25/24 9:43 TSLA TESLA INC. LONG 350 164.70 5/9 9:35 173.92 2.15%
Trade id #148008120
Max drawdown($1,215)
Time4/25/24 10:08
Quant open350
Worst price161.23
Drawdown as % of equity-2.15%
 $3,220
Includes Typical Broker Commissions trade costs of $7.00
4/15/24 15:59 TSLA TESLA INC. SHORT 540 161.60 4/25 9:42 163.53 3.72%
Trade id #147914060
Max drawdown($2,359)
Time4/24/24 0:00
Quant open360
Worst price167.97
Drawdown as % of equity-3.72%
 ($1,055)
Includes Typical Broker Commissions trade costs of $10.80
4/11/24 13:35 TSLA TESLA INC. LONG 375 174.35 4/15 15:29 162.84 6.85%
Trade id #147875383
Max drawdown($3,987)
Time4/15/24 13:21
Quant open375
Worst price163.72
Drawdown as % of equity-6.85%
 ($4,326)
Includes Typical Broker Commissions trade costs of $7.50
4/11/24 10:03 TSLA TESLA INC. SHORT 380 169.20 4/11 13:34 173.34 1.88%
Trade id #147871514
Max drawdown($1,176)
Time4/11/24 12:03
Quant open380
Worst price172.30
Drawdown as % of equity-1.88%
 ($1,580)
Includes Typical Broker Commissions trade costs of $7.60
4/10/24 15:25 TSLA TESLA INC. LONG 380 171.65 4/11 10:02 169.45 1.44%
Trade id #147864370
Max drawdown($922)
Time4/11/24 10:02
Quant open380
Worst price169.22
Drawdown as % of equity-1.44%
 ($842)
Includes Typical Broker Commissions trade costs of $7.60
Next

Statistics

  • Strategy began
    3/7/2022
  • Suggested Minimum Cap
    $5,000
  • Strategy Age (days)
    990
  • Age
    33 months ago
  • What it trades
    Stocks
  • # Trades
    148
  • # Profitable
    59
  • % Profitable
    39.90%
  • Avg trade duration
    5.7 days
  • Max peak-to-valley drawdown
    37.64%
  • drawdown period
    March 14, 2024 - June 26, 2024
  • Annual Return (Compounded)
    55.9%
  • Avg win
    $3,216
  • Avg loss
    $1,416
  • Model Account Values (Raw)
  • Cash
    $48,318
  • Margin Used
    $0
  • Buying Power
    $47,637
  • Ratios
  • W:L ratio
    1.51:1
  • Sharpe Ratio
    1.11
  • Sortino Ratio
    1.75
  • Calmar Ratio
    1.766
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    193.89%
  • Correlation to SP500
    0.02090
  • Return Percent SP500 (cumu) during strategy life
    41.60%
  • Return Statistics
  • Ann Return (w trading costs)
    55.9%
  • Slump
  • Current Slump as Pcnt Equity
    8.30%
  • 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 Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.559%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    59.9%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    45.50%
  • Chance of 20% account loss
    20.50%
  • Chance of 30% account loss
    9.50%
  • Chance of 40% account loss
    1.50%
  • 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
  • Chance of 100% 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)
    701
  • Popularity (Last 6 weeks)
    921
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    987
  • Popularity (7 days, Percentile 1000 scale)
    866
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $1,425
  • Avg Win
    $3,164
  • Sum Trade PL (losers)
    $125,370.000
  • Age
  • Num Months filled monthly returns table
    33
  • Win / Loss
  • Sum Trade PL (winners)
    $189,847.000
  • # Winners
    60
  • Num Months Winners
    23
  • Dividends
  • Dividends Received in Model Acct
    0
  • AUM
  • AUM (AutoTrader live capital)
    154974
  • Win / Loss
  • # Losers
    88
  • % Winners
    40.5%
  • Frequency
  • Avg Position Time (mins)
    8134.78
  • Avg Position Time (hrs)
    135.58
  • Avg Trade Length
    5.6 days
  • Last Trade Ago
    3
  • Leverage
  • Daily leverage (average)
    0.88
  • Daily leverage (max)
    1.88
  • Regression
  • Alpha
    0.13
  • Beta
    0.04
  • Treynor Index
    3.03
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.48
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.03
  • Avg(MAE) / Avg(PL) - All trades
    3.592
  • 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
    0.03
  • Avg(MAE) / Avg(PL) - Winning trades
    0.200
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.119
  • Hold-and-Hope Ratio
    0.288
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.54686
  • SD
    0.40056
  • Sharpe ratio (Glass type estimate)
    1.36523
  • Sharpe ratio (Hedges UMVUE)
    1.33188
  • df
    31.00000
  • t
    2.22941
  • p
    0.01658
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.10804
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.60209
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.08671
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.57706
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.03418
  • Upside Potential Ratio
    4.67630
  • Upside part of mean
    0.84282
  • Downside part of mean
    -0.29596
  • Upside SD
    0.38454
  • Downside SD
    0.18023
  • N nonnegative terms
    20.00000
  • N negative terms
    12.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    32.00000
  • Mean of predictor
    0.11558
  • Mean of criterion
    0.54686
  • SD of predictor
    0.14422
  • SD of criterion
    0.40056
  • Covariance
    0.00707
  • r
    0.12236
  • b (slope, estimate of beta)
    0.33985
  • a (intercept, estimate of alpha)
    0.50758
  • Mean Square Error
    0.16331
  • DF error
    30.00000
  • t(b)
    0.67526
  • p(b)
    0.25234
  • t(a)
    1.99662
  • p(a)
    0.02751
  • Lowerbound of 95% confidence interval for beta
    -0.68801
  • Upperbound of 95% confidence interval for beta
    1.36772
  • Lowerbound of 95% confidence interval for alpha
    -0.01161
  • Upperbound of 95% confidence interval for alpha
    1.02676
  • Treynor index (mean / b)
    1.60909
  • Jensen alpha (a)
    0.50758
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.46320
  • SD
    0.38084
  • Sharpe ratio (Glass type estimate)
    1.21625
  • Sharpe ratio (Hedges UMVUE)
    1.18655
  • df
    31.00000
  • t
    1.98613
  • p
    0.02796
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.03045
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.44459
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.04948
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.42258
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.41457
  • Upside Potential Ratio
    4.04564
  • Upside part of mean
    0.77610
  • Downside part of mean
    -0.31290
  • Upside SD
    0.34869
  • Downside SD
    0.19184
  • N nonnegative terms
    20.00000
  • N negative terms
    12.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    32.00000
  • Mean of predictor
    0.10475
  • Mean of criterion
    0.46320
  • SD of predictor
    0.14445
  • SD of criterion
    0.38084
  • Covariance
    0.00692
  • r
    0.12572
  • b (slope, estimate of beta)
    0.33147
  • a (intercept, estimate of alpha)
    0.42848
  • Mean Square Error
    0.14751
  • DF error
    30.00000
  • t(b)
    0.69413
  • p(b)
    0.24647
  • t(a)
    1.78198
  • p(a)
    0.04244
  • Lowerbound of 95% confidence interval for beta
    -0.64378
  • Upperbound of 95% confidence interval for beta
    1.30671
  • Lowerbound of 95% confidence interval for alpha
    -0.06259
  • Upperbound of 95% confidence interval for alpha
    0.91955
  • Treynor index (mean / b)
    1.39743
  • Jensen alpha (a)
    0.42848
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.13258
  • Expected Shortfall on VaR
    0.17085
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.04682
  • Expected Shortfall on VaR
    0.09726
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    32.00000
  • Minimum
    0.86251
  • Quartile 1
    0.98385
  • Median
    1.03394
  • Quartile 3
    1.12981
  • Maximum
    1.29510
  • Mean of quarter 1
    0.90780
  • Mean of quarter 2
    1.00422
  • Mean of quarter 3
    1.08080
  • Mean of quarter 4
    1.19877
  • Inter Quartile Range
    0.14596
  • 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)
    -3.88972
  • VaR(95%) (moments method)
    0.05796
  • Expected Shortfall (moments method)
    0.05806
  • Extreme Value Index (regression method)
    -2.29723
  • VaR(95%) (regression method)
    0.11864
  • Expected Shortfall (regression method)
    0.12052
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.01504
  • Quartile 1
    0.02671
  • Median
    0.07481
  • Quartile 3
    0.20985
  • Maximum
    0.25921
  • Mean of quarter 1
    0.02088
  • Mean of quarter 2
    0.07481
  • Mean of quarter 3
    0.20985
  • Mean of quarter 4
    0.25921
  • Inter Quartile Range
    0.18314
  • 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)
    1.01429
  • Compounded annual return (geometric extrapolation)
    0.63413
  • Calmar ratio (compounded annual return / max draw down)
    2.44635
  • Compounded annual return / average of 25% largest draw downs
    2.44635
  • Compounded annual return / Expected Shortfall lognormal
    3.71156
  • 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
    0.50172
  • SD
    0.34642
  • Sharpe ratio (Glass type estimate)
    1.44831
  • Sharpe ratio (Hedges UMVUE)
    1.44676
  • df
    705.00000
  • t
    2.37745
  • p
    0.00885
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.25144
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.64418
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.25040
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.64313
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.27366
  • Upside Potential Ratio
    10.25670
  • Upside part of mean
    2.26329
  • Downside part of mean
    -1.76157
  • Upside SD
    0.26852
  • Downside SD
    0.22067
  • N nonnegative terms
    359.00000
  • N negative terms
    347.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    706.00000
  • Mean of predictor
    0.11500
  • Mean of criterion
    0.50172
  • SD of predictor
    0.17394
  • SD of criterion
    0.34642
  • Covariance
    0.00125
  • r
    0.02071
  • b (slope, estimate of beta)
    0.04124
  • a (intercept, estimate of alpha)
    0.49700
  • Mean Square Error
    0.12012
  • DF error
    704.00000
  • t(b)
    0.54960
  • p(b)
    0.29138
  • t(a)
    2.35185
  • p(a)
    0.00948
  • Lowerbound of 95% confidence interval for beta
    -0.10609
  • Upperbound of 95% confidence interval for beta
    0.18858
  • Lowerbound of 95% confidence interval for alpha
    0.08210
  • Upperbound of 95% confidence interval for alpha
    0.91185
  • Treynor index (mean / b)
    12.16480
  • Jensen alpha (a)
    0.49698
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.44175
  • SD
    0.34473
  • Sharpe ratio (Glass type estimate)
    1.28143
  • Sharpe ratio (Hedges UMVUE)
    1.28007
  • df
    705.00000
  • t
    2.10352
  • p
    0.01789
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.08513
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.47683
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.08422
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.47591
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.96152
  • Upside Potential Ratio
    9.89376
  • Upside part of mean
    2.22815
  • Downside part of mean
    -1.78640
  • Upside SD
    0.26210
  • Downside SD
    0.22521
  • N nonnegative terms
    359.00000
  • N negative terms
    347.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    706.00000
  • Mean of predictor
    0.09985
  • Mean of criterion
    0.44175
  • SD of predictor
    0.17403
  • SD of criterion
    0.34473
  • Covariance
    0.00119
  • r
    0.01991
  • b (slope, estimate of beta)
    0.03943
  • a (intercept, estimate of alpha)
    0.43781
  • Mean Square Error
    0.11896
  • DF error
    704.00000
  • t(b)
    0.52825
  • p(b)
    0.29875
  • t(a)
    2.08240
  • p(a)
    0.01883
  • Lowerbound of 95% confidence interval for beta
    -0.10712
  • Upperbound of 95% confidence interval for beta
    0.18598
  • Lowerbound of 95% confidence interval for alpha
    0.02503
  • Upperbound of 95% confidence interval for alpha
    0.85059
  • Treynor index (mean / b)
    11.20360
  • Jensen alpha (a)
    0.43781
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03280
  • Expected Shortfall on VaR
    0.04133
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01534
  • Expected Shortfall on VaR
    0.02994
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    706.00000
  • Minimum
    0.91230
  • Quartile 1
    0.99059
  • Median
    1.00032
  • Quartile 3
    1.01319
  • Maximum
    1.12290
  • Mean of quarter 1
    0.97650
  • Mean of quarter 2
    0.99688
  • Mean of quarter 3
    1.00650
  • Mean of quarter 4
    1.02820
  • Inter Quartile Range
    0.02260
  • Number outliers low
    9.00000
  • Percentage of outliers low
    0.01275
  • Mean of outliers low
    0.93671
  • Number of outliers high
    14.00000
  • Percentage of outliers high
    0.01983
  • Mean of outliers high
    1.06919
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.15757
  • VaR(95%) (moments method)
    0.02184
  • Expected Shortfall (moments method)
    0.02770
  • Extreme Value Index (regression method)
    -0.24273
  • VaR(95%) (regression method)
    0.02170
  • Expected Shortfall (regression method)
    0.02670
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    29.00000
  • Minimum
    0.00013
  • Quartile 1
    0.01049
  • Median
    0.03577
  • Quartile 3
    0.08995
  • Maximum
    0.33935
  • Mean of quarter 1
    0.00281
  • Mean of quarter 2
    0.02472
  • Mean of quarter 3
    0.06181
  • Mean of quarter 4
    0.19501
  • Inter Quartile Range
    0.07946
  • 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
    0.06897
  • Mean of outliers high
    0.31945
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.51413
  • VaR(95%) (moments method)
    0.19250
  • Expected Shortfall (moments method)
    0.22043
  • Extreme Value Index (regression method)
    -0.17203
  • VaR(95%) (regression method)
    0.21611
  • Expected Shortfall (regression method)
    0.27159
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.94450
  • Compounded annual return (geometric extrapolation)
    0.59945
  • Calmar ratio (compounded annual return / max draw down)
    1.76645
  • Compounded annual return / average of 25% largest draw downs
    3.07385
  • Compounded annual return / Expected Shortfall lognormal
    14.50210
  • 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
    0.72605
  • SD
    0.36106
  • Sharpe ratio (Glass type estimate)
    2.01087
  • Sharpe ratio (Hedges UMVUE)
    1.99925
  • df
    130.00000
  • t
    1.42190
  • p
    0.43812
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.77545
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.78968
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.78319
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.78169
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.73521
  • Upside Potential Ratio
    12.13920
  • Upside part of mean
    2.35962
  • Downside part of mean
    -1.63357
  • Upside SD
    0.30594
  • Downside SD
    0.19438
  • 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
    0.20246
  • Mean of criterion
    0.72605
  • SD of predictor
    0.13551
  • SD of criterion
    0.36106
  • Covariance
    0.00252
  • r
    0.05144
  • b (slope, estimate of beta)
    0.13706
  • a (intercept, estimate of alpha)
    0.69830
  • Mean Square Error
    0.13103
  • DF error
    129.00000
  • t(b)
    0.58502
  • p(b)
    0.46727
  • t(a)
    1.35828
  • p(a)
    0.42458
  • Lowerbound of 95% confidence interval for beta
    -0.32647
  • Upperbound of 95% confidence interval for beta
    0.60059
  • Lowerbound of 95% confidence interval for alpha
    -0.31887
  • Upperbound of 95% confidence interval for alpha
    1.71548
  • Treynor index (mean / b)
    5.29737
  • Jensen alpha (a)
    0.69830
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.66172
  • SD
    0.35558
  • Sharpe ratio (Glass type estimate)
    1.86094
  • Sharpe ratio (Hedges UMVUE)
    1.85018
  • df
    130.00000
  • t
    1.31588
  • p
    0.44267
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.92360
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.63845
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.93073
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.63109
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.35675
  • Upside Potential Ratio
    11.74020
  • Upside part of mean
    2.31437
  • Downside part of mean
    -1.65265
  • Upside SD
    0.29713
  • Downside SD
    0.19713
  • 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
    0.19324
  • Mean of criterion
    0.66172
  • SD of predictor
    0.13569
  • SD of criterion
    0.35558
  • Covariance
    0.00223
  • r
    0.04623
  • b (slope, estimate of beta)
    0.12115
  • a (intercept, estimate of alpha)
    0.63831
  • Mean Square Error
    0.12715
  • DF error
    129.00000
  • t(b)
    0.52566
  • p(b)
    0.47058
  • t(a)
    1.26088
  • p(a)
    0.42990
  • VAR (95 Confidence Intrvl)
    0.03300
  • Lowerbound of 95% confidence interval for beta
    -0.33486
  • Upperbound of 95% confidence interval for beta
    0.57717
  • Lowerbound of 95% confidence interval for alpha
    -0.36330
  • Upperbound of 95% confidence interval for alpha
    1.63992
  • Treynor index (mean / b)
    5.46179
  • Jensen alpha (a)
    0.63831
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03305
  • Expected Shortfall on VaR
    0.04185
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01438
  • Expected Shortfall on VaR
    0.02724
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.95836
  • Quartile 1
    0.99040
  • Median
    1.00014
  • Quartile 3
    1.01154
  • Maximum
    1.10717
  • Mean of quarter 1
    0.97825
  • Mean of quarter 2
    0.99722
  • Mean of quarter 3
    1.00502
  • Mean of quarter 4
    1.03109
  • Inter Quartile Range
    0.02114
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.00763
  • Mean of outliers low
    0.95836
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.04580
  • Mean of outliers high
    1.06704
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.52020
  • VaR(95%) (moments method)
    0.02186
  • Expected Shortfall (moments method)
    0.02501
  • Extreme Value Index (regression method)
    -0.51914
  • VaR(95%) (regression method)
    0.02274
  • Expected Shortfall (regression method)
    0.02606
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.00072
  • Quartile 1
    0.01004
  • Median
    0.05372
  • Quartile 3
    0.08995
  • Maximum
    0.15068
  • Mean of quarter 1
    0.00661
  • Mean of quarter 2
    0.03249
  • Mean of quarter 3
    0.08014
  • Mean of quarter 4
    0.14730
  • Inter Quartile Range
    0.07991
  • 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)
    -229.85000
  • VaR(95%) (moments method)
    0.13448
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -3.99764
  • VaR(95%) (regression method)
    0.22640
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.22649
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -359659000
  • Max Equity Drawdown (num days)
    104
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.82345
  • Compounded annual return (geometric extrapolation)
    0.99297
  • Calmar ratio (compounded annual return / max draw down)
    6.59003
  • Compounded annual return / average of 25% largest draw downs
    6.74119
  • Compounded annual return / Expected Shortfall lognormal
    23.72470

Strategy Description

Tesla S is a mechanical trading system that trades only Tesla stock, both on long and short side using a simple algo.

Each trade has an hard or mental stop loss, depending from TSLA price action and volume traded each day.

Tesla S invests 100% of available equity in each trade. For example, if Tesla S has an equity value of 50,000$ I will go long/short using 50,000$.

The holding period of each trade can range from some days to some weeks.

The system stays in cash during earning release days, due to extreme volatility linked to earnings.

---------------------------------------------------------

If you subscribe to Tesla S, I would suggest you to:

1) put money at work immediately without waiting for the next signal;
2) adopt a long term approach, staying invested for a MINIMUM of 6/9 months.

--------------------------------------------------------

ABOUT ME
I am 53 years old and I work as financial analyst in an M&A consulting firm.
I am a stock trader and investor since 1995.


Summary Statistics

Strategy began
2022-03-07
Suggested Minimum Capital
$5,000
Rank at C2 %
Top 1.3%
Rank # 
#10
# Trades
148
# Profitable
59
% Profitable
39.9%
Correlation S&P500
0.021
Sharpe Ratio
1.11
Sortino Ratio
1.75
Beta
0.04
Alpha
0.13
Leverage
0.88 Average
1.88 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.