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These are hypothetical performance results that have certain inherent limitations. Learn more



stockBot
(145863618)

Creato da: ETP_Bot ETP_Bot
Started: 09/2023
Stocks
Last trade: Yesterday
Trading style: Equity Non-hedged Equity Sector Rotation

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 $69.00 per month.

C2Star

C2Star è un programma di certificazione per le strategie di trading. Per diventare "Certificato C2Star", una strategia deve applicare controlli di rischio rigorosi e deve mostrare caratteristiche di performance eccellenti, tra cui riduzioni limitate.

Puoi leggere di più sui requisiti di certificazione C2Star qui.

Nota che: tutte le strategie di trading comportano rischi e la certificazione C2Star non implica che una strategia sia a basso rischio.

Trading Category: Equity
Non-hedged Equity
Category: Equity

Non-hedged Equity

Predominantly long equities, although some hedging with short sales of stocks and/or stock index options. Commonly known as "stock-pickers."
Sector Rotation
Category: Equity

Sector Rotation

Uses the proceeds from the sale of securities related to a particular investment sector for the purchase of securities in another sector. This strategy is used as a method for capturing returns from market cycles and diversifying holdings over a specified holding period.

31.4%
Annual Return (Compounded)

Calcolo del rendimento

Panoramica

Per conformarsi alle normative NFA, mostriamo il tasso di rendimento cumulativo per le strategie con un track record inferiore a un anno. Per le strategie con track record più lunghi, mostriamo il tasso di rendimento annuale (composto).

Come si calcola il tasso di rendimento annuale (composto)

= ((Patrimonio_finale / Patrimonio_iniziale) ^ (1 / anni)) - 1

Ricorda che, in base ai requisiti NFA, i costi di abbonamento alle strategie e le commissioni stimate sono inclusi nei calcoli del patrimonio valutato a mercato.

Tutti i risultati sono ipotetici.

(14.6%)
Max Drawdown
553
Num Trades
97.5%
Win Trades
8.1 : 1
Profit Factor
62.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2023                                                        +0.6%(4.9%)+3.0%+11.9%+10.3%
2024+0.3%+2.6%(1.9%)+8.0%+3.9%(1.8%)+11.2%(7%)+5.8%+16.1%(3.6%)(2.3%)+33.1%
2025+3.8%(1.4%)(3.7%)+0.4%+14.6%+3.5%(3.1%)+2.2%                        +16.1%


Dettagli Account Modello

Una strategia di trading su Collective2. Seguila nel tuo account di brokeraggio o utilizza un account di trading simulato gratuito.

Gli utenti avanzati potrebbero voler utilizzare queste informazioni per regolare il loro AutoTrade scaling o semplicemente per comprendere le grandezze del grafico vicino.

System developer has asked us to delay this information by 24 hours.

Trading Record

This strategy has placed 1,194 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
8/27/25 10:01 XRX XEROX HOLDINGS CORP LONG 100 3.81 8/27 13:07 3.88 0.01%
Trade id #152723273
Max drawdown($7)
Time8/27/25 10:41
Quant open100
Worst price3.74
Drawdown as % of equity-0.01%
$5
Includes Typical Broker Commissions trade costs of $2.00
8/21/25 14:28 EQR EQUITY RESIDENTIAL LONG 10 64.31 8/22 10:16 65.32 0%
Trade id #152679498
Max drawdown($1)
Time8/21/25 15:42
Quant open10
Worst price64.12
Drawdown as % of equity-0.00%
$10
Includes Typical Broker Commissions trade costs of $0.20
8/19/25 9:43 LUNR INTUITIVE MACHINES INC. CLASS A LONG 100 9.05 8/22 10:15 9.11 0.09%
Trade id #152639206
Max drawdown($74)
Time8/20/25 0:00
Quant open100
Worst price8.30
Drawdown as % of equity-0.09%
$4
Includes Typical Broker Commissions trade costs of $2.00
8/20/25 9:52 XRX XEROX HOLDINGS CORP LONG 200 3.86 8/22 10:10 3.96 0.05%
Trade id #152648247
Max drawdown($39)
Time8/21/25 0:00
Quant open200
Worst price3.66
Drawdown as % of equity-0.05%
$17
Includes Typical Broker Commissions trade costs of $4.00
8/21/25 13:24 MRNA MODERNA INC. COMMON STOCK LONG 100 26.25 8/22 10:05 27.21 0.02%
Trade id #152679117
Max drawdown($14)
Time8/21/25 15:48
Quant open100
Worst price26.11
Drawdown as % of equity-0.02%
$94
Includes Typical Broker Commissions trade costs of $2.00
8/22/25 9:57 AEVA AEVA TECHNOLOGIES INC. LONG 200 12.71 8/22 10:00 12.92 n/a $38
Includes Typical Broker Commissions trade costs of $4.00
8/20/25 9:54 FCX FREEPORT-MCMORAN INC LONG 25 41.12 8/22 9:35 41.90 0%
Trade id #152648320
Max drawdown($3)
Time8/21/25 0:00
Quant open25
Worst price40.96
Drawdown as % of equity-0.00%
$20
Includes Typical Broker Commissions trade costs of $0.50
8/20/25 9:50 AEVA AEVA TECHNOLOGIES INC. LONG 200 12.41 8/20 12:47 13.12 0.04%
Trade id #152648145
Max drawdown($30)
Time8/20/25 9:54
Quant open200
Worst price12.25
Drawdown as % of equity-0.04%
$139
Includes Typical Broker Commissions trade costs of $4.00
7/24/25 10:05 FRSH FRESHWORKS INC. CLASS A COMMON STOCK LONG 200 13.51 8/19 10:12 13.54 0.29%
Trade id #152407498
Max drawdown($243)
Time8/11/25 0:00
Quant open200
Worst price12.29
Drawdown as % of equity-0.29%
$3
Includes Typical Broker Commissions trade costs of $4.00
8/15/25 9:45 LUNR INTUITIVE MACHINES INC. CLASS A LONG 100 8.89 8/15 13:26 9.03 0.02%
Trade id #152616816
Max drawdown($16)
Time8/15/25 10:02
Quant open100
Worst price8.73
Drawdown as % of equity-0.02%
$12
Includes Typical Broker Commissions trade costs of $2.00
8/8/25 15:43 CERT CERTARA INC. LONG 100 10.91 8/13 11:32 11.09 0.06%
Trade id #152562844
Max drawdown($53)
Time8/11/25 0:00
Quant open100
Worst price10.38
Drawdown as % of equity-0.06%
$16
Includes Typical Broker Commissions trade costs of $2.00
7/23/25 14:24 ENPH ENPHASE ENERGY LONG 60 34.29 8/13 11:31 34.59 0.32%
Trade id #152399477
Max drawdown($263)
Time8/6/25 0:00
Quant open60
Worst price29.89
Drawdown as % of equity-0.32%
$17
Includes Typical Broker Commissions trade costs of $1.20
8/11/25 12:43 JACK JACK IN THE BOX LONG 50 17.35 8/13 10:48 17.59 0.05%
Trade id #152577916
Max drawdown($41)
Time8/13/25 9:31
Quant open50
Worst price16.53
Drawdown as % of equity-0.05%
$11
Includes Typical Broker Commissions trade costs of $1.00
8/4/25 12:17 AEVA AEVA TECHNOLOGIES INC. LONG 200 14.32 8/12 11:41 14.42 0.45%
Trade id #152512331
Max drawdown($374)
Time8/11/25 0:00
Quant open200
Worst price12.45
Drawdown as % of equity-0.45%
$16
Includes Typical Broker Commissions trade costs of $4.00
8/7/25 11:04 DAR DARLING INGREDIENTS INC LONG 100 29.73 8/7 15:44 30.71 0%
Trade id #152548093
Max drawdown($4)
Time8/7/25 11:47
Quant open100
Worst price29.69
Drawdown as % of equity-0.00%
$96
Includes Typical Broker Commissions trade costs of $2.00
7/23/25 9:51 GH GUARDANT HEALTH INC LONG 20 45.65 8/5 12:37 46.02 0.13%
Trade id #152395523
Max drawdown($105)
Time8/1/25 0:00
Quant open20
Worst price40.35
Drawdown as % of equity-0.13%
$7
Includes Typical Broker Commissions trade costs of $0.40
7/29/25 10:25 RDW REDWIRE CORPORATION LONG 200 14.60 8/4 14:07 14.79 0.36%
Trade id #152454817
Max drawdown($299)
Time8/1/25 0:00
Quant open200
Worst price13.10
Drawdown as % of equity-0.36%
$35
Includes Typical Broker Commissions trade costs of $4.00
7/31/25 10:58 GAP GAP INC LONG 200 19.26 8/4 10:27 19.44 0.11%
Trade id #152482557
Max drawdown($90)
Time8/1/25 0:00
Quant open100
Worst price18.68
Drawdown as % of equity-0.11%
$32
Includes Typical Broker Commissions trade costs of $4.00
8/1/25 9:56 QBTS D-WAVE QUANTUM INC LONG 100 16.14 8/1 9:57 16.25 n/a $9
Includes Typical Broker Commissions trade costs of $2.00
7/23/25 13:55 KO COCA-COLA LONG 10 69.09 7/30 13:54 69.23 0.01%
Trade id #152399171
Max drawdown($10)
Time7/28/25 0:00
Quant open10
Worst price68.06
Drawdown as % of equity-0.01%
$1
Includes Typical Broker Commissions trade costs of $0.20
7/25/25 15:14 AEVA AEVA TECHNOLOGIES INC. LONG 100 21.77 7/29 9:32 23.05 0.04%
Trade id #152422533
Max drawdown($32)
Time7/28/25 0:00
Quant open100
Worst price21.45
Drawdown as % of equity-0.04%
$126
Includes Typical Broker Commissions trade costs of $2.00
7/25/25 10:15 DOW DOW INC LONG 50 24.67 7/28 12:54 25.75 0.01%
Trade id #152418898
Max drawdown($12)
Time7/25/25 12:25
Quant open50
Worst price24.42
Drawdown as % of equity-0.01%
$53
Includes Typical Broker Commissions trade costs of $1.00
7/23/25 9:56 S SENTINELONE INC LONG 50 19.46 7/25 10:55 19.71 0.01%
Trade id #152395621
Max drawdown($10)
Time7/24/25 0:00
Quant open50
Worst price19.25
Drawdown as % of equity-0.01%
$12
Includes Typical Broker Commissions trade costs of $1.00
7/25/25 10:05 QS QUANTUMSCAPE CORP LONG 100 11.24 7/25 10:54 11.79 n/a $53
Includes Typical Broker Commissions trade costs of $2.00
7/24/25 9:49 SRPT SAREPTA THERAPEUTICS INC. COM LONG 200 12.20 7/24 15:26 12.50 0.42%
Trade id #152407101
Max drawdown($357)
Time7/24/25 14:26
Quant open200
Worst price10.41
Drawdown as % of equity-0.42%
$56
Includes Typical Broker Commissions trade costs of $4.00
7/23/25 14:15 CLSK CLEANSPARK INC. COMMON STOCK LONG 100 12.27 7/24 10:40 12.69 0.01%
Trade id #152399384
Max drawdown($5)
Time7/23/25 15:16
Quant open100
Worst price12.22
Drawdown as % of equity-0.01%
$40
Includes Typical Broker Commissions trade costs of $2.00
7/10/25 12:11 PSNL PERSONALIS INC. COMMON STOCK LONG 200 6.63 7/23 14:23 6.67 0.13%
Trade id #152283530
Max drawdown($109)
Time7/22/25 0:00
Quant open200
Worst price6.09
Drawdown as % of equity-0.13%
$3
Includes Typical Broker Commissions trade costs of $4.00
7/17/25 11:13 CNC CENTENE LONG 200 28.27 7/23 11:41 29.01 0.17%
Trade id #152346873
Max drawdown($147)
Time7/21/25 0:00
Quant open100
Worst price27.34
Drawdown as % of equity-0.17%
$143
Includes Typical Broker Commissions trade costs of $4.00
7/10/25 15:51 SYF SYNCHRONY FINANCIAL LONG 25 71.13 7/23 10:21 71.45 0.1%
Trade id #152285446
Max drawdown($82)
Time7/16/25 0:00
Quant open25
Worst price67.84
Drawdown as % of equity-0.10%
$8
Includes Typical Broker Commissions trade costs of $0.50
7/21/25 15:42 F FORD MOTOR LONG 175 11.21 7/23 9:38 11.41 0.02%
Trade id #152377408
Max drawdown($18)
Time7/22/25 0:00
Quant open75
Worst price11.08
Drawdown as % of equity-0.02%
$32
Includes Typical Broker Commissions trade costs of $3.50


Statistics

  • Strategy began
    9/19/2023
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    709.33
  • Age
    24 months ago
  • What it trades
    Stocks
  • # Trades
    553
  • # Profitable
    539
  • % Profitable
    97.50%
  • Avg trade duration
    7.2 days
  • Max peak-to-valley drawdown
    14.56%
  • drawdown period
    Aug 01, 2024 - Sept 11, 2024
  • Annual Return (Compounded)
    31.4%
  • Avg win
    $81.94
  • Avg loss
    $403.21
  • Model Account Values (Raw)
  • Cash
    $82,760
  • Margin Used
    $0
  • Buying Power
    $79,695
  • Ratios
  • W:L ratio
    8.11:1
  • Sharpe Ratio
    1.13
  • Sortino Ratio
    2.14
  • Calmar Ratio
    2.879
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    24.12%
  • Correlation to SP500
    0.27670
  • Return Percent SP500 (cumu) during strategy life
    46.06%
  • Return Statistics
  • Ann Return (w trading costs)
    31.4%
  • Slump
  • Current Slump as Pcnt Equity
    2.00%
  • 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)
    0.314%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    34.7%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    23.00%
  • Chance of 20% account loss
    3.50%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    826
  • Popularity (Last 6 weeks)
    978
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    931
  • Popularity (7 days, Percentile 1000 scale)
    855
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $404
  • Avg Win
    $82
  • Sum Trade PL (losers)
    $5,660.000
  • Age
  • Num Months filled monthly returns table
    24
  • Win / Loss
  • Sum Trade PL (winners)
    $44,165.000
  • # Winners
    539
  • Num Months Winners
    15
  • Dividends
  • Dividends Received in Model Acct
    818
  • AUM
  • AUM (AutoTrader live capital)
    157856
  • Win / Loss
  • # Losers
    14
  • % Winners
    97.5%
  • Frequency
  • Avg Position Time (mins)
    10434.20
  • Avg Position Time (hrs)
    173.90
  • Avg Trade Length
    7.2 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    0.59
  • Daily leverage (max)
    2.68
  • Regression
  • Alpha
    0.06
  • Beta
    0.34
  • Treynor Index
    0.22
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    4.43
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    3.020
  • 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
    2.279
  • Avg(MAE) / Avg(PL) - Losing trades
    -2.097
  • Hold-and-Hope Ratio
    0.336
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.31726
  • SD
    0.24944
  • Sharpe ratio (Glass type estimate)
    1.27187
  • Sharpe ratio (Hedges UMVUE)
    1.22580
  • df
    21.00000
  • t
    1.72212
  • p
    0.28076
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.23934
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.75496
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.26844
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.72005
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.42914
  • Upside Potential Ratio
    6.38551
  • Upside part of mean
    0.45739
  • Downside part of mean
    -0.14013
  • Upside SD
    0.25030
  • Downside SD
    0.07163
  • N nonnegative terms
    12.00000
  • N negative terms
    10.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    22.00000
  • Mean of predictor
    0.18718
  • Mean of criterion
    0.31726
  • SD of predictor
    0.12693
  • SD of criterion
    0.24944
  • Covariance
    0.01047
  • r
    0.33055
  • b (slope, estimate of beta)
    0.64960
  • a (intercept, estimate of alpha)
    0.19567
  • Mean Square Error
    0.05819
  • DF error
    20.00000
  • t(b)
    1.56632
  • p(b)
    0.33472
  • t(a)
    1.00681
  • p(a)
    0.39018
  • Lowerbound of 95% confidence interval for beta
    -0.21551
  • Upperbound of 95% confidence interval for beta
    1.51471
  • Lowerbound of 95% confidence interval for alpha
    -0.20972
  • Upperbound of 95% confidence interval for alpha
    0.60105
  • Treynor index (mean / b)
    0.48839
  • Jensen alpha (a)
    0.19567
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.28591
  • SD
    0.23244
  • Sharpe ratio (Glass type estimate)
    1.23002
  • Sharpe ratio (Hedges UMVUE)
    1.18547
  • df
    21.00000
  • t
    1.66545
  • p
    0.28685
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.27764
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.71037
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.30580
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.67674
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.91814
  • Upside Potential Ratio
    5.87009
  • Upside part of mean
    0.42834
  • Downside part of mean
    -0.14243
  • Upside SD
    0.23035
  • Downside SD
    0.07297
  • N nonnegative terms
    12.00000
  • N negative terms
    10.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    22.00000
  • Mean of predictor
    0.17794
  • Mean of criterion
    0.28591
  • SD of predictor
    0.12400
  • SD of criterion
    0.23244
  • Covariance
    0.00949
  • r
    0.32924
  • b (slope, estimate of beta)
    0.61718
  • a (intercept, estimate of alpha)
    0.17608
  • Mean Square Error
    0.05058
  • DF error
    20.00000
  • t(b)
    1.55936
  • p(b)
    0.33538
  • t(a)
    0.97599
  • p(a)
    0.39339
  • Lowerbound of 95% confidence interval for beta
    -0.20842
  • Upperbound of 95% confidence interval for beta
    1.44279
  • Lowerbound of 95% confidence interval for alpha
    -0.20026
  • Upperbound of 95% confidence interval for alpha
    0.55242
  • Treynor index (mean / b)
    0.46325
  • Jensen alpha (a)
    0.17608
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.08290
  • Expected Shortfall on VaR
    0.10799
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02574
  • Expected Shortfall on VaR
    0.04674
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    22.00000
  • Minimum
    0.95148
  • Quartile 1
    0.98053
  • Median
    1.00765
  • Quartile 3
    1.06154
  • Maximum
    1.23601
  • Mean of quarter 1
    0.96447
  • Mean of quarter 2
    0.99732
  • Mean of quarter 3
    1.02187
  • Mean of quarter 4
    1.12501
  • Inter Quartile Range
    0.08101
  • 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
    0.04545
  • Mean of outliers high
    1.23601
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -1.94181
  • VaR(95%) (moments method)
    0.03873
  • Expected Shortfall (moments method)
    0.03935
  • Extreme Value Index (regression method)
    -0.67211
  • VaR(95%) (regression method)
    0.03525
  • Expected Shortfall (regression method)
    0.03788
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00780
  • Quartile 1
    0.01534
  • Median
    0.03171
  • Quartile 3
    0.04049
  • Maximum
    0.06220
  • Mean of quarter 1
    0.00996
  • Mean of quarter 2
    0.02502
  • Mean of quarter 3
    0.03839
  • Mean of quarter 4
    0.05170
  • Inter Quartile Range
    0.02515
  • 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)
    0.42420
  • Compounded annual return (geometric extrapolation)
    0.36863
  • Calmar ratio (compounded annual return / max draw down)
    5.92628
  • Compounded annual return / average of 25% largest draw downs
    7.13044
  • Compounded annual return / Expected Shortfall lognormal
    3.41367
  • 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
    0.30557
  • SD
    0.20155
  • Sharpe ratio (Glass type estimate)
    1.51610
  • Sharpe ratio (Hedges UMVUE)
    1.51373
  • df
    480.00000
  • t
    2.05423
  • p
    0.02025
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.06567
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.96504
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.06404
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.96342
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.87505
  • Upside Potential Ratio
    10.59530
  • Upside part of mean
    1.12610
  • Downside part of mean
    -0.82053
  • Upside SD
    0.17204
  • Downside SD
    0.10628
  • N nonnegative terms
    246.00000
  • N negative terms
    235.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    481.00000
  • Mean of predictor
    0.19372
  • Mean of criterion
    0.30557
  • SD of predictor
    0.16865
  • SD of criterion
    0.20155
  • Covariance
    0.00943
  • r
    0.27746
  • b (slope, estimate of beta)
    0.33159
  • a (intercept, estimate of alpha)
    0.24100
  • Mean Square Error
    0.03757
  • DF error
    479.00000
  • t(b)
    6.32065
  • p(b)
    0.00000
  • t(a)
    1.68271
  • p(a)
    0.04654
  • Lowerbound of 95% confidence interval for beta
    0.22851
  • Upperbound of 95% confidence interval for beta
    0.43467
  • Lowerbound of 95% confidence interval for alpha
    -0.04048
  • Upperbound of 95% confidence interval for alpha
    0.52315
  • Treynor index (mean / b)
    0.92153
  • Jensen alpha (a)
    0.24134
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.28547
  • SD
    0.19887
  • Sharpe ratio (Glass type estimate)
    1.43546
  • Sharpe ratio (Hedges UMVUE)
    1.43321
  • df
    480.00000
  • t
    1.94497
  • p
    0.02618
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.01464
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.88411
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.01615
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.88258
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.65822
  • Upside Potential Ratio
    10.35130
  • Upside part of mean
    1.11164
  • Downside part of mean
    -0.82617
  • Upside SD
    0.16806
  • Downside SD
    0.10739
  • N nonnegative terms
    246.00000
  • N negative terms
    235.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    481.00000
  • Mean of predictor
    0.17952
  • Mean of criterion
    0.28547
  • SD of predictor
    0.16795
  • SD of criterion
    0.19887
  • Covariance
    0.00943
  • r
    0.28224
  • b (slope, estimate of beta)
    0.33421
  • a (intercept, estimate of alpha)
    0.22547
  • Mean Square Error
    0.03647
  • DF error
    479.00000
  • t(b)
    6.43882
  • p(b)
    0.00000
  • t(a)
    1.59613
  • p(a)
    0.05556
  • Lowerbound of 95% confidence interval for beta
    0.23222
  • Upperbound of 95% confidence interval for beta
    0.43620
  • Lowerbound of 95% confidence interval for alpha
    -0.05210
  • Upperbound of 95% confidence interval for alpha
    0.50304
  • Treynor index (mean / b)
    0.85417
  • Jensen alpha (a)
    0.22547
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01894
  • Expected Shortfall on VaR
    0.02395
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00709
  • Expected Shortfall on VaR
    0.01409
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    481.00000
  • Minimum
    0.95711
  • Quartile 1
    0.99594
  • Median
    1.00020
  • Quartile 3
    1.00469
  • Maximum
    1.08421
  • Mean of quarter 1
    0.98925
  • Mean of quarter 2
    0.99850
  • Mean of quarter 3
    1.00202
  • Mean of quarter 4
    1.01542
  • Inter Quartile Range
    0.00875
  • Number outliers low
    20.00000
  • Percentage of outliers low
    0.04158
  • Mean of outliers low
    0.97629
  • Number of outliers high
    24.00000
  • Percentage of outliers high
    0.04990
  • Mean of outliers high
    1.03856
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.23314
  • VaR(95%) (moments method)
    0.01050
  • Expected Shortfall (moments method)
    0.01676
  • Extreme Value Index (regression method)
    0.03478
  • VaR(95%) (regression method)
    0.01036
  • Expected Shortfall (regression method)
    0.01452
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    27.00000
  • Minimum
    0.00004
  • Quartile 1
    0.00337
  • Median
    0.00827
  • Quartile 3
    0.01854
  • Maximum
    0.12782
  • Mean of quarter 1
    0.00128
  • Mean of quarter 2
    0.00667
  • Mean of quarter 3
    0.01249
  • Mean of quarter 4
    0.07220
  • Inter Quartile Range
    0.01517
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.18518
  • Mean of outliers high
    0.09041
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -1.77348
  • VaR(95%) (moments method)
    0.05557
  • Expected Shortfall (moments method)
    0.05737
  • Extreme Value Index (regression method)
    -1.04369
  • VaR(95%) (regression method)
    0.10839
  • Expected Shortfall (regression method)
    0.11888
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.42361
  • Compounded annual return (geometric extrapolation)
    0.36804
  • Calmar ratio (compounded annual return / max draw down)
    2.87942
  • Compounded annual return / average of 25% largest draw downs
    5.09730
  • Compounded annual return / Expected Shortfall lognormal
    15.36590
  • 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
    0.22599
  • SD
    0.17385
  • Sharpe ratio (Glass type estimate)
    1.29994
  • Sharpe ratio (Hedges UMVUE)
    1.29243
  • df
    130.00000
  • t
    0.91920
  • p
    0.45982
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.47878
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.07383
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.48383
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.06868
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.67656
  • Upside Potential Ratio
    10.49650
  • Upside part of mean
    0.88625
  • Downside part of mean
    -0.66026
  • Upside SD
    0.15185
  • Downside SD
    0.08443
  • N nonnegative terms
    60.00000
  • N negative terms
    71.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.17578
  • Mean of criterion
    0.22599
  • SD of predictor
    0.23758
  • SD of criterion
    0.17385
  • Covariance
    0.01171
  • r
    0.28342
  • b (slope, estimate of beta)
    0.20739
  • a (intercept, estimate of alpha)
    0.18954
  • Mean Square Error
    0.02801
  • DF error
    129.00000
  • t(b)
    3.35669
  • p(b)
    0.32201
  • t(a)
    0.79994
  • p(a)
    0.45531
  • Lowerbound of 95% confidence interval for beta
    0.08515
  • Upperbound of 95% confidence interval for beta
    0.32963
  • Lowerbound of 95% confidence interval for alpha
    -0.27925
  • Upperbound of 95% confidence interval for alpha
    0.65832
  • Treynor index (mean / b)
    1.08970
  • Jensen alpha (a)
    0.18954
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.21121
  • SD
    0.17098
  • Sharpe ratio (Glass type estimate)
    1.23527
  • Sharpe ratio (Hedges UMVUE)
    1.22813
  • df
    130.00000
  • t
    0.87347
  • p
    0.46181
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.54290
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.00884
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.54770
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.00395
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.48120
  • Upside Potential Ratio
    10.27910
  • Upside part of mean
    0.87500
  • Downside part of mean
    -0.66379
  • Upside SD
    0.14811
  • Downside SD
    0.08512
  • N nonnegative terms
    60.00000
  • N negative terms
    71.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.14800
  • Mean of criterion
    0.21121
  • SD of predictor
    0.23583
  • SD of criterion
    0.17098
  • Covariance
    0.01189
  • r
    0.29487
  • b (slope, estimate of beta)
    0.21379
  • a (intercept, estimate of alpha)
    0.17957
  • Mean Square Error
    0.02690
  • DF error
    129.00000
  • t(b)
    3.50486
  • p(b)
    0.31504
  • t(a)
    0.77359
  • p(a)
    0.45677
  • VAR (95 Confidence Intrvl)
    0.01900
  • Lowerbound of 95% confidence interval for beta
    0.09310
  • Upperbound of 95% confidence interval for beta
    0.33448
  • Lowerbound of 95% confidence interval for alpha
    -0.27970
  • Upperbound of 95% confidence interval for alpha
    0.63884
  • Treynor index (mean / b)
    0.98794
  • Jensen alpha (a)
    0.17957
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01643
  • Expected Shortfall on VaR
    0.02076
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00610
  • Expected Shortfall on VaR
    0.01187
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97557
  • Quartile 1
    0.99681
  • Median
    0.99998
  • Quartile 3
    1.00381
  • Maximum
    1.07545
  • Mean of quarter 1
    0.99159
  • Mean of quarter 2
    0.99863
  • Mean of quarter 3
    1.00132
  • Mean of quarter 4
    1.01235
  • Inter Quartile Range
    0.00699
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.03053
  • Mean of outliers low
    0.97786
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.03817
  • Mean of outliers high
    1.03808
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.23487
  • VaR(95%) (moments method)
    0.00827
  • Expected Shortfall (moments method)
    0.01321
  • Extreme Value Index (regression method)
    -0.17356
  • VaR(95%) (regression method)
    0.00779
  • Expected Shortfall (regression method)
    0.00986
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.00069
  • Quartile 1
    0.00333
  • Median
    0.00760
  • Quartile 3
    0.02472
  • Maximum
    0.10085
  • Mean of quarter 1
    0.00151
  • Mean of quarter 2
    0.00550
  • Mean of quarter 3
    0.01324
  • Mean of quarter 4
    0.07194
  • Inter Quartile Range
    0.02139
  • 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
    0.12500
  • Mean of outliers high
    0.10085
  • 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
  • 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?
    -448559000
  • Max Equity Drawdown (num days)
    41
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.25400
  • Compounded annual return (geometric extrapolation)
    0.27013
  • Calmar ratio (compounded annual return / max draw down)
    2.67855
  • Compounded annual return / average of 25% largest draw downs
    3.75475
  • Compounded annual return / Expected Shortfall lognormal
    13.01380

Strategy Description

Summary Statistics


Strategy began
2023-09-19
Suggested Minimum Capital
$35,000
Rank at C2 %
Top 6.9%
Rank # 
#40
# Trades
553
# Profitable
539
% Profitable
97.5%
Net Dividends
Correlation S&P500
0.277
Sharpe Ratio
1.13
Sortino Ratio
2.14
Beta
0.34
Alpha
0.06
Leverage
0.59 Average
2.68 Maximum

Sommario
Leva finanziaria più alta = maggiore rischio.

Ulteriori informazioni sulla leva finanziaria

Collective2 calcola la leva finanziaria massima utilizzata da una strategia in ogni giorno. Mostriamo quindi la media di queste misurazioni (cioè la media della leva finanziaria massima giornaliera) e la più grande di queste misurazioni (leva finanziaria massima giornaliera).

La leva finanziaria è il rapporto tra il valore nozionale totale controllato da una strategia e il patrimonio del Model Account. Generalmente, una leva finanziaria più alta implica un rischio maggiore.

Esempio di calcolo:
La Strategia acquista 100 azioni a $12 per azione.
Il patrimonio del Model Account durante quel giorno è di $5.000.
La leva finanziaria è: $1200 / $5.000 = 0,24

Questa è una misurazione utile, ma deve essere considerata nel contesto. Questa misurazione non tiene conto di fattori importanti, come quando si detengono più posizioni che sono inversamente correlate. Né la misurazione tiene conto della volatilità degli strumenti detenuti.

Inoltre, alcune classi di attività sono per loro natura più leveraged di altre. Ad esempio, i contratti futures sono altamente leveraged. Le posizioni Forex sono spesso ancora più leveraged dei futures.

Latest Activity

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Trade journal

  • 9/15/2018, 10:03:33 PM BTS 200 EURUSD

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Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.

Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.



Riguardo ai risultati che vedi su questo sito web

I risultati passati non sono necessariamente indicativi dei risultati futuri.

Questi risultati si basano su performance simulate o ipotetiche che presentano alcune limitazioni intrinseche. A differenza dei risultati mostrati in un registro delle prestazioni effettive, questi risultati non rappresentano trading effettivo. Inoltre, poiché queste operazioni non sono state effettivamente eseguite, questi risultati potrebbero aver sotto o sovrastimato l'impatto, se presente, di alcuni fattori di mercato, come la mancanza di liquidità. I programmi di trading simulati o ipotetici in generale sono soggetti anche al fatto che sono progettati con il beneficio del senno di poi. Non viene fatta alcuna rappresentazione che qualsiasi conto raggiungerà o sarà probabile ottenere profitti o perdite simili a quelli mostrati.

Inoltre, il trading ipotetico non comporta rischio finanziario e nessun record di trading ipotetico può tener conto completamente dell'impatto del rischio finanziario nel trading effettivo. Ad esempio, la capacità di sopportare perdite o di attenersi a un particolare programma di trading nonostante le perdite commerciali sono punti materiali che possono influire negativamente sui risultati del trading effettivo. Ci sono numerosi altri fattori legati ai mercati in generale o all'attuazione di qualsiasi specifico programma di trading, che non possono essere pienamente contabilizzati nella preparazione dei risultati delle prestazioni ipotetiche e tutti i quali possono influire negativamente sui risultati del trading effettivo.

Ipotesi e metodi materiali utilizzati nel calcolo dei risultati

Le seguenti sono ipotesi materiali utilizzate nel calcolo di eventuali risultati mensili ipotetici che appaiono sul nostro sito web.

  • I profitti vengono reinvestiti. Presumiamo che i profitti (quando ci sono) vengano reinvestiti nella strategia di trading.
  • Dimensione dell'investimento iniziale. Per qualsiasi strategia di trading sul nostro sito, i risultati ipotetici si basano sull'ipotesi che tu abbia investito l'importo iniziale mostrato sul grafico delle prestazioni della strategia. In alcuni casi, gli importi nominali in dollari sul grafico del patrimonio sono stati ridimensionati verso il basso per rendere le dimensioni di trading attuali più gestibili. In questi casi, potrebbe non essere stato possibile scambiare la strategia storicamente ai livelli di patrimonio mostrati sul grafico e un capitale minimo più elevato era richiesto in passato.
  • Tutte le spese sono incluse. Nel calcolo dei rendimenti cumulativi, cerchiamo di stimare e includere tutte le spese che un tipico trader sostiene quando fa AutoTrading utilizzando la tecnologia AutoTrade. Ciò include il costo dell'abbonamento alla strategia, più eventuali commissioni per operazione di AutoTrade, più le commissioni di intermediazione stimate, se presenti.
  • Metodo di calcolo del "Max Drawdown". Calcoliamo la statistica Max Drawdown come segue. Il nostro software informatico esamina il grafico del patrimonio del sistema in questione e trova la percentuale più grande in cui il grafico del patrimonio diminuisce mai da un "picco" locale a un punto successivo nel tempo (quindi questo è formalmente chiamato "Massimo calo dal picco alla valle"). Sebbene queste informazioni siano utili nella valutazione dei sistemi di trading, dovresti tenere presente che le prestazioni passate non garantiscono risultati futuri. Pertanto, i cali futuri potrebbero essere maggiori rispetto ai massimi cali storici che vedi qui.

Il trading è rischioso

C'è un rischio sostanziale di perdita nel trading di futures e forex. Il trading online di azioni e opzioni è estremamente rischioso. Presumi che perderai denaro. Non fare trading con denaro che non puoi permetterti di perdere.

Va bene, capito.

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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.