Collective2 Collective2
Featured Strategy MT3 Algotrading +79.9% Annual Return (Compounded) since Mar 31, 2023 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 06/25/2024
Most recent certification approved 6/25/24 9:33 ET
Trades at broker Israel Interactive Trading
Scaling percentage used 100%
# trading signals issued by system since certification 276
# trading signals executed in manager's Israel Interactive Trading account 276
Percent signals followed since 06/25/2024 100%
This information was last updated 11/23/24 12:26 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 06/25/2024, 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.

BOOST 2
(148491761)

Powered by BrokerTransmit.
Read important disclosures.

Created by: AdiPlaut AdiPlaut
Started: 06/2024
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. 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.

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.
53.2%
Cumul. Return

Rate of Return Calculations

Overview

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

How Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

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

All results are hypothetical.

(18.9%)
Max Drawdown
87
Num Trades
51.7%
Win Trades
8.6 : 1
Profit Factor
66.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2024                                   +4.2%+9.7%(2.5%)+10.7%(1.3%)+25.7%      +53.3%

Model Account Details

A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.

Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.

System developer has asked us to delay this information by 167 hours.

Trading Record

This strategy has placed 276 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
10/31/24 9:54 MSTR MICROSTRATEGY LONG 18 242.32 11/1 13:05 227.46 0.32%
Trade id #149915794
Max drawdown($277)
Time11/1/24 13:05
Quant open18
Worst price226.92
Drawdown as % of equity-0.32%
 ($268)
Includes Typical Broker Commissions trade costs of $0.36
7/19/24 15:45 TREE LENDINGTREE INC. COMMON STOCK LONG 29 52.85 11/1 9:37 51.74 0.37%
Trade id #148697020
Max drawdown($267)
Time8/12/24 0:00
Quant open25
Worst price41.77
Drawdown as % of equity-0.37%
 ($33)
Includes Typical Broker Commissions trade costs of $0.58
6/27/24 15:50 AGYS AGILYSYS LONG 23 102.34 10/31 9:54 103.28 0.15%
Trade id #148522174
Max drawdown($110)
Time8/5/24 0:00
Quant open23
Worst price97.53
Drawdown as % of equity-0.15%
 $21
Includes Typical Broker Commissions trade costs of $0.46
9/30/24 10:03 CRUS CIRRUS LOGIC LONG 11 123.36 10/31 9:49 111.83 0.15%
Trade id #149540269
Max drawdown($128)
Time10/31/24 9:49
Quant open11
Worst price111.70
Drawdown as % of equity-0.15%
 ($127)
Includes Typical Broker Commissions trade costs of $0.22
9/30/24 10:03 PI IMPINJ INC LONG 6 213.78 10/24 9:38 195.84 0.13%
Trade id #149540258
Max drawdown($107)
Time10/24/24 9:38
Quant open6
Worst price195.88
Drawdown as % of equity-0.13%
 ($108)
Includes Typical Broker Commissions trade costs of $0.12
7/19/24 15:45 DNTH DIANTHUS THERAPEUTICS INC. LONG 53 26.76 10/14 14:30 25.60 0.1%
Trade id #148697026
Max drawdown($82)
Time9/17/24 0:00
Quant open53
Worst price25.20
Drawdown as % of equity-0.10%
 ($62)
Includes Typical Broker Commissions trade costs of $1.06
6/27/24 15:50 TPX TEMPUR SEALY INTERNATIONAL LONG 30 47.48 10/14 10:18 50.96 0.04%
Trade id #148522250
Max drawdown($25)
Time8/6/24 0:00
Quant open25
Worst price45.58
Drawdown as % of equity-0.04%
 $103
Includes Typical Broker Commissions trade costs of $0.60
7/19/24 15:45 ADMA ADMA BIOLOGICS CMN LONG 139 15.16 10/10 10:41 16.43 0.42%
Trade id #148696992
Max drawdown($299)
Time8/5/24 0:00
Quant open97
Worst price10.21
Drawdown as % of equity-0.42%
 $174
Includes Typical Broker Commissions trade costs of $2.78
9/30/24 10:03 WSM WILLIAMS-SONOMA LONG 9 154.58 10/10 9:30 142.01 0.14%
Trade id #149540283
Max drawdown($120)
Time10/10/24 9:30
Quant open9
Worst price141.16
Drawdown as % of equity-0.14%
 ($113)
Includes Typical Broker Commissions trade costs of $0.18
9/30/24 10:03 BLBD BLUE BIRD CORP LONG 26 48.61 10/3 9:30 44.44 0.13%
Trade id #149540274
Max drawdown($113)
Time10/3/24 9:30
Quant open26
Worst price44.25
Drawdown as % of equity-0.13%
 ($109)
Includes Typical Broker Commissions trade costs of $0.52
7/19/24 15:45 MIRM MIRUM PHARMACEUTICALS INC. LONG 36 39.90 9/30 10:03 39.06 0.17%
Trade id #148696999
Max drawdown($122)
Time8/5/24 0:00
Quant open34
Worst price36.20
Drawdown as % of equity-0.17%
 ($31)
Includes Typical Broker Commissions trade costs of $0.72
7/19/24 15:45 AIR AAR LONG 22 64.56 9/30 10:03 65.40 0.27%
Trade id #148697001
Max drawdown($191)
Time8/5/24 0:00
Quant open19
Worst price54.71
Drawdown as % of equity-0.27%
 $18
Includes Typical Broker Commissions trade costs of $0.44
7/19/24 15:45 CFB CROSSFIRST BANKSHARES INC LONG 80 17.75 9/30 9:30 16.20 0.24%
Trade id #148696995
Max drawdown($173)
Time8/5/24 0:00
Quant open73
Worst price15.41
Drawdown as % of equity-0.24%
 ($126)
Includes Typical Broker Commissions trade costs of $1.60
6/27/24 15:50 CRUS CIRRUS LOGIC LONG 18 128.57 9/16 9:36 125.45 0.24%
Trade id #148522224
Max drawdown($172)
Time8/5/24 0:00
Quant open9
Worst price107.62
Drawdown as % of equity-0.24%
 ($56)
Includes Typical Broker Commissions trade costs of $0.36
7/19/24 15:45 PI IMPINJ INC LONG 8 170.76 9/6 10:31 156.12 0.41%
Trade id #148697012
Max drawdown($294)
Time8/5/24 0:00
Quant open7
Worst price129.55
Drawdown as % of equity-0.41%
 ($117)
Includes Typical Broker Commissions trade costs of $0.16
7/19/24 15:45 SPNS SAPIENS INTERNATIONAL LONG 36 39.43 9/4 10:00 34.70 0.36%
Trade id #148696967
Max drawdown($285)
Time8/1/24 0:00
Quant open33
Worst price31.12
Drawdown as % of equity-0.36%
 ($171)
Includes Typical Broker Commissions trade costs of $0.72
6/27/24 15:50 NSSC NAPCO SECURITY SYSTEMS LONG 42 51.90 9/3 13:45 47.18 0.29%
Trade id #148522244
Max drawdown($221)
Time9/3/24 13:45
Quant open27
Worst price43.71
Drawdown as % of equity-0.29%
 ($199)
Includes Typical Broker Commissions trade costs of $0.84
7/19/24 15:45 DAKT DAKTRONICS LONG 100 14.31 9/3 11:49 13.16 0.26%
Trade id #148697024
Max drawdown($184)
Time8/5/24 0:00
Quant open90
Worst price12.16
Drawdown as % of equity-0.26%
 ($117)
Includes Typical Broker Commissions trade costs of $2.00
6/27/24 15:50 BLD TOPBUILD CORP LONG 6 413.56 9/3 10:04 384.49 0.46%
Trade id #148522178
Max drawdown($324)
Time8/7/24 0:00
Quant open6
Worst price359.47
Drawdown as % of equity-0.46%
 ($174)
Includes Typical Broker Commissions trade costs of $0.12
7/19/24 15:45 ACLS AXCELIS TECHNOLOGIES LONG 11 127.48 9/3 9:46 104.68 0.43%
Trade id #148697008
Max drawdown($306)
Time8/5/24 0:00
Quant open10
Worst price98.00
Drawdown as % of equity-0.43%
 ($251)
Includes Typical Broker Commissions trade costs of $0.22
7/19/24 15:45 RNA AVIDITY BIOSCIENCES INC. COMMON STOCK LONG 32 45.03 9/3 9:35 41.39 0.32%
Trade id #148696961
Max drawdown($230)
Time8/5/24 0:00
Quant open29
Worst price37.04
Drawdown as % of equity-0.32%
 ($118)
Includes Typical Broker Commissions trade costs of $0.64
7/19/24 15:45 FORM FORMFACTOR LONG 46 55.90 9/3 9:30 48.83 1.17%
Trade id #148697016
Max drawdown($835)
Time8/5/24 0:00
Quant open46
Worst price37.73
Drawdown as % of equity-1.17%
 ($326)
Includes Typical Broker Commissions trade costs of $0.92
6/27/24 15:50 WSM WILLIAMS-SONOMA LONG 13 144.94 9/3 9:30 133.21 0.31%
Trade id #148522234
Max drawdown($219)
Time8/5/24 0:00
Quant open13
Worst price128.04
Drawdown as % of equity-0.31%
 ($153)
Includes Typical Broker Commissions trade costs of $0.26
6/27/24 15:50 BLBD BLUE BIRD CORP LONG 26 52.95 8/22 9:30 46.97 0.45%
Trade id #148522222
Max drawdown($321)
Time8/5/24 0:00
Quant open26
Worst price40.57
Drawdown as % of equity-0.45%
 ($157)
Includes Typical Broker Commissions trade costs of $0.52
6/27/24 15:50 AMKR AMKOR TECHNOLOGY LONG 52 38.83 8/22 9:30 36.11 0.53%
Trade id #148522180
Max drawdown($379)
Time8/5/24 0:00
Quant open31
Worst price26.60
Drawdown as % of equity-0.53%
 ($142)
Includes Typical Broker Commissions trade costs of $1.04
6/27/24 15:50 NOV NATIONAL OILWELL VARCO INC. LONG 54 18.93 8/22 9:30 18.72 0.09%
Trade id #148522210
Max drawdown($72)
Time7/9/24 0:00
Quant open54
Worst price17.59
Drawdown as % of equity-0.09%
 ($12)
Includes Typical Broker Commissions trade costs of $1.08
7/19/24 15:45 UCTT ULTRA CLEAN HOLDINGS LONG 27 47.16 8/22 9:30 39.31 0.5%
Trade id #148697014
Max drawdown($355)
Time8/5/24 0:00
Quant open27
Worst price34.01
Drawdown as % of equity-0.50%
 ($213)
Includes Typical Broker Commissions trade costs of $0.54
7/19/24 15:45 VECO VEECO INSTRUMENTS LONG 31 40.34 8/22 9:30 38.07 0.35%
Trade id #148697004
Max drawdown($252)
Time8/5/24 0:00
Quant open31
Worst price32.20
Drawdown as % of equity-0.35%
 ($71)
Includes Typical Broker Commissions trade costs of $0.62
6/27/24 15:50 IBP INSTALLED BUILDING PRODUCTS LONG 5 200.80 7/19 15:45 240.49 0.04%
Trade id #148522192
Max drawdown($27)
Time7/2/24 0:00
Quant open5
Worst price195.34
Drawdown as % of equity-0.04%
 $198
Includes Typical Broker Commissions trade costs of $0.10
6/27/24 15:50 TPL TEXAS PACIFIC LAND CORP LONG 1 736.49 7/19 15:45 814.88 0.02%
Trade id #148522206
Max drawdown($11)
Time7/1/24 0:00
Quant open1
Worst price724.75
Drawdown as % of equity-0.02%
 $78
Includes Typical Broker Commissions trade costs of $0.02
Next

Statistics

  • Strategy began
    6/25/2024
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    151.22
  • Age
    151 days ago
  • What it trades
    Stocks
  • # Trades
    87
  • # Profitable
    45
  • % Profitable
    51.70%
  • Avg trade duration
    55.1 days
  • Max peak-to-valley drawdown
    18.9%
  • drawdown period
    July 16, 2024 - Aug 08, 2024
  • Cumul. Return
    53.2%
  • Avg win
    $940.91
  • Avg loss
    $117.74
  • Model Account Values (Raw)
  • Cash
    $42,927
  • Margin Used
    ($25,719)
  • Buying Power
    $108,087
  • Ratios
  • W:L ratio
    8.58:1
  • Sharpe Ratio
    2.74
  • Sortino Ratio
    4.66
  • Calmar Ratio
    10.689
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    44.07%
  • Correlation to SP500
    0.53170
  • Return Percent SP500 (cumu) during strategy life
    9.14%
  • Return Statistics
  • Ann Return (w trading costs)
    173.7%
  • Slump
  • Current Slump as Pcnt Equity
    n/a
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    n/a
  • 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)
    0.532%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    179.7%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    n/a
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    857
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    935
  • Popularity (7 days, Percentile 1000 scale)
    838
  • Trades-Own-System Certification
  • Trades Own System?
    Yes
  • TOS percent
    100%
  • Win / Loss
  • Avg Loss
    $118
  • Avg Win
    $941
  • Sum Trade PL (losers)
    $4,945.000
  • Age
  • Num Months filled monthly returns table
    6
  • Win / Loss
  • Sum Trade PL (winners)
    $42,341.000
  • # Winners
    45
  • Num Months Winners
    4
  • Dividends
  • Dividends Received in Model Acct
    92
  • AUM
  • AUM (AutoTrader live capital)
    155787
  • Win / Loss
  • # Losers
    42
  • % Winners
    51.7%
  • Frequency
  • Avg Position Time (mins)
    79346.40
  • Avg Position Time (hrs)
    1322.44
  • Avg Trade Length
    55.1 days
  • Last Trade Ago
    3
  • Leverage
  • Daily leverage (average)
    0.93
  • Daily leverage (max)
    1.16
  • Regression
  • Alpha
    0.22
  • Beta
    1.20
  • Treynor Index
    0.24
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -4.21
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    0.419
  • 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
    0.114
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.867
  • Hold-and-Hope Ratio
    -0.243
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.56473
  • SD
    0.17559
  • Sharpe ratio (Glass type estimate)
    3.21618
  • Sharpe ratio (Hedges UMVUE)
    2.32723
  • df
    3.00000
  • t
    1.85686
  • p
    0.08016
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.12281
  • Upperbound of 95% confidence interval for Sharpe Ratio
    7.24939
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.54471
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.19917
  • Statistics related to Sortino ratio
  • Sortino ratio
    79.17100
  • Upside Potential Ratio
    80.90300
  • Upside part of mean
    0.57709
  • Downside part of mean
    -0.01235
  • Upside SD
    0.22282
  • Downside SD
    0.00713
  • N nonnegative terms
    3.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    4.00000
  • Mean of predictor
    0.14777
  • Mean of criterion
    0.56473
  • SD of predictor
    0.13975
  • SD of criterion
    0.17559
  • Covariance
    0.02161
  • r
    0.88072
  • b (slope, estimate of beta)
    1.10664
  • a (intercept, estimate of alpha)
    0.40121
  • Mean Square Error
    0.01037
  • DF error
    2.00000
  • t(b)
    2.62978
  • p(b)
    0.05964
  • t(a)
    2.14482
  • p(a)
    0.08257
  • Lowerbound of 95% confidence interval for beta
    -0.70397
  • Upperbound of 95% confidence interval for beta
    2.91725
  • Lowerbound of 95% confidence interval for alpha
    -0.40364
  • Upperbound of 95% confidence interval for alpha
    1.20605
  • Treynor index (mean / b)
    0.51031
  • Jensen alpha (a)
    0.40121
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.54008
  • SD
    0.16747
  • Sharpe ratio (Glass type estimate)
    3.22491
  • Sharpe ratio (Hedges UMVUE)
    2.33355
  • df
    3.00000
  • t
    1.86190
  • p
    0.07976
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.11811
  • Upperbound of 95% confidence interval for Sharpe Ratio
    7.26185
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.54083
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.20792
  • Statistics related to Sortino ratio
  • Sortino ratio
    75.73540
  • Upside Potential Ratio
    77.46740
  • Upside part of mean
    0.55244
  • Downside part of mean
    -0.01235
  • Upside SD
    0.21282
  • Downside SD
    0.00713
  • N nonnegative terms
    3.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    4.00000
  • Mean of predictor
    0.13928
  • Mean of criterion
    0.54008
  • SD of predictor
    0.13962
  • SD of criterion
    0.16747
  • Covariance
    0.02054
  • r
    0.87847
  • b (slope, estimate of beta)
    1.05370
  • a (intercept, estimate of alpha)
    0.39332
  • Mean Square Error
    0.00960
  • DF error
    2.00000
  • t(b)
    2.60012
  • p(b)
    0.06077
  • t(a)
    2.19875
  • p(a)
    0.07947
  • Lowerbound of 95% confidence interval for beta
    -0.68995
  • Upperbound of 95% confidence interval for beta
    2.79735
  • Lowerbound of 95% confidence interval for alpha
    -0.37636
  • Upperbound of 95% confidence interval for alpha
    1.16300
  • Treynor index (mean / b)
    0.51256
  • Jensen alpha (a)
    0.39332
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03392
  • Expected Shortfall on VaR
    0.05309
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00146
  • Expected Shortfall on VaR
    0.00322
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    4.00000
  • Minimum
    0.99821
  • Quartile 1
    1.01011
  • Median
    1.04978
  • Quartile 3
    1.08906
  • Maximum
    1.09978
  • Mean of quarter 1
    0.99821
  • Mean of quarter 2
    1.01408
  • Mean of quarter 3
    1.08548
  • Mean of quarter 4
    1.09978
  • Inter Quartile Range
    0.07894
  • 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
    0.00179
  • Quartile 1
    0.00179
  • Median
    0.00179
  • Quartile 3
    0.00179
  • Maximum
    0.00179
  • 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)
    0.62532
  • Compounded annual return (geometric extrapolation)
    0.76472
  • Calmar ratio (compounded annual return / max draw down)
    427.21300
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    14.40310
  • 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
    1.11157
  • SD
    0.34520
  • Sharpe ratio (Glass type estimate)
    3.22003
  • Sharpe ratio (Hedges UMVUE)
    3.19557
  • df
    99.00000
  • t
    1.98934
  • p
    0.02471
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00818
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.41607
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.00798
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.39912
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.46857
  • Upside Potential Ratio
    12.66010
  • Upside part of mean
    2.57335
  • Downside part of mean
    -1.46178
  • Upside SD
    0.28526
  • Downside SD
    0.20327
  • N nonnegative terms
    60.00000
  • N negative terms
    40.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    100.00000
  • Mean of predictor
    0.21250
  • Mean of criterion
    1.11157
  • SD of predictor
    0.14956
  • SD of criterion
    0.34520
  • Covariance
    0.02860
  • r
    0.55392
  • b (slope, estimate of beta)
    1.27849
  • a (intercept, estimate of alpha)
    0.84000
  • Mean Square Error
    0.08345
  • DF error
    98.00000
  • t(b)
    6.58630
  • p(b)
    0.00000
  • t(a)
    1.78931
  • p(a)
    0.03833
  • Lowerbound of 95% confidence interval for beta
    0.89328
  • Upperbound of 95% confidence interval for beta
    1.66371
  • Lowerbound of 95% confidence interval for alpha
    -0.09161
  • Upperbound of 95% confidence interval for alpha
    1.77138
  • Treynor index (mean / b)
    0.86943
  • Jensen alpha (a)
    0.83988
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.05065
  • SD
    0.34360
  • Sharpe ratio (Glass type estimate)
    3.05775
  • Sharpe ratio (Hedges UMVUE)
    3.03453
  • df
    99.00000
  • t
    1.88909
  • p
    0.03090
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.15068
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.25104
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.16598
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.23504
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.06127
  • Upside Potential Ratio
    12.20460
  • Upside part of mean
    2.53352
  • Downside part of mean
    -1.48287
  • Upside SD
    0.27929
  • Downside SD
    0.20759
  • N nonnegative terms
    60.00000
  • N negative terms
    40.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    100.00000
  • Mean of predictor
    0.20131
  • Mean of criterion
    1.05065
  • SD of predictor
    0.14978
  • SD of criterion
    0.34360
  • Covariance
    0.02876
  • r
    0.55886
  • b (slope, estimate of beta)
    1.28204
  • a (intercept, estimate of alpha)
    0.79257
  • Mean Square Error
    0.08202
  • DF error
    98.00000
  • t(b)
    6.67152
  • p(b)
    0.00000
  • t(a)
    1.70383
  • p(a)
    0.04579
  • Lowerbound of 95% confidence interval for beta
    0.90070
  • Upperbound of 95% confidence interval for beta
    1.66339
  • Lowerbound of 95% confidence interval for alpha
    -0.13054
  • Upperbound of 95% confidence interval for alpha
    1.71568
  • Treynor index (mean / b)
    0.81951
  • Jensen alpha (a)
    0.79257
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03043
  • Expected Shortfall on VaR
    0.03897
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01097
  • Expected Shortfall on VaR
    0.02319
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    100.00000
  • Minimum
    0.93893
  • Quartile 1
    0.99340
  • Median
    1.00383
  • Quartile 3
    1.01410
  • Maximum
    1.06901
  • Mean of quarter 1
    0.97974
  • Mean of quarter 2
    0.99898
  • Mean of quarter 3
    1.00774
  • Mean of quarter 4
    1.03094
  • Inter Quartile Range
    0.02069
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.03000
  • Mean of outliers low
    0.94750
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.05000
  • Mean of outliers high
    1.05449
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.33471
  • VaR(95%) (moments method)
    0.02030
  • Expected Shortfall (moments method)
    0.03611
  • Extreme Value Index (regression method)
    0.07021
  • VaR(95%) (regression method)
    0.02219
  • Expected Shortfall (regression method)
    0.03266
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00288
  • Quartile 1
    0.03514
  • Median
    0.04259
  • Quartile 3
    0.06136
  • Maximum
    0.18154
  • Mean of quarter 1
    0.01901
  • Mean of quarter 2
    0.04259
  • Mean of quarter 3
    0.06136
  • Mean of quarter 4
    0.18154
  • Inter Quartile Range
    0.02622
  • 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
    0.20000
  • Mean of outliers high
    0.18154
  • 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)
    1.33444
  • Compounded annual return (geometric extrapolation)
    1.94044
  • Calmar ratio (compounded annual return / max draw down)
    10.68860
  • Compounded annual return / average of 25% largest draw downs
    10.68860
  • Compounded annual return / Expected Shortfall lognormal
    49.79790
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess log return rates
  • Statistics related to linear regression on benchmark
  • VAR (95 Confidence Intrvl)
    0.03000
  • DRAW DOWN STATISTICS
  • Risk estimates based on draw downs (based on Extreme Value T
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • Last 4 Months - Pcnt Negative
    0.50%
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -379710000
  • Max Equity Drawdown (num days)
    23

Strategy Description

An initial assessment will be carried out every quarter, according to which several companies will be replaced in the portfolio and if required, rebalance will be made to shares that their weight has exceeded significantly from the planned. In addition, a secondary assessment will be performed once a month within each quarter, which aims to make sure there are no substantive mistakes and usually there may be micro repairs to individual shares.
Usually, one or two companies with a significantly higher weight than the rest of the portfolio, which has a well-established assessment for a beautiful movement up to strengthen the entire portfolio. They will be defined as “Forte”.
Initiative and proactive sale operations will be performed once a month (except for exceptional cases). The portfolio will contain a number of different sectors with non -low BETA. The number of shares in the portfolio will range from 30-50 to produce a wide dispersion and a braking system for the case in case of sharp movements of certain shares.
A STOP LOSS rate will be set for each share for one of two situations:
1. A share or shares that fall sharply contrary to the assessment of the situation
2. A strong drop in the market that leads to a significant drop in the portfolio
Generally, an entry examination for a stock that has left the portfolio due to the realization of a STOP LOSS will be carried out usually only as part of its next monthly evaluation.

This strategy is a sister to the BOOST1 strategy which is more subtle and aimed at a slightly lower profit level.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2024-06-25
Suggested Minimum Capital
$15,000
Rank at C2 %
Top 6.5%
Rank # 
#354
# Trades
87
# Profitable
45
% Profitable
51.7%
Net Dividends
$92
Correlation S&P500
0.532
Sharpe Ratio
2.74
Sortino Ratio
4.66
Beta
1.20
Alpha
0.22
Leverage
0.93 Average
1.16 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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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.