Collective2 Collective2
Featured Strategy Quant AI pro +18.3% Cumul. Return since Dec 2, 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 07/17/2024
Most recent certification approved 7/17/24 9:40 ET
Trades at broker Interactive Brokers (Stocks, Options, Futures)
Scaling percentage used 100%
# trading signals issued by system since certification 222
# trading signals executed in manager's Interactive Brokers (Stocks, Options, Futures) account 222
Percent signals followed since 07/17/2024 100%
This information was last updated 12/23/24 1:59 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 07/17/2024, 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.

Zenith Shield
(148663198)

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Read important disclosures.

Created by: GrantForman GrantForman
Started: 07/2024
Stocks
Last trade: 4 days ago
Trading style: Equity Hedged Equity

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 $149.00 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
Hedged Equity
Category: Equity

Hedged Equity

Core holding of long equities hedged at all times with short sales of stocks and/or stock index options.
9.6%
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.

(5.5%)
Max Drawdown
84
Num Trades
51.2%
Win Trades
1.8 : 1
Profit Factor
50.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2024                                          (1%)+1.6%(1.4%)(0.7%)+2.9%+8.1%+9.6%

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 222 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
12/18/24 9:35 SDS PROSHARES ULTRASHORT S&P500 LONG 2,737 19.05 12/19 9:35 19.70 0.89%
Trade id #150352260
Max drawdown($459)
Time12/18/24 10:49
Quant open2,737
Worst price18.88
Drawdown as % of equity-0.89%
 $1,794
Includes Typical Broker Commissions trade costs of $5.00
12/12/24 9:35 SDS PROSHARES ULTRASHORT S&P500 LONG 2,743 18.87 12/17 9:35 19.02 0.36%
Trade id #150308794
Max drawdown($187)
Time12/12/24 11:04
Quant open2,743
Worst price18.80
Drawdown as % of equity-0.36%
 $397
Includes Typical Broker Commissions trade costs of $5.00
12/11/24 9:35 TZA DIREXION DAILY SMALL CAP BEAR LONG 4,801 10.61 12/12 9:35 10.79 1.62%
Trade id #150299136
Max drawdown($816)
Time12/11/24 14:55
Quant open4,801
Worst price10.44
Drawdown as % of equity-1.62%
 $864
Includes Typical Broker Commissions trade costs of $5.00
12/6/24 9:35 SDS PROSHARES ULTRASHORT S&P500 LONG 2,704 18.72 12/11 9:35 18.86 0.32%
Trade id #150263707
Max drawdown($162)
Time12/6/24 10:12
Quant open2,704
Worst price18.66
Drawdown as % of equity-0.32%
 $379
Includes Typical Broker Commissions trade costs of $5.00
12/5/24 9:35 ETHE GRAYSCALE ETHEREUM TRUST (ETH) LONG 520 33.07 12/6 9:35 32.91 1.33%
Trade id #150250828
Max drawdown($669)
Time12/5/24 15:31
Quant open513
Worst price31.77
Drawdown as % of equity-1.33%
 ($84)
Includes Typical Broker Commissions trade costs of $5.07
12/4/24 15:59 UGL PROSHARES ULTRA GOLD LONG 177 95.79 12/6 9:35 94.10 0.71%
Trade id #150246287
Max drawdown($359)
Time12/5/24 0:00
Quant open177
Worst price93.76
Drawdown as % of equity-0.71%
 ($303)
Includes Typical Broker Commissions trade costs of $3.54
12/3/24 9:35 UGL PROSHARES ULTRA GOLD LONG 532 95.65 12/4 9:35 95.74 1%
Trade id #150230994
Max drawdown($504)
Time12/3/24 10:21
Quant open531
Worst price94.70
Drawdown as % of equity-1.00%
 $39
Includes Typical Broker Commissions trade costs of $7.83
12/2/24 9:35 SDS PROSHARES ULTRASHORT S&P500 LONG 2,688 18.98 12/3 9:35 18.97 0.37%
Trade id #150221094
Max drawdown($188)
Time12/2/24 15:28
Quant open2,688
Worst price18.91
Drawdown as % of equity-0.37%
 ($28)
Includes Typical Broker Commissions trade costs of $5.00
11/22/24 15:59 IBIT ISHARES BITCOIN TRUST LONG 236 56.47 11/26 9:35 52.54 1.99%
Trade id #150157064
Max drawdown($1,011)
Time11/26/24 9:31
Quant open236
Worst price52.19
Drawdown as % of equity-1.99%
 ($933)
Includes Typical Broker Commissions trade costs of $4.72
11/25/24 15:59 TZA DIREXION DAILY SMALL CAP BEAR LONG 1,280 9.96 11/26 9:35 10.19 n/a $277
Includes Typical Broker Commissions trade costs of $5.00
11/22/24 9:35 TZA DIREXION DAILY SMALL CAP BEAR LONG 1,298 10.85 11/25 11:27 9.73 3.01%
Trade id #150152306
Max drawdown($1,538)
Time11/25/24 10:59
Quant open1,298
Worst price9.66
Drawdown as % of equity-3.01%
 ($1,453)
Includes Typical Broker Commissions trade costs of $5.79
11/15/24 9:40 IBIT ISHARES BITCOIN TRUST LONG 329 51.03 11/22 10:14 55.79 0.2%
Trade id #150095321
Max drawdown($99)
Time11/15/24 10:23
Quant open198
Worst price49.92
Drawdown as % of equity-0.20%
 $1,558
Includes Typical Broker Commissions trade costs of $6.58
11/18/24 9:40 BETH PROSHARES BITCOIN & ETHER MARKET CAP WEIGHT ETF LONG 198 85.39 11/21 9:35 90.99 0.08%
Trade id #150111004
Max drawdown($39)
Time11/18/24 10:03
Quant open118
Worst price84.85
Drawdown as % of equity-0.08%
 $1,105
Includes Typical Broker Commissions trade costs of $3.96
11/18/24 9:40 SVOL SIMPLIFY VOLATILITY PREMIUM ETF LONG 466 21.68 11/19 9:35 21.61 0.07%
Trade id #150111008
Max drawdown($34)
Time11/19/24 9:35
Quant open466
Worst price21.61
Drawdown as % of equity-0.07%
 ($41)
Includes Typical Broker Commissions trade costs of $9.32
11/18/24 9:40 UGL PROSHARES ULTRA GOLD LONG 108 93.22 11/19 9:31 94.53 0.07%
Trade id #150111006
Max drawdown($35)
Time11/18/24 10:08
Quant open108
Worst price92.89
Drawdown as % of equity-0.07%
 $139
Includes Typical Broker Commissions trade costs of $2.16
11/7/24 9:40 SPY SPDR S&P 500 LONG 17 593.13 11/18 9:40 586.14 0.31%
Trade id #150027497
Max drawdown($152)
Time11/15/24 0:00
Quant open16
Worst price583.86
Drawdown as % of equity-0.31%
 ($119)
Includes Typical Broker Commissions trade costs of $0.34
11/13/24 9:40 UGL PROSHARES ULTRA GOLD LONG 111 93.08 11/18 9:31 92.91 0.77%
Trade id #150074763
Max drawdown($387)
Time11/14/24 0:00
Quant open107
Worst price89.57
Drawdown as % of equity-0.77%
 ($21)
Includes Typical Broker Commissions trade costs of $2.22
11/12/24 9:40 IBIT ISHARES BITCOIN TRUST LONG 200 49.04 11/14 11:42 50.61 0.09%
Trade id #150064254
Max drawdown($44)
Time11/12/24 11:14
Quant open200
Worst price48.82
Drawdown as % of equity-0.09%
 $310
Includes Typical Broker Commissions trade costs of $4.00
11/12/24 9:40 TZA DIREXION DAILY SMALL CAP BEAR LONG 966 10.21 11/14 9:42 11.01 0.21%
Trade id #150064252
Max drawdown($101)
Time11/12/24 9:49
Quant open966
Worst price10.11
Drawdown as % of equity-0.21%
 $772
Includes Typical Broker Commissions trade costs of $5.50
11/7/24 9:40 SSO PROSHARES ULTRA S&P 500 LONG 103 95.60 11/14 9:40 96.56 0.02%
Trade id #150027493
Max drawdown($10)
Time11/7/24 9:45
Quant open101
Worst price95.48
Drawdown as % of equity-0.02%
 $97
Includes Typical Broker Commissions trade costs of $2.06
11/12/24 9:40 BETH PROSHARES BITCOIN & ETHER MARKET CAP WEIGHT ETF LONG 119 82.57 11/14 9:40 85.04 0.08%
Trade id #150064250
Max drawdown($39)
Time11/12/24 9:46
Quant open119
Worst price82.24
Drawdown as % of equity-0.08%
 $292
Includes Typical Broker Commissions trade costs of $2.38
11/8/24 9:40 SDS PROSHARES ULTRASHORT S&P500 LONG 516 19.29 11/13 9:40 19.25 0.24%
Trade id #150038731
Max drawdown($116)
Time11/11/24 0:00
Quant open508
Worst price19.06
Drawdown as % of equity-0.24%
 ($21)
Includes Typical Broker Commissions trade costs of $5.08
11/11/24 9:40 SCHG SCHWAB U.S. LARGE-CAP GROWTH E LONG 353 27.81 11/12 9:40 27.84 0.11%
Trade id #150054276
Max drawdown($54)
Time11/11/24 13:22
Quant open353
Worst price27.66
Drawdown as % of equity-0.11%
 $2
Includes Typical Broker Commissions trade costs of $7.06
11/7/24 9:40 TZA DIREXION DAILY SMALL CAP BEAR LONG 973 10.71 11/11 11:13 10.17 1.23%
Trade id #150027495
Max drawdown($597)
Time11/11/24 9:39
Quant open906
Worst price10.10
Drawdown as % of equity-1.23%
 ($531)
Includes Typical Broker Commissions trade costs of $5.67
11/7/24 9:40 IBIT ISHARES BITCOIN TRUST LONG 227 42.65 11/11 9:40 47.01 0.08%
Trade id #150027487
Max drawdown($40)
Time11/7/24 9:48
Quant open227
Worst price42.47
Drawdown as % of equity-0.08%
 $984
Includes Typical Broker Commissions trade costs of $4.54
11/7/24 9:40 BOXX ALPHA ARCHITECT 1-3 MONTH BOX ETF LONG 88 109.51 11/8 9:40 109.56 0%
Trade id #150027499
Max drawdown($1)
Time11/7/24 11:02
Quant open88
Worst price109.49
Drawdown as % of equity-0.00%
 $2
Includes Typical Broker Commissions trade costs of $1.76
11/1/24 9:40 JPST JP MORGAN ULTRA-SHORT INCOME ETF LONG 197 50.41 11/7 9:40 50.41 0.01%
Trade id #149929462
Max drawdown($6)
Time11/1/24 15:59
Quant open197
Worst price50.37
Drawdown as % of equity-0.01%
 ($2)
Includes Typical Broker Commissions trade costs of $3.94
10/29/24 9:40 UGL PROSHARES ULTRA GOLD LONG 100 104.30 11/6 10:10 97.47 1.59%
Trade id #149873672
Max drawdown($778)
Time11/6/24 9:34
Quant open95
Worst price96.50
Drawdown as % of equity-1.59%
 ($685)
Includes Typical Broker Commissions trade costs of $2.00
10/31/24 9:40 ETHE GRAYSCALE ETHEREUM TRUST (ETH) LONG 461 22.01 11/4 9:40 20.60 1.32%
Trade id #149915312
Max drawdown($651)
Time11/4/24 9:34
Quant open461
Worst price20.59
Drawdown as % of equity-1.32%
 ($657)
Includes Typical Broker Commissions trade costs of $9.22
10/31/24 9:40 USMV ISHARES EDGE MSCI MIN VOL USA LONG 110 90.55 11/1 9:40 90.30 0.13%
Trade id #149915314
Max drawdown($64)
Time10/31/24 15:59
Quant open110
Worst price89.96
Drawdown as % of equity-0.13%
 ($29)
Includes Typical Broker Commissions trade costs of $2.20
Next

Statistics

  • Strategy began
    7/16/2024
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    159.49
  • Age
    160 days ago
  • What it trades
    Stocks
  • # Trades
    84
  • # Profitable
    43
  • % Profitable
    51.20%
  • Avg trade duration
    4.1 days
  • Max peak-to-valley drawdown
    5.51%
  • drawdown period
    Nov 21, 2024 - Dec 05, 2024
  • Cumul. Return
    9.6%
  • Avg win
    $327.19
  • Avg loss
    $200.56
  • Model Account Values (Raw)
  • Cash
    $28,003
  • Margin Used
    ($26,976)
  • Buying Power
    $56,226
  • Ratios
  • W:L ratio
    1.76:1
  • Sharpe Ratio
    1.72
  • Sortino Ratio
    3.31
  • Calmar Ratio
    7.542
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    4.95%
  • Correlation to SP500
    -0.04760
  • Return Percent SP500 (cumu) during strategy life
    4.65%
  • Return Statistics
  • Ann Return (w trading costs)
    22.8%
  • Slump
  • Current Slump as Pcnt Equity
    0.20%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.01%
  • 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)
    0.096%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    30.6%
  • 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)
    532
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    931
  • Popularity (7 days, Percentile 1000 scale)
    506
  • Trades-Own-System Certification
  • Trades Own System?
    Yes
  • TOS percent
    100%
  • Win / Loss
  • Avg Loss
    $201
  • Avg Win
    $327
  • Sum Trade PL (losers)
    $8,223.000
  • Age
  • Num Months filled monthly returns table
    6
  • Win / Loss
  • Sum Trade PL (winners)
    $14,069.000
  • # Winners
    43
  • Num Months Winners
    3
  • Dividends
  • Dividends Received in Model Acct
    383
  • AUM
  • AUM (AutoTrader live capital)
    55892
  • Win / Loss
  • # Losers
    41
  • % Winners
    51.2%
  • Frequency
  • Avg Position Time (mins)
    5875.60
  • Avg Position Time (hrs)
    97.93
  • Avg Trade Length
    4.1 days
  • Last Trade Ago
    4
  • Leverage
  • Daily leverage (average)
    1.00
  • Daily leverage (max)
    3.01
  • Regression
  • Alpha
    0.06
  • Beta
    -0.03
  • Treynor Index
    -1.76
  • 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)
    1.82
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    3.522
  • 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
    0.428
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.466
  • Hold-and-Hope Ratio
    0.312
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.10043
  • SD
    0.04343
  • Sharpe ratio (Glass type estimate)
    2.31226
  • Sharpe ratio (Hedges UMVUE)
    1.84492
  • df
    4.00000
  • t
    1.49256
  • p
    0.10492
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.20240
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.61235
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.44961
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.13944
  • Statistics related to Sortino ratio
  • Sortino ratio
    20.08330
  • Upside Potential Ratio
    21.63250
  • Upside part of mean
    0.10817
  • Downside part of mean
    -0.00775
  • Upside SD
    0.04821
  • Downside SD
    0.00500
  • N nonnegative terms
    4.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    5.00000
  • Mean of predictor
    0.14189
  • Mean of criterion
    0.10043
  • SD of predictor
    0.07542
  • SD of criterion
    0.04343
  • Covariance
    0.00069
  • r
    0.20965
  • b (slope, estimate of beta)
    0.12073
  • a (intercept, estimate of alpha)
    0.08329
  • Mean Square Error
    0.00240
  • DF error
    3.00000
  • t(b)
    0.37137
  • p(b)
    0.36752
  • t(a)
    0.93719
  • p(a)
    0.20890
  • Lowerbound of 95% confidence interval for beta
    -0.91389
  • Upperbound of 95% confidence interval for beta
    1.15535
  • Lowerbound of 95% confidence interval for alpha
    -0.19955
  • Upperbound of 95% confidence interval for alpha
    0.36614
  • Treynor index (mean / b)
    0.83180
  • Jensen alpha (a)
    0.08329
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.09904
  • SD
    0.04270
  • Sharpe ratio (Glass type estimate)
    2.31938
  • Sharpe ratio (Hedges UMVUE)
    1.85060
  • df
    4.00000
  • t
    1.49715
  • p
    0.10435
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.19765
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.62149
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.44546
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.14665
  • Statistics related to Sortino ratio
  • Sortino ratio
    19.82110
  • Upside Potential Ratio
    21.37030
  • Upside part of mean
    0.10679
  • Downside part of mean
    -0.00774
  • Upside SD
    0.04745
  • Downside SD
    0.00500
  • N nonnegative terms
    4.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    5.00000
  • Mean of predictor
    0.13850
  • Mean of criterion
    0.09904
  • SD of predictor
    0.07505
  • SD of criterion
    0.04270
  • Covariance
    0.00067
  • r
    0.21052
  • b (slope, estimate of beta)
    0.11978
  • a (intercept, estimate of alpha)
    0.08245
  • Mean Square Error
    0.00232
  • DF error
    3.00000
  • t(b)
    0.37299
  • p(b)
    0.36697
  • t(a)
    0.94865
  • p(a)
    0.20639
  • Lowerbound of 95% confidence interval for beta
    -0.90220
  • Upperbound of 95% confidence interval for beta
    1.14176
  • Lowerbound of 95% confidence interval for alpha
    -0.19416
  • Upperbound of 95% confidence interval for alpha
    0.35907
  • Treynor index (mean / b)
    0.82689
  • Jensen alpha (a)
    0.08245
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01195
  • Expected Shortfall on VaR
    0.01702
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00073
  • Expected Shortfall on VaR
    0.00182
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    5.00000
  • Minimum
    0.99910
  • Quartile 1
    1.00614
  • Median
    1.00736
  • Quartile 3
    1.00878
  • Maximum
    1.03211
  • Mean of quarter 1
    1.00262
  • Mean of quarter 2
    1.00736
  • Mean of quarter 3
    1.00878
  • Mean of quarter 4
    1.03211
  • Inter Quartile Range
    0.00264
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.20000
  • Mean of outliers low
    0.99910
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.20000
  • Mean of outliers high
    1.03211
  • 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
    0.00090
  • Quartile 1
    0.00090
  • Median
    0.00090
  • Quartile 3
    0.00090
  • Maximum
    0.00090
  • 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)
    0.13037
  • Compounded annual return (geometric extrapolation)
    0.13536
  • Calmar ratio (compounded annual return / max draw down)
    150.48800
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    7.95449
  • 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
    0.24660
  • SD
    0.09673
  • Sharpe ratio (Glass type estimate)
    2.54919
  • Sharpe ratio (Hedges UMVUE)
    2.53223
  • df
    113.00000
  • t
    1.68152
  • p
    0.40094
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.44609
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.53343
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.45735
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.52181
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.08211
  • Upside Potential Ratio
    12.16450
  • Upside part of mean
    0.59025
  • Downside part of mean
    -0.34365
  • Upside SD
    0.08458
  • Downside SD
    0.04852
  • N nonnegative terms
    55.00000
  • N negative terms
    59.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    114.00000
  • Mean of predictor
    0.08763
  • Mean of criterion
    0.24660
  • SD of predictor
    0.14882
  • SD of criterion
    0.09673
  • Covariance
    -0.00049
  • r
    -0.03411
  • b (slope, estimate of beta)
    -0.02217
  • a (intercept, estimate of alpha)
    0.24900
  • Mean Square Error
    0.00943
  • DF error
    112.00000
  • t(b)
    -0.36122
  • p(b)
    0.51706
  • t(a)
    1.68712
  • p(a)
    0.42129
  • Lowerbound of 95% confidence interval for beta
    -0.14380
  • Upperbound of 95% confidence interval for beta
    0.09945
  • Lowerbound of 95% confidence interval for alpha
    -0.04335
  • Upperbound of 95% confidence interval for alpha
    0.54043
  • Treynor index (mean / b)
    -11.12140
  • Jensen alpha (a)
    0.24854
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.24185
  • SD
    0.09628
  • Sharpe ratio (Glass type estimate)
    2.51200
  • Sharpe ratio (Hedges UMVUE)
    2.49529
  • df
    113.00000
  • t
    1.65700
  • p
    0.40234
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.48274
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.49585
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.49376
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.48434
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.95202
  • Upside Potential Ratio
    12.01220
  • Upside part of mean
    0.58665
  • Downside part of mean
    -0.34481
  • Upside SD
    0.08382
  • Downside SD
    0.04884
  • N nonnegative terms
    55.00000
  • N negative terms
    59.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    114.00000
  • Mean of predictor
    0.07660
  • Mean of criterion
    0.24185
  • SD of predictor
    0.14920
  • SD of criterion
    0.09628
  • Covariance
    -0.00049
  • r
    -0.03408
  • b (slope, estimate of beta)
    -0.02199
  • a (intercept, estimate of alpha)
    0.24353
  • Mean Square Error
    0.00934
  • DF error
    112.00000
  • t(b)
    -0.36092
  • p(b)
    0.51704
  • t(a)
    1.66126
  • p(a)
    0.42246
  • Lowerbound of 95% confidence interval for beta
    -0.14274
  • Upperbound of 95% confidence interval for beta
    0.09875
  • Lowerbound of 95% confidence interval for alpha
    -0.04693
  • Upperbound of 95% confidence interval for alpha
    0.53399
  • Treynor index (mean / b)
    -10.99570
  • Jensen alpha (a)
    0.24353
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00882
  • Expected Shortfall on VaR
    0.01128
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00306
  • Expected Shortfall on VaR
    0.00626
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    114.00000
  • Minimum
    0.97840
  • Quartile 1
    0.99861
  • Median
    1.00002
  • Quartile 3
    1.00224
  • Maximum
    1.02686
  • Mean of quarter 1
    0.99559
  • Mean of quarter 2
    0.99944
  • Mean of quarter 3
    1.00092
  • Mean of quarter 4
    1.00818
  • Inter Quartile Range
    0.00363
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.04386
  • Mean of outliers low
    0.98972
  • Number of outliers high
    9.00000
  • Percentage of outliers high
    0.07895
  • Mean of outliers high
    1.01609
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.14806
  • VaR(95%) (moments method)
    0.00381
  • Expected Shortfall (moments method)
    0.00581
  • Extreme Value Index (regression method)
    0.23736
  • VaR(95%) (regression method)
    0.00371
  • Expected Shortfall (regression method)
    0.00598
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00112
  • Quartile 1
    0.00901
  • Median
    0.01019
  • Quartile 3
    0.03042
  • Maximum
    0.04106
  • Mean of quarter 1
    0.00507
  • Mean of quarter 2
    0.01019
  • Mean of quarter 3
    0.03042
  • Mean of quarter 4
    0.04106
  • Inter Quartile Range
    0.02140
  • 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)
    0.28622
  • Compounded annual return (geometric extrapolation)
    0.30964
  • Calmar ratio (compounded annual return / max draw down)
    7.54196
  • Compounded annual return / average of 25% largest draw downs
    7.54196
  • Compounded annual return / Expected Shortfall lognormal
    27.45200
  • 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)
    0.00900
  • 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?
    -382361000
  • Max Equity Drawdown (num days)
    14

Strategy Description

This system deploys multiple algorithms to trade long and short positions in liquid ETFs daily, targeting steady returns and effective risk management.

1. Trading Strategy

Daily Trades: Executes long and short trades in liquid ETFs.
Signal Generation: Uses multiple parallel algorithms to generate trading signals.

2. Position Sizing and Holdings
Holdings: Manages up to 5 ETFs daily or as few as 2 based on market conditions.
Position Sizing: Adjusted according to volatility, signal strength, and diversification needs.

3. Performance Objectives

Target Annual CAGR: >15%
Target Sortino Ratio: Target >2
Target Maximum Drawdown: <5%
Target Information Ratio: > 0.35

4. Risk Management Approaches

Long/Short Selection: Balances long and short positions.
Portfolio Weighting: Adjusts weights based on market conditions.
Risk-Off Assets: Holds cash or low-risk assets during periods of high uncertainty.
Stop-Loss Model: Uses a custom stop-loss to further limit losses.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2024-07-16
Suggested Minimum Capital
$15,000
Rank at C2 %
Top 6.9%
Rank # 
#214
# Trades
84
# Profitable
43
% Profitable
51.2%
Net Dividends
$383
Correlation S&P500
-0.048
Sharpe Ratio
1.72
Sortino Ratio
3.31
Beta
-0.03
Alpha
0.06
Leverage
1.00 Average
3.01 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.