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

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These are hypothetical performance results that have certain inherent limitations. Learn more
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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 04/29/2024
Most recent certification approved 4/29/24 14:02 ET
Trades at broker Interactive Brokers (Server 4)
Scaling percentage used 100%
# trading signals issued by system since certification 387
# trading signals executed in manager's Interactive Brokers (Server 4) account 387
Percent signals followed since 04/29/2024 100%
This information was last updated 11/21/24 4:34 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 04/29/2024, 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.

Easiest to Follow
(144065368)

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Created by: PatienceToInvest_com PatienceToInvest_com
Started: 03/2023
Stocks
Last trade: 8 days ago
Trading style: Equity Trend-following

Subscriptions not available

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

Subscription terms. Subscriptions to this system cost $59.00 per month.

C2Star

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

You can read more about C2Star certification requirements here.

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

Trading Category: Equity
Trend-following
Category: Equity

Trend-following

Tries to take advantage of long, medium or short-term moves that seem to play out in various markets. Typically, trend-following analysis is backward looking; that is, it attempts to recognize and profit from already-established trends.
56.0%
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.

(20.7%)
Max Drawdown
51
Num Trades
54.9%
Win Trades
3.7 : 1
Profit Factor
66.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2023              +7.1%+9.9%+0.9%+26.6%+4.3%(3.5%)(6.5%)+3.9%+24.7%+11.0%+103.3%
2024+0.8%+12.0%+1.3%(3.4%)+2.8%+3.6%(2.6%)(6.5%)(1.7%)(5.6%)+3.9%      +3.1%

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 417 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
10/25/24 15:47 TQQQ PROSHARES ULTRAPRO QQQ LONG 341 76.80 11/11 15:45 77.07 1.22%
Trade id #149844237
Max drawdown($712)
Time10/31/24 0:00
Quant open112
Worst price69.43
Drawdown as % of equity-1.22%
 $86
Includes Typical Broker Commissions trade costs of $6.82
8/1/24 15:53 UPRO PROSHARES ULTRAPRO S&P 500 LONG 965 80.20 11/7 15:45 82.60 2.25%
Trade id #148801410
Max drawdown($1,382)
Time8/5/24 0:00
Quant open106
Worst price61.71
Drawdown as % of equity-2.25%
 $2,299
Includes Typical Broker Commissions trade costs of $19.30
10/11/24 15:47 BITO PROSHARES BITCOIN STRATEGY ETF LONG 133 19.14 10/30 15:45 20.47 0%
Trade id #149642193
Max drawdown($1)
Time10/11/24 15:52
Quant open76
Worst price17.93
Drawdown as % of equity-0.00%
 $175
Includes Typical Broker Commissions trade costs of $2.66
8/1/24 15:53 GLD SPDR GOLD SHARES LONG 18 224.96 10/30 15:45 244.28 0.11%
Trade id #148801414
Max drawdown($63)
Time8/6/24 0:00
Quant open13
Worst price220.11
Drawdown as % of equity-0.11%
 $348
Includes Typical Broker Commissions trade costs of $0.36
10/22/24 15:47 TQQQ PROSHARES ULTRAPRO QQQ LONG 58 75.48 10/23 15:45 71.78 0.33%
Trade id #149799121
Max drawdown($191)
Time10/23/24 14:04
Quant open39
Worst price70.56
Drawdown as % of equity-0.33%
 ($216)
Includes Typical Broker Commissions trade costs of $1.16
10/8/24 15:48 TQQQ PROSHARES ULTRAPRO QQQ LONG 101 72.79 10/16 15:45 73.25 0.13%
Trade id #149609621
Max drawdown($73)
Time10/9/24 0:00
Quant open101
Worst price72.06
Drawdown as % of equity-0.13%
 $44
Includes Typical Broker Commissions trade costs of $2.02
10/4/24 15:47 TQQQ PROSHARES ULTRAPRO QQQ LONG 53 71.68 10/7 15:45 69.44 0.18%
Trade id #149583771
Max drawdown($105)
Time10/7/24 14:46
Quant open52
Worst price69.69
Drawdown as % of equity-0.18%
 ($120)
Includes Typical Broker Commissions trade costs of $1.06
9/25/24 15:47 TQQQ PROSHARES ULTRAPRO QQQ LONG 51 71.51 9/27 15:45 71.93 0.01%
Trade id #149507458
Max drawdown($6)
Time9/27/24 14:31
Quant open51
Worst price71.39
Drawdown as % of equity-0.01%
 $20
Includes Typical Broker Commissions trade costs of $1.02
9/10/24 15:47 TQQQ PROSHARES ULTRAPRO QQQ LONG 75 61.43 9/16 15:45 64.22 0.29%
Trade id #149350140
Max drawdown($174)
Time9/11/24 0:00
Quant open59
Worst price57.77
Drawdown as % of equity-0.29%
 $208
Includes Typical Broker Commissions trade costs of $1.50
9/4/24 15:54 TQQQ PROSHARES ULTRAPRO QQQ LONG 59 61.59 9/6 15:46 58.58 0.22%
Trade id #149254634
Max drawdown($130)
Time9/6/24 10:40
Quant open39
Worst price58.24
Drawdown as % of equity-0.22%
 ($179)
Includes Typical Broker Commissions trade costs of $1.18
8/6/24 15:55 SVIX VS TR -1X SHORT VIX FUTURES ETF LONG 181 22.94 9/3 15:47 24.92 0.22%
Trade id #148849346
Max drawdown($123)
Time8/7/24 0:00
Quant open76
Worst price21.05
Drawdown as % of equity-0.22%
 $354
Includes Typical Broker Commissions trade costs of $3.62
5/10/24 12:08 TQQQ PROSHARES ULTRAPRO QQQ LONG 248 58.96 9/3 15:47 62.34 1.05%
Trade id #148143000
Max drawdown($644)
Time8/5/24 0:00
Quant open63
Worst price48.80
Drawdown as % of equity-1.05%
 $833
Includes Typical Broker Commissions trade costs of $4.96
5/10/24 12:08 BITO PROSHARES BITCOIN STRATEGY ETF LONG 401 22.33 8/14 15:51 18.11 3.56%
Trade id #148143002
Max drawdown($2,193)
Time8/5/24 0:00
Quant open290
Worst price16.15
Drawdown as % of equity-3.56%
 ($1,699)
Includes Typical Broker Commissions trade costs of $8.02
5/15/24 15:53 EETH PROSHARES ETHER STRATEGY ETF LONG 23 66.16 8/14 15:51 52.96 0.77%
Trade id #148178509
Max drawdown($476)
Time8/5/24 0:00
Quant open22
Worst price44.50
Drawdown as % of equity-0.77%
 ($303)
Includes Typical Broker Commissions trade costs of $0.46
8/1/24 15:53 TMF DIREXION DAILY 20-YR TREASURY BULL 3X SHRS LONG 323 58.14 8/14 15:51 58.25 1.36%
Trade id #148801397
Max drawdown($765)
Time8/8/24 0:00
Quant open155
Worst price53.22
Drawdown as % of equity-1.36%
 $28
Includes Typical Broker Commissions trade costs of $6.46
8/5/24 15:51 UVIX VS TRUST - 2X LONG VIX FUTURES ETF LONG 170 18.82 8/14 15:51 8.07 3.2%
Trade id #148835691
Max drawdown($1,885)
Time8/6/24 0:00
Quant open169
Worst price7.69
Drawdown as % of equity-3.20%
 ($1,830)
Includes Typical Broker Commissions trade costs of $3.40
5/10/24 12:08 SVIX VS TR -1X SHORT VIX FUTURES ETF LONG 526 44.46 8/5 15:46 39.83 2.8%
Trade id #148142998
Max drawdown($1,725)
Time8/5/24 9:31
Quant open64
Worst price17.50
Drawdown as % of equity-2.80%
 ($2,445)
Includes Typical Broker Commissions trade costs of $10.52
5/7/24 12:16 BITO PROSHARES BITCOIN STRATEGY ETF LONG 196 25.91 5/10 11:38 24.73 0.4%
Trade id #148112989
Max drawdown($252)
Time5/10/24 11:11
Quant open196
Worst price24.62
Drawdown as % of equity-0.40%
 ($234)
Includes Typical Broker Commissions trade costs of $3.92
5/7/24 12:16 TQQQ PROSHARES ULTRAPRO QQQ LONG 229 59.09 5/10 11:38 58.85 0.6%
Trade id #148112987
Max drawdown($376)
Time5/8/24 0:00
Quant open229
Worst price57.45
Drawdown as % of equity-0.60%
 ($59)
Includes Typical Broker Commissions trade costs of $4.58
5/7/24 12:16 SVIX VS TR -1X SHORT VIX FUTURES ETF LONG 318 42.74 5/10 11:38 43.58 0.07%
Trade id #148112984
Max drawdown($42)
Time5/7/24 15:18
Quant open318
Worst price42.61
Drawdown as % of equity-0.07%
 $261
Includes Typical Broker Commissions trade costs of $6.36
2/23/24 12:47 SVIX VS TR -1X SHORT VIX FUTURES ETF LONG 539 39.41 4/30 11:59 40.17 3.27%
Trade id #147437048
Max drawdown($2,015)
Time4/19/24 0:00
Quant open433
Worst price34.61
Drawdown as % of equity-3.27%
 $400
Includes Typical Broker Commissions trade costs of $10.78
2/23/24 12:47 TQQQ PROSHARES ULTRAPRO QQQ LONG 478 57.38 4/30 11:59 55.74 2.59%
Trade id #147437047
Max drawdown($1,598)
Time4/19/24 0:00
Quant open136
Worst price48.85
Drawdown as % of equity-2.59%
 ($796)
Includes Typical Broker Commissions trade costs of $9.56
2/23/24 12:47 BITO PROSHARES BITCOIN STRATEGY ETF LONG 271 26.45 4/30 11:59 26.70 0.02%
Trade id #147437046
Max drawdown($15)
Time2/23/24 15:24
Quant open166
Worst price24.10
Drawdown as % of equity-0.02%
 $62
Includes Typical Broker Commissions trade costs of $5.42
1/22/24 15:58 BITO PROSHARES BITCOIN STRATEGY ETF LONG 763 19.39 2/23 12:21 24.20 1.03%
Trade id #147091230
Max drawdown($598)
Time1/23/24 0:00
Quant open763
Worst price18.61
Drawdown as % of equity-1.03%
 $3,657
Includes Typical Broker Commissions trade costs of $5.00
11/30/23 15:29 SVIX VS TR -1X SHORT VIX FUTURES ETF LONG 753 34.22 2/23/24 12:21 39.61 1.08%
Trade id #146581607
Max drawdown($602)
Time12/20/23 0:00
Quant open753
Worst price33.42
Drawdown as % of equity-1.08%
 $4,051
Includes Typical Broker Commissions trade costs of $10.03
11/30/23 15:29 TQQQ PROSHARES ULTRAPRO QQQ LONG 299 43.07 2/23/24 12:11 57.46 0.78%
Trade id #146581613
Max drawdown($400)
Time12/4/23 0:00
Quant open299
Worst price41.73
Drawdown as % of equity-0.78%
 $4,298
Includes Typical Broker Commissions trade costs of $5.98
11/30/23 15:29 BITO PROSHARES BITCOIN STRATEGY ETF LONG 682 18.87 1/22/24 14:40 19.11 0.05%
Trade id #146581612
Max drawdown($27)
Time11/30/23 15:56
Quant open682
Worst price18.83
Drawdown as % of equity-0.05%
 $159
Includes Typical Broker Commissions trade costs of $5.00
11/30/23 15:12: Rescaled downward to 45% of previous Model Account size
5/3/23 15:54 SVIX VS TR -1X SHORT VIX FUTURES ETF LONG 970.650000000 19.08 11/30 15:11 33.14 4.31%
Trade id #144518260
Max drawdown($1,291)
Time5/4/23 0:00
Quant open855
Worst price16.68
Drawdown as % of equity-4.31%
 $13,637
Includes Typical Broker Commissions trade costs of $8.02
5/3/23 15:54 TQQQ PROSHARES ULTRAPRO QQQ LONG 197.100000000 26.93 11/30 15:11 43.12 0.43%
Trade id #144518259
Max drawdown($127)
Time5/4/23 0:00
Quant open197
Worst price26.28
Drawdown as % of equity-0.43%
 $3,187
Includes Typical Broker Commissions trade costs of $3.94
5/1/23 15:51 BITO PROSHARES BITCOIN STRATEGY ETF LONG 1,049.850000000 15.35 11/30 15:11 18.04 6.39%
Trade id #144493906
Max drawdown($2,689)
Time9/11/23 0:00
Quant open1,050
Worst price12.79
Drawdown as % of equity-6.39%
 $2,813
Includes Typical Broker Commissions trade costs of $11.54
Next

Statistics

  • Strategy began
    3/27/2023
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    604.63
  • Age
    20 months ago
  • What it trades
    Stocks
  • # Trades
    51
  • # Profitable
    28
  • % Profitable
    54.90%
  • Avg trade duration
    41.4 days
  • Max peak-to-valley drawdown
    20.73%
  • drawdown period
    July 15, 2024 - Aug 07, 2024
  • Annual Return (Compounded)
    56.0%
  • Avg win
    $1,457
  • Avg loss
    $527.00
  • Model Account Values (Raw)
  • Cash
    $42,812
  • Margin Used
    $0
  • Buying Power
    $40,132
  • Ratios
  • W:L ratio
    3.69:1
  • Sharpe Ratio
    1.55
  • Sortino Ratio
    2.3
  • Calmar Ratio
    3.192
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    60.96%
  • Correlation to SP500
    0.62140
  • Return Percent SP500 (cumu) during strategy life
    48.76%
  • Return Statistics
  • Ann Return (w trading costs)
    56.0%
  • Slump
  • Current Slump as Pcnt Equity
    20.10%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.21%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.560%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    59.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    30.00%
  • Chance of 20% account loss
    7.00%
  • Chance of 30% account loss
    0.50%
  • 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)
    857
  • Popularity (Last 6 weeks)
    965
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    950
  • Popularity (7 days, Percentile 1000 scale)
    908
  • Trades-Own-System Certification
  • Trades Own System?
    Yes
  • TOS percent
    100%
  • Win / Loss
  • Avg Loss
    $527
  • Avg Win
    $1,458
  • Sum Trade PL (losers)
    $12,121.000
  • Age
  • Num Months filled monthly returns table
    21
  • Win / Loss
  • Sum Trade PL (winners)
    $40,810.000
  • # Winners
    28
  • Num Months Winners
    14
  • Dividends
  • Dividends Received in Model Acct
    3966
  • AUM
  • AUM (AutoTrader live capital)
    947672
  • Win / Loss
  • # Losers
    23
  • % Winners
    54.9%
  • Frequency
  • Avg Position Time (mins)
    59648.90
  • Avg Position Time (hrs)
    994.15
  • Avg Trade Length
    41.4 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    1.01
  • Daily leverage (max)
    2.68
  • Regression
  • Alpha
    0.05
  • Beta
    1.25
  • Treynor Index
    0.10
  • 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)
    -0.39
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    0.855
  • 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
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    0.308
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.368
  • Hold-and-Hope Ratio
    1.097
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.51861
  • SD
    0.35221
  • Sharpe ratio (Glass type estimate)
    1.47243
  • Sharpe ratio (Hedges UMVUE)
    1.41007
  • df
    18.00000
  • t
    1.85277
  • p
    0.29990
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.17532
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.08306
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.21423
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.03437
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.64574
  • Upside Potential Ratio
    6.22856
  • Upside part of mean
    0.69530
  • Downside part of mean
    -0.17669
  • Upside SD
    0.35703
  • Downside SD
    0.11163
  • N nonnegative terms
    13.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    19.00000
  • Mean of predictor
    0.22140
  • Mean of criterion
    0.51861
  • SD of predictor
    0.12433
  • SD of criterion
    0.35221
  • Covariance
    0.03096
  • r
    0.70711
  • b (slope, estimate of beta)
    2.00315
  • a (intercept, estimate of alpha)
    0.07511
  • Mean Square Error
    0.06567
  • DF error
    17.00000
  • t(b)
    4.12309
  • p(b)
    0.09085
  • t(a)
    0.32611
  • p(a)
    0.44986
  • Lowerbound of 95% confidence interval for beta
    0.97812
  • Upperbound of 95% confidence interval for beta
    3.02818
  • Lowerbound of 95% confidence interval for alpha
    -0.41083
  • Upperbound of 95% confidence interval for alpha
    0.56105
  • Treynor index (mean / b)
    0.25889
  • Jensen alpha (a)
    0.07511
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.45598
  • SD
    0.32213
  • Sharpe ratio (Glass type estimate)
    1.41553
  • Sharpe ratio (Hedges UMVUE)
    1.35557
  • df
    18.00000
  • t
    1.78116
  • p
    0.30645
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.22632
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.02143
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.26377
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.97491
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.90204
  • Upside Potential Ratio
    5.46713
  • Upside part of mean
    0.63887
  • Downside part of mean
    -0.18289
  • Upside SD
    0.31934
  • Downside SD
    0.11686
  • N nonnegative terms
    13.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    19.00000
  • Mean of predictor
    0.21181
  • Mean of criterion
    0.45598
  • SD of predictor
    0.12233
  • SD of criterion
    0.32213
  • Covariance
    0.02785
  • r
    0.70681
  • b (slope, estimate of beta)
    1.86113
  • a (intercept, estimate of alpha)
    0.06177
  • Mean Square Error
    0.05498
  • DF error
    17.00000
  • t(b)
    4.11962
  • p(b)
    0.09098
  • t(a)
    0.29489
  • p(a)
    0.45462
  • Lowerbound of 95% confidence interval for beta
    0.90798
  • Upperbound of 95% confidence interval for beta
    2.81429
  • Lowerbound of 95% confidence interval for alpha
    -0.38019
  • Upperbound of 95% confidence interval for alpha
    0.50374
  • Treynor index (mean / b)
    0.24500
  • Jensen alpha (a)
    0.06177
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.10859
  • Expected Shortfall on VaR
    0.14206
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02454
  • Expected Shortfall on VaR
    0.05355
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    19.00000
  • Minimum
    0.88750
  • Quartile 1
    0.98502
  • Median
    1.02622
  • Quartile 3
    1.06818
  • Maximum
    1.30435
  • Mean of quarter 1
    0.94961
  • Mean of quarter 2
    1.00917
  • Mean of quarter 3
    1.04715
  • Mean of quarter 4
    1.17657
  • Inter Quartile Range
    0.08315
  • 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
    0.10526
  • Mean of outliers high
    1.28386
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -1.00186
  • VaR(95%) (moments method)
    0.04470
  • Expected Shortfall (moments method)
    0.04914
  • Extreme Value Index (regression method)
    -0.06969
  • VaR(95%) (regression method)
    0.06026
  • Expected Shortfall (regression method)
    0.08450
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.02744
  • Quartile 1
    0.06997
  • Median
    0.11250
  • Quartile 3
    0.11652
  • Maximum
    0.12054
  • Mean of quarter 1
    0.02744
  • Mean of quarter 2
    0.11250
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.12054
  • Inter Quartile Range
    0.04655
  • 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)
    0.72725
  • Compounded annual return (geometric extrapolation)
    0.62237
  • Calmar ratio (compounded annual return / max draw down)
    5.16310
  • Compounded annual return / average of 25% largest draw downs
    5.16310
  • Compounded annual return / Expected Shortfall lognormal
    4.38087
  • 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
    0.46792
  • SD
    0.23204
  • Sharpe ratio (Glass type estimate)
    2.01649
  • Sharpe ratio (Hedges UMVUE)
    2.01298
  • df
    430.00000
  • t
    2.58634
  • p
    0.00501
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.48133
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.54941
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.47894
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.54701
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.97139
  • Upside Potential Ratio
    10.11990
  • Upside part of mean
    1.59362
  • Downside part of mean
    -1.12570
  • Upside SD
    0.17250
  • Downside SD
    0.15747
  • N nonnegative terms
    250.00000
  • N negative terms
    181.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    431.00000
  • Mean of predictor
    0.22114
  • Mean of criterion
    0.46792
  • SD of predictor
    0.12253
  • SD of criterion
    0.23204
  • Covariance
    0.01815
  • r
    0.63848
  • b (slope, estimate of beta)
    1.20910
  • a (intercept, estimate of alpha)
    0.20100
  • Mean Square Error
    0.03197
  • DF error
    429.00000
  • t(b)
    17.18260
  • p(b)
    -0.00000
  • t(a)
    1.42965
  • p(a)
    0.07677
  • Lowerbound of 95% confidence interval for beta
    1.07079
  • Upperbound of 95% confidence interval for beta
    1.34740
  • Lowerbound of 95% confidence interval for alpha
    -0.07516
  • Upperbound of 95% confidence interval for alpha
    0.47624
  • Treynor index (mean / b)
    0.38699
  • Jensen alpha (a)
    0.20054
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.44058
  • SD
    0.23233
  • Sharpe ratio (Glass type estimate)
    1.89637
  • Sharpe ratio (Hedges UMVUE)
    1.89306
  • df
    430.00000
  • t
    2.43226
  • p
    0.00771
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.36192
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.42868
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.35970
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.42642
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.75443
  • Upside Potential Ratio
    9.87051
  • Upside part of mean
    1.57882
  • Downside part of mean
    -1.13824
  • Upside SD
    0.17031
  • Downside SD
    0.15995
  • N nonnegative terms
    250.00000
  • N negative terms
    181.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    431.00000
  • Mean of predictor
    0.21354
  • Mean of criterion
    0.44058
  • SD of predictor
    0.12252
  • SD of criterion
    0.23233
  • Covariance
    0.01821
  • r
    0.63977
  • b (slope, estimate of beta)
    1.21317
  • a (intercept, estimate of alpha)
    0.18152
  • Mean Square Error
    0.03196
  • DF error
    429.00000
  • t(b)
    17.24140
  • p(b)
    -0.00000
  • t(a)
    1.29484
  • p(a)
    0.09804
  • Lowerbound of 95% confidence interval for beta
    1.07487
  • Upperbound of 95% confidence interval for beta
    1.35147
  • Lowerbound of 95% confidence interval for alpha
    -0.09402
  • Upperbound of 95% confidence interval for alpha
    0.45706
  • Treynor index (mean / b)
    0.36316
  • Jensen alpha (a)
    0.18152
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02169
  • Expected Shortfall on VaR
    0.02753
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00873
  • Expected Shortfall on VaR
    0.01835
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    431.00000
  • Minimum
    0.94298
  • Quartile 1
    0.99571
  • Median
    1.00213
  • Quartile 3
    1.00926
  • Maximum
    1.05321
  • Mean of quarter 1
    0.98434
  • Mean of quarter 2
    0.99903
  • Mean of quarter 3
    1.00553
  • Mean of quarter 4
    1.01870
  • Inter Quartile Range
    0.01355
  • Number outliers low
    21.00000
  • Percentage of outliers low
    0.04872
  • Mean of outliers low
    0.96505
  • Number of outliers high
    11.00000
  • Percentage of outliers high
    0.02552
  • Mean of outliers high
    1.03812
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.25419
  • VaR(95%) (moments method)
    0.01343
  • Expected Shortfall (moments method)
    0.02275
  • Extreme Value Index (regression method)
    -0.00280
  • VaR(95%) (regression method)
    0.01469
  • Expected Shortfall (regression method)
    0.02112
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    32.00000
  • Minimum
    0.00022
  • Quartile 1
    0.00537
  • Median
    0.01259
  • Quartile 3
    0.04058
  • Maximum
    0.18723
  • Mean of quarter 1
    0.00226
  • Mean of quarter 2
    0.00863
  • Mean of quarter 3
    0.02615
  • Mean of quarter 4
    0.10102
  • Inter Quartile Range
    0.03521
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.12500
  • Mean of outliers high
    0.14492
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.28775
  • VaR(95%) (moments method)
    0.11150
  • Expected Shortfall (moments method)
    0.18033
  • Extreme Value Index (regression method)
    1.18416
  • VaR(95%) (regression method)
    0.09060
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.70590
  • Compounded annual return (geometric extrapolation)
    0.59758
  • Calmar ratio (compounded annual return / max draw down)
    3.19175
  • Compounded annual return / average of 25% largest draw downs
    5.91555
  • Compounded annual return / Expected Shortfall lognormal
    21.71030
  • 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
    -0.21484
  • SD
    0.16724
  • Sharpe ratio (Glass type estimate)
    -1.28461
  • Sharpe ratio (Hedges UMVUE)
    -1.27719
  • df
    130.00000
  • t
    -0.90836
  • p
    0.53971
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.05840
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.49401
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.05334
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.49896
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.55417
  • Upside Potential Ratio
    6.07740
  • Upside part of mean
    0.84011
  • Downside part of mean
    -1.05495
  • Upside SD
    0.09393
  • Downside SD
    0.13823
  • 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
    0.19895
  • Mean of criterion
    -0.21484
  • SD of predictor
    0.13551
  • SD of criterion
    0.16724
  • Covariance
    0.01676
  • r
    0.73950
  • b (slope, estimate of beta)
    0.91266
  • a (intercept, estimate of alpha)
    -0.39642
  • Mean Square Error
    0.01277
  • DF error
    129.00000
  • t(b)
    12.47720
  • p(b)
    0.07661
  • t(a)
    -2.47005
  • p(a)
    0.63426
  • Lowerbound of 95% confidence interval for beta
    0.76794
  • Upperbound of 95% confidence interval for beta
    1.05738
  • Lowerbound of 95% confidence interval for alpha
    -0.71395
  • Upperbound of 95% confidence interval for alpha
    -0.07888
  • Treynor index (mean / b)
    -0.23540
  • Jensen alpha (a)
    -0.39642
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.22891
  • SD
    0.16831
  • Sharpe ratio (Glass type estimate)
    -1.36000
  • Sharpe ratio (Hedges UMVUE)
    -1.35214
  • df
    130.00000
  • t
    -0.96167
  • p
    0.54202
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.13420
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.41927
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.12882
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.42453
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.63464
  • Upside Potential Ratio
    5.96736
  • Upside part of mean
    0.83565
  • Downside part of mean
    -1.06456
  • Upside SD
    0.09329
  • Downside SD
    0.14004
  • 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
    0.18973
  • Mean of criterion
    -0.22891
  • SD of predictor
    0.13569
  • SD of criterion
    0.16831
  • Covariance
    0.01692
  • r
    0.74102
  • b (slope, estimate of beta)
    0.91921
  • a (intercept, estimate of alpha)
    -0.40331
  • Mean Square Error
    0.01287
  • DF error
    129.00000
  • t(b)
    12.53410
  • p(b)
    0.07596
  • t(a)
    -2.50419
  • p(a)
    0.63600
  • VAR (95 Confidence Intrvl)
    0.02200
  • Lowerbound of 95% confidence interval for beta
    0.77411
  • Upperbound of 95% confidence interval for beta
    1.06430
  • Lowerbound of 95% confidence interval for alpha
    -0.72196
  • Upperbound of 95% confidence interval for alpha
    -0.08466
  • Treynor index (mean / b)
    -0.24903
  • Jensen alpha (a)
    -0.40331
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01782
  • Expected Shortfall on VaR
    0.02207
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00911
  • Expected Shortfall on VaR
    0.01820
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96451
  • Quartile 1
    0.99550
  • Median
    1.00027
  • Quartile 3
    1.00548
  • Maximum
    1.02109
  • Mean of quarter 1
    0.98627
  • Mean of quarter 2
    0.99797
  • Mean of quarter 3
    1.00266
  • Mean of quarter 4
    1.01035
  • Inter Quartile Range
    0.00998
  • Number outliers low
    8.00000
  • Percentage of outliers low
    0.06107
  • Mean of outliers low
    0.97084
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.00763
  • Mean of outliers high
    1.02109
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.36218
  • VaR(95%) (moments method)
    0.01354
  • Expected Shortfall (moments method)
    0.02516
  • Extreme Value Index (regression method)
    -0.20861
  • VaR(95%) (regression method)
    0.01247
  • Expected Shortfall (regression method)
    0.01588
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.00022
  • Quartile 1
    0.00283
  • Median
    0.00922
  • Quartile 3
    0.02086
  • Maximum
    0.18723
  • Mean of quarter 1
    0.00115
  • Mean of quarter 2
    0.00449
  • Mean of quarter 3
    0.01574
  • Mean of quarter 4
    0.10693
  • Inter Quartile Range
    0.01803
  • 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
    0.12500
  • Mean of outliers high
    0.18723
  • 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?
    -360401000
  • Max Equity Drawdown (num days)
    23
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.19123
  • Compounded annual return (geometric extrapolation)
    -0.18209
  • Calmar ratio (compounded annual return / max draw down)
    -0.97257
  • Compounded annual return / average of 25% largest draw downs
    -1.70284
  • Compounded annual return / Expected Shortfall lognormal
    -8.25116

Strategy Description

This strategy is designed to be the easiest strategy to follow. It doesn't trade very often and is designed to have a relatively low drawdown. The trades are all algorithmically determined, sent to my broker, and transmitted to C2.
As many studies show, trading more frequently doesn't necessarily lead to higher profits. This is good to remember when holding positions for long periods. Signals usually occur about 10 minutes before market close but may also occur at other times. Stops may result in sales or partial sales at anytime of the day.


My investment philosophy is as follows:

1. Passive investors in an appreciating market typically have better returns compared to active investors of the same market.
2. Active trading that is done in a systematic manner may be beneficial for obtaining better risk adjusted returns.
3. Taking on more risk via investing in a more aggressive market or adding limited leverage may help improve long-term returns.
4. Using too much risk can cause catastrophic losses. That is why I keep my leverage factor between 0 and 3. I also only enter trades with a defined risk. I also make sure all trades combined have a defined risk that is no more than the account value.
5. The number one hurdle for most investors is a lack of patience and consistency. Most investors jump to whatever is shiny and new this year or that. I am of the opinion that sticking to a solid investment strategy in good times and bad will typically have better long-term results. You can’t foretell which strategies will do well in which years.

If you would like to follow and learn more about how I trade and think, I encourage you to reach out to me at howiinvest.com/contact/
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2023-03-27
Suggested Minimum Capital
$15,000
Rank at C2 %
Top 5.0%
Rank # 
#37
# Trades
51
# Profitable
28
% Profitable
54.9%
Net Dividends
$3,966
Correlation S&P500
0.621
Sharpe Ratio
1.55
Sortino Ratio
2.30
Beta
1.25
Alpha
0.05
Leverage
1.01 Average
2.68 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.