Collective2 Collective2
Featured Strategy Monthly Income System Followed by live capital $7,300 Hypothetical

Welcome to Collective2

Follow these tips for a better experience

Ok, let's start

Close
Add to Watch List Create new Watch List
Add
Enter a name for your Watch List.
Watch List name must be less than 60 characters.
You have reached the maximum number of custom Watch Lists.
You have reached the maximum number of strategies in this Watch List.
Strategy added to Watch List. Go to Watch List

Sim is unavailable for this strategy, because you've recently "Simmed" it.

You already have a live, full-featured subscription to this strategy.

Okay, no problem

Reach out to us when you are ready. You can schedule your free training session at any time by clicking the button.

Remember, this training is free, low pressure, and (we hope!) fun.

Got it

Later

You can find it here.

Got it

Video Saved for Later

You can watch this video later. Just click this button at the top of the screen whenever you're ready to watch it.

Got it
Watchlist Watchlist
These are hypothetical performance results that have certain inherent limitations. Learn more
Listing Edit Subscribers Broadcast Share System Watchlist Watchlist More...

EDGE BEAT
(146649059)

Created by: EdgebridgeCapital EdgebridgeCapital
Started: 12/2023
Stocks
Last trade: Today

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 $25.00 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.

16.0%
Annual Return (Compounded)

Rate of Return Calculations

Overview

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

How Annualized (Compounded) Rate of Return is calculated

= ((Ending_equity / Starting_equity) ^ (1 / age_in_years)) - 1

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

All results are hypothetical.

(18.8%)
Max Drawdown
270
Num Trades
62.6%
Win Trades
1.5 : 1
Profit Factor
64.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2023                                                                             (0.5%)(0.5%)
2024+3.1%(2%)+11.6%(4.9%)+1.2%+2.2%(2.1%)(1.9%)+3.3%+1.2%+1.7%+0.2%+13.6%
2025+5.3%(4.9%)+4.3%+3.1%                                                +7.7%

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

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
3/28/25 15:59 TSLA TESLA INC. LONG 179 263.80 4/1 11:59 275.20 6.11%
Trade id #151222972
Max drawdown($3,658)
Time3/31/25 0:00
Quant open179
Worst price243.36
Drawdown as % of equity-6.11%
 $2,037
Includes Typical Broker Commissions trade costs of $3.58
3/11/25 14:46 TQQY GRANITESHARES YIELDBOOST QQQ ETF LONG 5 21.86 3/27 11:25 22.26 0.01%
Trade id #151071223
Max drawdown($3)
Time3/18/25 0:00
Quant open5
Worst price21.12
Drawdown as % of equity-0.01%
 $2
Includes Typical Broker Commissions trade costs of $0.10
3/26/25 15:59 TSLA TESLA INC. LONG 178 272.44 3/27 11:24 286.53 0.19%
Trade id #151199264
Max drawdown($110)
Time3/27/25 9:30
Quant open178
Worst price271.82
Drawdown as % of equity-0.19%
 $2,504
Includes Typical Broker Commissions trade costs of $3.56
3/19/25 15:59 TSLA TESLA INC. LONG 175 236.04 3/24 15:59 278.06 2.1%
Trade id #151138909
Max drawdown($1,048)
Time3/20/25 0:00
Quant open175
Worst price230.05
Drawdown as % of equity-2.10%
 $7,351
Includes Typical Broker Commissions trade costs of $3.50
3/14/25 15:59 TSLA TESLA INC. LONG 173 249.87 3/18 15:59 231.68 4.92%
Trade id #151105298
Max drawdown($2,455)
Time3/18/25 10:17
Quant open89
Worst price222.28
Drawdown as % of equity-4.92%
 ($3,149)
Includes Typical Broker Commissions trade costs of $3.46
3/12/25 15:59 TSLA TESLA INC. LONG 180 247.90 3/13 15:59 240.45 5.24%
Trade id #151083793
Max drawdown($2,754)
Time3/13/25 11:36
Quant open180
Worst price232.60
Drawdown as % of equity-5.24%
 ($1,345)
Includes Typical Broker Commissions trade costs of $3.60
3/11/25 14:46 TQQQ PROSHARES ULTRAPRO QQQ LONG 250 61.21 3/12 10:53 60.43 0.99%
Trade id #151071234
Max drawdown($545)
Time3/11/25 16:00
Quant open250
Worst price59.03
Drawdown as % of equity-0.99%
 ($200)
Includes Typical Broker Commissions trade costs of $5.00
3/11/25 14:45 UVXY PROSHARES ULTRA VIX SHORT-TERM LONG 300 27.64 3/11 14:45 27.51 0.07%
Trade id #151071214
Max drawdown($39)
Time3/11/25 14:45
Quant open300
Worst price27.51
Drawdown as % of equity-0.07%
 ($45)
Includes Typical Broker Commissions trade costs of $6.00
3/10/25 13:04 UVXY PROSHARES ULTRA VIX SHORT-TERM LONG 10 26.35 3/11 11:55 28.14 0.01%
Trade id #151058131
Max drawdown($2)
Time3/10/25 13:24
Quant open10
Worst price26.07
Drawdown as % of equity-0.01%
 $18
Includes Typical Broker Commissions trade costs of $0.20
3/4/25 15:32 TQQQ PROSHARES ULTRAPRO QQQ LONG 304 71.34 3/6 14:44 65.77 3.43%
Trade id #151012188
Max drawdown($1,875)
Time3/6/25 14:31
Quant open304
Worst price65.17
Drawdown as % of equity-3.43%
 ($1,699)
Includes Typical Broker Commissions trade costs of $6.08
3/3/25 15:59 FXC CURRENCYSHARES CANADIAN DOLLAR LONG 3 67.37 3/4 15:32 67.50 0%
Trade id #151001050
Max drawdown($0)
Time3/4/25 12:41
Quant open3
Worst price67.22
Drawdown as % of equity-0.00%
 $0
Includes Typical Broker Commissions trade costs of $0.06
2/6/25 15:59 COIN COINBASE GLOBAL INC. CLASS A LONG 17 269.90 3/4 15:32 226.32 1.01%
Trade id #150790961
Max drawdown($597)
Time2/21/25 0:00
Quant open17
Worst price234.76
Drawdown as % of equity-1.01%
 ($741)
Includes Typical Broker Commissions trade costs of $0.34
1/24/25 15:59 YCS PROSHARES ULTRASHORT YEN LONG 101 46.76 3/4 15:32 45.00 0.29%
Trade id #150665037
Max drawdown($172)
Time2/20/25 0:00
Quant open46
Worst price43.01
Drawdown as % of equity-0.29%
 ($180)
Includes Typical Broker Commissions trade costs of $2.02
1/6/25 15:59 NEE NEXTERA ENERGY LONG 42 71.19 3/4 15:32 70.68 0.4%
Trade id #150498370
Max drawdown($222)
Time1/13/25 0:00
Quant open42
Worst price65.89
Drawdown as % of equity-0.40%
 ($23)
Includes Typical Broker Commissions trade costs of $0.84
1/6/25 15:59 BLOK AMPLIFY TRANSFORMATIONAL DATA SHARING ETF LONG 120 47.29 3/4 15:32 44.58 0.28%
Trade id #150498344
Max drawdown($157)
Time1/10/25 0:00
Quant open45
Worst price43.25
Drawdown as % of equity-0.28%
 ($327)
Includes Typical Broker Commissions trade costs of $2.40
12/23/24 15:59 META META PLATFORMS INC. CLASS A LONG 18 603.77 3/4/25 15:32 624.77 0.14%
Trade id #150394492
Max drawdown($76)
Time1/14/25 0:00
Quant open5
Worst price588.55
Drawdown as % of equity-0.14%
 $378
Includes Typical Broker Commissions trade costs of $0.36
3/3/25 15:59 AVGO BROADCOM LIMITED ORDINARY SHARES LONG 12 187.11 3/4 15:32 191.46 0.14%
Trade id #151001055
Max drawdown($79)
Time3/4/25 10:26
Quant open12
Worst price180.48
Drawdown as % of equity-0.14%
 $52
Includes Typical Broker Commissions trade costs of $0.24
2/28/25 15:59 GLD SPDR GOLD SHARES LONG 1 263.12 3/4 15:32 269.09 n/a $6
Includes Typical Broker Commissions trade costs of $0.02
2/26/25 15:59 VIRT VIRTU FINANCIAL INC. CLASS A LONG 35 35.78 3/4 15:32 36.16 0.02%
Trade id #150962386
Max drawdown($12)
Time2/27/25 0:00
Quant open25
Worst price35.00
Drawdown as % of equity-0.02%
 $12
Includes Typical Broker Commissions trade costs of $0.70
2/10/25 15:59 AMZN AMAZON.COM LONG 41 227.75 3/4 15:32 221.20 0.36%
Trade id #150830400
Max drawdown($214)
Time2/21/25 0:00
Quant open16
Worst price214.74
Drawdown as % of equity-0.36%
 ($270)
Includes Typical Broker Commissions trade costs of $0.82
1/8/25 15:59 CRM SALESFORCE INC LONG 15 327.58 3/4 15:32 317.37 0.29%
Trade id #150519552
Max drawdown($174)
Time2/12/25 0:00
Quant open11
Worst price316.97
Drawdown as % of equity-0.29%
 ($153)
Includes Typical Broker Commissions trade costs of $0.30
1/6/25 15:59 TME TENCENT MUSIC ENTERTAINMENT GROUP LONG 161 10.90 3/4 15:32 13.00 0.11%
Trade id #150498375
Max drawdown($62)
Time1/13/25 0:00
Quant open98
Worst price10.26
Drawdown as % of equity-0.11%
 $335
Includes Typical Broker Commissions trade costs of $3.22
2/27/25 15:59 QCOM QUALCOMM LONG 3 154.53 3/4 15:32 155.74 0.02%
Trade id #150973698
Max drawdown($9)
Time3/4/25 10:07
Quant open3
Worst price151.35
Drawdown as % of equity-0.02%
 $4
Includes Typical Broker Commissions trade costs of $0.06
2/25/25 15:59 VTI VANGUARD TOTAL STOCK MARKET ET LONG 1 293.05 3/4 15:32 286.57 0.02%
Trade id #150952173
Max drawdown($11)
Time3/4/25 10:22
Quant open1
Worst price281.50
Drawdown as % of equity-0.02%
 ($6)
Includes Typical Broker Commissions trade costs of $0.02
2/5/25 15:59 BITO PROSHARES BITCOIN STRATEGY ETF LONG 544 22.36 3/4 15:32 21.59 0.59%
Trade id #150777297
Max drawdown($355)
Time2/18/25 0:00
Quant open432
Worst price21.63
Drawdown as % of equity-0.59%
 ($428)
Includes Typical Broker Commissions trade costs of $10.88
1/6/25 15:59 GDDY GODADDY INC LONG 92 194.34 3/4 15:32 189.25 1.74%
Trade id #150498361
Max drawdown($1,034)
Time2/21/25 0:00
Quant open47
Worst price172.93
Drawdown as % of equity-1.74%
 ($471)
Includes Typical Broker Commissions trade costs of $1.84
1/6/25 15:59 CRWD CROWDSTRIKE HOLDINGS INC. CLASS A LONG 16 367.92 3/4 15:32 375.58 0.78%
Trade id #150498351
Max drawdown($435)
Time1/13/25 0:00
Quant open14
Worst price335.55
Drawdown as % of equity-0.78%
 $123
Includes Typical Broker Commissions trade costs of $0.32
3/3/25 15:59 MA MASTERCARD LONG 1 574.29 3/4 15:32 558.27 0.03%
Trade id #151001073
Max drawdown($18)
Time3/4/25 12:52
Quant open1
Worst price555.35
Drawdown as % of equity-0.03%
 ($16)
Includes Typical Broker Commissions trade costs of $0.02
2/24/25 11:12 ARKK ARK INNOVATION ETF LONG 5 57.31 3/4 15:32 54.04 0.05%
Trade id #150939100
Max drawdown($28)
Time3/4/25 10:22
Quant open4
Worst price50.23
Drawdown as % of equity-0.05%
 ($16)
Includes Typical Broker Commissions trade costs of $0.10
1/6/25 15:59 ROKU ROKU INC. CLASS A COMMON STOCK LONG 78 79.68 3/4 15:32 88.27 0.19%
Trade id #150498372
Max drawdown($106)
Time1/14/25 0:00
Quant open18
Worst price74.10
Drawdown as % of equity-0.19%
 $669
Includes Typical Broker Commissions trade costs of $1.56
Next

Statistics

  • Strategy began
    12/8/2023
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    482.96
  • Age
    16 months ago
  • What it trades
    Stocks
  • # Trades
    270
  • # Profitable
    169
  • % Profitable
    62.60%
  • Avg trade duration
    14.6 days
  • Max peak-to-valley drawdown
    18.79%
  • drawdown period
    Feb 14, 2025 - March 20, 2025
  • Annual Return (Compounded)
    16.0%
  • Avg win
    $211.96
  • Avg loss
    $240.32
  • Model Account Values (Raw)
  • Cash
    $49,408
  • Margin Used
    $0
  • Buying Power
    $48,388
  • Ratios
  • W:L ratio
    1.53:1
  • Sharpe Ratio
    0.7
  • Sortino Ratio
    1.09
  • Calmar Ratio
    1.103
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    11.16%
  • Correlation to SP500
    0.37440
  • Return Percent SP500 (cumu) during strategy life
    11.74%
  • Return Statistics
  • Ann Return (w trading costs)
    16.0%
  • Slump
  • Current Slump as Pcnt Equity
    1.70%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.01%
  • 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)
    0.160%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    18.0%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    30.50%
  • Chance of 20% account loss
    3.00%
  • 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
    98.66%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    621
  • Popularity (Last 6 weeks)
    752
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    979
  • Popularity (7 days, Percentile 1000 scale)
    754
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $240
  • Avg Win
    $212
  • Sum Trade PL (losers)
    $24,239.000
  • Age
  • Num Months filled monthly returns table
    17
  • Win / Loss
  • Sum Trade PL (winners)
    $35,821.000
  • # Winners
    169
  • Num Months Winners
    11
  • Dividends
  • Dividends Received in Model Acct
    677
  • Win / Loss
  • # Losers
    101
  • % Winners
    62.6%
  • Frequency
  • Avg Position Time (mins)
    21081.70
  • Avg Position Time (hrs)
    351.36
  • Avg Trade Length
    14.6 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    0.90
  • Daily leverage (max)
    4.14
  • Regression
  • Alpha
    0.03
  • Beta
    0.47
  • Treynor Index
    0.09
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.32
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    11.809
  • 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
    0.740
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.711
  • Hold-and-Hope Ratio
    0.088
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.01902
  • SD
    0.21774
  • Sharpe ratio (Glass type estimate)
    0.08735
  • Sharpe ratio (Hedges UMVUE)
    0.08257
  • df
    14.00000
  • t
    0.09766
  • p
    0.48695
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.66751
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.83917
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.67074
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.83589
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.10619
  • Upside Potential Ratio
    1.55363
  • Upside part of mean
    0.27828
  • Downside part of mean
    -0.25926
  • Upside SD
    0.11044
  • Downside SD
    0.17912
  • N nonnegative terms
    11.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    15.00000
  • Mean of predictor
    0.13873
  • Mean of criterion
    0.01902
  • SD of predictor
    0.12036
  • SD of criterion
    0.21774
  • Covariance
    0.02131
  • r
    0.81294
  • b (slope, estimate of beta)
    1.47064
  • a (intercept, estimate of alpha)
    -0.18500
  • Mean Square Error
    0.01731
  • DF error
    13.00000
  • t(b)
    5.03332
  • p(b)
    0.04717
  • t(a)
    -1.48622
  • p(a)
    0.73661
  • Lowerbound of 95% confidence interval for beta
    0.83942
  • Upperbound of 95% confidence interval for beta
    2.10185
  • Lowerbound of 95% confidence interval for alpha
    -0.45392
  • Upperbound of 95% confidence interval for alpha
    0.08392
  • Treynor index (mean / b)
    0.01293
  • Jensen alpha (a)
    -0.18500
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.00460
  • SD
    0.22879
  • Sharpe ratio (Glass type estimate)
    -0.02012
  • Sharpe ratio (Hedges UMVUE)
    -0.01901
  • df
    14.00000
  • t
    -0.02249
  • p
    0.50301
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.77284
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.73328
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.77207
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.73404
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.02382
  • Upside Potential Ratio
    1.40667
  • Upside part of mean
    0.27177
  • Downside part of mean
    -0.27637
  • Upside SD
    0.10738
  • Downside SD
    0.19320
  • N nonnegative terms
    11.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    15.00000
  • Mean of predictor
    0.13079
  • Mean of criterion
    -0.00460
  • SD of predictor
    0.12203
  • SD of criterion
    0.22879
  • Covariance
    0.02313
  • r
    0.82862
  • b (slope, estimate of beta)
    1.55356
  • a (intercept, estimate of alpha)
    -0.20780
  • Mean Square Error
    0.01767
  • DF error
    13.00000
  • t(b)
    5.33678
  • p(b)
    0.04147
  • t(a)
    -1.66460
  • p(a)
    0.75881
  • Lowerbound of 95% confidence interval for beta
    0.92467
  • Upperbound of 95% confidence interval for beta
    2.18246
  • Lowerbound of 95% confidence interval for alpha
    -0.47748
  • Upperbound of 95% confidence interval for alpha
    0.06189
  • Treynor index (mean / b)
    -0.00296
  • Jensen alpha (a)
    -0.20780
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.10329
  • Expected Shortfall on VaR
    0.12744
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03103
  • Expected Shortfall on VaR
    0.07283
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    15.00000
  • Minimum
    0.83137
  • Quartile 1
    1.00353
  • Median
    1.01807
  • Quartile 3
    1.03650
  • Maximum
    1.07374
  • Mean of quarter 1
    0.92131
  • Mean of quarter 2
    1.01389
  • Mean of quarter 3
    1.03289
  • Mean of quarter 4
    1.05481
  • Inter Quartile Range
    0.03297
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.20000
  • Mean of outliers low
    0.89647
  • 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)
    -24.25360
  • VaR(95%) (moments method)
    0.01778
  • Expected Shortfall (moments method)
    0.01778
  • Extreme Value Index (regression method)
    -0.36551
  • VaR(95%) (regression method)
    0.12755
  • Expected Shortfall (regression method)
    0.16878
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.09502
  • Quartile 1
    0.11342
  • Median
    0.13182
  • Quartile 3
    0.15022
  • Maximum
    0.16863
  • Mean of quarter 1
    0.09502
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.16863
  • Inter Quartile Range
    0.03680
  • 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)
    0.02365
  • Compounded annual return (geometric extrapolation)
    0.02358
  • Calmar ratio (compounded annual return / max draw down)
    0.13983
  • Compounded annual return / average of 25% largest draw downs
    0.13983
  • Compounded annual return / Expected Shortfall lognormal
    0.18502
  • 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
    0.16719
  • SD
    0.18904
  • Sharpe ratio (Glass type estimate)
    0.88440
  • Sharpe ratio (Hedges UMVUE)
    0.88245
  • df
    340.00000
  • t
    1.00896
  • p
    0.15685
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.83553
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.60303
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.83683
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.60172
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.40667
  • Upside Potential Ratio
    8.26208
  • Upside part of mean
    0.98197
  • Downside part of mean
    -0.81479
  • Upside SD
    0.14701
  • Downside SD
    0.11885
  • N nonnegative terms
    170.00000
  • N negative terms
    171.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    341.00000
  • Mean of predictor
    0.06067
  • Mean of criterion
    0.16719
  • SD of predictor
    0.14848
  • SD of criterion
    0.18904
  • Covariance
    0.01038
  • r
    0.36976
  • b (slope, estimate of beta)
    0.47077
  • a (intercept, estimate of alpha)
    0.13900
  • Mean Square Error
    0.03094
  • DF error
    339.00000
  • t(b)
    7.32733
  • p(b)
    -0.00000
  • t(a)
    0.89880
  • p(a)
    0.18470
  • Lowerbound of 95% confidence interval for beta
    0.34440
  • Upperbound of 95% confidence interval for beta
    0.59715
  • Lowerbound of 95% confidence interval for alpha
    -0.16475
  • Upperbound of 95% confidence interval for alpha
    0.44200
  • Treynor index (mean / b)
    0.35513
  • Jensen alpha (a)
    0.13863
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.14946
  • SD
    0.18783
  • Sharpe ratio (Glass type estimate)
    0.79574
  • Sharpe ratio (Hedges UMVUE)
    0.79399
  • df
    340.00000
  • t
    0.90782
  • p
    0.18231
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.92385
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.51422
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.92504
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.51301
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.24175
  • Upside Potential Ratio
    8.06996
  • Upside part of mean
    0.97135
  • Downside part of mean
    -0.82188
  • Upside SD
    0.14413
  • Downside SD
    0.12037
  • N nonnegative terms
    170.00000
  • N negative terms
    171.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    341.00000
  • Mean of predictor
    0.04957
  • Mean of criterion
    0.14946
  • SD of predictor
    0.14944
  • SD of criterion
    0.18783
  • Covariance
    0.01037
  • r
    0.36960
  • b (slope, estimate of beta)
    0.46453
  • a (intercept, estimate of alpha)
    0.12644
  • Mean Square Error
    0.03055
  • DF error
    339.00000
  • t(b)
    7.32356
  • p(b)
    -0.00000
  • t(a)
    0.82508
  • p(a)
    0.20495
  • Lowerbound of 95% confidence interval for beta
    0.33976
  • Upperbound of 95% confidence interval for beta
    0.58929
  • Lowerbound of 95% confidence interval for alpha
    -0.17499
  • Upperbound of 95% confidence interval for alpha
    0.42786
  • Treynor index (mean / b)
    0.32175
  • Jensen alpha (a)
    0.12644
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01835
  • Expected Shortfall on VaR
    0.02309
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00709
  • Expected Shortfall on VaR
    0.01474
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    341.00000
  • Minimum
    0.95420
  • Quartile 1
    0.99730
  • Median
    1.00010
  • Quartile 3
    1.00395
  • Maximum
    1.08355
  • Mean of quarter 1
    0.98871
  • Mean of quarter 2
    0.99916
  • Mean of quarter 3
    1.00171
  • Mean of quarter 4
    1.01354
  • Inter Quartile Range
    0.00665
  • Number outliers low
    27.00000
  • Percentage of outliers low
    0.07918
  • Mean of outliers low
    0.97727
  • Number of outliers high
    30.00000
  • Percentage of outliers high
    0.08798
  • Mean of outliers high
    1.02540
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.39308
  • VaR(95%) (moments method)
    0.00974
  • Expected Shortfall (moments method)
    0.01948
  • Extreme Value Index (regression method)
    0.10136
  • VaR(95%) (regression method)
    0.01035
  • Expected Shortfall (regression method)
    0.01607
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    20.00000
  • Minimum
    0.00001
  • Quartile 1
    0.00133
  • Median
    0.00435
  • Quartile 3
    0.01663
  • Maximum
    0.17594
  • Mean of quarter 1
    0.00041
  • Mean of quarter 2
    0.00267
  • Mean of quarter 3
    0.00832
  • Mean of quarter 4
    0.09555
  • Inter Quartile Range
    0.01530
  • 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
    0.20000
  • Mean of outliers high
    0.11441
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -3.62881
  • VaR(95%) (moments method)
    0.06159
  • Expected Shortfall (moments method)
    0.06181
  • Extreme Value Index (regression method)
    -0.96315
  • VaR(95%) (regression method)
    0.13522
  • Expected Shortfall (regression method)
    0.15138
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.19951
  • Compounded annual return (geometric extrapolation)
    0.19407
  • Calmar ratio (compounded annual return / max draw down)
    1.10305
  • Compounded annual return / average of 25% largest draw downs
    2.03113
  • Compounded annual return / Expected Shortfall lognormal
    8.40669
  • 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
    0.24976
  • SD
    0.19580
  • Sharpe ratio (Glass type estimate)
    1.27558
  • Sharpe ratio (Hedges UMVUE)
    1.26820
  • df
    130.00000
  • t
    0.90197
  • p
    0.46057
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.50298
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.04930
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.50789
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.04429
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.42487
  • Upside Potential Ratio
    10.27370
  • Upside part of mean
    1.05820
  • Downside part of mean
    -0.80843
  • Upside SD
    0.16636
  • Downside SD
    0.10300
  • N nonnegative terms
    66.00000
  • N negative terms
    65.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.24022
  • Mean of criterion
    0.24976
  • SD of predictor
    0.17778
  • SD of criterion
    0.19580
  • Covariance
    0.01061
  • r
    0.30473
  • b (slope, estimate of beta)
    0.33563
  • a (intercept, estimate of alpha)
    0.33039
  • Mean Square Error
    0.03505
  • DF error
    129.00000
  • t(b)
    3.63392
  • p(b)
    0.30905
  • t(a)
    1.24352
  • p(a)
    0.43085
  • Lowerbound of 95% confidence interval for beta
    0.15289
  • Upperbound of 95% confidence interval for beta
    0.51837
  • Lowerbound of 95% confidence interval for alpha
    -0.19528
  • Upperbound of 95% confidence interval for alpha
    0.85605
  • Treynor index (mean / b)
    0.74415
  • Jensen alpha (a)
    0.33039
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.23099
  • SD
    0.19283
  • Sharpe ratio (Glass type estimate)
    1.19794
  • Sharpe ratio (Hedges UMVUE)
    1.19101
  • df
    130.00000
  • t
    0.84707
  • p
    0.46296
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.57987
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.97127
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.58457
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.96660
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.22122
  • Upside Potential Ratio
    10.04590
  • Upside part of mean
    1.04471
  • Downside part of mean
    -0.81372
  • Upside SD
    0.16213
  • Downside SD
    0.10399
  • N nonnegative terms
    66.00000
  • N negative terms
    65.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.25622
  • Mean of criterion
    0.23099
  • SD of predictor
    0.17969
  • SD of criterion
    0.19283
  • Covariance
    0.01051
  • r
    0.30323
  • b (slope, estimate of beta)
    0.32540
  • a (intercept, estimate of alpha)
    0.31437
  • Mean Square Error
    0.03402
  • DF error
    129.00000
  • t(b)
    3.61421
  • p(b)
    0.30996
  • t(a)
    1.20042
  • p(a)
    0.43321
  • VAR (95 Confidence Intrvl)
    0.01800
  • Lowerbound of 95% confidence interval for beta
    0.14727
  • Upperbound of 95% confidence interval for beta
    0.50354
  • Lowerbound of 95% confidence interval for alpha
    -0.20377
  • Upperbound of 95% confidence interval for alpha
    0.83251
  • Treynor index (mean / b)
    0.70987
  • Jensen alpha (a)
    0.31437
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01854
  • Expected Shortfall on VaR
    0.02340
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00707
  • Expected Shortfall on VaR
    0.01390
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96708
  • Quartile 1
    0.99610
  • Median
    1.00012
  • Quartile 3
    1.00522
  • Maximum
    1.08355
  • Mean of quarter 1
    0.98962
  • Mean of quarter 2
    0.99834
  • Mean of quarter 3
    1.00209
  • Mean of quarter 4
    1.01421
  • Inter Quartile Range
    0.00912
  • Number outliers low
    6.00000
  • Percentage of outliers low
    0.04580
  • Mean of outliers low
    0.97726
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.04580
  • Mean of outliers high
    1.03805
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.24369
  • VaR(95%) (moments method)
    0.01015
  • Expected Shortfall (moments method)
    0.01643
  • Extreme Value Index (regression method)
    0.10016
  • VaR(95%) (regression method)
    0.00988
  • Expected Shortfall (regression method)
    0.01434
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    16.00000
  • Minimum
    0.00001
  • Quartile 1
    0.00249
  • Median
    0.00477
  • Quartile 3
    0.02549
  • Maximum
    0.17594
  • Mean of quarter 1
    0.00086
  • Mean of quarter 2
    0.00381
  • Mean of quarter 3
    0.01473
  • Mean of quarter 4
    0.06578
  • Inter Quartile Range
    0.02299
  • 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
    0.06250
  • Mean of outliers high
    0.17594
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.84303
  • VaR(95%) (moments method)
    0.07290
  • Expected Shortfall (moments method)
    0.44590
  • Extreme Value Index (regression method)
    3.00571
  • VaR(95%) (regression method)
    0.09005
  • Last 4 Months - Pcnt Negative
    0.25%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -403674000
  • Max Equity Drawdown (num days)
    34
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.27641
  • Compounded annual return (geometric extrapolation)
    0.29551
  • Calmar ratio (compounded annual return / max draw down)
    1.67955
  • Compounded annual return / average of 25% largest draw downs
    4.49218
  • Compounded annual return / Expected Shortfall lognormal
    12.62680

Strategy Description

Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2023-12-08
Suggested Minimum Capital
$15,000
Rank at C2 %
Top 2.1%
Rank # 
#15
# Trades
270
# Profitable
169
% Profitable
62.6%
Net Dividends
$677
Correlation S&P500
0.374
Sharpe Ratio
0.70
Sortino Ratio
1.09
Beta
0.47
Alpha
0.03
Leverage
0.90 Average
4.14 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.

Okay, gotcha.

Not available

This feature isn't available under your current Trade Leader Plan.

Want to see available plans and features?

Please hold...

Strategy is now visible

This strategy is now visible to the public. New subscribers will be able to follow it.

If you designate your strategy as Private, it will no longer be visible to the public.

No subscribers and simulations will be allowed. If you have subscribers, the strategy will still be visible to them.
If you have simulations, they will be stopped.

Continue to designate your strategy as Private?

Mark as Private Keep Public

Strategy is no longer visible

This strategy is no longer visible to anyone except current subscribers.

(Current subscribers will remain subscribed. You can see who is subscribed, and control their subscriptions, on your Subscriber Management screen.)

Finally, please note that you can restore public visibility at any time.

This strategy is no longer visible to the public. No subscribers will be allowed.

You can restore public visibility at any time.

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.