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

City of London
(141141675)

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

Subscriptions not available

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

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

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

23.0%
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.

(13.0%)
Max Drawdown
124
Num Trades
43.5%
Win Trades
1.7 : 1
Profit Factor
57.1%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022                                          +3.5%+9.2%+14.3%(1.6%)(1.3%)+2.0%+27.9%
2023(3.9%)                                                                  (3.9%)

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.

Trading Record

This strategy has placed 228 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
12/9/22 13:52 TSLA TESLA INC. SHORT 25 162.72 1/23/23 9:54 136.89 0.02%
Trade id #142832692
Max drawdown($12)
Time12/9/22 14:28
Quant open10
Worst price181.67
Drawdown as % of equity-0.02%
$646
Includes Typical Broker Commissions trade costs of $0.50
1/13/23 15:01 IDXX IDEXX LABORATORIES LONG 3 477.40 1/19 9:30 481.22 0.04%
Trade id #143215550
Max drawdown($24)
Time1/17/23 0:00
Quant open3
Worst price469.40
Drawdown as % of equity-0.04%
$11
Includes Typical Broker Commissions trade costs of $0.06
1/13/23 15:29 YETI YETI HOLDINGS INC LONG 58 45.08 1/18 11:21 42.00 0.31%
Trade id #143215894
Max drawdown($185)
Time1/18/23 11:21
Quant open58
Worst price41.88
Drawdown as % of equity-0.31%
($180)
Includes Typical Broker Commissions trade costs of $1.16
12/2/22 15:23 ZS ZSCALER INC. COMMON STOCK SHORT 60 120.78 1/18/23 10:03 110.57 0.81%
Trade id #142755639
Max drawdown($508)
Time12/13/22 0:00
Quant open56
Worst price129.87
Drawdown as % of equity-0.81%
$612
Includes Typical Broker Commissions trade costs of $1.20
11/25/22 11:16 CAR AVIS BUDGET GROUP SHORT 49 219.92 1/11/23 10:05 185.63 0.09%
Trade id #142678008
Max drawdown($59)
Time11/29/22 0:00
Quant open9
Worst price228.48
Drawdown as % of equity-0.09%
$1,680
Includes Typical Broker Commissions trade costs of $0.98
12/16/22 12:33 DKNG DRAFTKINGS INC. CLASS A COMMON STOCK SHORT 252 11.60 1/9/23 11:58 11.86 0.18%
Trade id #142907399
Max drawdown($111)
Time1/9/23 11:58
Quant open189
Worst price12.19
Drawdown as % of equity-0.18%
($70)
Includes Typical Broker Commissions trade costs of $5.04
12/23/22 14:58 NIO NIO INC SHORT 353 10.00 1/9/23 11:05 11.06 0.61%
Trade id #142987159
Max drawdown($378)
Time1/9/23 11:05
Quant open353
Worst price11.07
Drawdown as % of equity-0.61%
($383)
Includes Typical Broker Commissions trade costs of $7.06
12/23/22 15:02 ZM ZOOM VIDEO COMMUNICATIONS INC. CLASS A SHORT 152 66.95 1/9/23 9:32 70.61 0.91%
Trade id #142987211
Max drawdown($564)
Time1/9/23 9:32
Quant open152
Worst price70.66
Drawdown as % of equity-0.91%
($560)
Includes Typical Broker Commissions trade costs of $3.04
11/4/22 12:23 BLOK AMPLIFY TRANSFORMATIONAL DATA SHARING ETF SHORT 480 16.98 1/9/23 9:31 15.85 0.23%
Trade id #142445225
Max drawdown($143)
Time11/15/22 0:00
Quant open260
Worst price17.87
Drawdown as % of equity-0.23%
$533
Includes Typical Broker Commissions trade costs of $9.60
12/16/22 12:31 MSTR MICROSTRATEGY SHORT 21 164.65 1/9/23 9:30 160.14 0.1%
Trade id #142907385
Max drawdown($61)
Time1/9/23 9:30
Quant open-11
Worst price170.28
Drawdown as % of equity-0.10%
$95
Includes Typical Broker Commissions trade costs of $0.42
12/16/22 12:24 STAA STAAR SURGICAL SHORT 61 49.91 1/4/23 11:34 53.61 0.44%
Trade id #142907291
Max drawdown($273)
Time1/4/23 11:34
Quant open46
Worst price55.86
Drawdown as % of equity-0.44%
($227)
Includes Typical Broker Commissions trade costs of $1.22
11/21/22 14:10 PYPL PAYPAL HOLDINGS CORP SHORT 87 77.34 1/3/23 9:30 71.09 0.15%
Trade id #142636227
Max drawdown($92)
Time11/28/22 0:00
Quant open38
Worst price82.92
Drawdown as % of equity-0.15%
$542
Includes Typical Broker Commissions trade costs of $1.74
12/23/22 14:47 SQ BLOCK INC SHORT 227 61.47 1/3/23 9:29 66.67 0.12%
Trade id #142987062
Max drawdown($75)
Time12/29/22 0:00
Quant open27
Worst price63.47
Drawdown as % of equity-0.12%
($1,186)
Includes Typical Broker Commissions trade costs of $4.54
11/4/22 12:35 PDD PINDUODUO INC. ADS LONG 33 63.99 12/28 9:43 78.79 0.08%
Trade id #142445459
Max drawdown($47)
Time11/8/22 0:00
Quant open13
Worst price58.12
Drawdown as % of equity-0.08%
$487
Includes Typical Broker Commissions trade costs of $0.66
12/9/22 13:49 MDB MONGODB INC. CLASS A COMMON STOCK LONG 3 193.32 12/23 15:21 194.81 0.02%
Trade id #142832626
Max drawdown($10)
Time12/19/22 0:00
Quant open3
Worst price189.88
Drawdown as % of equity-0.02%
$4
Includes Typical Broker Commissions trade costs of $0.06
10/25/22 10:03 NVDA NVIDIA LONG 25 135.83 12/19 15:39 164.54 0.11%
Trade id #142299977
Max drawdown($65)
Time11/3/22 0:00
Quant open16
Worst price129.56
Drawdown as % of equity-0.11%
$718
Includes Typical Broker Commissions trade costs of $0.50
10/26/22 11:55 YETI YETI HOLDINGS INC LONG 66 32.72 12/19 9:34 39.96 0.31%
Trade id #142327346
Max drawdown($194)
Time11/3/22 0:00
Quant open66
Worst price29.78
Drawdown as % of equity-0.31%
$477
Includes Typical Broker Commissions trade costs of $1.32
11/15/22 10:00 MSFT MICROSOFT LONG 27 243.00 12/19 9:34 248.03 0.21%
Trade id #142568908
Max drawdown($129)
Time11/29/22 0:00
Quant open27
Worst price238.21
Drawdown as % of equity-0.21%
$135
Includes Typical Broker Commissions trade costs of $0.54
11/30/22 11:17 NIO NIO INC LONG 361 12.80 12/19 9:31 11.48 0.77%
Trade id #142720337
Max drawdown($485)
Time12/19/22 9:31
Quant open361
Worst price11.45
Drawdown as % of equity-0.77%
($480)
Includes Typical Broker Commissions trade costs of $7.22
10/21/22 15:50 FRHC FREEDOM HOLDING CORP. COMMON STOCK LONG 252 56.07 12/16 9:30 60.78 0.32%
Trade id #142269318
Max drawdown($199)
Time11/3/22 0:00
Quant open74
Worst price52.79
Drawdown as % of equity-0.32%
$1,180
Includes Typical Broker Commissions trade costs of $5.04
12/2/22 15:32 IDXX IDEXX LABORATORIES LONG 20 425.89 12/16 9:30 409.84 0.54%
Trade id #142755728
Max drawdown($336)
Time12/16/22 9:30
Quant open20
Worst price409.08
Drawdown as % of equity-0.54%
($321)
Includes Typical Broker Commissions trade costs of $0.40
11/1/22 12:24 AMZN AMAZON.COM SHORT 41 98.50 12/13 9:30 93.43 0.35%
Trade id #142398354
Max drawdown($216)
Time11/15/22 0:00
Quant open41
Worst price103.79
Drawdown as % of equity-0.35%
$207
Includes Typical Broker Commissions trade costs of $0.82
11/25/22 11:21 ZM ZOOM VIDEO COMMUNICATIONS INC. CLASS A SHORT 77 74.73 12/13 9:30 78.42 0.47%
Trade id #142678060
Max drawdown($294)
Time12/13/22 9:30
Quant open77
Worst price78.55
Drawdown as % of equity-0.47%
($286)
Includes Typical Broker Commissions trade costs of $1.54
11/21/22 9:36 MDB MONGODB INC. CLASS A COMMON STOCK SHORT 10 148.80 12/7 9:30 184.71 0.57%
Trade id #142631013
Max drawdown($361)
Time12/7/22 9:30
Quant open10
Worst price185.00
Drawdown as % of equity-0.57%
($359)
Includes Typical Broker Commissions trade costs of $0.20
11/15/22 9:58 DKNG DRAFTKINGS INC. CLASS A COMMON STOCK LONG 579 15.26 12/6 10:03 14.07 1.1%
Trade id #142568806
Max drawdown($699)
Time12/6/22 10:03
Quant open579
Worst price14.05
Drawdown as % of equity-1.10%
($694)
Includes Typical Broker Commissions trade costs of $8.29
11/4/22 12:06 STAA STAAR SURGICAL SHORT 122 64.64 12/5 11:12 63.01 0.39%
Trade id #142444898
Max drawdown($245)
Time11/15/22 0:00
Quant open106
Worst price67.64
Drawdown as % of equity-0.39%
$197
Includes Typical Broker Commissions trade costs of $2.44
11/17/22 14:50 MSTR MICROSTRATEGY SHORT 8 169.18 12/1 10:03 181.05 0.24%
Trade id #142604026
Max drawdown($147)
Time12/1/22 10:03
Quant open4
Worst price206.00
Drawdown as % of equity-0.24%
($95)
Includes Typical Broker Commissions trade costs of $0.16
11/21/22 9:41 ARKK ARK INNOVATION ETF SHORT 113 35.99 12/1 9:35 38.17 0.42%
Trade id #142631167
Max drawdown($260)
Time12/1/22 9:35
Quant open113
Worst price38.30
Drawdown as % of equity-0.42%
($249)
Includes Typical Broker Commissions trade costs of $2.26
11/7/22 15:33 TSLA TESLA INC. SHORT 28 189.88 11/30 14:18 185.50 0.22%
Trade id #142473160
Max drawdown($136)
Time11/15/22 0:00
Quant open19
Worst price200.82
Drawdown as % of equity-0.22%
$122
Includes Typical Broker Commissions trade costs of $0.56
11/21/22 14:08 SQ BLOCK INC SHORT 67 62.90 11/30 14:07 66.29 0.36%
Trade id #142636210
Max drawdown($228)
Time11/30/22 14:07
Quant open67
Worst price66.31
Drawdown as % of equity-0.36%
($228)
Includes Typical Broker Commissions trade costs of $1.34

Statistics

  • Strategy began
    7/21/2022
  • Suggested Minimum Cap
    $5,000
  • Strategy Age (days)
    189.33
  • Age
    6 months ago
  • What it trades
    Stocks
  • # Trades
    124
  • # Profitable
    54
  • % Profitable
    43.50%
  • Avg trade duration
    20.9 days
  • Max peak-to-valley drawdown
    12.97%
  • drawdown period
    Oct 14, 2022 - Dec 09, 2022
  • Cumul. Return
    23.0%
  • Avg win
    $511.13
  • Avg loss
    $226.87
  • Model Account Values (Raw)
  • Cash
    $52,659
  • Margin Used
    $0
  • Buying Power
    $53,548
  • Ratios
  • W:L ratio
    1.74:1
  • Sharpe Ratio
    1.55
  • Sortino Ratio
    2.42
  • Calmar Ratio
    6.441
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    21.43%
  • Correlation to SP500
    -0.34140
  • Return Percent SP500 (cumu) during strategy life
    1.54%
  • Return Statistics
  • Ann Return (w trading costs)
    47.9%
  • Slump
  • Current Slump as Pcnt Equity
    7.40%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.54%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.230%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    50.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    21.00%
  • Chance of 20% account loss
    1.50%
  • 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)
    631
  • Popularity (Last 6 weeks)
    955
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    950
  • Popularity (7 days, Percentile 1000 scale)
    845
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $227
  • Avg Win
    $515
  • Sum Trade PL (losers)
    $15,881.000
  • Age
  • Num Months filled monthly returns table
    7
  • Win / Loss
  • Sum Trade PL (winners)
    $27,786.000
  • # Winners
    54
  • Num Months Winners
    4
  • Dividends
  • Dividends Received in Model Acct
    6
  • AUM
  • AUM (AutoTrader live capital)
    246860
  • Win / Loss
  • # Losers
    70
  • % Winners
    43.5%
  • Frequency
  • Avg Position Time (mins)
    30152.20
  • Avg Position Time (hrs)
    502.54
  • Avg Trade Length
    20.9 days
  • Last Trade Ago
    6
  • Leverage
  • Daily leverage (average)
    0.75
  • Daily leverage (max)
    1.45
  • Regression
  • Alpha
    0.11
  • Beta
    -0.32
  • Treynor Index
    -0.34
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.68
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    2.184
  • 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
    0.261
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.032
  • Hold-and-Hope Ratio
    0.502
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.39373
  • SD
    0.21061
  • Sharpe ratio (Glass type estimate)
    1.86950
  • Sharpe ratio (Hedges UMVUE)
    1.57178
  • df
    5.00000
  • t
    1.32193
  • p
    0.12172
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.19945
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.78483
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.36624
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.50979
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.52076
  • Upside Potential Ratio
    7.39285
  • Upside part of mean
    0.52725
  • Downside part of mean
    -0.13352
  • Upside SD
    0.21165
  • Downside SD
    0.07132
  • N nonnegative terms
    4.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    6.00000
  • Mean of predictor
    -0.02880
  • Mean of criterion
    0.39373
  • SD of predictor
    0.17012
  • SD of criterion
    0.21061
  • Covariance
    -0.02493
  • r
    -0.69571
  • b (slope, estimate of beta)
    -0.86130
  • a (intercept, estimate of alpha)
    0.36893
  • Mean Square Error
    0.02861
  • DF error
    4.00000
  • t(b)
    -1.93704
  • p(b)
    0.93760
  • t(a)
    1.54012
  • p(a)
    0.09919
  • Lowerbound of 95% confidence interval for beta
    -2.09609
  • Upperbound of 95% confidence interval for beta
    0.37348
  • Lowerbound of 95% confidence interval for alpha
    -0.29629
  • Upperbound of 95% confidence interval for alpha
    1.03415
  • Treynor index (mean / b)
    -0.45714
  • Jensen alpha (a)
    0.36893
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.36920
  • SD
    0.20414
  • Sharpe ratio (Glass type estimate)
    1.80861
  • Sharpe ratio (Hedges UMVUE)
    1.52059
  • df
    5.00000
  • t
    1.27888
  • p
    0.12854
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.24499
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.71207
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.40706
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.44824
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.08006
  • Upside Potential Ratio
    6.94875
  • Upside part of mean
    0.50501
  • Downside part of mean
    -0.13581
  • Upside SD
    0.20200
  • Downside SD
    0.07268
  • N nonnegative terms
    4.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    6.00000
  • Mean of predictor
    -0.04112
  • Mean of criterion
    0.36920
  • SD of predictor
    0.17327
  • SD of criterion
    0.20414
  • Covariance
    -0.02437
  • r
    -0.68898
  • b (slope, estimate of beta)
    -0.81170
  • a (intercept, estimate of alpha)
    0.33582
  • Mean Square Error
    0.02736
  • DF error
    4.00000
  • t(b)
    -1.90119
  • p(b)
    0.93497
  • t(a)
    1.43151
  • p(a)
    0.11277
  • Lowerbound of 95% confidence interval for beta
    -1.99730
  • Upperbound of 95% confidence interval for beta
    0.37391
  • Lowerbound of 95% confidence interval for alpha
    -0.31564
  • Upperbound of 95% confidence interval for alpha
    0.98729
  • Treynor index (mean / b)
    -0.45485
  • Jensen alpha (a)
    0.33582
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06402
  • Expected Shortfall on VaR
    0.08657
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01995
  • Expected Shortfall on VaR
    0.03938
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    6.00000
  • Minimum
    0.95640
  • Quartile 1
    0.98995
  • Median
    1.03778
  • Quartile 3
    1.07980
  • Maximum
    1.11105
  • Mean of quarter 1
    0.96895
  • Mean of quarter 2
    1.01532
  • Mean of quarter 3
    1.06024
  • Mean of quarter 4
    1.09869
  • Inter Quartile Range
    0.08985
  • 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
    0.04691
  • Quartile 1
    0.04691
  • Median
    0.04691
  • Quartile 3
    0.04691
  • Maximum
    0.04691
  • 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)
    0.43928
  • Compounded annual return (geometric extrapolation)
    0.48752
  • Calmar ratio (compounded annual return / max draw down)
    10.39270
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    5.63145
  • 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
    0.40011
  • SD
    0.21058
  • Sharpe ratio (Glass type estimate)
    1.90002
  • Sharpe ratio (Hedges UMVUE)
    1.88937
  • df
    134.00000
  • t
    1.36388
  • p
    0.44149
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.84328
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.63639
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.85042
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.62916
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.99774
  • Upside Potential Ratio
    9.76341
  • Upside part of mean
    1.30312
  • Downside part of mean
    -0.90301
  • Upside SD
    0.16375
  • Downside SD
    0.13347
  • N nonnegative terms
    74.00000
  • N negative terms
    61.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    135.00000
  • Mean of predictor
    0.02780
  • Mean of criterion
    0.40011
  • SD of predictor
    0.22967
  • SD of criterion
    0.21058
  • Covariance
    -0.01579
  • r
    -0.32641
  • b (slope, estimate of beta)
    -0.29929
  • a (intercept, estimate of alpha)
    0.40800
  • Mean Square Error
    0.03992
  • DF error
    133.00000
  • t(b)
    -3.98253
  • p(b)
    0.70405
  • t(a)
    1.46737
  • p(a)
    0.41986
  • Lowerbound of 95% confidence interval for beta
    -0.44793
  • Upperbound of 95% confidence interval for beta
    -0.15064
  • Lowerbound of 95% confidence interval for alpha
    -0.14212
  • Upperbound of 95% confidence interval for alpha
    0.95898
  • Treynor index (mean / b)
    -1.33687
  • Jensen alpha (a)
    0.40843
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.37780
  • SD
    0.21044
  • Sharpe ratio (Glass type estimate)
    1.79528
  • Sharpe ratio (Hedges UMVUE)
    1.78521
  • df
    134.00000
  • t
    1.28869
  • p
    0.44468
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.94689
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.53087
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.95357
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.52400
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.78120
  • Upside Potential Ratio
    9.49521
  • Upside part of mean
    1.28983
  • Downside part of mean
    -0.91203
  • Upside SD
    0.16140
  • Downside SD
    0.13584
  • N nonnegative terms
    74.00000
  • N negative terms
    61.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    135.00000
  • Mean of predictor
    0.00170
  • Mean of criterion
    0.37780
  • SD of predictor
    0.22912
  • SD of criterion
    0.21044
  • Covariance
    -0.01584
  • r
    -0.32858
  • b (slope, estimate of beta)
    -0.30179
  • a (intercept, estimate of alpha)
    0.37831
  • Mean Square Error
    0.03980
  • DF error
    133.00000
  • t(b)
    -4.01212
  • p(b)
    0.70535
  • t(a)
    1.36120
  • p(a)
    0.42555
  • Lowerbound of 95% confidence interval for beta
    -0.45057
  • Upperbound of 95% confidence interval for beta
    -0.15301
  • Lowerbound of 95% confidence interval for alpha
    -0.17142
  • Upperbound of 95% confidence interval for alpha
    0.92804
  • Treynor index (mean / b)
    -1.25188
  • Jensen alpha (a)
    0.37831
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01975
  • Expected Shortfall on VaR
    0.02504
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00732
  • Expected Shortfall on VaR
    0.01553
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    135.00000
  • Minimum
    0.94068
  • Quartile 1
    0.99641
  • Median
    1.00153
  • Quartile 3
    1.00524
  • Maximum
    1.04376
  • Mean of quarter 1
    0.98764
  • Mean of quarter 2
    0.99905
  • Mean of quarter 3
    1.00308
  • Mean of quarter 4
    1.01681
  • Inter Quartile Range
    0.00884
  • Number outliers low
    9.00000
  • Percentage of outliers low
    0.06667
  • Mean of outliers low
    0.97441
  • Number of outliers high
    13.00000
  • Percentage of outliers high
    0.09630
  • Mean of outliers high
    1.02861
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.30763
  • VaR(95%) (moments method)
    0.01112
  • Expected Shortfall (moments method)
    0.01974
  • Extreme Value Index (regression method)
    0.19242
  • VaR(95%) (regression method)
    0.01025
  • Expected Shortfall (regression method)
    0.01619
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.00408
  • Quartile 1
    0.00789
  • Median
    0.01679
  • Quartile 3
    0.05530
  • Maximum
    0.07769
  • Mean of quarter 1
    0.00550
  • Mean of quarter 2
    0.01037
  • Mean of quarter 3
    0.02592
  • Mean of quarter 4
    0.07097
  • Inter Quartile Range
    0.04742
  • 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)
    -8.13045
  • VaR(95%) (moments method)
    0.07508
  • Expected Shortfall (moments method)
    0.07508
  • Extreme Value Index (regression method)
    -1.52909
  • VaR(95%) (regression method)
    0.08240
  • Expected Shortfall (regression method)
    0.08332
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.45123
  • Compounded annual return (geometric extrapolation)
    0.50036
  • Calmar ratio (compounded annual return / max draw down)
    6.44052
  • Compounded annual return / average of 25% largest draw downs
    7.05060
  • Compounded annual return / Expected Shortfall lognormal
    19.97860
  • 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
    0.45177
  • SD
    0.21163
  • Sharpe ratio (Glass type estimate)
    2.13475
  • Sharpe ratio (Hedges UMVUE)
    2.12241
  • df
    130.00000
  • t
    1.50949
  • p
    0.43438
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.65318
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.91467
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.66138
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.90619
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.40575
  • Upside Potential Ratio
    10.10290
  • Upside part of mean
    1.34014
  • Downside part of mean
    -0.88837
  • Upside SD
    0.16622
  • Downside SD
    0.13265
  • N nonnegative terms
    73.00000
  • N negative terms
    58.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.01631
  • Mean of criterion
    0.45177
  • SD of predictor
    0.22923
  • SD of criterion
    0.21163
  • Covariance
    -0.01667
  • r
    -0.34355
  • b (slope, estimate of beta)
    -0.31716
  • a (intercept, estimate of alpha)
    0.45694
  • Mean Square Error
    0.03981
  • DF error
    129.00000
  • t(b)
    -4.15490
  • p(b)
    0.71433
  • t(a)
    1.61945
  • p(a)
    0.41044
  • Lowerbound of 95% confidence interval for beta
    -0.46820
  • Upperbound of 95% confidence interval for beta
    -0.16613
  • Lowerbound of 95% confidence interval for alpha
    -0.10132
  • Upperbound of 95% confidence interval for alpha
    1.01520
  • Treynor index (mean / b)
    -1.42441
  • Jensen alpha (a)
    0.45694
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.42916
  • SD
    0.21147
  • Sharpe ratio (Glass type estimate)
    2.02947
  • Sharpe ratio (Hedges UMVUE)
    2.01774
  • df
    130.00000
  • t
    1.43505
  • p
    0.43756
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.75705
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.80835
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.76490
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.80037
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.17778
  • Upside Potential Ratio
    9.82179
  • Upside part of mean
    1.32645
  • Downside part of mean
    -0.89728
  • Upside SD
    0.16383
  • Downside SD
    0.13505
  • N nonnegative terms
    73.00000
  • N negative terms
    58.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.00969
  • Mean of criterion
    0.42916
  • SD of predictor
    0.22873
  • SD of criterion
    0.21147
  • Covariance
    -0.01673
  • r
    -0.34586
  • b (slope, estimate of beta)
    -0.31975
  • a (intercept, estimate of alpha)
    0.42607
  • Mean Square Error
    0.03967
  • DF error
    129.00000
  • t(b)
    -4.18661
  • p(b)
    0.71571
  • t(a)
    1.51254
  • p(a)
    0.41621
  • VAR (95 Confidence Intrvl)
    0.02000
  • Lowerbound of 95% confidence interval for beta
    -0.47086
  • Upperbound of 95% confidence interval for beta
    -0.16864
  • Lowerbound of 95% confidence interval for alpha
    -0.13126
  • Upperbound of 95% confidence interval for alpha
    0.98340
  • Treynor index (mean / b)
    -1.34217
  • Jensen alpha (a)
    0.42607
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01966
  • Expected Shortfall on VaR
    0.02498
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00709
  • Expected Shortfall on VaR
    0.01515
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.94068
  • Quartile 1
    0.99641
  • Median
    1.00158
  • Quartile 3
    1.00542
  • Maximum
    1.04376
  • Mean of quarter 1
    0.98785
  • Mean of quarter 2
    0.99911
  • Mean of quarter 3
    1.00325
  • Mean of quarter 4
    1.01716
  • Inter Quartile Range
    0.00901
  • Number outliers low
    8.00000
  • Percentage of outliers low
    0.06107
  • Mean of outliers low
    0.97364
  • Number of outliers high
    11.00000
  • Percentage of outliers high
    0.08397
  • Mean of outliers high
    1.03040
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.33322
  • VaR(95%) (moments method)
    0.01112
  • Expected Shortfall (moments method)
    0.02026
  • Extreme Value Index (regression method)
    0.21580
  • VaR(95%) (regression method)
    0.01002
  • Expected Shortfall (regression method)
    0.01603
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.00408
  • Quartile 1
    0.00787
  • Median
    0.01282
  • Quartile 3
    0.06338
  • Maximum
    0.07769
  • Mean of quarter 1
    0.00550
  • Mean of quarter 2
    0.01037
  • Mean of quarter 3
    0.04723
  • Mean of quarter 4
    0.07476
  • Inter Quartile Range
    0.05551
  • 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)
    -8.13045
  • VaR(95%) (moments method)
    0.07508
  • Expected Shortfall (moments method)
    0.07508
  • Extreme Value Index (regression method)
    -1.52909
  • VaR(95%) (regression method)
    0.08260
  • Last 4 Months - Pcnt Negative
    0.75%
  • Expected Shortfall (regression method)
    0.08341
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -412234000
  • Max Equity Drawdown (num days)
    56
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.51352
  • Compounded annual return (geometric extrapolation)
    0.57944
  • Calmar ratio (compounded annual return / max draw down)
    7.45842
  • Compounded annual return / average of 25% largest draw downs
    7.75060
  • Compounded annual return / Expected Shortfall lognormal
    23.19520

Strategy Description

Please do not join existing positions!

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

This strategy is hunting for trends and momentum. We open up to around 20 instruments, each limited to 1% account risk. Each position is entered progressively in two rounds and also exited progressively.

We will never open positions that total more than 20% of account risk. So please adjust accordingly. In theory, this would be the max risk, but in practice, slippage and overnight gaps might occur.

We will NEVER open a position against the bigger trend!
Position sizing is dictated by max risk.

This is a scalable strategy. Right now we're issuing market orders, but in time we'll issue limit orders. Anyway, all the instruments are liquid so it doesn't really make a difference.

Please get in touch if you can't trade certain security. Over time, we're looking to follow securities that can be traded by any account. You can also trade this strategy without leverage. Please get in touch if there is an instrument you can trade.

Please note that we're continuously testing, updating and improving this strategy.

These are the instruments on our watch list:
STAA
MDB
YETI
BLOK
FRHC
PYPL
SQ
NVDA
TSLA
CAR
MSTR
DKNG
NIO
PDD
CVNA
MRNA
MELI
ZS
ZM
IDXX
ADBE
MARA
AAPL
MSFT
GOOG
ENPH
TEAM
ALGN

Summary Statistics

Strategy began
2022-07-21
Suggested Minimum Capital
$5,000
Rank at C2 %
Top 5.0%
Rank # 
#39
# Trades
124
# Profitable
54
% Profitable
43.5%
Net Dividends
Correlation S&P500
-0.341
Sharpe Ratio
1.55
Sortino Ratio
2.42
Beta
-0.32
Alpha
0.11
Leverage
0.75 Average
1.45 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.