Collective2 Collective2
Featured Strategy Quant AI pro +16.4% Cumul. Return since Dec 2, 2024 Hypothetical

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These are hypothetical performance results that have certain inherent limitations. Learn more
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Trades-Own-Strategy Certification

This system has earned Trades-Own-Strategy (TOS) Certification. This means that the manager of this system trades his own strategy in a real-life, funded brokerage account.

Trades-Own-Strategy (TOS) Certification Details
Certification process started 04/19/2024
Most recent certification approved 5/3/24 9:31 ET
Trades at broker Interactive Brokers (Stocks, Options, Futures)
Scaling percentage used 80%
# trading signals issued by system since certification 66
# trading signals executed in manager's Interactive Brokers (Stocks, Options, Futures) account 66
Percent signals followed since 04/19/2024 100%
This information was last updated 12/20/24 9:33 ET

Warning: System trading results are still hypothetical.

Even though the system developer is currently trading his own system in a real-life brokerage account, the trading results presented on this Web site must still be regarded as purely hypothetical results. This is because (among other reasons) the system developer may not have traded all signals, particularly those that occurred before 04/19/2024, and the system developer's results may not match the system results presented here. In addition, not all subscribers have received the same trades or prices as the system manager has. For these reasons, and others, it is extremely important you remember the following:

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results. Hypothetical performance results have many inherent limitations, some of which are described below. No representation is being made that any account will or is likely to achieve profits or losses similar to those shown. In fact, there are frequently sharp differences between hypothetical performance results and the actual results subsequently achieved by any particular trading program.

One of the limitations of hypothetical performance results is that they are generally prepared with the benefit of hindsight. In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

You may be interested to learn more technical details about how Collective2 calculates the hypothetical results you see on this web site.

Strategy 27
(143011111)

Created by: ParnaliaEquitiesLLC ParnaliaEquitiesLLC
Started: 12/2022
Stocks
Last trade: 12 days ago
Trading style: Equity Non-hedged Equity

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

Subscription terms. Subscriptions to this system cost $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
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."
62.9%
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.

(31.7%)
Max Drawdown
154
Num Trades
60.4%
Win Trades
4.3 : 1
Profit Factor
60.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022                                                                             (0.5%)(0.5%)
2023+11.4%(4%)+8.1%(9.8%)+16.0%+11.6%+13.0%(8.7%)(13.1%)(8.2%)+31.4%+22.5%+78.6%
2024(3.5%)+16.7%+5.5%(15.4%)+11.1%+3.8%+1.5%(8.3%)+9.2%+11.6%+24.3%(8.6%)+49.2%

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 141 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
6/4/24 15:40 UNH UNITEDHEALTH GROUP LONG 8 504.43 12/11 9:50 537.23 0.2%
Trade id #148329336
Max drawdown($210)
Time6/20/24 0:00
Quant open8
Worst price478.11
Drawdown as % of equity-0.20%
 $262
Includes Typical Broker Commissions trade costs of $0.16
8/5/24 15:43 PFE PFIZER LONG 120 29.77 11/15 9:31 25.15 0.44%
Trade id #148835392
Max drawdown($573)
Time11/15/24 9:31
Quant open120
Worst price25.00
Drawdown as % of equity-0.44%
 ($556)
Includes Typical Broker Commissions trade costs of $2.40
5/6/24 15:56 HSY HERSHEY COMPANY LONG 20 196.70 10/30 14:37 177.40 0.32%
Trade id #148104260
Max drawdown($389)
Time10/30/24 14:37
Quant open20
Worst price177.22
Drawdown as % of equity-0.32%
 ($386)
Includes Typical Broker Commissions trade costs of $0.40
8/5/24 15:47 ZTS ZOETIS INC LONG 21 174.62 10/25 15:59 179.85 0.01%
Trade id #148835491
Max drawdown($10)
Time8/5/24 15:53
Quant open21
Worst price174.10
Drawdown as % of equity-0.01%
 $110
Includes Typical Broker Commissions trade costs of $0.42
2/16/24 11:41 ENPH ENPHASE ENERGY LONG 18 136.08 10/23 9:30 76.86 0.92%
Trade id #147356130
Max drawdown($1,069)
Time10/23/24 9:30
Quant open18
Worst price76.68
Drawdown as % of equity-0.92%
 ($1,066)
Includes Typical Broker Commissions trade costs of $0.36
11/14/23 15:30 VZ VERIZON COMMUNICATIONS LONG 75 35.90 10/22/24 9:34 40.80 0.01%
Trade id #146437613
Max drawdown($6)
Time11/14/23 15:52
Quant open75
Worst price35.81
Drawdown as % of equity-0.01%
 $367
Includes Typical Broker Commissions trade costs of $1.50
2/22/24 14:24 TSN TYSON FOODS LONG 73 53.05 10/8 10:01 57.58 0.07%
Trade id #147414447
Max drawdown($68)
Time3/4/24 0:00
Quant open73
Worst price52.11
Drawdown as % of equity-0.07%
 $330
Includes Typical Broker Commissions trade costs of $1.46
4/15/24 15:59 MRNA MODERNA INC. COMMON STOCK LONG 30 103.91 9/3 15:35 72.95 1.02%
Trade id #147913824
Max drawdown($929)
Time9/3/24 15:35
Quant open30
Worst price72.91
Drawdown as % of equity-1.02%
 ($930)
Includes Typical Broker Commissions trade costs of $0.60
11/15/23 15:55 TASK TASKUS INC. CLASS A COMMON STOCK LONG 120 12.72 8/30/24 10:53 13.07 0.28%
Trade id #146453916
Max drawdown($259)
Time4/16/24 0:00
Quant open120
Worst price10.56
Drawdown as % of equity-0.28%
 $39
Includes Typical Broker Commissions trade costs of $2.40
4/17/24 15:59 AAP ADVANCE AUTO PARTS LONG 36 74.00 8/22 9:30 48.91 0.93%
Trade id #147939246
Max drawdown($925)
Time8/22/24 9:30
Quant open36
Worst price48.28
Drawdown as % of equity-0.93%
 ($904)
Includes Typical Broker Commissions trade costs of $0.72
10/30/23 15:56 CHK CHESAPEAKE ENERGY CORPORATION LONG 26 85.75 8/5/24 9:31 69.50 0.45%
Trade id #146281679
Max drawdown($422)
Time8/5/24 9:30
Quant open26
Worst price69.48
Drawdown as % of equity-0.45%
 ($423)
Includes Typical Broker Commissions trade costs of $0.52
8/17/23 15:59 COIN COINBASE GLOBAL INC. CLASS A LONG 20 75.61 8/5/24 9:30 162.08 0.2%
Trade id #145566873
Max drawdown($119)
Time9/25/23 0:00
Quant open20
Worst price69.63
Drawdown as % of equity-0.20%
 $1,730
Includes Typical Broker Commissions trade costs of $0.40
10/19/23 15:41 CIFR CIPHER MINING INC. COMMON STOCK LONG 412 2.58 8/5/24 9:30 3.46 0.2%
Trade id #146178884
Max drawdown($173)
Time1/25/24 0:00
Quant open412
Worst price2.15
Drawdown as % of equity-0.20%
 $358
Includes Typical Broker Commissions trade costs of $8.24
6/14/24 15:52 MARA MARATHON DIGITAL HOLDINGS INC LONG 200 19.38 8/5 9:30 13.82 1.2%
Trade id #148413321
Max drawdown($1,141)
Time8/5/24 9:30
Quant open200
Worst price13.67
Drawdown as % of equity-1.20%
 ($1,115)
Includes Typical Broker Commissions trade costs of $4.00
6/6/24 15:58 RIOT RIOT BLOCKCHAIN INC. COMMON STOCK LONG 430 10.14 8/5 9:30 7.25 1.31%
Trade id #148352022
Max drawdown($1,244)
Time8/5/24 9:30
Quant open430
Worst price7.25
Drawdown as % of equity-1.31%
 ($1,254)
Includes Typical Broker Commissions trade costs of $8.60
10/26/23 15:42 CPNG COUPANG INC LONG 80 17.33 8/5/24 9:30 19.14 0.35%
Trade id #146251150
Max drawdown($305)
Time2/2/24 0:00
Quant open80
Worst price13.51
Drawdown as % of equity-0.35%
 $143
Includes Typical Broker Commissions trade costs of $1.60
3/9/23 15:52 MSFT MICROSOFT LONG 8 252.89 8/5/24 9:30 389.33 0.12%
Trade id #143833069
Max drawdown($57)
Time3/13/23 0:00
Quant open8
Worst price245.73
Drawdown as % of equity-0.12%
 $1,092
Includes Typical Broker Commissions trade costs of $0.16
5/3/23 15:34 AMZN AMAZON.COM LONG 20 103.53 8/2/24 9:30 166.15 0.01%
Trade id #144517857
Max drawdown($4)
Time5/3/23 15:47
Quant open20
Worst price103.28
Drawdown as % of equity-0.01%
 $1,252
Includes Typical Broker Commissions trade costs of $0.40
7/1/24 15:54 MXL MAXLINEAR INC. COMMON STOCK LONG 138 21.15 7/26 11:15 13.38 1.04%
Trade id #148549529
Max drawdown($1,074)
Time7/26/24 11:15
Quant open138
Worst price13.36
Drawdown as % of equity-1.04%
 ($1,075)
Includes Typical Broker Commissions trade costs of $2.76
1/13/23 15:57 UBER UBER TECHNOLOGIES INC LONG 90 29.44 7/25/24 10:09 64.45 0.61%
Trade id #143216430
Max drawdown($335)
Time1/24/23 0:00
Quant open90
Worst price25.71
Drawdown as % of equity-0.61%
 $3,149
Includes Typical Broker Commissions trade costs of $1.80
7/6/23 15:24 CRWD CROWDSTRIKE HOLDINGS INC. CLASS A LONG 19 142.59 7/22/24 9:30 283.16 0.06%
Trade id #145136469
Max drawdown($39)
Time8/18/23 0:00
Quant open19
Worst price140.52
Drawdown as % of equity-0.06%
 $2,671
Includes Typical Broker Commissions trade costs of $0.38
10/18/23 15:31 AMD ADVANCED MICRO DEVICES INC. C LONG 23 102.16 7/19/24 10:32 152.27 0.38%
Trade id #146165971
Max drawdown($208)
Time10/26/23 0:00
Quant open23
Worst price93.11
Drawdown as % of equity-0.38%
 $1,152
Includes Typical Broker Commissions trade costs of $0.46
10/20/23 15:42 DASH DOORDASH INC. CLASS A LONG 27 72.89 7/1/24 10:03 106.82 0.15%
Trade id #146191216
Max drawdown($80)
Time10/26/23 0:00
Quant open27
Worst price69.90
Drawdown as % of equity-0.15%
 $915
Includes Typical Broker Commissions trade costs of $0.54
3/12/24 13:53 ZM ZOOM COMMUNICATIONS INC. CLASS A LONG 60 70.25 6/13 11:09 58.83 0.64%
Trade id #147612290
Max drawdown($685)
Time6/13/24 11:09
Quant open60
Worst price58.83
Drawdown as % of equity-0.64%
 ($686)
Includes Typical Broker Commissions trade costs of $1.20
10/26/23 15:53 ASGN ON ASSIGNMENT LONG 27 82.12 6/10/24 13:02 91.58 0.14%
Trade id #146251407
Max drawdown($75)
Time10/27/23 0:00
Quant open27
Worst price79.32
Drawdown as % of equity-0.14%
 $255
Includes Typical Broker Commissions trade costs of $0.54
9/28/23 15:46 OKTA OKTA INC. CL A COMMON STOCK LONG 20 81.23 6/7/24 9:36 86.51 0.57%
Trade id #145965410
Max drawdown($323)
Time11/2/23 0:00
Quant open20
Worst price65.04
Drawdown as % of equity-0.57%
 $106
Includes Typical Broker Commissions trade costs of $0.40
11/3/23 15:21 ASAN ASANA INC LONG 83 20.43 5/31/24 15:15 12.86 0.64%
Trade id #146331026
Max drawdown($629)
Time5/31/24 15:15
Quant open83
Worst price12.85
Drawdown as % of equity-0.64%
 ($631)
Includes Typical Broker Commissions trade costs of $1.66
10/5/23 15:57 DDOG DATADOG INC. LONG 26 89.60 5/31/24 10:00 112.17 0.54%
Trade id #146047660
Max drawdown($306)
Time11/2/23 0:00
Quant open26
Worst price77.81
Drawdown as % of equity-0.54%
 $586
Includes Typical Broker Commissions trade costs of $0.52
5/2/23 15:38 NOW SERVICENOW LONG 5 445.25 5/30/24 9:34 680.85 0.16%
Trade id #144506263
Max drawdown($81)
Time5/4/23 0:00
Quant open5
Worst price428.97
Drawdown as % of equity-0.16%
 $1,178
Includes Typical Broker Commissions trade costs of $0.10
3/24/23 15:56 INTU INTUIT LONG 5 428.33 5/30/24 9:30 586.59 0.23%
Trade id #144031778
Max drawdown($140)
Time5/31/23 0:00
Quant open5
Worst price400.22
Drawdown as % of equity-0.23%
 $791
Includes Typical Broker Commissions trade costs of $0.10
Next

Statistics

  • Strategy began
    12/27/2022
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    726.68
  • Age
    24 months ago
  • What it trades
    Stocks
  • # Trades
    154
  • # Profitable
    93
  • % Profitable
    60.40%
  • Avg trade duration
    185.9 days
  • Max peak-to-valley drawdown
    31.7%
  • drawdown period
    July 16, 2024 - Aug 05, 2024
  • Annual Return (Compounded)
    62.9%
  • Avg win
    $1,196
  • Avg loss
    $441.39
  • Model Account Values (Raw)
  • Cash
    $3,270
  • Margin Used
    $0
  • Buying Power
    $78,438
  • Ratios
  • W:L ratio
    4.26:1
  • Sharpe Ratio
    1.3
  • Sortino Ratio
    1.95
  • Calmar Ratio
    2.316
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    110.37%
  • Correlation to SP500
    0.61770
  • Return Percent SP500 (cumu) during strategy life
    54.88%
  • Return Statistics
  • Ann Return (w trading costs)
    62.9%
  • Slump
  • Current Slump as Pcnt Equity
    13.60%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.02%
  • Return Statistics
  • Return Pcnt Since TOS Status
    49.720%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.629%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    65.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    47.00%
  • Chance of 20% account loss
    19.00%
  • Chance of 30% account loss
    7.50%
  • Chance of 40% account loss
    0.50%
  • 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)
    856
  • Popularity (Last 6 weeks)
    986
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    986
  • Popularity (7 days, Percentile 1000 scale)
    964
  • Trades-Own-System Certification
  • Trades Own System?
    Yes
  • TOS percent
    80%
  • Win / Loss
  • Avg Loss
    $441
  • Avg Win
    $1,197
  • Sum Trade PL (losers)
    $26,925.000
  • Age
  • Num Months filled monthly returns table
    25
  • Win / Loss
  • Sum Trade PL (winners)
    $111,285.000
  • # Winners
    93
  • Num Months Winners
    15
  • Dividends
  • Dividends Received in Model Acct
    1770
  • AUM
  • AUM (AutoTrader live capital)
    218842
  • Win / Loss
  • # Losers
    61
  • % Winners
    60.4%
  • Frequency
  • Avg Position Time (mins)
    267717.00
  • Avg Position Time (hrs)
    4461.96
  • Avg Trade Length
    185.9 days
  • Last Trade Ago
    4
  • Leverage
  • Daily leverage (average)
    1.16
  • Daily leverage (max)
    1.84
  • Regression
  • Alpha
    0.05
  • Beta
    1.62
  • Treynor Index
    0.09
  • 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)
    -0.02
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    0.632
  • 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
    0.172
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.070
  • Hold-and-Hope Ratio
    1.361
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.62385
  • SD
    0.42370
  • Sharpe ratio (Glass type estimate)
    1.47241
  • Sharpe ratio (Hedges UMVUE)
    1.42153
  • df
    22.00000
  • t
    2.03845
  • p
    0.02685
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.02311
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.93749
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.05517
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.89824
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.58340
  • Upside Potential Ratio
    5.52625
  • Upside part of mean
    0.96209
  • Downside part of mean
    -0.33824
  • Upside SD
    0.41694
  • Downside SD
    0.17409
  • N nonnegative terms
    14.00000
  • N negative terms
    9.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    23.00000
  • Mean of predictor
    0.22109
  • Mean of criterion
    0.62385
  • SD of predictor
    0.13056
  • SD of criterion
    0.42370
  • Covariance
    0.04471
  • r
    0.80827
  • b (slope, estimate of beta)
    2.62314
  • a (intercept, estimate of alpha)
    0.04389
  • Mean Square Error
    0.06520
  • DF error
    21.00000
  • t(b)
    6.29066
  • p(b)
    0.04891
  • t(a)
    0.21288
  • p(a)
    0.47047
  • Lowerbound of 95% confidence interval for beta
    1.75596
  • Upperbound of 95% confidence interval for beta
    3.49031
  • Lowerbound of 95% confidence interval for alpha
    -0.38492
  • Upperbound of 95% confidence interval for alpha
    0.47271
  • Treynor index (mean / b)
    0.23783
  • Jensen alpha (a)
    0.04389
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.53018
  • SD
    0.39964
  • Sharpe ratio (Glass type estimate)
    1.32662
  • Sharpe ratio (Hedges UMVUE)
    1.28079
  • df
    22.00000
  • t
    1.83662
  • p
    0.03991
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.15567
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.78106
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.18463
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.74621
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.90274
  • Upside Potential Ratio
    4.83864
  • Upside part of mean
    0.88376
  • Downside part of mean
    -0.35358
  • Upside SD
    0.37794
  • Downside SD
    0.18265
  • N nonnegative terms
    14.00000
  • N negative terms
    9.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    23.00000
  • Mean of predictor
    0.21072
  • Mean of criterion
    0.53018
  • SD of predictor
    0.12832
  • SD of criterion
    0.39964
  • Covariance
    0.04170
  • r
    0.81316
  • b (slope, estimate of beta)
    2.53254
  • a (intercept, estimate of alpha)
    -0.00348
  • Mean Square Error
    0.05668
  • DF error
    21.00000
  • t(b)
    6.40234
  • p(b)
    0.04709
  • t(a)
    -0.01822
  • p(a)
    0.50253
  • Lowerbound of 95% confidence interval for beta
    1.70992
  • Upperbound of 95% confidence interval for beta
    3.35516
  • Lowerbound of 95% confidence interval for alpha
    -0.40091
  • Upperbound of 95% confidence interval for alpha
    0.39394
  • Treynor index (mean / b)
    0.20935
  • Jensen alpha (a)
    -0.00348
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.13548
  • Expected Shortfall on VaR
    0.17543
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.05660
  • Expected Shortfall on VaR
    0.10578
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    23.00000
  • Minimum
    0.89589
  • Quartile 1
    0.95041
  • Median
    1.05193
  • Quartile 3
    1.12602
  • Maximum
    1.31404
  • Mean of quarter 1
    0.90617
  • Mean of quarter 2
    1.00287
  • Mean of quarter 3
    1.10929
  • Mean of quarter 4
    1.20809
  • Inter Quartile Range
    0.17561
  • 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 for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -24.56880
  • VaR(95%) (moments method)
    0.09486
  • Expected Shortfall (moments method)
    0.09486
  • Extreme Value Index (regression method)
    -3.41412
  • VaR(95%) (regression method)
    0.10505
  • Expected Shortfall (regression method)
    0.10517
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.07129
  • Quartile 1
    0.10482
  • Median
    0.11983
  • Quartile 3
    0.15884
  • Maximum
    0.26434
  • Mean of quarter 1
    0.07129
  • Mean of quarter 2
    0.11600
  • Mean of quarter 3
    0.12367
  • Mean of quarter 4
    0.26434
  • Inter Quartile Range
    0.05402
  • 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
    0.25000
  • Mean of outliers high
    0.26434
  • 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)
    0.99881
  • Compounded annual return (geometric extrapolation)
    0.74732
  • Calmar ratio (compounded annual return / max draw down)
    2.82705
  • Compounded annual return / average of 25% largest draw downs
    2.82705
  • Compounded annual return / Expected Shortfall lognormal
    4.26003
  • 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
    0.53631
  • SD
    0.33201
  • Sharpe ratio (Glass type estimate)
    1.61536
  • Sharpe ratio (Hedges UMVUE)
    1.61301
  • df
    515.00000
  • t
    2.26696
  • p
    0.01190
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.21454
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.01471
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.21294
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.01308
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.41585
  • Upside Potential Ratio
    10.59080
  • Upside part of mean
    2.35112
  • Downside part of mean
    -1.81481
  • Upside SD
    0.24866
  • Downside SD
    0.22200
  • N nonnegative terms
    286.00000
  • N negative terms
    230.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    516.00000
  • Mean of predictor
    0.20269
  • Mean of criterion
    0.53631
  • SD of predictor
    0.12940
  • SD of criterion
    0.33201
  • Covariance
    0.02663
  • r
    0.61990
  • b (slope, estimate of beta)
    1.59053
  • a (intercept, estimate of alpha)
    0.21400
  • Mean Square Error
    0.06800
  • DF error
    514.00000
  • t(b)
    17.91080
  • p(b)
    0.00000
  • t(a)
    1.14594
  • p(a)
    0.12618
  • Lowerbound of 95% confidence interval for beta
    1.41607
  • Upperbound of 95% confidence interval for beta
    1.76499
  • Lowerbound of 95% confidence interval for alpha
    -0.15283
  • Upperbound of 95% confidence interval for alpha
    0.58070
  • Treynor index (mean / b)
    0.33719
  • Jensen alpha (a)
    0.21393
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.48075
  • SD
    0.33214
  • Sharpe ratio (Glass type estimate)
    1.44742
  • Sharpe ratio (Hedges UMVUE)
    1.44532
  • df
    515.00000
  • t
    2.03128
  • p
    0.02137
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.04735
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.84615
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.04592
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.84471
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.12403
  • Upside Potential Ratio
    10.25300
  • Upside part of mean
    2.32066
  • Downside part of mean
    -1.83990
  • Upside SD
    0.24446
  • Downside SD
    0.22634
  • N nonnegative terms
    286.00000
  • N negative terms
    230.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    516.00000
  • Mean of predictor
    0.19423
  • Mean of criterion
    0.48075
  • SD of predictor
    0.12942
  • SD of criterion
    0.33214
  • Covariance
    0.02668
  • r
    0.62074
  • b (slope, estimate of beta)
    1.59308
  • a (intercept, estimate of alpha)
    0.17132
  • Mean Square Error
    0.06794
  • DF error
    514.00000
  • t(b)
    17.94990
  • p(b)
    0.00000
  • t(a)
    0.91845
  • p(a)
    0.17941
  • Lowerbound of 95% confidence interval for beta
    1.41872
  • Upperbound of 95% confidence interval for beta
    1.76744
  • Lowerbound of 95% confidence interval for alpha
    -0.19514
  • Upperbound of 95% confidence interval for alpha
    0.53779
  • Treynor index (mean / b)
    0.30178
  • Jensen alpha (a)
    0.17132
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03141
  • Expected Shortfall on VaR
    0.03966
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01489
  • Expected Shortfall on VaR
    0.02911
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    516.00000
  • Minimum
    0.92295
  • Quartile 1
    0.99019
  • Median
    1.00251
  • Quartile 3
    1.01540
  • Maximum
    1.08089
  • Mean of quarter 1
    0.97630
  • Mean of quarter 2
    0.99650
  • Mean of quarter 3
    1.00835
  • Mean of quarter 4
    1.02747
  • Inter Quartile Range
    0.02521
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.00969
  • Mean of outliers low
    0.93326
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.00775
  • Mean of outliers high
    1.06296
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.08572
  • VaR(95%) (moments method)
    0.02214
  • Expected Shortfall (moments method)
    0.02873
  • Extreme Value Index (regression method)
    -0.04639
  • VaR(95%) (regression method)
    0.02384
  • Expected Shortfall (regression method)
    0.03184
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    32.00000
  • Minimum
    0.00146
  • Quartile 1
    0.01032
  • Median
    0.02670
  • Quartile 3
    0.06767
  • Maximum
    0.28631
  • Mean of quarter 1
    0.00407
  • Mean of quarter 2
    0.01893
  • Mean of quarter 3
    0.04349
  • Mean of quarter 4
    0.16028
  • Inter Quartile Range
    0.05736
  • 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
    0.12500
  • Mean of outliers high
    0.22218
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.62436
  • VaR(95%) (moments method)
    0.16227
  • Expected Shortfall (moments method)
    0.18501
  • Extreme Value Index (regression method)
    -0.44789
  • VaR(95%) (regression method)
    0.19850
  • Expected Shortfall (regression method)
    0.23634
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.87493
  • Compounded annual return (geometric extrapolation)
    0.66306
  • Calmar ratio (compounded annual return / max draw down)
    2.31592
  • Compounded annual return / average of 25% largest draw downs
    4.13688
  • Compounded annual return / Expected Shortfall lognormal
    16.72070
  • 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
    0.50705
  • SD
    0.35313
  • Sharpe ratio (Glass type estimate)
    1.43588
  • Sharpe ratio (Hedges UMVUE)
    1.42758
  • df
    130.00000
  • t
    1.01532
  • p
    0.45565
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.34408
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.21052
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.34965
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.20481
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.04187
  • Upside Potential Ratio
    9.81845
  • Upside part of mean
    2.43819
  • Downside part of mean
    -1.93114
  • Upside SD
    0.25113
  • Downside SD
    0.24833
  • N nonnegative terms
    75.00000
  • N negative terms
    56.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.14585
  • Mean of criterion
    0.50705
  • SD of predictor
    0.14143
  • SD of criterion
    0.35313
  • Covariance
    0.03277
  • r
    0.65613
  • b (slope, estimate of beta)
    1.63829
  • a (intercept, estimate of alpha)
    0.26811
  • Mean Square Error
    0.07157
  • DF error
    129.00000
  • t(b)
    9.87498
  • p(b)
    0.11458
  • t(a)
    0.70722
  • p(a)
    0.46046
  • Lowerbound of 95% confidence interval for beta
    1.31004
  • Upperbound of 95% confidence interval for beta
    1.96653
  • Lowerbound of 95% confidence interval for alpha
    -0.48196
  • Upperbound of 95% confidence interval for alpha
    1.01818
  • Treynor index (mean / b)
    0.30950
  • Jensen alpha (a)
    0.26811
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.44438
  • SD
    0.35463
  • Sharpe ratio (Glass type estimate)
    1.25308
  • Sharpe ratio (Hedges UMVUE)
    1.24584
  • df
    130.00000
  • t
    0.88606
  • p
    0.46126
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.52520
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.02678
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.53010
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.02178
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.74875
  • Upside Potential Ratio
    9.47262
  • Upside part of mean
    2.40710
  • Downside part of mean
    -1.96272
  • Upside SD
    0.24694
  • Downside SD
    0.25411
  • N nonnegative terms
    75.00000
  • N negative terms
    56.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.13584
  • Mean of criterion
    0.44438
  • SD of predictor
    0.14178
  • SD of criterion
    0.35463
  • Covariance
    0.03311
  • r
    0.65852
  • b (slope, estimate of beta)
    1.64715
  • a (intercept, estimate of alpha)
    0.22063
  • Mean Square Error
    0.07178
  • DF error
    129.00000
  • t(b)
    9.93861
  • p(b)
    0.11343
  • t(a)
    0.58129
  • p(a)
    0.46747
  • VAR (95 Confidence Intrvl)
    0.03100
  • Lowerbound of 95% confidence interval for beta
    1.31925
  • Upperbound of 95% confidence interval for beta
    1.97506
  • Lowerbound of 95% confidence interval for alpha
    -0.53032
  • Upperbound of 95% confidence interval for alpha
    0.97158
  • Treynor index (mean / b)
    0.26978
  • Jensen alpha (a)
    0.22063
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03376
  • Expected Shortfall on VaR
    0.04253
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01532
  • Expected Shortfall on VaR
    0.03094
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.92652
  • Quartile 1
    0.99113
  • Median
    1.00335
  • Quartile 3
    1.01577
  • Maximum
    1.05884
  • Mean of quarter 1
    0.97416
  • Mean of quarter 2
    0.99726
  • Mean of quarter 3
    1.00975
  • Mean of quarter 4
    1.02723
  • Inter Quartile Range
    0.02464
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.02290
  • Mean of outliers low
    0.93409
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.01527
  • Mean of outliers high
    1.05833
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.09857
  • VaR(95%) (moments method)
    0.02265
  • Expected Shortfall (moments method)
    0.02980
  • Extreme Value Index (regression method)
    -0.17106
  • VaR(95%) (regression method)
    0.02706
  • Expected Shortfall (regression method)
    0.03530
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.00290
  • Quartile 1
    0.01275
  • Median
    0.02370
  • Quartile 3
    0.06101
  • Maximum
    0.24829
  • Mean of quarter 1
    0.00685
  • Mean of quarter 2
    0.01655
  • Mean of quarter 3
    0.03776
  • Mean of quarter 4
    0.14786
  • Inter Quartile Range
    0.04826
  • 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
    0.10000
  • Mean of outliers high
    0.24829
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -3.19252
  • VaR(95%) (moments method)
    0.15151
  • Expected Shortfall (moments method)
    0.15230
  • Extreme Value Index (regression method)
    -0.09053
  • VaR(95%) (regression method)
    0.27264
  • Last 4 Months - Pcnt Negative
    0.25%
  • Expected Shortfall (regression method)
    0.37599
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -390168000
  • Max Equity Drawdown (num days)
    20
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.53271
  • Compounded annual return (geometric extrapolation)
    0.60365
  • Calmar ratio (compounded annual return / max draw down)
    2.43122
  • Compounded annual return / average of 25% largest draw downs
    4.08253
  • Compounded annual return / Expected Shortfall lognormal
    14.19300

Strategy Description

Strategy 27 is a long-only stock portfolio compatible with IRA. This strategy does not day trade, in fact, the hold period can be many months enabling you to capture Long Term Capital Gains that are taxed at much lower rates than ordinary income tax rates. New positions are opened only during the last hour of the market. Stocks in the portfolio are a minimum 1B market cap (usually a lot more) and are highly liquid.

New Subscribers: It is advised that only selective positions be synchronized at the beginning of the subscription, specifically those that are recently opened, currently negative, or showing minimal profit, to minimize potential drawdowns. Recognizing that the strategy may take time to yield returns, a 50% discount is provided for the first six months of subscription. Should the returns (P/L) remain negative after this period, an extension of the discount can be requested.

Realized Long Term Capital Gains
MSFT: Held for 514 days, opened at $252.89, closed at $389.33, with a gain of 53.95%.
AMZN: Held for 456 days, opened at $103.528, closed at $166.15, with a gain of 60.49%.
UBER: Held for 558 days, opened at $29.44, closed at $64.45, with a gain of 118.92%.
CRWD: Held for 381 days, opened at $142.59, closed at $283.16, with a gain of 98.58%.
NOW: Held for 393 days, opened at $445.25, closed at $680.85, with a gain of 52.91%.
INTU: Held for 432 days, opened at $428.33, closed at $586.59, with a gain of 36.95%.
STLA: Held for 484 days, opened at $14.6, closed at $21.71, with a gain of 48.70%.

Subscription Rate Policy: This strategy is new and for pricing fairness, the will rate start at $10 in January 2023 and will increase (or decrease) based on model account performance. This helps the strategy build its credibility over time while providing discounted rates when the market is underperforming. The rate change will be reflected in the first week of the month. $10 will be added for each month that closes green. $5 will be reduced for each month that closes red.

01/23: $10
02/23: $20
03/23: $15
04/23: $25
05/23: $20
06/23: $30
07/23: $40
08/23: $50
09/23: $45
10/23: $40
11/23: $35
12/23: $45
01/24: $55
02/24: $50
03/24: $60
04/24: $70
05/24: $65
06/24: $75
07/24: $85
11/24: $99 (Final)
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2022-12-27
Suggested Minimum Capital
$15,000
Rank at C2 %
Top 1.4%
Rank # 
#10
# Trades
154
# Profitable
93
% Profitable
60.4%
Net Dividends
$1,769
Correlation S&P500
0.618
Sharpe Ratio
1.30
Sortino Ratio
1.95
Beta
1.62
Alpha
0.05
Leverage
1.16 Average
1.84 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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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.