Collective2 Collective2
Featured Strategy Monthly Income System Followed by live capital $8,700 Hypothetical

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URS4
(140807894)

Created by: Hideki2 Hideki2
Started: 06/2022
Stocks
Last trade: 16 days ago
Trading style: Equity Trend-following Momentum

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 $99.00 per month.

C2Star

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

You can read more about C2Star certification requirements here.

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

Trading Category: Equity
Trend-following
Category: Equity

Trend-following

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

Momentum

Aims to capitalize on the continuance of existing trends in the market. Trader takes a long position in an asset in an upward trend, and short-sells a security that has been in a downward trend. While similar to Trend-following, tends to be more forward-looking (predicting oncoming trend), while Momentum is more backward-looking (observing already-established price direction).
40.7%
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.

(36.1%)
Max Drawdown
301
Num Trades
36.9%
Win Trades
1.8 : 1
Profit Factor
60.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022                                   (5.7%)(0.8%)+11.4%(15.9%)(1.5%)+6.2%+13.5%+4.0%
2023+4.6%(16.5%)+2.5%(1.1%)(1.6%)+4.2%+32.4%(10.4%)(14.7%)(3%)+10.4%+12.8%+11.1%
2024+2.4%+7.6%+3.5%+1.2%+6.6%(0.1%)+2.7%(0.2%)+9.3%+10.1%+41.3%+0.8%+115.9%
2025+15.6%(1.8%)(20.4%)+12.8%                                                +1.9%

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 194 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 16 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
3/17/25 9:30 SEZL SEZZLE INC. LONG 20 234.11 3/18 9:38 219.41 0.46%
Trade id #151113834
Max drawdown($222)
Time3/18/25 9:38
Quant open20
Worst price223.00
Drawdown as % of equity-0.46%
 ($294)
Includes Typical Broker Commissions trade costs of $0.40
3/14/25 9:37 PLTU DIREXION DAILY PLTR BULL 2X SHARES LONG 170 29.31 3/18 9:36 27.72 0.56%
Trade id #151100420
Max drawdown($270)
Time3/18/25 9:36
Quant open170
Worst price27.72
Drawdown as % of equity-0.56%
 ($273)
Includes Typical Broker Commissions trade costs of $3.40
3/12/25 9:30 CLS CELESTICA LONG 110 91.08 3/18 9:36 88.58 0.72%
Trade id #151077473
Max drawdown($342)
Time3/13/25 0:00
Quant open55
Worst price85.44
Drawdown as % of equity-0.72%
 ($277)
Includes Typical Broker Commissions trade costs of $2.20
3/12/25 9:30 NVDL GRANITESHARES 1.5X LONG NVDA DAILY ETF LONG 120 41.92 3/18 9:35 43.83 0.21%
Trade id #151077433
Max drawdown($100)
Time3/12/25 11:08
Quant open120
Worst price41.08
Drawdown as % of equity-0.21%
 $227
Includes Typical Broker Commissions trade costs of $2.40
3/17/25 9:30 EAT BRINKER INTERNATIONAL LONG 34 139.93 3/18 9:33 138.13 0.11%
Trade id #151113859
Max drawdown($52)
Time3/17/25 10:36
Quant open34
Worst price138.40
Drawdown as % of equity-0.11%
 ($62)
Includes Typical Broker Commissions trade costs of $0.68
3/12/25 9:30 MIND MIND TECHNOLOGY INC LONG 680 6.98 3/17 9:55 6.91 0.26%
Trade id #151077348
Max drawdown($122)
Time3/13/25 0:00
Quant open680
Worst price6.80
Drawdown as % of equity-0.26%
 ($56)
Includes Typical Broker Commissions trade costs of $5.00
3/12/25 9:30 AVL DIREXION DAILY AVGO BULL 2X SHARES LONG 229 22.52 3/17 9:30 20.34 1.04%
Trade id #151077381
Max drawdown($501)
Time3/17/25 9:30
Quant open229
Worst price20.33
Drawdown as % of equity-1.04%
 ($505)
Includes Typical Broker Commissions trade costs of $4.58
3/4/25 9:50 TSLA TESLA INC. SHORT 18 268.18 3/14 9:31 248.74 0.58%
Trade id #151007095
Max drawdown($291)
Time3/4/25 15:24
Quant open18
Worst price284.35
Drawdown as % of equity-0.58%
 $350
Includes Typical Broker Commissions trade costs of $0.36
3/7/25 11:25 IBIT ISHARES BITCOIN TRUST SHORT 100 49.65 3/14 9:30 47.43 0.19%
Trade id #151040263
Max drawdown($93)
Time3/7/25 13:53
Quant open100
Worst price50.58
Drawdown as % of equity-0.19%
 $220
Includes Typical Broker Commissions trade costs of $2.00
3/12/25 9:30 OKTA OKTA INC. CL A COMMON STOCK LONG 45 110.31 3/13 9:45 106.90 0.33%
Trade id #151077484
Max drawdown($157)
Time3/13/25 9:45
Quant open45
Worst price106.81
Drawdown as % of equity-0.33%
 ($154)
Includes Typical Broker Commissions trade costs of $0.90
3/11/25 9:30 KC KINGSOFT CLOUD HOLDINGS LIMITED ADS LONG 285 17.48 3/13 9:30 16.84 0.46%
Trade id #151065640
Max drawdown($220)
Time3/13/25 9:30
Quant open285
Worst price16.71
Drawdown as % of equity-0.46%
 ($188)
Includes Typical Broker Commissions trade costs of $5.70
3/12/25 9:30 OSIS OSI SYSTEMS LONG 26 186.87 3/13 9:30 170.50 1.19%
Trade id #151077530
Max drawdown($571)
Time3/13/25 9:30
Quant open26
Worst price164.88
Drawdown as % of equity-1.19%
 ($427)
Includes Typical Broker Commissions trade costs of $0.52
3/11/25 9:30 GDS GDS HOLDINGS LIMITED ADS LONG 131 38.19 3/12 9:32 36.23 0.53%
Trade id #151065528
Max drawdown($263)
Time3/12/25 9:32
Quant open131
Worst price36.18
Drawdown as % of equity-0.53%
 ($260)
Includes Typical Broker Commissions trade costs of $2.62
3/11/25 9:30 VNET VNET GROUP INC LONG 417 12.06 3/12 9:32 11.30 0.65%
Trade id #151065502
Max drawdown($319)
Time3/12/25 9:32
Quant open417
Worst price11.30
Drawdown as % of equity-0.65%
 ($327)
Includes Typical Broker Commissions trade costs of $8.34
3/5/25 9:30 KC KINGSOFT CLOUD HOLDINGS LIMITED ADS LONG 294 17.02 3/10 13:46 16.25 0.47%
Trade id #151017298
Max drawdown($229)
Time3/10/25 13:46
Quant open294
Worst price16.24
Drawdown as % of equity-0.47%
 ($232)
Includes Typical Broker Commissions trade costs of $5.88
3/6/25 9:55 RGTI RIGETTI COMPUTING INC. COMMON STOCK LONG 572 8.74 3/10 12:18 7.92 0.96%
Trade id #151029101
Max drawdown($473)
Time3/10/25 12:18
Quant open572
Worst price7.91
Drawdown as % of equity-0.96%
 ($472)
Includes Typical Broker Commissions trade costs of $5.00
3/7/25 9:30 BMA MACRO BANK LONG 60 83.95 3/10 9:31 81.64 0.44%
Trade id #151037972
Max drawdown($214)
Time3/7/25 12:18
Quant open60
Worst price80.38
Drawdown as % of equity-0.44%
 ($140)
Includes Typical Broker Commissions trade costs of $1.20
3/5/25 15:01 GOOGL ALPHABET INC CLASS A LONG 28 173.55 3/10 9:30 168.21 0.35%
Trade id #151022458
Max drawdown($175)
Time3/10/25 9:30
Quant open28
Worst price167.28
Drawdown as % of equity-0.35%
 ($151)
Includes Typical Broker Commissions trade costs of $0.56
3/5/25 9:40 SSRM SSR MINING INC LONG 494 10.13 3/7 11:45 9.89 0.25%
Trade id #151017918
Max drawdown($121)
Time3/7/25 11:45
Quant open494
Worst price9.88
Drawdown as % of equity-0.25%
 ($129)
Includes Typical Broker Commissions trade costs of $9.88
3/5/25 9:30 LX LEXINFINTECH HOLDINGS LTD. ADS LONG 566 8.90 3/7 11:28 8.91 0%
Trade id #151017281
Max drawdown($0)
Time3/7/25 11:28
Quant open566
Worst price8.90
Drawdown as % of equity-0.00%
 ($1)
Includes Typical Broker Commissions trade costs of $5.00
3/5/25 15:37 CBRE CBRE GROUP LONG 35 142.59 3/6 9:38 138.60 0.29%
Trade id #151023009
Max drawdown($147)
Time3/6/25 9:38
Quant open35
Worst price138.39
Drawdown as % of equity-0.29%
 ($141)
Includes Typical Broker Commissions trade costs of $0.70
3/5/25 14:06 NFLX NETFLIX LONG 5 993.35 3/6 9:30 967.82 0.27%
Trade id #151021941
Max drawdown($137)
Time3/6/25 9:30
Quant open5
Worst price965.77
Drawdown as % of equity-0.27%
 ($128)
Includes Typical Broker Commissions trade costs of $0.10
3/4/25 14:28 INTA INTAPP INC. COMMON STOCK LONG 78 63.86 3/6 9:30 63.93 0.28%
Trade id #151011753
Max drawdown($140)
Time3/5/25 0:00
Quant open78
Worst price62.06
Drawdown as % of equity-0.28%
 $3
Includes Typical Broker Commissions trade costs of $1.56
3/5/25 15:36 BBAR BANCO BBVA ARGENTINA SA LONG 260 19.23 3/6 9:30 18.04 0.62%
Trade id #151022990
Max drawdown($312)
Time3/6/25 9:30
Quant open260
Worst price18.03
Drawdown as % of equity-0.62%
 ($314)
Includes Typical Broker Commissions trade costs of $5.20
3/4/25 9:30 APP APPLOVIN CORPORATION CLASS A LONG 15 323.26 3/6 9:30 305.47 0.72%
Trade id #151006153
Max drawdown($363)
Time3/6/25 9:30
Quant open15
Worst price299.00
Drawdown as % of equity-0.72%
 ($267)
Includes Typical Broker Commissions trade costs of $0.30
3/4/25 9:30 MARA MARATHON DIGITAL HOLDINGS INC SHORT 376 13.42 3/5 11:56 14.56 1.03%
Trade id #151006148
Max drawdown($524)
Time3/4/25 14:23
Quant open376
Worst price14.81
Drawdown as % of equity-1.03%
 ($436)
Includes Typical Broker Commissions trade costs of $7.52
2/24/25 9:34 MGA MAGNA INTERNATIONAL SHORT 131 37.90 3/5 10:00 36.63 0.21%
Trade id #150937470
Max drawdown($124)
Time2/24/25 13:18
Quant open131
Worst price38.85
Drawdown as % of equity-0.21%
 $163
Includes Typical Broker Commissions trade costs of $2.62
3/4/25 9:30 MSTR MICROSTRATEGY SHORT 2 240.69 3/5 9:43 282.68 0.21%
Trade id #151006229
Max drawdown($104)
Time3/4/25 15:24
Quant open2
Worst price293.04
Drawdown as % of equity-0.21%
 ($84)
Includes Typical Broker Commissions trade costs of $0.04
3/4/25 9:30 IBIT ISHARES BITCOIN TRUST SHORT 104 47.03 3/5 9:30 51.02 0.82%
Trade id #151006192
Max drawdown($416)
Time3/5/25 9:30
Quant open104
Worst price51.03
Drawdown as % of equity-0.82%
 ($417)
Includes Typical Broker Commissions trade costs of $2.08
2/28/25 9:30 BLX BANCO LATINOAMERICANO LONG 129 39.30 3/4 9:41 39.72 0.06%
Trade id #150978792
Max drawdown($33)
Time2/28/25 9:34
Quant open129
Worst price39.04
Drawdown as % of equity-0.06%
 $51
Includes Typical Broker Commissions trade costs of $2.58
Next

Statistics

  • Strategy began
    6/19/2022
  • Suggested Minimum Cap
    $40,000
  • Strategy Age (days)
    1018.92
  • Age
    34 months ago
  • What it trades
    Stocks
  • # Trades
    301
  • # Profitable
    111
  • % Profitable
    36.90%
  • Avg trade duration
    26.2 days
  • Max peak-to-valley drawdown
    36.14%
  • drawdown period
    Aug 01, 2023 - Oct 29, 2023
  • Annual Return (Compounded)
    40.7%
  • Avg win
    $705.87
  • Avg loss
    $232.91
  • Model Account Values (Raw)
  • Cash
    $109,089
  • Margin Used
    $103,926
  • Buying Power
    $4,813
  • Ratios
  • W:L ratio
    1.78:1
  • Sharpe Ratio
    0.77
  • Sortino Ratio
    1.31
  • Calmar Ratio
    1.772
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    113.43%
  • Correlation to SP500
    0.29650
  • Return Percent SP500 (cumu) during strategy life
    46.85%
  • Return Statistics
  • Ann Return (w trading costs)
    40.7%
  • Slump
  • Current Slump as Pcnt Equity
    23.40%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.05%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.407%
  • Instruments
  • Percent Trades Options
    0.01%
  • Percent Trades Stocks
    0.99%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    42.7%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    63.50%
  • Chance of 20% account loss
    40.50%
  • Chance of 30% account loss
    19.50%
  • Chance of 40% account loss
    4.50%
  • Chance of 60% account loss (Monte Carlo)
    0.50%
  • 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
    2.50%
  • Popularity
  • Popularity (Today)
    366
  • Popularity (Last 6 weeks)
    926
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    973
  • Popularity (7 days, Percentile 1000 scale)
    696
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $233
  • Avg Win
    $706
  • Sum Trade PL (losers)
    $44,253.000
  • Age
  • Num Months filled monthly returns table
    35
  • Win / Loss
  • Sum Trade PL (winners)
    $78,352.000
  • # Winners
    111
  • Num Months Winners
    21
  • Dividends
  • Dividends Received in Model Acct
    -62
  • Win / Loss
  • # Losers
    190
  • % Winners
    36.9%
  • Frequency
  • Avg Position Time (mins)
    37668.80
  • Avg Position Time (hrs)
    627.81
  • Avg Trade Length
    26.2 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    0.76
  • Daily leverage (max)
    4.75
  • Regression
  • Alpha
    0.08
  • Beta
    0.77
  • Treynor Index
    0.13
  • 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)
    -0.25
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    1.622
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    0.211
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.080
  • Hold-and-Hope Ratio
    0.621
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.58262
  • SD
    0.58104
  • Sharpe ratio (Glass type estimate)
    1.00271
  • Sharpe ratio (Hedges UMVUE)
    0.96807
  • df
    22.00000
  • t
    1.38819
  • p
    0.08949
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.45415
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.43790
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.47625
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.41238
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.27787
  • Upside Potential Ratio
    4.00215
  • Upside part of mean
    1.02364
  • Downside part of mean
    -0.44103
  • Upside SD
    0.53460
  • Downside SD
    0.25577
  • N nonnegative terms
    13.00000
  • N negative terms
    10.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    23.00000
  • Mean of predictor
    0.19126
  • Mean of criterion
    0.58262
  • SD of predictor
    0.19372
  • SD of criterion
    0.58104
  • Covariance
    0.07345
  • r
    0.65250
  • b (slope, estimate of beta)
    1.95711
  • a (intercept, estimate of alpha)
    0.20831
  • Mean Square Error
    0.20310
  • DF error
    21.00000
  • t(b)
    3.94587
  • p(b)
    0.11633
  • t(a)
    0.61435
  • p(a)
    0.41566
  • Lowerbound of 95% confidence interval for beta
    0.92565
  • Upperbound of 95% confidence interval for beta
    2.98859
  • Lowerbound of 95% confidence interval for alpha
    -0.49682
  • Upperbound of 95% confidence interval for alpha
    0.91343
  • Treynor index (mean / b)
    0.29769
  • Jensen alpha (a)
    0.20831
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.42923
  • SD
    0.53259
  • Sharpe ratio (Glass type estimate)
    0.80593
  • Sharpe ratio (Hedges UMVUE)
    0.77809
  • df
    22.00000
  • t
    1.11577
  • p
    0.13828
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.63828
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.23247
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.65617
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.21235
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.51614
  • Upside Potential Ratio
    3.20233
  • Upside part of mean
    0.90660
  • Downside part of mean
    -0.47737
  • Upside SD
    0.45444
  • Downside SD
    0.28311
  • N nonnegative terms
    13.00000
  • N negative terms
    10.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    23.00000
  • Mean of predictor
    0.17190
  • Mean of criterion
    0.42923
  • SD of predictor
    0.19114
  • SD of criterion
    0.53259
  • Covariance
    0.06728
  • r
    0.66093
  • b (slope, estimate of beta)
    1.84160
  • a (intercept, estimate of alpha)
    0.11266
  • Mean Square Error
    0.16735
  • DF error
    21.00000
  • t(b)
    4.03597
  • p(b)
    0.11228
  • t(a)
    0.36851
  • p(a)
    0.44903
  • Lowerbound of 95% confidence interval for beta
    0.89268
  • Upperbound of 95% confidence interval for beta
    2.79052
  • Lowerbound of 95% confidence interval for alpha
    -0.52312
  • Upperbound of 95% confidence interval for alpha
    0.74844
  • Treynor index (mean / b)
    0.23307
  • Jensen alpha (a)
    0.11266
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.19517
  • Expected Shortfall on VaR
    0.24405
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.07760
  • Expected Shortfall on VaR
    0.15350
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    23.00000
  • Minimum
    0.76525
  • Quartile 1
    0.95540
  • Median
    1.01606
  • Quartile 3
    1.14661
  • Maximum
    1.54765
  • Mean of quarter 1
    0.87473
  • Mean of quarter 2
    0.99313
  • Mean of quarter 3
    1.07343
  • Mean of quarter 4
    1.26599
  • Inter Quartile Range
    0.19121
  • 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
    0.04348
  • Mean of outliers high
    1.54765
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.60997
  • VaR(95%) (moments method)
    0.12575
  • Expected Shortfall (moments method)
    0.14457
  • Extreme Value Index (regression method)
    -0.16280
  • VaR(95%) (regression method)
    0.15295
  • Expected Shortfall (regression method)
    0.19934
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.05369
  • Quartile 1
    0.11847
  • Median
    0.19099
  • Quartile 3
    0.19347
  • Maximum
    0.23475
  • Mean of quarter 1
    0.08608
  • Mean of quarter 2
    0.19099
  • Mean of quarter 3
    0.19347
  • Mean of quarter 4
    0.23475
  • Inter Quartile Range
    0.07500
  • 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)
    0.73132
  • Compounded annual return (geometric extrapolation)
    0.57954
  • Calmar ratio (compounded annual return / max draw down)
    2.46880
  • Compounded annual return / average of 25% largest draw downs
    2.46880
  • Compounded annual return / Expected Shortfall lognormal
    2.37474
  • 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
    0.52678
  • SD
    0.45494
  • Sharpe ratio (Glass type estimate)
    1.15793
  • Sharpe ratio (Hedges UMVUE)
    1.15624
  • df
    516.00000
  • t
    1.62658
  • p
    0.05222
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.23966
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.55442
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.24079
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.55328
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.00748
  • Upside Potential Ratio
    10.23570
  • Upside part of mean
    2.68596
  • Downside part of mean
    -2.15918
  • Upside SD
    0.37251
  • Downside SD
    0.26241
  • N nonnegative terms
    255.00000
  • N negative terms
    262.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    517.00000
  • Mean of predictor
    0.17115
  • Mean of criterion
    0.52678
  • SD of predictor
    0.18203
  • SD of criterion
    0.45494
  • Covariance
    0.02561
  • r
    0.30922
  • b (slope, estimate of beta)
    0.77280
  • a (intercept, estimate of alpha)
    0.39500
  • Mean Square Error
    0.18754
  • DF error
    515.00000
  • t(b)
    7.37886
  • p(b)
    -0.00000
  • t(a)
    1.27756
  • p(a)
    0.10099
  • Lowerbound of 95% confidence interval for beta
    0.56705
  • Upperbound of 95% confidence interval for beta
    0.97856
  • Lowerbound of 95% confidence interval for alpha
    -0.21216
  • Upperbound of 95% confidence interval for alpha
    1.00119
  • Treynor index (mean / b)
    0.68165
  • Jensen alpha (a)
    0.39452
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.42635
  • SD
    0.44427
  • Sharpe ratio (Glass type estimate)
    0.95968
  • Sharpe ratio (Hedges UMVUE)
    0.95829
  • df
    516.00000
  • t
    1.34810
  • p
    0.08911
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.43723
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.35574
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.43819
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.35477
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.58838
  • Upside Potential Ratio
    9.76372
  • Upside part of mean
    2.62078
  • Downside part of mean
    -2.19443
  • Upside SD
    0.35445
  • Downside SD
    0.26842
  • N nonnegative terms
    255.00000
  • N negative terms
    262.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    517.00000
  • Mean of predictor
    0.15456
  • Mean of criterion
    0.42635
  • SD of predictor
    0.18194
  • SD of criterion
    0.44427
  • Covariance
    0.02530
  • r
    0.31301
  • b (slope, estimate of beta)
    0.76432
  • a (intercept, estimate of alpha)
    0.30822
  • Mean Square Error
    0.17838
  • DF error
    515.00000
  • t(b)
    7.47909
  • p(b)
    -0.00000
  • t(a)
    1.02373
  • p(a)
    0.15322
  • Lowerbound of 95% confidence interval for beta
    0.56355
  • Upperbound of 95% confidence interval for beta
    0.96508
  • Lowerbound of 95% confidence interval for alpha
    -0.28327
  • Upperbound of 95% confidence interval for alpha
    0.89971
  • Treynor index (mean / b)
    0.55782
  • Jensen alpha (a)
    0.30822
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04259
  • Expected Shortfall on VaR
    0.05345
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01921
  • Expected Shortfall on VaR
    0.03674
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    517.00000
  • Minimum
    0.92040
  • Quartile 1
    0.98813
  • Median
    1.00000
  • Quartile 3
    1.01314
  • Maximum
    1.24425
  • Mean of quarter 1
    0.97229
  • Mean of quarter 2
    0.99511
  • Mean of quarter 3
    1.00651
  • Mean of quarter 4
    1.03478
  • Inter Quartile Range
    0.02500
  • Number outliers low
    15.00000
  • Percentage of outliers low
    0.02901
  • Mean of outliers low
    0.93891
  • Number of outliers high
    17.00000
  • Percentage of outliers high
    0.03288
  • Mean of outliers high
    1.09180
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.09818
  • VaR(95%) (moments method)
    0.02688
  • Expected Shortfall (moments method)
    0.03808
  • Extreme Value Index (regression method)
    0.08599
  • VaR(95%) (regression method)
    0.02599
  • Expected Shortfall (regression method)
    0.03626
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    21.00000
  • Minimum
    0.00043
  • Quartile 1
    0.02149
  • Median
    0.03622
  • Quartile 3
    0.07809
  • Maximum
    0.32446
  • Mean of quarter 1
    0.01182
  • Mean of quarter 2
    0.02936
  • Mean of quarter 3
    0.06713
  • Mean of quarter 4
    0.25223
  • Inter Quartile Range
    0.05661
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.19048
  • Mean of outliers high
    0.27989
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -4.99539
  • VaR(95%) (moments method)
    0.18382
  • Expected Shortfall (moments method)
    0.18385
  • Extreme Value Index (regression method)
    -1.91473
  • VaR(95%) (regression method)
    0.31573
  • Expected Shortfall (regression method)
    0.32204
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.73518
  • Compounded annual return (geometric extrapolation)
    0.57501
  • Calmar ratio (compounded annual return / max draw down)
    1.77218
  • Compounded annual return / average of 25% largest draw downs
    2.27967
  • Compounded annual return / Expected Shortfall lognormal
    10.75710
  • 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
    1.66696
  • SD
    0.60341
  • Sharpe ratio (Glass type estimate)
    2.76256
  • Sharpe ratio (Hedges UMVUE)
    2.74659
  • df
    130.00000
  • t
    1.95342
  • p
    0.41557
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.03462
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.54941
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.04525
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.53843
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.85772
  • Upside Potential Ratio
    13.46840
  • Upside part of mean
    3.83277
  • Downside part of mean
    -2.16581
  • Upside SD
    0.53939
  • Downside SD
    0.28457
  • N nonnegative terms
    69.00000
  • N negative terms
    62.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.26069
  • Mean of criterion
    1.66696
  • SD of predictor
    0.20150
  • SD of criterion
    0.60341
  • Covariance
    0.03142
  • r
    0.25838
  • b (slope, estimate of beta)
    0.77375
  • a (intercept, estimate of alpha)
    1.46525
  • Mean Square Error
    0.34243
  • DF error
    129.00000
  • t(b)
    3.03784
  • p(b)
    0.33736
  • t(a)
    1.76489
  • p(a)
    0.40263
  • Lowerbound of 95% confidence interval for beta
    0.26981
  • Upperbound of 95% confidence interval for beta
    1.27769
  • Lowerbound of 95% confidence interval for alpha
    -0.17737
  • Upperbound of 95% confidence interval for alpha
    3.10786
  • Treynor index (mean / b)
    2.15439
  • Jensen alpha (a)
    1.46525
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.49181
  • SD
    0.57805
  • Sharpe ratio (Glass type estimate)
    2.58075
  • Sharpe ratio (Hedges UMVUE)
    2.56584
  • df
    130.00000
  • t
    1.82487
  • p
    0.42098
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.21361
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.36540
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.22346
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.35513
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.10929
  • Upside Potential Ratio
    12.66970
  • Upside part of mean
    3.69928
  • Downside part of mean
    -2.20748
  • Upside SD
    0.50481
  • Downside SD
    0.29198
  • N nonnegative terms
    69.00000
  • N negative terms
    62.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.24033
  • Mean of criterion
    1.49181
  • SD of predictor
    0.20208
  • SD of criterion
    0.57805
  • Covariance
    0.03028
  • r
    0.25924
  • b (slope, estimate of beta)
    0.74158
  • a (intercept, estimate of alpha)
    1.31358
  • Mean Square Error
    0.31410
  • DF error
    129.00000
  • t(b)
    3.04867
  • p(b)
    0.33683
  • t(a)
    1.65283
  • p(a)
    0.40864
  • VAR (95 Confidence Intrvl)
    0.04300
  • Lowerbound of 95% confidence interval for beta
    0.26031
  • Upperbound of 95% confidence interval for beta
    1.22285
  • Lowerbound of 95% confidence interval for alpha
    -0.25884
  • Upperbound of 95% confidence interval for alpha
    2.88601
  • Treynor index (mean / b)
    2.01165
  • Jensen alpha (a)
    1.31358
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05166
  • Expected Shortfall on VaR
    0.06563
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01832
  • Expected Shortfall on VaR
    0.03681
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.92254
  • Quartile 1
    0.99221
  • Median
    1.00222
  • Quartile 3
    1.01791
  • Maximum
    1.24425
  • Mean of quarter 1
    0.97038
  • Mean of quarter 2
    0.99715
  • Mean of quarter 3
    1.00926
  • Mean of quarter 4
    1.04917
  • Inter Quartile Range
    0.02570
  • Number outliers low
    6.00000
  • Percentage of outliers low
    0.04580
  • Mean of outliers low
    0.93925
  • Number of outliers high
    8.00000
  • Percentage of outliers high
    0.06107
  • Mean of outliers high
    1.10769
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.37745
  • VaR(95%) (moments method)
    0.02314
  • Expected Shortfall (moments method)
    0.02824
  • Extreme Value Index (regression method)
    -0.18715
  • VaR(95%) (regression method)
    0.03203
  • Expected Shortfall (regression method)
    0.04287
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    13.00000
  • Minimum
    0.00043
  • Quartile 1
    0.00528
  • Median
    0.02699
  • Quartile 3
    0.05862
  • Maximum
    0.32446
  • Mean of quarter 1
    0.00292
  • Mean of quarter 2
    0.02417
  • Mean of quarter 3
    0.04692
  • Mean of quarter 4
    0.18000
  • Inter Quartile Range
    0.05333
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.15385
  • Mean of outliers high
    0.23303
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.23144
  • VaR(95%) (moments method)
    0.15991
  • Expected Shortfall (moments method)
    0.26224
  • Extreme Value Index (regression method)
    1.16878
  • VaR(95%) (regression method)
    0.29541
  • Last 4 Months - Pcnt Negative
    0.50%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -358711000
  • Max Equity Drawdown (num days)
    89
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    2.27594
  • Compounded annual return (geometric extrapolation)
    3.57091
  • Calmar ratio (compounded annual return / max draw down)
    11.00560
  • Compounded annual return / average of 25% largest draw downs
    19.83890
  • Compounded annual return / Expected Shortfall lognormal
    54.41010

Strategy Description

Hello trader, my name is Hideki Uchimoto and I am the developer of Uchimoto Robust System 4 (URS4). After graduating from UCLA in 1992, I started my career as an investment analyst at several leading global investment banks. With over 25+ years of experience as a quantitative analyst, I specialize in developing statistically-driven trading strategies for equities.

Before co-founding MindPlus Capital Management, I was the Director of Securities Trading at Credit Lyonnais Securities Asia, where I managed client portfolios exceeding US$300 million. I later served as Director of Global Arbitrage & Trading at RBC Capital Markets in Tokyo, leading the bank's proprietary trading operations. After selling MindPlus last year, I semi-retired to Canada and now work as an independent consultant for hedge funds and portfolio managers.

URS4 is an advanced, institutional-grade swing trading system designed to capture short-term movements lasting 5 to 20 days. This system, which is long-biased, requires minimal daily management from traders. Extensive research shows that short-term market swings often occur within this timeframe, making URS4 ideal for exploiting these movements. Even during broader market trends, stocks exhibit temporary swings, allowing URS4 to capitalize on these for profit.

URS4 features a robust risk management framework that can mitigate losses in as little as one day if downside risks are detected. Developed over two decades, URS4 has proven its performance across equities, commodities, forex, and futures, consistently generating returns under tight risk controls in my past roles.

Currently, URS4 targets US-listed high-growth stocks, using their volatility to optimize the risk-reward ratio. Contrary to popular belief, these high-beta stocks offer less correlation than expected, providing diversification across sectors like AI, software, and semiconductors while reducing drawdown risks. The system adjusts its por tfolio dynamically using a proprietary quant model that identifies stocks with potential for significant price movements based on volume and volatility.

My objective is to identify and trade systematically the next wave of high-growth stocks, like NVDA and TSLA, using a proprietary quantitative ranking system I developed. This system selects the strongest growth stocks from companies with a market cap of at least $1 billion.

I typically diversify across 20 to 40 stocks, given their smaller size relative to market giants. This active trading strategy, rather than a buy-and-hold approach, should, on average, yield more gains than losses, with the compounding effect leading to steady portfolio growth over time.

Additionally, I sometimes buy put options as a hedge when my other systems detect market risks. I monitor market breadth, corporate insider activities, and options market behavior to anticipate market shifts.

Hope this makes sense to you!
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2022-06-19
Suggested Minimum Capital
$40,000
Rank at C2 %
Top 2.7%
Rank # 
#19
# Trades
301
# Profitable
111
% Profitable
36.9%
Net Dividends
($61)
Correlation S&P500
0.296
Sharpe Ratio
0.77
Sortino Ratio
1.31
Beta
0.77
Alpha
0.08
Leverage
0.76 Average
4.75 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

#PERSONNAME#
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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