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

Trades-Own-Strategy Certification

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

Trades-Own-Strategy (TOS) Certification Details
Certification process started 01/03/2022
Most recent certification approved 1/3/22 6:42 ET
Trades at broker Interactive Brokers (Stocks, Options, Futures)
Scaling percentage used 100%
# trading signals issued by system since certification 2,628
# trading signals executed in manager's Interactive Brokers (Stocks, Options, Futures) account 2,626
Percent signals followed since 01/03/2022 99.9%
This information was last updated 5/20/22 15:33 ET

Warning: System trading results are still hypothetical.

Even though the system developer is currently trading his own system in a real-life brokerage account, the trading results presented on this Web site must still be regarded as purely hypothetical results. This is because (among other reasons) the system developer may not have traded all signals, particularly those that occurred before 01/03/2022, and the system developer's results may not match the system results presented here. In addition, not all subscribers have received the same trades or prices as the system manager has. For these reasons, and others, it is extremely important you remember the following:

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

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

Aurum
(138773053)

Created by: AurumCapitalGroup AurumCapitalGroup
Started: 01/2022
Futures
Last trade: 7 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 $1,000.00 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.

7.9%
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.

(16.9%)
Max Drawdown
876
Num Trades
91.8%
Win Trades
1.2 : 1
Profit Factor
40.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022+7.5%(2.4%)(0.9%)+4.8%(1%)                                          +7.9%

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 168 hours.

Trading Record

This strategy has placed 2,628 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
5/13/22 9:35 @NQM2 E-MINI NASDAQ 100 STK IDX LONG 1 12066.90 5/13 9:36 12092.90 n/a $512
Includes Typical Broker Commissions trade costs of $8.00
5/13/22 9:30 @NQM2 E-MINI NASDAQ 100 STK IDX LONG 1 12127.40 5/13 9:30 12139.10 n/a $226
Includes Typical Broker Commissions trade costs of $8.00
5/13/22 2:14 @NQM2 E-MINI NASDAQ 100 STK IDX LONG 1 12088.50 5/13 2:21 12091.25 0.09%
Trade id #140462136
Max drawdown($230)
Time5/13/22 2:18
Quant open1
Worst price12077.00
Drawdown as % of equity-0.09%
$47
Includes Typical Broker Commissions trade costs of $8.00
5/13/22 1:13 @NQM2 E-MINI NASDAQ 100 STK IDX SHORT 1 12117.75 5/13 2:04 12106.25 0.18%
Trade id #140461856
Max drawdown($460)
Time5/13/22 1:22
Quant open1
Worst price12140.80
Drawdown as % of equity-0.18%
$222
Includes Typical Broker Commissions trade costs of $8.00
5/12/22 15:59 @NQM2 E-MINI NASDAQ 100 STK IDX LONG 1 11945.80 5/12 15:59 11950.75 n/a $91
Includes Typical Broker Commissions trade costs of $8.00
5/12/22 15:58 @NQM2 E-MINI NASDAQ 100 STK IDX LONG 1 11939.00 5/12 15:58 11945.50 n/a $122
Includes Typical Broker Commissions trade costs of $8.00
5/12/22 15:46 @NQM2 E-MINI NASDAQ 100 STK IDX LONG 1 11837.25 5/12 15:47 11841.80 n/a $83
Includes Typical Broker Commissions trade costs of $8.00
5/12/22 15:39 @NQM2 E-MINI NASDAQ 100 STK IDX LONG 1 11862.25 5/12 15:39 11871.30 n/a $173
Includes Typical Broker Commissions trade costs of $8.00
5/12/22 15:02 @NQM2 E-MINI NASDAQ 100 STK IDX LONG 1 11721.70 5/12 15:03 11735.00 n/a $258
Includes Typical Broker Commissions trade costs of $8.00
5/12/22 14:57 @NQM2 E-MINI NASDAQ 100 STK IDX LONG 1 11714.15 5/12 15:00 11733.85 0.03%
Trade id #140458150
Max drawdown($73)
Time5/12/22 15:00
Quant open1
Worst price11710.50
Drawdown as % of equity-0.03%
$386
Includes Typical Broker Commissions trade costs of $8.00
5/12/22 14:48 @NQM2 E-MINI NASDAQ 100 STK IDX LONG 1 11719.70 5/12 14:52 11735.75 0.15%
Trade id #140458114
Max drawdown($364)
Time5/12/22 14:51
Quant open1
Worst price11701.50
Drawdown as % of equity-0.15%
$313
Includes Typical Broker Commissions trade costs of $8.00
5/12/22 14:10 @NQM2 E-MINI NASDAQ 100 STK IDX LONG 1 11715.25 5/12 14:11 11720.15 n/a $90
Includes Typical Broker Commissions trade costs of $8.00
5/12/22 10:14 @NQM2 E-MINI NASDAQ 100 STK IDX LONG 1 11938.15 5/12 10:15 11946.00 n/a $149
Includes Typical Broker Commissions trade costs of $8.00
5/12/22 10:11 @NQM2 E-MINI NASDAQ 100 STK IDX LONG 1 11945.80 5/12 10:12 11973.20 n/a $540
Includes Typical Broker Commissions trade costs of $8.00
5/12/22 2:23 @NQM2 E-MINI NASDAQ 100 STK IDX LONG 1 11965.50 5/12 10:11 11927.75 2.18%
Trade id #140448175
Max drawdown($5,445)
Time5/12/22 9:40
Quant open1
Worst price11693.20
Drawdown as % of equity-2.18%
($763)
Includes Typical Broker Commissions trade costs of $8.00
5/12/22 2:22 @ESM2 E-MINI S&P 500 LONG 1 3921.25 5/12 2:23 3926.38 n/a $248
Includes Typical Broker Commissions trade costs of $8.00
5/12/22 2:22 @NQM2 E-MINI NASDAQ 100 STK IDX LONG 1 11945.75 5/12 2:23 11965.50 n/a $387
Includes Typical Broker Commissions trade costs of $8.00
5/11/22 15:19 @NQM2 E-MINI NASDAQ 100 STK IDX LONG 1 12035.15 5/11 22:19 12061.50 0.9%
Trade id #140444423
Max drawdown($2,273)
Time5/11/22 20:20
Quant open1
Worst price11921.50
Drawdown as % of equity-0.90%
$519
Includes Typical Broker Commissions trade costs of $8.00
5/11/22 12:27 @NQM2 E-MINI NASDAQ 100 STK IDX LONG 1 12279.35 5/11 13:39 12062.30 1.71%
Trade id #140442105
Max drawdown($4,447)
Time5/11/22 13:39
Quant open1
Worst price12057.00
Drawdown as % of equity-1.71%
($4,349)
Includes Typical Broker Commissions trade costs of $8.00
5/11/22 4:02 @ESM2 E-MINI S&P 500 SHORT 1 4012.50 5/11 8:30 3991.62 0.74%
Trade id #140435033
Max drawdown($1,900)
Time5/11/22 7:39
Quant open1
Worst price4050.50
Drawdown as % of equity-0.74%
$1,036
Includes Typical Broker Commissions trade costs of $8.00
5/10/22 22:05 @ESM2 E-MINI S&P 500 SHORT 2 4008.25 5/11 3:36 4002.00 0.34%
Trade id #140433978
Max drawdown($875)
Time5/11/22 2:21
Quant open2
Worst price4017.00
Drawdown as % of equity-0.34%
$609
Includes Typical Broker Commissions trade costs of $16.00
5/10/22 21:59 @NQM2 E-MINI NASDAQ 100 STK IDX SHORT 1 12414.25 5/11 3:35 12394.50 0.38%
Trade id #140433951
Max drawdown($995)
Time5/10/22 22:31
Quant open1
Worst price12464.00
Drawdown as % of equity-0.38%
$387
Includes Typical Broker Commissions trade costs of $8.00
5/10/22 15:38 @ESM2 E-MINI S&P 500 SHORT 2 3988.25 5/10 15:46 3987.06 0.19%
Trade id #140431663
Max drawdown($500)
Time5/10/22 15:43
Quant open2
Worst price3993.25
Drawdown as % of equity-0.19%
$103
Includes Typical Broker Commissions trade costs of $16.00
5/10/22 15:30 @NQM2 E-MINI NASDAQ 100 STK IDX SHORT 1 12369.60 5/10 15:30 12366.60 n/a $52
Includes Typical Broker Commissions trade costs of $8.00
5/10/22 15:26 @ESM2 E-MINI S&P 500 SHORT 1 4001.25 5/10 15:30 3998.38 0.07%
Trade id #140431545
Max drawdown($187)
Time5/10/22 15:29
Quant open1
Worst price4005.00
Drawdown as % of equity-0.07%
$136
Includes Typical Broker Commissions trade costs of $8.00
5/10/22 15:25 @NQM2 E-MINI NASDAQ 100 STK IDX SHORT 1 12396.00 5/10 15:26 12385.65 n/a $199
Includes Typical Broker Commissions trade costs of $8.00
5/10/22 14:17 @ESM2 E-MINI S&P 500 SHORT 1 4012.38 5/10 14:27 4008.00 0.31%
Trade id #140430923
Max drawdown($793)
Time5/10/22 14:22
Quant open1
Worst price4028.25
Drawdown as % of equity-0.31%
$211
Includes Typical Broker Commissions trade costs of $8.00
5/10/22 14:01 @ESM2 E-MINI S&P 500 SHORT 1 4030.12 5/10 14:01 4028.50 n/a $73
Includes Typical Broker Commissions trade costs of $8.00
5/10/22 13:57 @NQM2 E-MINI NASDAQ 100 STK IDX LONG 1 12499.00 5/10 13:58 12502.25 n/a $57
Includes Typical Broker Commissions trade costs of $8.00
5/10/22 13:55 @NQM2 E-MINI NASDAQ 100 STK IDX LONG 1 12483.00 5/10 13:56 12488.50 n/a $102
Includes Typical Broker Commissions trade costs of $8.00

Statistics

  • Strategy began
    1/1/2022
  • Suggested Minimum Cap
    $140,000
  • Strategy Age (days)
    139.23
  • Age
    139 days ago
  • What it trades
    Stocks, Futures
  • # Trades
    876
  • # Profitable
    804
  • % Profitable
    91.80%
  • Avg trade duration
    3.0 days
  • Max peak-to-valley drawdown
    16.86%
  • drawdown period
    Feb 18, 2022 - April 07, 2022
  • Cumul. Return
    7.9%
  • Avg win
    $283.84
  • Avg loss
    $2,705
  • Model Account Values (Raw)
  • Cash
    $283,132
  • Margin Used
    $0
  • Buying Power
    $282,515
  • Ratios
  • W:L ratio
    1.17:1
  • Sharpe Ratio
    0.75
  • Sortino Ratio
    0.94
  • Calmar Ratio
    3.134
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    27.25%
  • Correlation to SP500
    0.04300
  • Return Percent SP500 (cumu) during strategy life
    -18.81%
  • Return Statistics
  • Ann Return (w trading costs)
    21.4%
  • Slump
  • Current Slump as Pcnt Equity
    7.60%
  • Instruments
  • Percent Trades Futures
    0.73%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.66%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.079%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    0.27%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    38.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    28.50%
  • Chance of 20% account loss
    3.50%
  • 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
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    870
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    219
  • Popularity (7 days, Percentile 1000 scale)
    594
  • Trades-Own-System Certification
  • Trades Own System?
    Yes
  • TOS percent
    100%
  • Win / Loss
  • Avg Loss
    $2,706
  • Avg Win
    $284
  • Sum Trade PL (losers)
    $194,802.000
  • Age
  • Num Months filled monthly returns table
    5
  • Win / Loss
  • Sum Trade PL (winners)
    $228,210.000
  • # Winners
    804
  • Num Months Winners
    2
  • Dividends
  • Dividends Received in Model Acct
    -0
  • AUM
  • AUM (AutoTrader live capital)
    273837
  • Win / Loss
  • # Losers
    72
  • % Winners
    91.8%
  • Frequency
  • Avg Position Time (mins)
    4332.75
  • Avg Position Time (hrs)
    72.21
  • Avg Trade Length
    3.0 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    1.84
  • Daily leverage (max)
    5.21
  • Regression
  • Alpha
    0.07
  • Beta
    0.04
  • Treynor Index
    1.40
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -9.02
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    -12.507
  • 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
    2.669
  • Avg(MAE) / Avg(PL) - Losing trades
    -2.056
  • Hold-and-Hope Ratio
    -0.078
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.44990
  • SD
    0.19029
  • Sharpe ratio (Glass type estimate)
    2.36422
  • Sharpe ratio (Hedges UMVUE)
    1.71075
  • df
    3.00000
  • t
    1.36498
  • p
    0.13281
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.61813
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.06847
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.94959
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.37110
  • Statistics related to Sortino ratio
  • Sortino ratio
    14.54140
  • Upside Potential Ratio
    16.33740
  • Upside part of mean
    0.50546
  • Downside part of mean
    -0.05557
  • Upside SD
    0.20753
  • Downside SD
    0.03094
  • N nonnegative terms
    2.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    4.00000
  • Mean of predictor
    -0.34094
  • Mean of criterion
    0.44990
  • SD of predictor
    0.16605
  • SD of criterion
    0.19029
  • Covariance
    -0.01851
  • r
    -0.58579
  • b (slope, estimate of beta)
    -0.67133
  • a (intercept, estimate of alpha)
    0.22101
  • Mean Square Error
    0.03568
  • DF error
    2.00000
  • t(b)
    -1.02218
  • p(b)
    0.79290
  • t(a)
    0.55748
  • p(a)
    0.31663
  • Lowerbound of 95% confidence interval for beta
    -3.49715
  • Upperbound of 95% confidence interval for beta
    2.15449
  • Lowerbound of 95% confidence interval for alpha
    -1.48477
  • Upperbound of 95% confidence interval for alpha
    1.92680
  • Treynor index (mean / b)
    -0.67015
  • Jensen alpha (a)
    0.22101
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.42809
  • SD
    0.18314
  • Sharpe ratio (Glass type estimate)
    2.33752
  • Sharpe ratio (Hedges UMVUE)
    1.69143
  • df
    3.00000
  • t
    1.34957
  • p
    0.13498
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.63458
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.03299
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.96316
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.34603
  • Statistics related to Sortino ratio
  • Sortino ratio
    13.74500
  • Upside Potential Ratio
    15.54050
  • Upside part of mean
    0.48401
  • Downside part of mean
    -0.05592
  • Upside SD
    0.19864
  • Downside SD
    0.03114
  • N nonnegative terms
    2.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    4.00000
  • Mean of predictor
    -0.35564
  • Mean of criterion
    0.42809
  • SD of predictor
    0.16670
  • SD of criterion
    0.18314
  • Covariance
    -0.01791
  • r
    -0.58683
  • b (slope, estimate of beta)
    -0.64471
  • a (intercept, estimate of alpha)
    0.19880
  • Mean Square Error
    0.03298
  • DF error
    2.00000
  • t(b)
    -1.02494
  • p(b)
    0.79341
  • t(a)
    0.51503
  • p(a)
    0.32890
  • Lowerbound of 95% confidence interval for beta
    -3.35119
  • Upperbound of 95% confidence interval for beta
    2.06177
  • Lowerbound of 95% confidence interval for alpha
    -1.46203
  • Upperbound of 95% confidence interval for alpha
    1.85963
  • Treynor index (mean / b)
    -0.66400
  • Jensen alpha (a)
    0.19880
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04999
  • Expected Shortfall on VaR
    0.07057
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01073
  • Expected Shortfall on VaR
    0.02032
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    4.00000
  • Minimum
    0.98448
  • Quartile 1
    0.99736
  • Median
    1.03961
  • Quartile 3
    1.08207
  • Maximum
    1.09558
  • Mean of quarter 1
    0.98448
  • Mean of quarter 2
    1.00166
  • Mean of quarter 3
    1.07757
  • Mean of quarter 4
    1.09558
  • Inter Quartile Range
    0.08471
  • 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)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.01552
  • Quartile 1
    0.01552
  • Median
    0.01552
  • Quartile 3
    0.01552
  • Maximum
    0.01552
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • 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)
    0.49247
  • Compounded annual return (geometric extrapolation)
    0.57774
  • Calmar ratio (compounded annual return / max draw down)
    37.22160
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    8.18669
  • 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
    0.32257
  • SD
    0.22989
  • Sharpe ratio (Glass type estimate)
    1.40312
  • Sharpe ratio (Hedges UMVUE)
    1.39235
  • df
    98.00000
  • t
    0.86250
  • p
    0.19526
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.79491
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.59410
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.80206
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.58676
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.78826
  • Upside Potential Ratio
    8.61416
  • Upside part of mean
    1.55384
  • Downside part of mean
    -1.23127
  • Upside SD
    0.14205
  • Downside SD
    0.18038
  • N nonnegative terms
    67.00000
  • N negative terms
    32.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    99.00000
  • Mean of predictor
    -0.58412
  • Mean of criterion
    0.32257
  • SD of predictor
    0.24292
  • SD of criterion
    0.22989
  • Covariance
    0.00183
  • r
    0.03274
  • b (slope, estimate of beta)
    0.03099
  • a (intercept, estimate of alpha)
    0.34100
  • Mean Square Error
    0.05334
  • DF error
    97.00000
  • t(b)
    0.32265
  • p(b)
    0.37383
  • t(a)
    0.89679
  • p(a)
    0.18603
  • Lowerbound of 95% confidence interval for beta
    -0.15963
  • Upperbound of 95% confidence interval for beta
    0.22160
  • Lowerbound of 95% confidence interval for alpha
    -0.41328
  • Upperbound of 95% confidence interval for alpha
    1.09462
  • Treynor index (mean / b)
    10.40970
  • Jensen alpha (a)
    0.34067
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.29593
  • SD
    0.23168
  • Sharpe ratio (Glass type estimate)
    1.27732
  • Sharpe ratio (Hedges UMVUE)
    1.26752
  • df
    98.00000
  • t
    0.78518
  • p
    0.21712
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.91935
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.46760
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.92587
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.46092
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.61375
  • Upside Potential Ratio
    8.41799
  • Upside part of mean
    1.54370
  • Downside part of mean
    -1.24777
  • Upside SD
    0.14085
  • Downside SD
    0.18338
  • N nonnegative terms
    67.00000
  • N negative terms
    32.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    99.00000
  • Mean of predictor
    -0.61410
  • Mean of criterion
    0.29593
  • SD of predictor
    0.24380
  • SD of criterion
    0.23168
  • Covariance
    0.00187
  • r
    0.03310
  • b (slope, estimate of beta)
    0.03145
  • a (intercept, estimate of alpha)
    0.31525
  • Mean Square Error
    0.05417
  • DF error
    97.00000
  • t(b)
    0.32616
  • p(b)
    0.37250
  • t(a)
    0.82260
  • p(a)
    0.20638
  • Lowerbound of 95% confidence interval for beta
    -0.15994
  • Upperbound of 95% confidence interval for beta
    0.22285
  • Lowerbound of 95% confidence interval for alpha
    -0.44536
  • Upperbound of 95% confidence interval for alpha
    1.07585
  • Treynor index (mean / b)
    9.40877
  • Jensen alpha (a)
    0.31525
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02216
  • Expected Shortfall on VaR
    0.02798
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00786
  • Expected Shortfall on VaR
    0.01763
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    99.00000
  • Minimum
    0.95792
  • Quartile 1
    0.99696
  • Median
    1.00547
  • Quartile 3
    1.00939
  • Maximum
    1.02905
  • Mean of quarter 1
    0.98191
  • Mean of quarter 2
    1.00154
  • Mean of quarter 3
    1.00714
  • Mean of quarter 4
    1.01499
  • Inter Quartile Range
    0.01243
  • Number outliers low
    8.00000
  • Percentage of outliers low
    0.08081
  • Mean of outliers low
    0.96519
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.02020
  • Mean of outliers high
    1.02870
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.02422
  • VaR(95%) (moments method)
    0.01089
  • Expected Shortfall (moments method)
    0.01555
  • Extreme Value Index (regression method)
    -0.32046
  • VaR(95%) (regression method)
    0.01445
  • Expected Shortfall (regression method)
    0.01849
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00252
  • Quartile 1
    0.00399
  • Median
    0.00586
  • Quartile 3
    0.02427
  • Maximum
    0.12201
  • Mean of quarter 1
    0.00322
  • Mean of quarter 2
    0.00422
  • Mean of quarter 3
    0.00750
  • Mean of quarter 4
    0.07594
  • Inter Quartile Range
    0.02028
  • 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
    0.16667
  • Mean of outliers high
    0.12201
  • 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)
    0.34448
  • Compounded annual return (geometric extrapolation)
    0.38242
  • Calmar ratio (compounded annual return / max draw down)
    3.13429
  • Compounded annual return / average of 25% largest draw downs
    5.03603
  • Compounded annual return / Expected Shortfall lognormal
    13.66700
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess log return rates
  • Statistics related to linear regression on benchmark
  • VAR (95 Confidence Intrvl)
    0.02200
  • DRAW DOWN STATISTICS
  • Risk estimates based on draw downs (based on Extreme Value T
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • Last 4 Months - Pcnt Negative
    0.75%
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -305331000
  • Max Equity Drawdown (num days)
    48

Strategy Description

Dear client,

At Collective2, we are a signal provider, meaning we don't take any responsibility for client order execution nor any technical problem that may occur.
This strategy is managed in a real portfolio (TOS). All trades that are seen on Collective2 are fully executed on our side. We are trading our own developed models. We will take short-term & swing positions depending on the market's environment.
*******************************************************************************************************************************
Please be advised; It is a high-risk business! We will try to minimize the risk as much as possible. We believe the bigger the account, the lower the risk because we prefer not to use leverage and try to avoid it. One must understand what is involved in trading.
We were there in 1987 / 1997 / 2000 / 2008 and saw how the market crashed many people.
Therefore, we must emphasize that those who cannot afford to lose should not participate in this game.
*******************************************************************************************************************************
PLEASE NOTE:
We don't replay here nor visit the platform that often. If you have any urgent questions or inquiries, please send an email to: Daniel@goldshteinandco.com

In addition, Collective2 doesn't support pre and after-market trades execution. Nonetheless, sometimes WE WILL trade pre and after-market on our account, especially when there is earning season, so please consider this factor when you choose to subscribe to the strategy; you can modify which product to execute from your side when subscribing to the strategy.
*******************************************************************************************************************************
************************************************************FAQ**************************************************************
*******************************************************************************************************************************

Q: How much should I allocate to this strategy?
A: As we mentioned before, we are managing a portfolio of 1MM; based on your risk tolerance and capital available, you should allocate as you see right (Scaling).

Q: Can I get a discount?
A: No, we don't provide any discounts.

Q: Why is the strategy so expensive?
A: Our strategy trades Futures; one of the limitations we have in Collective2 is the higher we go in AUM, the more effect it has on our buying quantity, known as "Position Limits" (Weird, right?).
So, after working in Collective2 for some time, we saw that the more clients we have, the less we have buying quantity ( There are situations that we can buy at all... and that's unfair towards the current clients)
that said, we decided to try to avoid this problem by having a higher fee so it will have a more negligible effect on the quantity we can buy (This position limits mainly for Futures contracts and not stocks).

Q: Why the Leverage is so high, and how come you have all this buying power?
A: Our portfolio size is 1 Million USD, and Collective2 doesn't adjust the strategy starting capital. Once a strategy opens with starting capital, it is unchangeable.

Q: I want to scale up, how much % should I scale?
A: First of all, we don't want subscribers to scaling the strategy because it affects CLIENTS and OURS trades, meaning the strategy will execute trades, but none of the clients will receive the order (Including you).
Second, as we said, this is a 1MM$ portfolio, so unless you have more than that, there is no reason you should scale up.
Third and most importantly! If you scale up, WE WILL CANCEL YOUR SUBSCRIPTION.
In the end, if you still think you want to scale for any reason, please reach us, and we will try to find a solution.

Q: One of the orders didn't fill what I need to do?
A: Please get in touch with Collective2; We can't do anything regarding that from our side.

Q: Is it an Algo Strategy?
A: No, the strategy is managed by a group of people and manually executed.

Q: I see a different fill price and P&L from the trade on my side.
A: Often, system vendors at C2 will submit a limit order at a price that is not "market-clearing".

Q: Are you double down or doing martingale?
A: No, by our strategy, we have a price range which we will accumulate the asset

Q: Do you have a take profit & stop loss?
A: Each trade has a strategic plan prepared in advance.

Q: The returns of the strategy doesn't add up why there are different numbers
A: Collective2 has to calculate by the requirements of the regulations. If you do due diligence, you will see different numbers that, in the end, are much higher.

Q: What do you trade?
A: We will trade Futures, Stocks, and maybe options depending on market conditions.

Q: There was no trade for a couple of days. Did something happen?
A: There is no trade capacity we try to fill. We manage our portfolio and trade when we think it is right or by our strategy.

Q: I don't want to trade one of those products.
A: You can choose which trades to follow; you don't have to trade them all.

Q: What broker should I use?
A: We are working with Interactive Broker. We can't recommend you a broker that due diligence you should do on your own.

Q: Is there a free trial for the strategy? I want to test your strategy before I subscribe.
A: No, we don't provide any trials. You can simulate the strategy before subscribing.

Q: I wrote you a direct message on Collective2 why don't you reply?
A: As we mentioned, we are not too often on Collective2 as we connected our portfolio to the strategy and let it run. You can email us with the email mentioned above, and we will do our best to reply to your equerry.

Summary Statistics

Strategy began
2022-01-01
Suggested Minimum Capital
$140,000
# Trades
876
# Profitable
804
% Profitable
91.8%
Net Dividends
Correlation S&P500
0.043
Sharpe Ratio
0.75
Sortino Ratio
0.94
Beta
0.04
Alpha
0.07
Leverage
1.84 Average
5.21 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.