Collective2 Collective2
Featured Strategy Quant AI pro +15.0% Cumul. Return since Dec 2, 2024 Hypothetical

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UnicornIndex
(129575948)

Created by: MarkEriksson MarkEriksson
Started: 06/2020
Stocks
Last trade: 7 days ago
Trading style: Equity Event-driven Sector: Technology

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 $499.00 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
Event-driven
Category: Equity

Event-driven

Seeks to exploit pricing inefficiencies that may occur before or after a corporate event, such as an earnings call, bankruptcy, merger, acquisition, or spinoff.
Sector: Technology
Category: Equity

Sector: Technology

Focuses primarily on stocks of technology companies.
41.7%
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.

(81.1%)
Max Drawdown
4044
Num Trades
75.5%
Win Trades
1.8 : 1
Profit Factor
60.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020                                   (0.5%)+4.7%+7.3%(0.1%)(6.5%)+27.8%(7.7%)+23.3%
2021+38.3%+10.7%+1.5%+10.9%+2.4%+45.2%+4.9%(0.6%)+0.2%+6.6%(11.8%)+11.0%+179.5%
2022+9.6%(3.4%)+7.5%(35.5%)(8.9%)(35.4%)+31.9%(6.4%)(17.2%)+7.0%(16.4%)(20.9%)(68.7%)
2023+78.1%+11.5%+18.7%(15.2%)+23.2%+6.3%+11.5%(11.9%)(6.9%)(15.5%)+35.0%+26.1%+244.5%
2024(6.6%)+7.8%+6.1%(6.3%)+17.5%+3.5%+3.6%+0.9%+2.9%(2.8%)+7.4%(4.3%)+30.9%

Model Account Details

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

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

System developer has asked us to delay this information by 168 hours.

Trading Record

This strategy has placed 12,166 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 118 days ago.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
12/16/24 9:31 SMCI2420X32.5 SMCI Dec20'24 32.5 put SHORT 1 1.83 12/16 10:15 0.98 0%
Trade id #150333010
Max drawdown($12)
Time12/16/24 9:34
Quant open1
Worst price1.95
Drawdown as % of equity-0.00%
 $83
Includes Typical Broker Commissions trade costs of $2.00
12/13/24 10:12 PLTR PALANTIR TECHNOLOGIES INC. CLASS A LONG 40 74.84 12/16 9:41 76.11 0.04%
Trade id #150319309
Max drawdown($95)
Time12/13/24 11:01
Quant open40
Worst price72.45
Drawdown as % of equity-0.04%
 $50
Includes Typical Broker Commissions trade costs of $0.80
12/9/24 9:44 MU MICRON TECHNOLOGY LONG 40 102.63 12/16 9:36 104.83 0.07%
Trade id #150278353
Max drawdown($194)
Time12/12/24 0:00
Quant open40
Worst price97.76
Drawdown as % of equity-0.07%
 $87
Includes Typical Broker Commissions trade costs of $0.80
10/21/24 13:11 NKE NIKE LONG 709 77.32 12/13 9:34 77.53 0.05%
Trade id #149741782
Max drawdown($144)
Time11/8/24 0:00
Quant open104
Worst price75.25
Drawdown as % of equity-0.05%
 $130
Includes Typical Broker Commissions trade costs of $14.18
12/2/24 9:36 AMZN AMAZON.COM LONG 122 219.92 12/11 10:22 221.26 0%
Trade id #150221189
Max drawdown($3)
Time12/3/24 0:00
Quant open2
Worst price209.65
Drawdown as % of equity-0.00%
 $162
Includes Typical Broker Commissions trade costs of $2.44
12/11/24 9:42 GOOG ALPHABET INC CLASS C LONG 32 190.82 12/11 10:22 193.73 n/a $92
Includes Typical Broker Commissions trade costs of $0.64
12/9/24 15:27 AMZN2413X222.5 AMZN Dec13'24 222.5 put SHORT 1 1.21 12/10 10:57 0.65 0.01%
Trade id #150283184
Max drawdown($32)
Time12/9/24 15:52
Quant open1
Worst price1.53
Drawdown as % of equity-0.01%
 $54
Includes Typical Broker Commissions trade costs of $2.00
11/22/24 9:46 GOOG ALPHABET INC CLASS C LONG 254 173.92 12/10 10:57 174.00 0.01%
Trade id #150152640
Max drawdown($21)
Time11/22/24 11:47
Quant open10
Worst price166.13
Drawdown as % of equity-0.01%
 $13
Includes Typical Broker Commissions trade costs of $5.08
12/5/24 9:36 NBIS NEBIUS GROUP N.V. CLASS A LONG 30 34.61 12/9 10:30 35.28 0.03%
Trade id #150250870
Max drawdown($72)
Time12/5/24 9:51
Quant open20
Worst price30.54
Drawdown as % of equity-0.03%
 $19
Includes Typical Broker Commissions trade costs of $0.60
12/5/24 12:03 UBER2406X68 UBER Dec6'24 68 put SHORT 1 1.15 12/7 9:35 0.00 0.1%
Trade id #150253378
Max drawdown($247)
Time12/5/24 15:33
Quant open1
Worst price3.62
Drawdown as % of equity-0.10%
 $114
Includes Typical Broker Commissions trade costs of $1.00
12/5/24 10:06 PLTR PALANTIR TECHNOLOGIES INC. CLASS A LONG 20 72.83 12/6 10:03 74.63 0%
Trade id #150251390
Max drawdown($5)
Time12/5/24 10:39
Quant open10
Worst price71.10
Drawdown as % of equity-0.00%
 $36
Includes Typical Broker Commissions trade costs of $0.40
12/4/24 10:25 DOCU DOCUSIGN INC. COMMON STOCK LONG 25 93.65 12/6 9:51 100.71 0%
Trade id #150241884
Max drawdown($4)
Time12/4/24 11:33
Quant open10
Worst price82.57
Drawdown as % of equity-0.00%
 $177
Includes Typical Broker Commissions trade costs of $0.50
12/5/24 12:06 MSFT MICROSOFT LONG 20 442.02 12/5 13:23 443.48 n/a $29
Includes Typical Broker Commissions trade costs of $0.40
12/5/24 9:37 TSLA TESLA INC. LONG 10 366.29 12/5 10:52 370.03 n/a $37
Includes Typical Broker Commissions trade costs of $0.20
11/26/24 10:06 MBLY MOBILEYE GLOBAL INC. CLASS A LONG 308 18.42 12/5 9:43 18.51 0.12%
Trade id #150184557
Max drawdown($327)
Time12/4/24 0:00
Quant open204
Worst price16.80
Drawdown as % of equity-0.12%
 $23
Includes Typical Broker Commissions trade costs of $6.16
12/4/24 9:49 COIN COINBASE GLOBAL INC. CLASS A LONG 24 323.75 12/4 14:32 323.97 0.04%
Trade id #150241333
Max drawdown($109)
Time12/4/24 11:11
Quant open12
Worst price313.50
Drawdown as % of equity-0.04%
 $5
Includes Typical Broker Commissions trade costs of $0.48
12/4/24 13:06 NVDA NVIDIA LONG 100 144.57 12/4 14:27 145.34 0.03%
Trade id #150244463
Max drawdown($81)
Time12/4/24 13:30
Quant open100
Worst price143.75
Drawdown as % of equity-0.03%
 $75
Includes Typical Broker Commissions trade costs of $2.00
12/3/24 12:27 META META PLATFORMS INC. CLASS A LONG 6 608.34 12/4 9:39 612.62 0%
Trade id #150234250
Max drawdown($8)
Time12/3/24 12:37
Quant open3
Worst price602.62
Drawdown as % of equity-0.00%
 $26
Includes Typical Broker Commissions trade costs of $0.12
12/2/24 12:30 NBIS NEBIUS GROUP N.V. CLASS A LONG 550 28.30 12/3 15:23 29.12 0%
Trade id #150224813
Max drawdown($4)
Time12/2/24 13:17
Quant open5
Worst price24.76
Drawdown as % of equity-0.00%
 $440
Includes Typical Broker Commissions trade costs of $8.40
12/2/24 11:24 SMCI SUPER MICRO COMPUTER LONG 204 41.35 12/2 12:29 43.02 n/a $336
Includes Typical Broker Commissions trade costs of $4.08
12/2/24 9:54 TSLA TESLA INC. LONG 10 355.52 12/2 12:12 356.12 0.02%
Trade id #150221517
Max drawdown($43)
Time12/2/24 11:12
Quant open10
Worst price351.15
Drawdown as % of equity-0.02%
 $6
Includes Typical Broker Commissions trade costs of $0.20
11/26/24 13:52 META META PLATFORMS INC. CLASS A LONG 24 585.32 12/2 12:12 591.52 0.04%
Trade id #150187991
Max drawdown($111)
Time11/27/24 0:00
Quant open10
Worst price564.10
Drawdown as % of equity-0.04%
 $149
Includes Typical Broker Commissions trade costs of $0.48
12/2/24 9:33 SMCI2406X37 SMCI Dec6'24 37 put SHORT 1 2.86 12/2 10:45 1.68 0.03%
Trade id #150221070
Max drawdown($79)
Time12/2/24 9:49
Quant open1
Worst price3.65
Drawdown as % of equity-0.03%
 $116
Includes Typical Broker Commissions trade costs of $2.00
12/2/24 10:22 SMCI SUPER MICRO COMPUTER LONG 100 37.60 12/2 10:45 39.19 n/a $157
Includes Typical Broker Commissions trade costs of $2.00
11/25/24 14:45 SMCI SUPER MICRO COMPUTER LONG 200 36.78 12/2 10:19 37.38 0.46%
Trade id #150172484
Max drawdown($1,135)
Time11/29/24 0:00
Quant open200
Worst price31.11
Drawdown as % of equity-0.46%
 $115
Includes Typical Broker Commissions trade costs of $4.00
11/26/24 9:40 QCOM2429W162.5 QCOM Nov29'24 162.5 put SHORT 2 2.54 11/29 11:25 1.75 0.22%
Trade id #150183940
Max drawdown($556)
Time11/27/24 0:00
Quant open1
Worst price7.80
Drawdown as % of equity-0.22%
 $155
Includes Typical Broker Commissions trade costs of $3.40
11/25/24 10:42 NVDA NVIDIA LONG 268 137.60 11/29 10:30 137.97 0.31%
Trade id #150167947
Max drawdown($766)
Time11/27/24 0:00
Quant open132
Worst price131.80
Drawdown as % of equity-0.31%
 $94
Includes Typical Broker Commissions trade costs of $5.36
11/26/24 9:31 BBY2429W86 BBY Nov29'24 86 put SHORT 1 0.49 11/27 9:32 0.38 0.07%
Trade id #150183560
Max drawdown($181)
Time11/26/24 9:45
Quant open1
Worst price2.30
Drawdown as % of equity-0.07%
 $9
Includes Typical Broker Commissions trade costs of $2.00
11/26/24 13:57 AMZN AMAZON.COM LONG 32 206.94 11/26 15:33 207.39 0.01%
Trade id #150188015
Max drawdown($34)
Time11/26/24 14:25
Quant open32
Worst price205.85
Drawdown as % of equity-0.01%
 $13
Includes Typical Broker Commissions trade costs of $0.64
11/22/24 10:34 NBIS NEBIUS GROUP N.V. CLASS A LONG 400 24.82 11/25 10:16 24.74 0.03%
Trade id #150153352
Max drawdown($62)
Time11/22/24 12:49
Quant open100
Worst price22.53
Drawdown as % of equity-0.03%
 ($41)
Includes Typical Broker Commissions trade costs of $8.00
Next

Statistics

  • Strategy began
    6/16/2020
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    1651.17
  • Age
    55 months ago
  • What it trades
    Stocks
  • # Trades
    4044
  • # Profitable
    3054
  • % Profitable
    75.50%
  • Avg trade duration
    5.8 days
  • Max peak-to-valley drawdown
    81.06%
  • drawdown period
    March 29, 2022 - June 03, 2022
  • Annual Return (Compounded)
    41.6%
  • Avg win
    $184.10
  • Avg loss
    $336.64
  • Model Account Values (Raw)
  • Cash
    $76,875
  • Margin Used
    $0
  • Buying Power
    $13,660
  • Ratios
  • W:L ratio
    1.77:1
  • Sharpe Ratio
    0.71
  • Sortino Ratio
    1.13
  • Calmar Ratio
    0.712
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    294.99%
  • Correlation to SP500
    0.48620
  • Return Percent SP500 (cumu) during strategy life
    89.80%
  • Return Statistics
  • Ann Return (w trading costs)
    41.6%
  • Slump
  • Current Slump as Pcnt Equity
    14.00%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.03%
  • Instruments
  • Short Options - Percent Covered
    0.62%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.416%
  • Instruments
  • Percent Trades Options
    0.02%
  • Percent Trades Stocks
    0.98%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    47.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    82.00%
  • Chance of 20% account loss
    75.50%
  • Chance of 30% account loss
    58.00%
  • Chance of 40% account loss
    49.00%
  • Chance of 60% account loss (Monte Carlo)
    28.00%
  • Chance of 70% account loss (Monte Carlo)
    14.00%
  • Chance of 80% account loss (Monte Carlo)
    6.00%
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 100% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    7.64%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    36.50%
  • Popularity
  • Popularity (Today)
    612
  • Popularity (Last 6 weeks)
    898
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    970
  • Popularity (7 days, Percentile 1000 scale)
    776
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $342
  • Avg Win
    $184
  • Sum Trade PL (losers)
    $338,862.000
  • Age
  • Num Months filled monthly returns table
    55
  • Win / Loss
  • Sum Trade PL (winners)
    $562,253.000
  • # Winners
    3054
  • Num Months Winners
    34
  • Dividends
  • Dividends Received in Model Acct
    13444
  • Win / Loss
  • # Losers
    990
  • % Winners
    75.5%
  • Frequency
  • Avg Position Time (mins)
    8319.62
  • Avg Position Time (hrs)
    138.66
  • Avg Trade Length
    5.8 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    2.35
  • Daily leverage (max)
    10.20
  • Regression
  • Alpha
    0.07
  • Beta
    1.71
  • Treynor Index
    0.08
  • 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)
    1.27
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    13.993
  • 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
    2.136
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.751
  • Hold-and-Hope Ratio
    0.073
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.53488
  • SD
    0.56085
  • Sharpe ratio (Glass type estimate)
    0.95370
  • Sharpe ratio (Hedges UMVUE)
    0.93987
  • df
    52.00000
  • t
    2.00427
  • p
    0.02513
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.00105
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.89966
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.01007
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.88982
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.95243
  • Upside Potential Ratio
    3.55054
  • Upside part of mean
    0.97269
  • Downside part of mean
    -0.43781
  • Upside SD
    0.50735
  • Downside SD
    0.27395
  • N nonnegative terms
    33.00000
  • N negative terms
    20.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    53.00000
  • Mean of predictor
    0.13238
  • Mean of criterion
    0.53488
  • SD of predictor
    0.13026
  • SD of criterion
    0.56085
  • Covariance
    0.03834
  • r
    0.52481
  • b (slope, estimate of beta)
    2.25963
  • a (intercept, estimate of alpha)
    0.23574
  • Mean Square Error
    0.23238
  • DF error
    51.00000
  • t(b)
    4.40300
  • p(b)
    0.00003
  • t(a)
    0.98542
  • p(a)
    0.16453
  • Lowerbound of 95% confidence interval for beta
    1.22934
  • Upperbound of 95% confidence interval for beta
    3.28993
  • Lowerbound of 95% confidence interval for alpha
    -0.24453
  • Upperbound of 95% confidence interval for alpha
    0.71601
  • Treynor index (mean / b)
    0.23671
  • Jensen alpha (a)
    0.23574
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.38542
  • SD
    0.52654
  • Sharpe ratio (Glass type estimate)
    0.73199
  • Sharpe ratio (Hedges UMVUE)
    0.72139
  • df
    52.00000
  • t
    1.53835
  • p
    0.06501
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.21452
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.67167
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.22147
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.66425
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.23572
  • Upside Potential Ratio
    2.77876
  • Upside part of mean
    0.86669
  • Downside part of mean
    -0.48127
  • Upside SD
    0.43256
  • Downside SD
    0.31190
  • N nonnegative terms
    33.00000
  • N negative terms
    20.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    53.00000
  • Mean of predictor
    0.12305
  • Mean of criterion
    0.38542
  • SD of predictor
    0.13092
  • SD of criterion
    0.52654
  • Covariance
    0.03980
  • r
    0.57735
  • b (slope, estimate of beta)
    2.32194
  • a (intercept, estimate of alpha)
    0.09971
  • Mean Square Error
    0.18845
  • DF error
    51.00000
  • t(b)
    5.04977
  • p(b)
    0.00000
  • t(a)
    0.46556
  • p(a)
    0.32176
  • Lowerbound of 95% confidence interval for beta
    1.39883
  • Upperbound of 95% confidence interval for beta
    3.24505
  • Lowerbound of 95% confidence interval for alpha
    -0.33026
  • Upperbound of 95% confidence interval for alpha
    0.52968
  • Treynor index (mean / b)
    0.16599
  • Jensen alpha (a)
    0.09971
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.19579
  • Expected Shortfall on VaR
    0.24411
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.06927
  • Expected Shortfall on VaR
    0.14553
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    53.00000
  • Minimum
    0.66819
  • Quartile 1
    0.96550
  • Median
    1.04659
  • Quartile 3
    1.10204
  • Maximum
    1.49390
  • Mean of quarter 1
    0.87295
  • Mean of quarter 2
    1.00816
  • Mean of quarter 3
    1.06637
  • Mean of quarter 4
    1.25351
  • Inter Quartile Range
    0.13654
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.01887
  • Mean of outliers low
    0.66819
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.07547
  • Mean of outliers high
    1.44950
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.50296
  • VaR(95%) (moments method)
    0.10221
  • Expected Shortfall (moments method)
    0.12070
  • Extreme Value Index (regression method)
    -0.25880
  • VaR(95%) (regression method)
    0.16135
  • Expected Shortfall (regression method)
    0.21047
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.00517
  • Quartile 1
    0.02934
  • Median
    0.04820
  • Quartile 3
    0.08847
  • Maximum
    0.64874
  • Mean of quarter 1
    0.01877
  • Mean of quarter 2
    0.03959
  • Mean of quarter 3
    0.07105
  • Mean of quarter 4
    0.36961
  • Inter Quartile Range
    0.05913
  • 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
    0.11111
  • Mean of outliers high
    0.64874
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.98429
  • VaR(95%) (moments method)
    0.39106
  • Expected Shortfall (moments method)
    25.02650
  • Extreme Value Index (regression method)
    7.11419
  • VaR(95%) (regression method)
    10.95990
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.17874
  • Compounded annual return (geometric extrapolation)
    0.51184
  • Calmar ratio (compounded annual return / max draw down)
    0.78898
  • Compounded annual return / average of 25% largest draw downs
    1.38480
  • Compounded annual return / Expected Shortfall lognormal
    2.09678
  • 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
    0.47758
  • SD
    0.48450
  • Sharpe ratio (Glass type estimate)
    0.98570
  • Sharpe ratio (Hedges UMVUE)
    0.98507
  • df
    1169.00000
  • t
    2.08300
  • p
    0.46131
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.05717
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.91386
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.05673
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.91341
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.55769
  • Upside Potential Ratio
    8.84684
  • Upside part of mean
    2.71238
  • Downside part of mean
    -2.23480
  • Upside SD
    0.37605
  • Downside SD
    0.30659
  • N nonnegative terms
    627.00000
  • N negative terms
    543.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1170.00000
  • Mean of predictor
    0.12952
  • Mean of criterion
    0.47758
  • SD of predictor
    0.16661
  • SD of criterion
    0.48450
  • Covariance
    0.03952
  • r
    0.48952
  • b (slope, estimate of beta)
    1.42348
  • a (intercept, estimate of alpha)
    0.29300
  • Mean Square Error
    0.17864
  • DF error
    1168.00000
  • t(b)
    19.18560
  • p(b)
    0.25524
  • t(a)
    1.46426
  • p(a)
    0.47860
  • Lowerbound of 95% confidence interval for beta
    1.27791
  • Upperbound of 95% confidence interval for beta
    1.56905
  • Lowerbound of 95% confidence interval for alpha
    -0.09967
  • Upperbound of 95% confidence interval for alpha
    0.68608
  • Treynor index (mean / b)
    0.33550
  • Jensen alpha (a)
    0.29321
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.36158
  • SD
    0.47996
  • Sharpe ratio (Glass type estimate)
    0.75334
  • Sharpe ratio (Hedges UMVUE)
    0.75286
  • df
    1169.00000
  • t
    1.59197
  • p
    0.47040
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.17478
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.68117
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.17513
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.68084
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.12974
  • Upside Potential Ratio
    8.26702
  • Upside part of mean
    2.64589
  • Downside part of mean
    -2.28431
  • Upside SD
    0.35810
  • Downside SD
    0.32005
  • N nonnegative terms
    627.00000
  • N negative terms
    543.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1170.00000
  • Mean of predictor
    0.11559
  • Mean of criterion
    0.36158
  • SD of predictor
    0.16680
  • SD of criterion
    0.47996
  • Covariance
    0.03984
  • r
    0.49759
  • b (slope, estimate of beta)
    1.43182
  • a (intercept, estimate of alpha)
    0.19607
  • Mean Square Error
    0.17347
  • DF error
    1168.00000
  • t(b)
    19.60500
  • p(b)
    0.25121
  • t(a)
    0.99388
  • p(a)
    0.48547
  • Lowerbound of 95% confidence interval for beta
    1.28853
  • Upperbound of 95% confidence interval for beta
    1.57512
  • Lowerbound of 95% confidence interval for alpha
    -0.19099
  • Upperbound of 95% confidence interval for alpha
    0.58312
  • Treynor index (mean / b)
    0.25253
  • Jensen alpha (a)
    0.19607
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04629
  • Expected Shortfall on VaR
    0.05798
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01858
  • Expected Shortfall on VaR
    0.03815
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1170.00000
  • Minimum
    0.79771
  • Quartile 1
    0.98909
  • Median
    1.00138
  • Quartile 3
    1.01344
  • Maximum
    1.24072
  • Mean of quarter 1
    0.97048
  • Mean of quarter 2
    0.99574
  • Mean of quarter 3
    1.00668
  • Mean of quarter 4
    1.03481
  • Inter Quartile Range
    0.02435
  • Number outliers low
    36.00000
  • Percentage of outliers low
    0.03077
  • Mean of outliers low
    0.92390
  • Number of outliers high
    41.00000
  • Percentage of outliers high
    0.03504
  • Mean of outliers high
    1.09133
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.25900
  • VaR(95%) (moments method)
    0.02866
  • Expected Shortfall (moments method)
    0.04684
  • Extreme Value Index (regression method)
    0.15490
  • VaR(95%) (regression method)
    0.02865
  • Expected Shortfall (regression method)
    0.04336
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    63.00000
  • Minimum
    0.00015
  • Quartile 1
    0.00761
  • Median
    0.02275
  • Quartile 3
    0.05447
  • Maximum
    0.66908
  • Mean of quarter 1
    0.00328
  • Mean of quarter 2
    0.01555
  • Mean of quarter 3
    0.03906
  • Mean of quarter 4
    0.14627
  • Inter Quartile Range
    0.04687
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.09524
  • Mean of outliers high
    0.24638
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.32751
  • VaR(95%) (moments method)
    0.14507
  • Expected Shortfall (moments method)
    0.25387
  • Extreme Value Index (regression method)
    0.34049
  • VaR(95%) (regression method)
    0.14218
  • Expected Shortfall (regression method)
    0.24805
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.05099
  • Compounded annual return (geometric extrapolation)
    0.47622
  • Calmar ratio (compounded annual return / max draw down)
    0.71175
  • Compounded annual return / average of 25% largest draw downs
    3.25582
  • Compounded annual return / Expected Shortfall lognormal
    8.21418
  • 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
    0.24422
  • SD
    0.37754
  • Sharpe ratio (Glass type estimate)
    0.64689
  • Sharpe ratio (Hedges UMVUE)
    0.64315
  • df
    130.00000
  • t
    0.45742
  • p
    0.47996
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.12724
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.41860
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.12976
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.41605
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.88138
  • Upside Potential Ratio
    8.77666
  • Upside part of mean
    2.43195
  • Downside part of mean
    -2.18773
  • Upside SD
    0.25474
  • Downside SD
    0.27709
  • N nonnegative terms
    68.00000
  • N negative terms
    63.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.15800
  • Mean of criterion
    0.24422
  • SD of predictor
    0.14160
  • SD of criterion
    0.37754
  • Covariance
    0.02803
  • r
    0.52427
  • b (slope, estimate of beta)
    1.39781
  • a (intercept, estimate of alpha)
    0.02337
  • Mean Square Error
    0.10416
  • DF error
    129.00000
  • t(b)
    6.99254
  • p(b)
    0.18223
  • t(a)
    0.05108
  • p(a)
    0.49714
  • Lowerbound of 95% confidence interval for beta
    1.00230
  • Upperbound of 95% confidence interval for beta
    1.79332
  • Lowerbound of 95% confidence interval for alpha
    -0.88183
  • Upperbound of 95% confidence interval for alpha
    0.92857
  • Treynor index (mean / b)
    0.17472
  • Jensen alpha (a)
    0.02337
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.17273
  • SD
    0.38030
  • Sharpe ratio (Glass type estimate)
    0.45419
  • Sharpe ratio (Hedges UMVUE)
    0.45156
  • df
    130.00000
  • t
    0.32116
  • p
    0.48592
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.31901
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.22570
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.32079
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.22391
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.60754
  • Upside Potential Ratio
    8.44132
  • Upside part of mean
    2.39995
  • Downside part of mean
    -2.22722
  • Upside SD
    0.25062
  • Downside SD
    0.28431
  • N nonnegative terms
    68.00000
  • N negative terms
    63.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.14796
  • Mean of criterion
    0.17273
  • SD of predictor
    0.14196
  • SD of criterion
    0.38030
  • Covariance
    0.02830
  • r
    0.52412
  • b (slope, estimate of beta)
    1.40414
  • a (intercept, estimate of alpha)
    -0.03503
  • Mean Square Error
    0.10571
  • DF error
    129.00000
  • t(b)
    6.98989
  • p(b)
    0.18231
  • t(a)
    -0.07602
  • p(a)
    0.50426
  • VAR (95 Confidence Intrvl)
    0.04600
  • Lowerbound of 95% confidence interval for beta
    1.00669
  • Upperbound of 95% confidence interval for beta
    1.80159
  • Lowerbound of 95% confidence interval for alpha
    -0.94668
  • Upperbound of 95% confidence interval for alpha
    0.87662
  • Treynor index (mean / b)
    0.12301
  • Jensen alpha (a)
    -0.03503
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03727
  • Expected Shortfall on VaR
    0.04664
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01877
  • Expected Shortfall on VaR
    0.03696
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.91182
  • Quartile 1
    0.99035
  • Median
    1.00238
  • Quartile 3
    1.01486
  • Maximum
    1.04943
  • Mean of quarter 1
    0.97096
  • Mean of quarter 2
    0.99631
  • Mean of quarter 3
    1.00887
  • Mean of quarter 4
    1.02826
  • Inter Quartile Range
    0.02451
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.03817
  • Mean of outliers low
    0.93725
  • 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)
    -0.35883
  • VaR(95%) (moments method)
    0.02541
  • Expected Shortfall (moments method)
    0.03080
  • Extreme Value Index (regression method)
    -0.07144
  • VaR(95%) (regression method)
    0.02595
  • Expected Shortfall (regression method)
    0.03481
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.00050
  • Quartile 1
    0.01067
  • Median
    0.05199
  • Quartile 3
    0.08292
  • Maximum
    0.18137
  • Mean of quarter 1
    0.00457
  • Mean of quarter 2
    0.03510
  • Mean of quarter 3
    0.07047
  • Mean of quarter 4
    0.15724
  • Inter Quartile Range
    0.07225
  • 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)
    -7.11444
  • VaR(95%) (moments method)
    0.14231
  • Expected Shortfall (moments method)
    0.14231
  • Extreme Value Index (regression method)
    -1.05671
  • VaR(95%) (regression method)
    0.20678
  • Last 4 Months - Pcnt Negative
    0.50%
  • Expected Shortfall (regression method)
    0.21806
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -434003000
  • Max Equity Drawdown (num days)
    66
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.21105
  • Compounded annual return (geometric extrapolation)
    0.22218
  • Calmar ratio (compounded annual return / max draw down)
    1.22500
  • Compounded annual return / average of 25% largest draw downs
    1.41299
  • Compounded annual return / Expected Shortfall lognormal
    4.76334

Strategy Description

Actual intrinsic value trading.
Limited to 50 users.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2020-06-16
Suggested Minimum Capital
$100,000
Rank at C2 %
Top 3.0%
Rank # 
#22
# Trades
4044
# Profitable
3054
% Profitable
75.5%
Net Dividends
$13,444
Correlation S&P500
0.486
Sharpe Ratio
0.71
Sortino Ratio
1.13
Beta
1.71
Alpha
0.07
Leverage
2.35 Average
10.20 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.