Collective2 Collective2
Featured Strategy Lazy Trading ES +44.1% Cumul. Return since Sep 25, 2024 Hypothetical

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These are hypothetical performance results that have certain inherent limitations. Learn more
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EDGE CGPT
(146629969)

Created by: EdgebridgeCapital EdgebridgeCapital
Started: 12/2023
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. Subscriptions to this system cost $39.00 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.

25.2%
Cumul. Return

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 Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

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

All results are hypothetical.

(5.7%)
Max Drawdown
121
Num Trades
71.1%
Win Trades
4.3 : 1
Profit Factor
75.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2023                                                                             (0.1%)(0.1%)
2024+4.1%+4.5%+3.9%(4.9%)+3.6%+1.5%+2.3%+0.6%+0.9%(2%)+9.0%      +25.3%

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 506 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
11/15/24 15:59 TNA DIREXION DAILY SMALL CAP BULL 3X LONG 62 47.38 11/22 15:59 53.91 0.13%
Trade id #150100664
Max drawdown($81)
Time11/19/24 0:00
Quant open62
Worst price46.06
Drawdown as % of equity-0.13%
 $404
Includes Typical Broker Commissions trade costs of $1.24
11/15/24 15:59 USMV ISHARES EDGE MSCI MIN VOL USA LONG 22 91.28 11/20 15:59 91.88 0.02%
Trade id #150100666
Max drawdown($12)
Time11/19/24 0:00
Quant open22
Worst price90.69
Drawdown as % of equity-0.02%
 $13
Includes Typical Broker Commissions trade costs of $0.44
10/29/24 15:59 UTSL DIREXION DAILY UTILITIES BULL 3X LONG 603 35.28 11/20 15:59 37.00 0.79%
Trade id #149884853
Max drawdown($458)
Time11/6/24 0:00
Quant open192
Worst price33.66
Drawdown as % of equity-0.79%
 $1,024
Includes Typical Broker Commissions trade costs of $12.06
10/30/24 15:59 XLU UTILITIES SELECT SECTOR SPDR LONG 23 78.27 11/19 15:59 80.05 0.04%
Trade id #149909817
Max drawdown($21)
Time11/4/24 0:00
Quant open9
Worst price76.78
Drawdown as % of equity-0.04%
 $41
Includes Typical Broker Commissions trade costs of $0.46
11/12/24 15:59 NUGT DIREXION DAILY GOLD MINERS BULL 2X LONG 14 40.05 11/18 15:59 41.92 0.05%
Trade id #150069354
Max drawdown($28)
Time11/14/24 0:00
Quant open14
Worst price37.98
Drawdown as % of equity-0.05%
 $26
Includes Typical Broker Commissions trade costs of $0.28
11/11/24 15:59 PDD PINDUODUO INC. ADS LONG 23 117.09 11/18 15:59 117.38 0.26%
Trade id #150059508
Max drawdown($162)
Time11/14/24 0:00
Quant open23
Worst price110.01
Drawdown as % of equity-0.26%
 $7
Includes Typical Broker Commissions trade costs of $0.46
11/7/24 15:59 DG DOLLAR GENERAL LONG 20 77.38 11/18 15:59 76.98 0.12%
Trade id #150033353
Max drawdown($77)
Time11/12/24 0:00
Quant open20
Worst price73.51
Drawdown as % of equity-0.12%
 ($8)
Includes Typical Broker Commissions trade costs of $0.40
11/5/24 15:59 TQQQ PROSHARES ULTRAPRO QQQ LONG 12 72.88 11/7 15:59 82.49 n/a $115
Includes Typical Broker Commissions trade costs of $0.24
11/1/24 15:59 SPXL DIREXION DAILY S&P500 BULL 3X LONG 9 159.12 11/7 15:59 177.66 0.04%
Trade id #149935689
Max drawdown($23)
Time11/4/24 0:00
Quant open9
Worst price156.52
Drawdown as % of equity-0.04%
 $167
Includes Typical Broker Commissions trade costs of $0.18
10/29/24 15:59 USMV ISHARES EDGE MSCI MIN VOL USA LONG 28 90.73 11/7 15:59 91.76 0.05%
Trade id #149884850
Max drawdown($31)
Time11/4/24 0:00
Quant open28
Worst price89.61
Drawdown as % of equity-0.05%
 $28
Includes Typical Broker Commissions trade costs of $0.56
11/6/24 15:59 TLT ISHARES 20+ YEAR TREASURY BOND LONG 2 90.25 11/7 15:59 91.34 n/a $2
Includes Typical Broker Commissions trade costs of $0.04
10/29/24 15:59 DIA SPDR DOW JONES INDUSTRIAL AVER LONG 2 422.42 11/6 15:59 437.09 0.02%
Trade id #149884832
Max drawdown($11)
Time11/4/24 0:00
Quant open2
Worst price416.44
Drawdown as % of equity-0.02%
 $29
Includes Typical Broker Commissions trade costs of $0.04
11/4/24 14:55 FAS DIREXION DAILY FINANCIAL BULL LONG 78 136.40 11/6 15:59 165.34 0.15%
Trade id #149965683
Max drawdown($84)
Time11/4/24 15:55
Quant open78
Worst price135.32
Drawdown as % of equity-0.15%
 $2,255
Includes Typical Broker Commissions trade costs of $1.56
11/1/24 15:59 TNA DIREXION DAILY SMALL CAP BULL 3X LONG 5 42.41 11/5 15:59 45.39 0.01%
Trade id #149935686
Max drawdown($3)
Time11/4/24 0:00
Quant open5
Worst price41.77
Drawdown as % of equity-0.01%
 $15
Includes Typical Broker Commissions trade costs of $0.10
10/29/24 15:59 DG DOLLAR GENERAL LONG 58 79.94 11/4 14:55 81.94 0.15%
Trade id #149884825
Max drawdown($86)
Time10/31/24 0:00
Quant open58
Worst price78.45
Drawdown as % of equity-0.15%
 $115
Includes Typical Broker Commissions trade costs of $1.16
10/29/24 15:59 GDDY GODADDY INC LONG 5 161.41 10/31 15:59 167.05 0%
Trade id #149884838
Max drawdown($2)
Time10/30/24 0:00
Quant open5
Worst price160.97
Drawdown as % of equity-0.00%
 $28
Includes Typical Broker Commissions trade costs of $0.10
10/29/24 15:59 TLT ISHARES 20+ YEAR TREASURY BOND LONG 34 92.00 10/30 15:59 92.38 n/a $12
Includes Typical Broker Commissions trade costs of $0.68
10/22/24 15:59 SNPS SYNOPSYS LONG 2 497.97 10/29 15:59 529.47 0.02%
Trade id #149799368
Max drawdown($13)
Time10/24/24 0:00
Quant open2
Worst price491.12
Drawdown as % of equity-0.02%
 $63
Includes Typical Broker Commissions trade costs of $0.04
10/22/24 15:59 NKE NIKE LONG 5 81.46 10/29 15:59 78.45 0.03%
Trade id #149799362
Max drawdown($16)
Time10/29/24 9:46
Quant open5
Worst price78.20
Drawdown as % of equity-0.03%
 ($15)
Includes Typical Broker Commissions trade costs of $0.10
10/17/24 15:59 UNH UNITEDHEALTH GROUP LONG 1 566.49 10/29 15:59 562.05 0.01%
Trade id #149689294
Max drawdown($6)
Time10/23/24 0:00
Quant open1
Worst price560.00
Drawdown as % of equity-0.01%
 ($4)
Includes Typical Broker Commissions trade costs of $0.02
10/17/24 15:59 META META PLATFORMS INC. CLASS A LONG 4 577.15 10/29 15:59 589.24 0.11%
Trade id #149689273
Max drawdown($62)
Time10/24/24 0:00
Quant open4
Worst price561.52
Drawdown as % of equity-0.11%
 $48
Includes Typical Broker Commissions trade costs of $0.08
10/16/24 15:59 BMI BADGER METER LONG 10 220.74 10/29 15:59 201.51 0.47%
Trade id #149677355
Max drawdown($277)
Time10/17/24 0:00
Quant open10
Worst price193.00
Drawdown as % of equity-0.47%
 ($192)
Includes Typical Broker Commissions trade costs of $0.20
10/8/24 15:59 GOOG ALPHABET INC CLASS C LONG 3 165.72 10/29 15:59 171.19 0.02%
Trade id #149609886
Max drawdown($13)
Time10/9/24 0:00
Quant open3
Worst price161.12
Drawdown as % of equity-0.02%
 $16
Includes Typical Broker Commissions trade costs of $0.06
10/25/24 15:59 MA MASTERCARD LONG 1 507.45 10/29 15:59 505.82 0%
Trade id #149844516
Max drawdown($1)
Time10/29/24 15:55
Quant open1
Worst price505.70
Drawdown as % of equity-0.00%
 ($2)
Includes Typical Broker Commissions trade costs of $0.02
10/23/24 15:59 ANET ARISTA NETWORKS INC LONG 6 392.56 10/29 15:59 402.15 0%
Trade id #149811223
Max drawdown($0)
Time10/25/24 0:00
Quant open2
Worst price393.40
Drawdown as % of equity-0.00%
 $58
Includes Typical Broker Commissions trade costs of $0.12
10/22/24 15:59 AXP AMERICAN EXPRESS LONG 1 272.48 10/29 15:59 270.50 0.01%
Trade id #149799346
Max drawdown($6)
Time10/25/24 0:00
Quant open1
Worst price266.35
Drawdown as % of equity-0.01%
 ($2)
Includes Typical Broker Commissions trade costs of $0.02
10/21/24 15:59 WAT WATERS LONG 12 333.23 10/29 15:59 324.59 0.21%
Trade id #149757510
Max drawdown($119)
Time10/29/24 9:47
Quant open10
Worst price321.32
Drawdown as % of equity-0.21%
 ($104)
Includes Typical Broker Commissions trade costs of $0.24
10/21/24 15:59 MRK MERCK LONG 4 106.28 10/29 15:59 103.71 0.02%
Trade id #149757503
Max drawdown($10)
Time10/29/24 15:59
Quant open4
Worst price103.70
Drawdown as % of equity-0.02%
 ($10)
Includes Typical Broker Commissions trade costs of $0.08
10/11/24 15:59 VZ VERIZON COMMUNICATIONS LONG 30 43.49 10/29 15:59 41.33 0.14%
Trade id #149642429
Max drawdown($82)
Time10/22/24 0:00
Quant open30
Worst price40.75
Drawdown as % of equity-0.14%
 ($66)
Includes Typical Broker Commissions trade costs of $0.60
6/20/24 15:59 CDNS CADENCE DESIGN SYSTEMS LONG 43 288.54 10/29 15:59 283.87 1.02%
Trade id #148462590
Max drawdown($572)
Time8/5/24 0:00
Quant open9
Worst price241.29
Drawdown as % of equity-1.02%
 ($202)
Includes Typical Broker Commissions trade costs of $0.86
Next

Statistics

  • Strategy began
    12/6/2023
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    353.23
  • Age
    12 months ago
  • What it trades
    Stocks
  • # Trades
    121
  • # Profitable
    86
  • % Profitable
    71.10%
  • Avg trade duration
    16.6 days
  • Max peak-to-valley drawdown
    5.68%
  • drawdown period
    March 22, 2024 - April 30, 2024
  • Cumul. Return
    25.2%
  • Avg win
    $203.16
  • Avg loss
    $117.94
  • Model Account Values (Raw)
  • Cash
    $44,726
  • Margin Used
    $0
  • Buying Power
    $45,162
  • Ratios
  • W:L ratio
    4.30:1
  • Sharpe Ratio
    1.68
  • Sortino Ratio
    2.83
  • Calmar Ratio
    6.091
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -5.98%
  • Correlation to SP500
    0.50160
  • Return Percent SP500 (cumu) during strategy life
    31.21%
  • Return Statistics
  • Ann Return (w trading costs)
    25.9%
  • Slump
  • Current Slump as Pcnt Equity
    n/a
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    n/a
  • 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)
    0.252%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    28.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    0.50%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • 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
    99.81%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    365
  • Popularity (Last 6 weeks)
    898
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    940
  • Popularity (7 days, Percentile 1000 scale)
    777
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $118
  • Avg Win
    $203
  • Sum Trade PL (losers)
    $4,128.000
  • Age
  • Num Months filled monthly returns table
    12
  • Win / Loss
  • Sum Trade PL (winners)
    $17,472.000
  • # Winners
    86
  • Num Months Winners
    10
  • Dividends
  • Dividends Received in Model Acct
    263
  • AUM
  • AUM (AutoTrader live capital)
    88876
  • Win / Loss
  • # Losers
    35
  • % Winners
    71.1%
  • Frequency
  • Avg Position Time (mins)
    23867.90
  • Avg Position Time (hrs)
    397.80
  • Avg Trade Length
    16.6 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    0.69
  • Daily leverage (max)
    1.54
  • Regression
  • Alpha
    0.03
  • Beta
    0.44
  • Treynor Index
    0.14
  • 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)
    -4.01
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    1.863
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.680
  • Avg(MAE) / Avg(PL) - Losing trades
    -2.009
  • Hold-and-Hope Ratio
    0.615
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.23401
  • SD
    0.08710
  • Sharpe ratio (Glass type estimate)
    2.68677
  • Sharpe ratio (Hedges UMVUE)
    2.47921
  • df
    10.00000
  • t
    2.57239
  • p
    0.01389
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.28303
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.99073
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.16161
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.79680
  • Statistics related to Sortino ratio
  • Sortino ratio
    10.04050
  • Upside Potential Ratio
    11.51510
  • Upside part of mean
    0.26837
  • Downside part of mean
    -0.03437
  • Upside SD
    0.10448
  • Downside SD
    0.02331
  • N nonnegative terms
    9.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    11.00000
  • Mean of predictor
    0.28204
  • Mean of criterion
    0.23401
  • SD of predictor
    0.10502
  • SD of criterion
    0.08710
  • Covariance
    0.00203
  • r
    0.22163
  • b (slope, estimate of beta)
    0.18381
  • a (intercept, estimate of alpha)
    0.18216
  • Mean Square Error
    0.00801
  • DF error
    9.00000
  • t(b)
    0.68185
  • p(b)
    0.25625
  • t(a)
    1.51155
  • p(a)
    0.08247
  • Lowerbound of 95% confidence interval for beta
    -0.42602
  • Upperbound of 95% confidence interval for beta
    0.79364
  • Lowerbound of 95% confidence interval for alpha
    -0.09046
  • Upperbound of 95% confidence interval for alpha
    0.45479
  • Treynor index (mean / b)
    1.27308
  • Jensen alpha (a)
    0.18216
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.22793
  • SD
    0.08507
  • Sharpe ratio (Glass type estimate)
    2.67927
  • Sharpe ratio (Hedges UMVUE)
    2.47229
  • df
    10.00000
  • t
    2.56521
  • p
    0.01406
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.27729
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.98164
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.15611
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.78846
  • Statistics related to Sortino ratio
  • Sortino ratio
    9.72470
  • Upside Potential Ratio
    11.19920
  • Upside part of mean
    0.26249
  • Downside part of mean
    -0.03456
  • Upside SD
    0.10178
  • Downside SD
    0.02344
  • N nonnegative terms
    9.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    11.00000
  • Mean of predictor
    0.27322
  • Mean of criterion
    0.22793
  • SD of predictor
    0.10478
  • SD of criterion
    0.08507
  • Covariance
    0.00191
  • r
    0.21431
  • b (slope, estimate of beta)
    0.17400
  • a (intercept, estimate of alpha)
    0.18039
  • Mean Square Error
    0.00767
  • DF error
    9.00000
  • t(b)
    0.65823
  • p(b)
    0.26343
  • t(a)
    1.54765
  • p(a)
    0.07806
  • Lowerbound of 95% confidence interval for beta
    -0.42398
  • Upperbound of 95% confidence interval for beta
    0.77197
  • Lowerbound of 95% confidence interval for alpha
    -0.08328
  • Upperbound of 95% confidence interval for alpha
    0.44406
  • Treynor index (mean / b)
    1.30996
  • Jensen alpha (a)
    0.18039
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02117
  • Expected Shortfall on VaR
    0.03113
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00293
  • Expected Shortfall on VaR
    0.00767
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    11.00000
  • Minimum
    0.98565
  • Quartile 1
    1.01094
  • Median
    1.01747
  • Quartile 3
    1.04079
  • Maximum
    1.06585
  • Mean of quarter 1
    0.99444
  • Mean of quarter 2
    1.01388
  • Mean of quarter 3
    1.02782
  • Mean of quarter 4
    1.05317
  • Inter Quartile Range
    0.02985
  • 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)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -4.62039
  • VaR(95%) (regression method)
    0.05369
  • Expected Shortfall (regression method)
    0.05372
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.01250
  • Quartile 1
    0.01296
  • Median
    0.01342
  • Quartile 3
    0.01388
  • Maximum
    0.01435
  • Mean of quarter 1
    0.01250
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.01435
  • Inter Quartile Range
    0.00092
  • 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)
    0.28832
  • Compounded annual return (geometric extrapolation)
    0.29154
  • Calmar ratio (compounded annual return / max draw down)
    20.32330
  • Compounded annual return / average of 25% largest draw downs
    20.32330
  • Compounded annual return / Expected Shortfall lognormal
    9.36655
  • 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
    0.22812
  • SD
    0.10824
  • Sharpe ratio (Glass type estimate)
    2.10760
  • Sharpe ratio (Hedges UMVUE)
    2.10125
  • df
    249.00000
  • t
    2.05877
  • p
    0.02028
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.09060
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.12048
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.08633
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.11617
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.52482
  • Upside Potential Ratio
    10.74670
  • Upside part of mean
    0.69552
  • Downside part of mean
    -0.46740
  • Upside SD
    0.08763
  • Downside SD
    0.06472
  • N nonnegative terms
    135.00000
  • N negative terms
    115.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    250.00000
  • Mean of predictor
    0.26470
  • Mean of criterion
    0.22812
  • SD of predictor
    0.12479
  • SD of criterion
    0.10824
  • Covariance
    0.00672
  • r
    0.49758
  • b (slope, estimate of beta)
    0.43158
  • a (intercept, estimate of alpha)
    0.11400
  • Mean Square Error
    0.00885
  • DF error
    248.00000
  • t(b)
    9.03368
  • p(b)
    0.00000
  • t(a)
    1.17243
  • p(a)
    0.12108
  • Lowerbound of 95% confidence interval for beta
    0.33748
  • Upperbound of 95% confidence interval for beta
    0.52567
  • Lowerbound of 95% confidence interval for alpha
    -0.07743
  • Upperbound of 95% confidence interval for alpha
    0.30520
  • Treynor index (mean / b)
    0.52858
  • Jensen alpha (a)
    0.11388
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.22220
  • SD
    0.10787
  • Sharpe ratio (Glass type estimate)
    2.05991
  • Sharpe ratio (Hedges UMVUE)
    2.05370
  • df
    249.00000
  • t
    2.01218
  • p
    0.02264
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.04329
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.07247
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.03916
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.06824
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.41043
  • Upside Potential Ratio
    10.61600
  • Upside part of mean
    0.69166
  • Downside part of mean
    -0.46946
  • Upside SD
    0.08679
  • Downside SD
    0.06515
  • N nonnegative terms
    135.00000
  • N negative terms
    115.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    250.00000
  • Mean of predictor
    0.25679
  • Mean of criterion
    0.22220
  • SD of predictor
    0.12487
  • SD of criterion
    0.10787
  • Covariance
    0.00669
  • r
    0.49668
  • b (slope, estimate of beta)
    0.42906
  • a (intercept, estimate of alpha)
    0.11202
  • Mean Square Error
    0.00880
  • DF error
    248.00000
  • t(b)
    9.01194
  • p(b)
    0.00000
  • t(a)
    1.15712
  • p(a)
    0.12417
  • Lowerbound of 95% confidence interval for beta
    0.33529
  • Upperbound of 95% confidence interval for beta
    0.52283
  • Lowerbound of 95% confidence interval for alpha
    -0.07865
  • Upperbound of 95% confidence interval for alpha
    0.30270
  • Treynor index (mean / b)
    0.51787
  • Jensen alpha (a)
    0.11202
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01006
  • Expected Shortfall on VaR
    0.01281
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00386
  • Expected Shortfall on VaR
    0.00797
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    250.00000
  • Minimum
    0.97774
  • Quartile 1
    0.99802
  • Median
    1.00048
  • Quartile 3
    1.00372
  • Maximum
    1.04151
  • Mean of quarter 1
    0.99364
  • Mean of quarter 2
    0.99950
  • Mean of quarter 3
    1.00193
  • Mean of quarter 4
    1.00883
  • Inter Quartile Range
    0.00570
  • Number outliers low
    7.00000
  • Percentage of outliers low
    0.02800
  • Mean of outliers low
    0.98290
  • Number of outliers high
    13.00000
  • Percentage of outliers high
    0.05200
  • Mean of outliers high
    1.01799
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.19881
  • VaR(95%) (moments method)
    0.00564
  • Expected Shortfall (moments method)
    0.00897
  • Extreme Value Index (regression method)
    0.03032
  • VaR(95%) (regression method)
    0.00596
  • Expected Shortfall (regression method)
    0.00857
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    21.00000
  • Minimum
    0.00001
  • Quartile 1
    0.00448
  • Median
    0.00995
  • Quartile 3
    0.02117
  • Maximum
    0.04666
  • Mean of quarter 1
    0.00268
  • Mean of quarter 2
    0.00768
  • Mean of quarter 3
    0.01576
  • Mean of quarter 4
    0.03227
  • Inter Quartile Range
    0.01669
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.04762
  • Mean of outliers high
    0.04666
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.48299
  • VaR(95%) (moments method)
    0.03468
  • Expected Shortfall (moments method)
    0.03859
  • Extreme Value Index (regression method)
    0.14835
  • VaR(95%) (regression method)
    0.03527
  • Expected Shortfall (regression method)
    0.04631
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.28247
  • Compounded annual return (geometric extrapolation)
    0.28416
  • Calmar ratio (compounded annual return / max draw down)
    6.09053
  • Compounded annual return / average of 25% largest draw downs
    8.80659
  • Compounded annual return / Expected Shortfall lognormal
    22.17890
  • 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
    0.20366
  • SD
    0.11472
  • Sharpe ratio (Glass type estimate)
    1.77523
  • Sharpe ratio (Hedges UMVUE)
    1.76497
  • df
    130.00000
  • t
    1.25528
  • p
    0.44528
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.00823
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.55203
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.01513
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.54506
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.12314
  • Upside Potential Ratio
    10.54880
  • Upside part of mean
    0.68788
  • Downside part of mean
    -0.48422
  • Upside SD
    0.09469
  • Downside SD
    0.06521
  • N nonnegative terms
    67.00000
  • N negative terms
    64.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.23133
  • Mean of criterion
    0.20366
  • SD of predictor
    0.13518
  • SD of criterion
    0.11472
  • Covariance
    0.00899
  • r
    0.57947
  • b (slope, estimate of beta)
    0.49176
  • a (intercept, estimate of alpha)
    0.08990
  • Mean Square Error
    0.00881
  • DF error
    129.00000
  • t(b)
    8.07545
  • p(b)
    0.15293
  • t(a)
    0.67349
  • p(a)
    0.46234
  • Lowerbound of 95% confidence interval for beta
    0.37128
  • Upperbound of 95% confidence interval for beta
    0.61224
  • Lowerbound of 95% confidence interval for alpha
    -0.17420
  • Upperbound of 95% confidence interval for alpha
    0.35400
  • Treynor index (mean / b)
    0.41414
  • Jensen alpha (a)
    0.08990
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.19708
  • SD
    0.11409
  • Sharpe ratio (Glass type estimate)
    1.72738
  • Sharpe ratio (Hedges UMVUE)
    1.71739
  • df
    130.00000
  • t
    1.22144
  • p
    0.44674
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.05564
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.50386
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.06226
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.49705
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.00258
  • Upside Potential Ratio
    10.41180
  • Upside part of mean
    0.68339
  • Downside part of mean
    -0.48631
  • Upside SD
    0.09358
  • Downside SD
    0.06564
  • N nonnegative terms
    67.00000
  • N negative terms
    64.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.22212
  • Mean of criterion
    0.19708
  • SD of predictor
    0.13537
  • SD of criterion
    0.11409
  • Covariance
    0.00896
  • r
    0.57987
  • b (slope, estimate of beta)
    0.48874
  • a (intercept, estimate of alpha)
    0.08852
  • Mean Square Error
    0.00871
  • DF error
    129.00000
  • t(b)
    8.08400
  • p(b)
    0.15272
  • t(a)
    0.66734
  • p(a)
    0.46268
  • VAR (95 Confidence Intrvl)
    0.01000
  • Lowerbound of 95% confidence interval for beta
    0.36912
  • Upperbound of 95% confidence interval for beta
    0.60836
  • Lowerbound of 95% confidence interval for alpha
    -0.17392
  • Upperbound of 95% confidence interval for alpha
    0.35096
  • Treynor index (mean / b)
    0.40324
  • Jensen alpha (a)
    0.08852
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01078
  • Expected Shortfall on VaR
    0.01369
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00417
  • Expected Shortfall on VaR
    0.00843
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97774
  • Quartile 1
    0.99783
  • Median
    1.00023
  • Quartile 3
    1.00321
  • Maximum
    1.04151
  • Mean of quarter 1
    0.99356
  • Mean of quarter 2
    0.99933
  • Mean of quarter 3
    1.00169
  • Mean of quarter 4
    1.00899
  • Inter Quartile Range
    0.00537
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.03053
  • Mean of outliers low
    0.98309
  • Number of outliers high
    8.00000
  • Percentage of outliers high
    0.06107
  • Mean of outliers high
    1.01877
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.24012
  • VaR(95%) (moments method)
    0.00604
  • Expected Shortfall (moments method)
    0.00988
  • Extreme Value Index (regression method)
    -0.07990
  • VaR(95%) (regression method)
    0.00679
  • Expected Shortfall (regression method)
    0.00927
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    16.00000
  • Minimum
    0.00001
  • Quartile 1
    0.00150
  • Median
    0.00638
  • Quartile 3
    0.02345
  • Maximum
    0.03338
  • Mean of quarter 1
    0.00051
  • Mean of quarter 2
    0.00228
  • Mean of quarter 3
    0.01654
  • Mean of quarter 4
    0.02960
  • Inter Quartile Range
    0.02195
  • 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)
    -2.57363
  • VaR(95%) (moments method)
    0.03172
  • Expected Shortfall (moments method)
    0.03186
  • Extreme Value Index (regression method)
    -0.53942
  • VaR(95%) (regression method)
    0.03201
  • Last 4 Months - Pcnt Negative
    0.25%
  • Expected Shortfall (regression method)
    0.03355
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -353269000
  • Max Equity Drawdown (num days)
    39
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.23813
  • Compounded annual return (geometric extrapolation)
    0.25231
  • Calmar ratio (compounded annual return / max draw down)
    7.55819
  • Compounded annual return / average of 25% largest draw downs
    8.52240
  • Compounded annual return / Expected Shortfall lognormal
    18.43120

Strategy Description

Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2023-12-06
Suggested Minimum Capital
$15,000
Rank at C2 %
Top 6.0%
Rank # 
#44
# Trades
121
# Profitable
86
% Profitable
71.1%
Net Dividends
$262
Correlation S&P500
0.502
Sharpe Ratio
1.68
Sortino Ratio
2.83
Beta
0.44
Alpha
0.03
Leverage
0.69 Average
1.54 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.