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C2Star Strategy DSX50 C2Star: in evaluation Hypothetical

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These are hypothetical performance results that have certain inherent limitations. Learn more
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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 05/23/2022
Most recent certification approved 5/23/22 9:32 ET
Trades at broker C2 Gateway
Scaling percentage used 100%
# trading signals issued by system since certification 1,650
# trading signals executed in manager's C2 Gateway account 1,650
Percent signals followed since 05/23/2022 100%
This information was last updated 11/30/23 18:52 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 05/23/2022, 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.

SP500 Stocks spike Live
(140513127)

Created by: FabianKlare FabianKlare
Started: 05/2022
Stocks
Last trade: Today
Trading style: Equity Short-term Reversal

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 $49.00 per month.

C2Star

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

You can read more about C2Star certification requirements here.

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

Trading Category: Equity
Short-term Reversal
Category: Equity

Short-term Reversal

Exploits the tendency of stocks with strong gains and stocks with strong losses to reverse in a short-term time frame (up to one month).
32.8%
Annual Return (Compounded)

Rate of Return Calculations

Overview

To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.

How Annualized (Compounded) Rate of Return is calculated

= ((Ending_equity / Starting_equity) ^ (1 / age_in_years)) - 1

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

All results are hypothetical.

(20.8%)
Max Drawdown
822
Num Trades
63.0%
Win Trades
1.5 : 1
Profit Factor
52.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022                            +13.6%+4.1%+7.1%(0.6%)(4.7%)+21.0%+12.4%(1.1%)+61.6%
2023+0.9%(0.4%)(8.7%)+1.6%+0.9%(0.1%)+3.2%(4.3%)(3.7%)(0.5%)+8.0%      (4%)

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 1,650 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/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
11/7/23 9:57 CEG CONSTELLATION ENERGY CORPORATION LONG 41 119.49 11/30 15:59 121.03 0.04%
Trade id #146355644
Max drawdown($34)
Time11/7/23 10:45
Quant open41
Worst price118.66
Drawdown as % of equity-0.04%
 $62
Includes Typical Broker Commissions trade costs of $0.82
11/29/23 12:17 CNC CENTENE LONG 74 68.67 11/30 10:54 72.30 n/a $267
Includes Typical Broker Commissions trade costs of $1.48
11/28/23 15:20 GWW W.W. GRAINGER LONG 6 775.43 11/29 15:59 776.31 0.02%
Trade id #146558558
Max drawdown($19)
Time11/29/23 11:21
Quant open6
Worst price772.13
Drawdown as % of equity-0.02%
 $5
Includes Typical Broker Commissions trade costs of $0.12
11/9/23 14:05 ZION ZIONS BANCORPORATION LONG 154 32.54 11/28 15:59 34.55 0.06%
Trade id #146389485
Max drawdown($54)
Time11/10/23 0:00
Quant open154
Worst price32.18
Drawdown as % of equity-0.06%
 $308
Includes Typical Broker Commissions trade costs of $3.08
11/24/23 10:34 A AGILENT TECHNOLOGIES SHORT 43 125.28 11/27 14:05 125.22 0.07%
Trade id #146527181
Max drawdown($65)
Time11/24/23 13:01
Quant open43
Worst price126.80
Drawdown as % of equity-0.07%
 $2
Includes Typical Broker Commissions trade costs of $0.86
11/22/23 9:35 EXR EXTRA SPACE STORAGE LONG 42 128.23 11/27 9:30 127.16 0.13%
Trade id #146509359
Max drawdown($122)
Time11/24/23 0:00
Quant open42
Worst price125.32
Drawdown as % of equity-0.13%
 ($46)
Includes Typical Broker Commissions trade costs of $0.84
11/15/23 10:09 BLK BLACKROCK SHORT 7 705.83 11/27 9:30 727.91 0.19%
Trade id #146447543
Max drawdown($174)
Time11/24/23 0:00
Quant open7
Worst price730.74
Drawdown as % of equity-0.19%
 ($155)
Includes Typical Broker Commissions trade costs of $0.14
11/15/23 9:39 PODD INSULET SHORT 31 174.56 11/27 9:30 186.65 0.52%
Trade id #146446835
Max drawdown($477)
Time11/24/23 0:00
Quant open31
Worst price189.97
Drawdown as % of equity-0.52%
 ($376)
Includes Typical Broker Commissions trade costs of $0.62
11/17/23 14:04 INTC INTEL SHORT 126 43.38 11/27 9:30 43.72 0.21%
Trade id #146474832
Max drawdown($195)
Time11/20/23 0:00
Quant open126
Worst price44.93
Drawdown as % of equity-0.21%
 ($46)
Includes Typical Broker Commissions trade costs of $2.52
11/15/23 9:47 EFX EQUIFAX SHORT 27 198.68 11/27 9:30 209.93 0.38%
Trade id #146447145
Max drawdown($351)
Time11/22/23 0:00
Quant open27
Worst price211.71
Drawdown as % of equity-0.38%
 ($305)
Includes Typical Broker Commissions trade costs of $0.54
11/22/23 10:04 NVDA NVIDIA LONG 10 478.65 11/27 9:30 477.94 0.02%
Trade id #146510391
Max drawdown($17)
Time11/22/23 10:18
Quant open10
Worst price476.90
Drawdown as % of equity-0.02%
 ($7)
Includes Typical Broker Commissions trade costs of $0.20
11/15/23 10:10 BA BOEING SHORT 26 210.52 11/24 11:47 219.30 0.31%
Trade id #146447572
Max drawdown($287)
Time11/24/23 10:27
Quant open26
Worst price221.59
Drawdown as % of equity-0.31%
 ($229)
Includes Typical Broker Commissions trade costs of $0.52
11/15/23 9:44 IDXX IDEXX LABORATORIES SHORT 11 459.39 11/24 10:15 477.03 0.29%
Trade id #146447029
Max drawdown($271)
Time11/22/23 0:00
Quant open11
Worst price484.07
Drawdown as % of equity-0.29%
 ($194)
Includes Typical Broker Commissions trade costs of $0.22
11/17/23 11:38 EXPE EXPEDIA SHORT 40 135.75 11/24 9:35 135.14 0.1%
Trade id #146472354
Max drawdown($96)
Time11/22/23 0:00
Quant open40
Worst price138.16
Drawdown as % of equity-0.10%
 $24
Includes Typical Broker Commissions trade costs of $0.80
11/21/23 9:34 FSLR FIRST SOLAR INC SHORT 34 161.60 11/24 9:33 157.92 0.03%
Trade id #146498325
Max drawdown($30)
Time11/21/23 9:38
Quant open34
Worst price162.48
Drawdown as % of equity-0.03%
 $124
Includes Typical Broker Commissions trade costs of $0.68
11/20/23 9:59 ENPH ENPHASE ENERGY SHORT 58 94.58 11/24 9:31 99.22 0.46%
Trade id #146488199
Max drawdown($422)
Time11/22/23 0:00
Quant open58
Worst price101.86
Drawdown as % of equity-0.46%
 ($270)
Includes Typical Broker Commissions trade costs of $1.16
11/21/23 13:27 NRG NRG ENERGY LONG 115 45.21 11/22 15:59 45.84 0.04%
Trade id #146502319
Max drawdown($35)
Time11/21/23 14:01
Quant open115
Worst price44.90
Drawdown as % of equity-0.04%
 $70
Includes Typical Broker Commissions trade costs of $2.30
11/20/23 10:06 CTLT CATALENT INC SHORT 136 40.16 11/22 12:45 39.70 0.08%
Trade id #146488501
Max drawdown($78)
Time11/20/23 10:20
Quant open136
Worst price40.74
Drawdown as % of equity-0.08%
 $60
Includes Typical Broker Commissions trade costs of $2.72
11/14/23 9:41 DVA DAVITA INC SHORT 58 91.00 11/21 15:59 97.48 0.48%
Trade id #146430054
Max drawdown($444)
Time11/21/23 12:00
Quant open58
Worst price98.66
Drawdown as % of equity-0.48%
 ($377)
Includes Typical Broker Commissions trade costs of $1.16
11/16/23 9:38 NXPI NXP SEMICONDUCTOR SHORT 27 202.55 11/21 9:45 200.75 0.02%
Trade id #146458212
Max drawdown($14)
Time11/16/23 9:50
Quant open27
Worst price203.07
Drawdown as % of equity-0.02%
 $47
Includes Typical Broker Commissions trade costs of $0.54
11/15/23 9:42 ALK ALASKA AIR GROUP SHORT 149 36.72 11/21 9:35 36.86 0.17%
Trade id #146446977
Max drawdown($156)
Time11/15/23 10:30
Quant open149
Worst price37.77
Drawdown as % of equity-0.17%
 ($23)
Includes Typical Broker Commissions trade costs of $2.98
11/15/23 10:47 INTU INTUIT SHORT 9 565.18 11/21 9:31 561.00 0.02%
Trade id #146448474
Max drawdown($16)
Time11/15/23 11:03
Quant open9
Worst price567.02
Drawdown as % of equity-0.02%
 $38
Includes Typical Broker Commissions trade costs of $0.18
11/15/23 10:17 MPWR MONOLITHIC POWER SYSTEMS SHORT 10 547.35 11/21 9:31 545.28 0.1%
Trade id #146447742
Max drawdown($90)
Time11/15/23 10:43
Quant open10
Worst price556.43
Drawdown as % of equity-0.10%
 $21
Includes Typical Broker Commissions trade costs of $0.20
11/15/23 9:39 CCL CARNIVAL SHORT 381 14.35 11/21 9:31 14.15 0.27%
Trade id #146446807
Max drawdown($250)
Time11/17/23 0:00
Quant open381
Worst price15.01
Drawdown as % of equity-0.27%
 $68
Includes Typical Broker Commissions trade costs of $7.62
11/15/23 9:56 EXR EXTRA SPACE STORAGE SHORT 41 130.54 11/20 9:35 127.73 0.12%
Trade id #146447319
Max drawdown($110)
Time11/16/23 0:00
Quant open41
Worst price133.24
Drawdown as % of equity-0.12%
 $114
Includes Typical Broker Commissions trade costs of $0.82
11/15/23 10:08 URI UNITED RENTALS SHORT 11 483.24 11/20 9:30 467.66 0.06%
Trade id #146447532
Max drawdown($60)
Time11/15/23 11:04
Quant open11
Worst price488.73
Drawdown as % of equity-0.06%
 $171
Includes Typical Broker Commissions trade costs of $0.22
11/9/23 9:53 EXPE EXPEDIA SHORT 44 117.77 11/16 15:59 129.91 0.78%
Trade id #146384988
Max drawdown($730)
Time11/15/23 0:00
Quant open44
Worst price134.37
Drawdown as % of equity-0.78%
 ($535)
Includes Typical Broker Commissions trade costs of $0.88
11/10/23 15:42 TDG TRANSDIGM GROUP SHORT 5 996.01 11/16 10:19 990.23 0.09%
Trade id #146405281
Max drawdown($85)
Time11/14/23 0:00
Quant open5
Worst price1013.08
Drawdown as % of equity-0.09%
 $29
Includes Typical Broker Commissions trade costs of $0.10
10/27/23 14:31 UPS UNITED PARCEL SERVICE LONG 35 133.88 11/15 10:53 146.45 n/a $439
Includes Typical Broker Commissions trade costs of $0.70
11/10/23 10:43 EQT EQT LONG 132 38.99 11/15 10:10 40.74 0.05%
Trade id #146397097
Max drawdown($49)
Time11/10/23 11:05
Quant open132
Worst price38.62
Drawdown as % of equity-0.05%
 $228
Includes Typical Broker Commissions trade costs of $2.64
Next

Statistics

  • Strategy began
    5/18/2022
  • Suggested Minimum Cap
    $5,000
  • Strategy Age (days)
    561.62
  • Age
    19 months ago
  • What it trades
    Stocks
  • # Trades
    822
  • # Profitable
    518
  • % Profitable
    63.00%
  • Avg trade duration
    7.1 days
  • Max peak-to-valley drawdown
    20.78%
  • drawdown period
    April 28, 2023 - Sept 05, 2023
  • Annual Return (Compounded)
    32.8%
  • Avg win
    $223.47
  • Avg loss
    $264.39
  • Model Account Values (Raw)
  • Cash
    $109,798
  • Margin Used
    $23,996
  • Buying Power
    $85,843
  • Ratios
  • W:L ratio
    1.46:1
  • Sharpe Ratio
    0.94
  • Sortino Ratio
    1.59
  • Calmar Ratio
    2.742
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    38.76%
  • Correlation to SP500
    0.39820
  • Return Percent SP500 (cumu) during strategy life
    15.81%
  • Return Statistics
  • Ann Return (w trading costs)
    32.8%
  • Slump
  • Current Slump as Pcnt Equity
    10.20%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.39%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.328%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    36.4%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    59.00%
  • Chance of 20% account loss
    28.50%
  • Chance of 30% account loss
    9.00%
  • Chance of 40% account loss
    1.50%
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 100% account loss (Monte Carlo)
    100.00%
  • 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)
    925
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    850
  • Popularity (7 days, Percentile 1000 scale)
    834
  • Trades-Own-System Certification
  • Trades Own System?
    Yes
  • TOS percent
    100%
  • Win / Loss
  • Avg Loss
    $264
  • Avg Win
    $223
  • Sum Trade PL (losers)
    $80,374.000
  • Age
  • Num Months filled monthly returns table
    19
  • Win / Loss
  • Sum Trade PL (winners)
    $115,758.000
  • # Winners
    518
  • Num Months Winners
    10
  • Dividends
  • Dividends Received in Model Acct
    1319
  • AUM
  • AUM (AutoTrader live capital)
    260742
  • Win / Loss
  • # Losers
    304
  • % Winners
    63.0%
  • Frequency
  • Avg Position Time (mins)
    10295.90
  • Avg Position Time (hrs)
    171.60
  • Avg Trade Length
    7.2 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    0.78
  • Daily leverage (max)
    4.68
  • Regression
  • Alpha
    0.07
  • Beta
    0.58
  • 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)
    -1.07
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    10.449
  • 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
    1.099
  • Avg(MAE) / Avg(PL) - Losing trades
    -2.121
  • Hold-and-Hope Ratio
    0.096
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.32917
  • SD
    0.28484
  • Sharpe ratio (Glass type estimate)
    1.15561
  • Sharpe ratio (Hedges UMVUE)
    1.10374
  • df
    17.00000
  • t
    1.41533
  • p
    0.29700
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.50639
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.78575
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.53901
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.74648
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.26445
  • Upside Potential Ratio
    4.85400
  • Upside part of mean
    0.48945
  • Downside part of mean
    -0.16028
  • Upside SD
    0.27475
  • Downside SD
    0.10083
  • N nonnegative terms
    11.00000
  • N negative terms
    7.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    18.00000
  • Mean of predictor
    0.08635
  • Mean of criterion
    0.32917
  • SD of predictor
    0.18103
  • SD of criterion
    0.28484
  • Covariance
    0.02362
  • r
    0.45811
  • b (slope, estimate of beta)
    0.72081
  • a (intercept, estimate of alpha)
    0.26693
  • Mean Square Error
    0.06811
  • DF error
    16.00000
  • t(b)
    2.06149
  • p(b)
    0.27094
  • t(a)
    1.24023
  • p(a)
    0.35193
  • Lowerbound of 95% confidence interval for beta
    -0.02042
  • Upperbound of 95% confidence interval for beta
    1.46205
  • Lowerbound of 95% confidence interval for alpha
    -0.18933
  • Upperbound of 95% confidence interval for alpha
    0.72318
  • Treynor index (mean / b)
    0.45666
  • Jensen alpha (a)
    0.26693
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.28993
  • SD
    0.26485
  • Sharpe ratio (Glass type estimate)
    1.09470
  • Sharpe ratio (Hedges UMVUE)
    1.04556
  • df
    17.00000
  • t
    1.34073
  • p
    0.30632
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.56192
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.72095
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.59288
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.68400
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.75476
  • Upside Potential Ratio
    4.32517
  • Upside part of mean
    0.45521
  • Downside part of mean
    -0.16528
  • Upside SD
    0.24935
  • Downside SD
    0.10525
  • N nonnegative terms
    11.00000
  • N negative terms
    7.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    18.00000
  • Mean of predictor
    0.07044
  • Mean of criterion
    0.28993
  • SD of predictor
    0.18123
  • SD of criterion
    0.26485
  • Covariance
    0.02207
  • r
    0.45981
  • b (slope, estimate of beta)
    0.67196
  • a (intercept, estimate of alpha)
    0.24260
  • Mean Square Error
    0.05877
  • DF error
    16.00000
  • t(b)
    2.07119
  • p(b)
    0.27009
  • t(a)
    1.21751
  • p(a)
    0.35441
  • Lowerbound of 95% confidence interval for beta
    -0.01581
  • Upperbound of 95% confidence interval for beta
    1.35972
  • Lowerbound of 95% confidence interval for alpha
    -0.17981
  • Upperbound of 95% confidence interval for alpha
    0.66501
  • Treynor index (mean / b)
    0.43147
  • Jensen alpha (a)
    0.24260
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.09661
  • Expected Shortfall on VaR
    0.12466
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02587
  • Expected Shortfall on VaR
    0.05421
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    18.00000
  • Minimum
    0.89694
  • Quartile 1
    0.98381
  • Median
    1.01405
  • Quartile 3
    1.04341
  • Maximum
    1.27014
  • Mean of quarter 1
    0.95723
  • Mean of quarter 2
    1.00295
  • Mean of quarter 3
    1.02160
  • Mean of quarter 4
    1.13026
  • Inter Quartile Range
    0.05960
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.11111
  • Mean of outliers high
    1.20217
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.45077
  • VaR(95%) (moments method)
    0.04886
  • Expected Shortfall (moments method)
    0.10037
  • Extreme Value Index (regression method)
    1.64414
  • VaR(95%) (regression method)
    0.06133
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.01034
  • Quartile 1
    0.01424
  • Median
    0.01814
  • Quartile 3
    0.06104
  • Maximum
    0.10395
  • Mean of quarter 1
    0.01034
  • Mean of quarter 2
    0.01814
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.10395
  • Inter Quartile Range
    0.04680
  • 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)
    0.40723
  • Compounded annual return (geometric extrapolation)
    0.37416
  • Calmar ratio (compounded annual return / max draw down)
    3.59946
  • Compounded annual return / average of 25% largest draw downs
    3.59946
  • Compounded annual return / Expected Shortfall lognormal
    3.00131
  • 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
    0.32019
  • SD
    0.26712
  • Sharpe ratio (Glass type estimate)
    1.19868
  • Sharpe ratio (Hedges UMVUE)
    1.19643
  • df
    400.00000
  • t
    1.48294
  • p
    0.06944
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.38847
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.78440
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.39000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.78286
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.97472
  • Upside Potential Ratio
    7.36220
  • Upside part of mean
    1.19373
  • Downside part of mean
    -0.87354
  • Upside SD
    0.21278
  • Downside SD
    0.16214
  • N nonnegative terms
    201.00000
  • N negative terms
    200.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    401.00000
  • Mean of predictor
    0.08842
  • Mean of criterion
    0.32019
  • SD of predictor
    0.18471
  • SD of criterion
    0.26712
  • Covariance
    0.01844
  • r
    0.37366
  • b (slope, estimate of beta)
    0.54037
  • a (intercept, estimate of alpha)
    0.27200
  • Mean Square Error
    0.06154
  • DF error
    399.00000
  • t(b)
    8.04677
  • p(b)
    -0.00000
  • t(a)
    1.35788
  • p(a)
    0.08763
  • Lowerbound of 95% confidence interval for beta
    0.40835
  • Upperbound of 95% confidence interval for beta
    0.67238
  • Lowerbound of 95% confidence interval for alpha
    -0.12198
  • Upperbound of 95% confidence interval for alpha
    0.66680
  • Treynor index (mean / b)
    0.59254
  • Jensen alpha (a)
    0.27241
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.28466
  • SD
    0.26581
  • Sharpe ratio (Glass type estimate)
    1.07090
  • Sharpe ratio (Hedges UMVUE)
    1.06889
  • df
    400.00000
  • t
    1.32486
  • p
    0.09299
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.51573
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.65627
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.51710
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.65488
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.69122
  • Upside Potential Ratio
    6.96266
  • Upside part of mean
    1.17192
  • Downside part of mean
    -0.88726
  • Upside SD
    0.20605
  • Downside SD
    0.16831
  • N nonnegative terms
    201.00000
  • N negative terms
    200.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    401.00000
  • Mean of predictor
    0.07141
  • Mean of criterion
    0.28466
  • SD of predictor
    0.18454
  • SD of criterion
    0.26581
  • Covariance
    0.01795
  • r
    0.36587
  • b (slope, estimate of beta)
    0.52699
  • a (intercept, estimate of alpha)
    0.24703
  • Mean Square Error
    0.06135
  • DF error
    399.00000
  • t(b)
    7.85268
  • p(b)
    -0.00000
  • t(a)
    1.23348
  • p(a)
    0.10906
  • Lowerbound of 95% confidence interval for beta
    0.39506
  • Upperbound of 95% confidence interval for beta
    0.65892
  • Lowerbound of 95% confidence interval for alpha
    -0.14669
  • Upperbound of 95% confidence interval for alpha
    0.64074
  • Treynor index (mean / b)
    0.54016
  • Jensen alpha (a)
    0.24703
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02559
  • Expected Shortfall on VaR
    0.03224
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00744
  • Expected Shortfall on VaR
    0.01656
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    401.00000
  • Minimum
    0.87474
  • Quartile 1
    0.99770
  • Median
    1.00012
  • Quartile 3
    1.00319
  • Maximum
    1.11976
  • Mean of quarter 1
    0.98773
  • Mean of quarter 2
    0.99924
  • Mean of quarter 3
    1.00136
  • Mean of quarter 4
    1.01712
  • Inter Quartile Range
    0.00549
  • Number outliers low
    36.00000
  • Percentage of outliers low
    0.08978
  • Mean of outliers low
    0.97560
  • Number of outliers high
    42.00000
  • Percentage of outliers high
    0.10474
  • Mean of outliers high
    1.03293
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.50465
  • VaR(95%) (moments method)
    0.00967
  • Expected Shortfall (moments method)
    0.02319
  • Extreme Value Index (regression method)
    0.32258
  • VaR(95%) (regression method)
    0.00943
  • Expected Shortfall (regression method)
    0.01779
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    17.00000
  • Minimum
    0.00026
  • Quartile 1
    0.00185
  • Median
    0.02062
  • Quartile 3
    0.04013
  • Maximum
    0.13382
  • Mean of quarter 1
    0.00103
  • Mean of quarter 2
    0.00829
  • Mean of quarter 3
    0.02896
  • Mean of quarter 4
    0.09732
  • Inter Quartile Range
    0.03828
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.11765
  • Mean of outliers high
    0.13038
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.60003
  • VaR(95%) (moments method)
    0.09245
  • Expected Shortfall (moments method)
    0.10524
  • Extreme Value Index (regression method)
    -1.32862
  • VaR(95%) (regression method)
    0.11472
  • Expected Shortfall (regression method)
    0.11957
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.40082
  • Compounded annual return (geometric extrapolation)
    0.36693
  • Calmar ratio (compounded annual return / max draw down)
    2.74196
  • Compounded annual return / average of 25% largest draw downs
    3.77018
  • Compounded annual return / Expected Shortfall lognormal
    11.38200
  • 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
    0.04414
  • SD
    0.11638
  • Sharpe ratio (Glass type estimate)
    0.37931
  • Sharpe ratio (Hedges UMVUE)
    0.37711
  • df
    130.00000
  • t
    0.26821
  • p
    0.48824
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.39361
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.15077
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.39507
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.14930
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.63998
  • Upside Potential Ratio
    9.14316
  • Upside part of mean
    0.63064
  • Downside part of mean
    -0.58650
  • Upside SD
    0.09322
  • Downside SD
    0.06897
  • 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
    0.15664
  • Mean of criterion
    0.04414
  • SD of predictor
    0.11853
  • SD of criterion
    0.11638
  • Covariance
    0.00621
  • r
    0.45013
  • b (slope, estimate of beta)
    0.44195
  • a (intercept, estimate of alpha)
    -0.02509
  • Mean Square Error
    0.01088
  • DF error
    129.00000
  • t(b)
    5.72527
  • p(b)
    0.22343
  • t(a)
    -0.16947
  • p(a)
    0.50950
  • Lowerbound of 95% confidence interval for beta
    0.28922
  • Upperbound of 95% confidence interval for beta
    0.59468
  • Lowerbound of 95% confidence interval for alpha
    -0.31796
  • Upperbound of 95% confidence interval for alpha
    0.26779
  • Treynor index (mean / b)
    0.09988
  • Jensen alpha (a)
    -0.02509
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.03746
  • SD
    0.11574
  • Sharpe ratio (Glass type estimate)
    0.32369
  • Sharpe ratio (Hedges UMVUE)
    0.32182
  • df
    130.00000
  • t
    0.22888
  • p
    0.48996
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.44900
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.09517
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.45026
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.09390
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.54034
  • Upside Potential Ratio
    9.03307
  • Upside part of mean
    0.62629
  • Downside part of mean
    -0.58883
  • Upside SD
    0.09215
  • Downside SD
    0.06933
  • 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
    0.14961
  • Mean of criterion
    0.03746
  • SD of predictor
    0.11847
  • SD of criterion
    0.11574
  • Covariance
    0.00615
  • r
    0.44876
  • b (slope, estimate of beta)
    0.43843
  • a (intercept, estimate of alpha)
    -0.02813
  • Mean Square Error
    0.01078
  • DF error
    129.00000
  • t(b)
    5.70346
  • p(b)
    0.22421
  • t(a)
    -0.19099
  • p(a)
    0.51070
  • VAR (95 Confidence Intrvl)
    0.02600
  • Lowerbound of 95% confidence interval for beta
    0.28634
  • Upperbound of 95% confidence interval for beta
    0.59052
  • Lowerbound of 95% confidence interval for alpha
    -0.31955
  • Upperbound of 95% confidence interval for alpha
    0.26328
  • Treynor index (mean / b)
    0.08545
  • Jensen alpha (a)
    -0.02813
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01155
  • Expected Shortfall on VaR
    0.01450
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00512
  • Expected Shortfall on VaR
    0.00965
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.98121
  • Quartile 1
    0.99643
  • Median
    1.00027
  • Quartile 3
    1.00283
  • Maximum
    1.03353
  • Mean of quarter 1
    0.99249
  • Mean of quarter 2
    0.99884
  • Mean of quarter 3
    1.00140
  • Mean of quarter 4
    1.00840
  • Inter Quartile Range
    0.00640
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.02290
  • Mean of outliers low
    0.98476
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.04580
  • Mean of outliers high
    1.02258
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.04588
  • VaR(95%) (moments method)
    0.00750
  • Expected Shortfall (moments method)
    0.00967
  • Extreme Value Index (regression method)
    -0.17037
  • VaR(95%) (regression method)
    0.00761
  • Expected Shortfall (regression method)
    0.00939
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00109
  • Quartile 1
    0.01381
  • Median
    0.02463
  • Quartile 3
    0.04785
  • Maximum
    0.09778
  • Mean of quarter 1
    0.00109
  • Mean of quarter 2
    0.01806
  • Mean of quarter 3
    0.03121
  • Mean of quarter 4
    0.09778
  • Inter Quartile Range
    0.03404
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    0.75%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -344299000
  • Max Equity Drawdown (num days)
    130
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.06645
  • Compounded annual return (geometric extrapolation)
    0.06755
  • Calmar ratio (compounded annual return / max draw down)
    0.69090
  • Compounded annual return / average of 25% largest draw downs
    0.69090
  • Compounded annual return / Expected Shortfall lognormal
    4.66002

Strategy Description

This strategy consists of 7 part systems. 5 long systems and 2 short systems and trades only stocks there are listed in the S&P 500. The part systems were developed on the basis of more than 20 years. Each with a forward test over 3 years. All sub-systems are continuously being developed and further sub-systems may be added.
All systems run fully automatically and before trading begins, the stocks that are eligible for a trade are selected. When the price is reached, the trade is entered.

If you only want to trade the 5 long systems, you can follow this system.
https://collective2.com/details/145266989
There is only a max leverage of 2 here!

The best performing long subsystem tries to catch a rebound on oversold stocks. To prevent stocks from being bought in a crash, there are several safety features.

The 2 short systems try to catch pull backs when stocks are overbought. These systems are not as aggressive as the long systems because stocks from the SP500 are up and not down > 50% of the time.

The other long systems try to get a few percent out in rising markets. In dull markets that only go up, my system performs worse than the S&P 500.
I have only been trading these systems since June 20, 2023. This prevents phases in which extremely few trades are entered into. (For example, in the period from January 9, 2023 to February 20, 2023)

There is no classic Stop-Loss, but if a trade has lost 10% (Long Trade) or 8% (Short Trade) or more, it will be closed the next day.

Max 60 Trades can be open at the same time.

Each trade is therefore entered into with 1/60th of the available capital (incl. leverage). There is no weighting that a trade is entered with more capital. In addition, there is no purchase of shares or something like that. When a trade is open on a stock, another subsystem cannot open a trade until the open trade has been closed.

I recommend at least $10,000 for my system. Since up to 60 trades can be open at a time, at $10,000 only $583 per trade is buying shares.

Max Leverage 3.5 (also overnight max leverage 3.5!)

The scaling factor for autotrading must be determined using the following formula:
("your capital"
divided by
"current equity of the system")
divided by
(3.5 (my max leverage)
divided by "your leverage").

So if you want to invest $10,000 in my system with a leverage of 2 and my current equity is $84.000, that would be a scaling factor of:
($10,000 / $84.000(get the current equity!!!) / (3.5 / 2) = 8%.

If you have any questions, get in touch with me.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2022-05-18
Suggested Minimum Capital
$5,000
Rank at C2 
#113
# Trades
822
# Profitable
518
% Profitable
63.0%
Net Dividends
$1,318
Correlation S&P500
0.398
Sharpe Ratio
0.94
Sortino Ratio
1.59
Beta
0.58
Alpha
0.07
Leverage
0.78 Average
4.68 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.