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C2Star Strategy Bright Alpha Predictive C2Star: in evaluation 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 09/28/2023
Most recent certification approved 9/28/23 9:30 ET
Trades at broker Interactive Brokers (Stocks, Options, Futures)
Scaling percentage used 100%
# trading signals issued by system since certification 3,449
# trading signals executed in manager's Interactive Brokers (Stocks, Options, Futures) account 3,449
Percent signals followed since 09/28/2023 100%
This information was last updated 5/1/25 11:35 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 09/28/2023, 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.

Steady MAKE money
(145879204)

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Read important disclosures.

Created by: RayHsieh RayHsieh
Started: 09/2023
Stocks
Last trade: 3 days ago
Trading style: Equity Trend-following

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 $100.00 per month.

C2Star

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

You can read more about C2Star certification requirements here.

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

Trading Category: Equity
Trend-following
Category: Equity

Trend-following

Tries to take advantage of long, medium or short-term moves that seem to play out in various markets. Typically, trend-following analysis is backward looking; that is, it attempts to recognize and profit from already-established trends.
20.0%
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.

(54.8%)
Max Drawdown
1528
Num Trades
59.9%
Win Trades
1.1 : 1
Profit Factor
66.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2023                                                        +3.1%(5.4%)+21.4%+9.5%+29.7%
2024+8.2%+20.8%+10.0%(18.2%)+15.9%+8.4%(8.7%)(1.8%)+1.1%(6.1%)+5.9%+8.8%+45.1%
2025+17.8%(19.3%)(28.7%)+5.0%+0.3%                                          (28.6%)

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 72 hours.

Trading Record

This strategy has placed 3,449 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
4/22/25 19:57 GEV GE VERNOVA INC LONG 111 346.88 4/28 9:37 371.45 0.9%
Trade id #151491702
Max drawdown($1,062)
Time4/24/25 0:00
Quant open111
Worst price337.31
Drawdown as % of equity-0.90%
 $2,725
Includes Typical Broker Commissions trade costs of $2.22
4/24/25 15:11 APP APPLOVIN CORPORATION CLASS A LONG 150 270.11 4/28 9:34 277.49 0.43%
Trade id #151518483
Max drawdown($540)
Time4/25/25 0:00
Quant open150
Worst price266.50
Drawdown as % of equity-0.43%
 $1,104
Includes Typical Broker Commissions trade costs of $3.00
4/25/25 9:35 PLTR PALANTIR TECHNOLOGIES INC. CLASS A LONG 368 107.77 4/28 9:33 113.05 0.25%
Trade id #151527608
Max drawdown($307)
Time4/25/25 9:41
Quant open368
Worst price106.94
Drawdown as % of equity-0.25%
 $1,936
Includes Typical Broker Commissions trade costs of $7.36
4/24/25 9:57 NVDA NVIDIA LONG 270 104.91 4/28 9:30 109.81 0.04%
Trade id #151514084
Max drawdown($50)
Time4/24/25 10:03
Quant open170
Worst price104.46
Drawdown as % of equity-0.04%
 $1,318
Includes Typical Broker Commissions trade costs of $5.40
4/17/25 12:00 LMT LOCKHEED MARTIN LONG 90 464.07 4/28 9:30 479.10 1.02%
Trade id #151443579
Max drawdown($1,148)
Time4/22/25 0:00
Quant open50
Worst price442.35
Drawdown as % of equity-1.02%
 $1,352
Includes Typical Broker Commissions trade costs of $1.80
4/1/25 12:56 SPOT SPOTIFY TECHNOLOGY SA LONG 84 572.06 4/28 9:30 605.02 1.35%
Trade id #151249492
Max drawdown($1,610)
Time4/4/25 0:00
Quant open30
Worst price495.19
Drawdown as % of equity-1.35%
 $2,766
Includes Typical Broker Commissions trade costs of $1.68
4/24/25 14:18 PLTR PALANTIR TECHNOLOGIES INC. CLASS A SHORT 32 107.33 4/25 9:35 107.92 0.03%
Trade id #151518119
Max drawdown($33)
Time4/25/25 9:30
Quant open32
Worst price108.37
Drawdown as % of equity-0.03%
 ($20)
Includes Typical Broker Commissions trade costs of $0.64
4/24/25 14:09 PLTR PALANTIR TECHNOLOGIES INC. CLASS A LONG 268 107.34 4/24 14:18 107.33 0.01%
Trade id #151518082
Max drawdown($15)
Time4/24/25 14:12
Quant open268
Worst price107.28
Drawdown as % of equity-0.01%
 ($6)
Includes Typical Broker Commissions trade costs of $5.36
4/24/25 13:44 PLTR PALANTIR TECHNOLOGIES INC. CLASS A SHORT 32 106.16 4/24 14:09 107.34 0.03%
Trade id #151517893
Max drawdown($40)
Time4/24/25 14:09
Quant open32
Worst price107.42
Drawdown as % of equity-0.03%
 ($39)
Includes Typical Broker Commissions trade costs of $0.64
4/24/25 9:55 APP APPLOVIN CORPORATION CLASS A LONG 150 262.03 4/24 13:46 269.27 n/a $1,082
Includes Typical Broker Commissions trade costs of $3.00
4/24/25 11:54 PLTR PALANTIR TECHNOLOGIES INC. CLASS A LONG 468 105.17 4/24 13:44 106.16 0.14%
Trade id #151516555
Max drawdown($170)
Time4/24/25 12:07
Quant open468
Worst price104.81
Drawdown as % of equity-0.14%
 $453
Includes Typical Broker Commissions trade costs of $9.36
4/24/25 11:19 PLTR PALANTIR TECHNOLOGIES INC. CLASS A SHORT 32 104.84 4/24 11:54 105.18 0.01%
Trade id #151515442
Max drawdown($11)
Time4/24/25 11:52
Quant open32
Worst price105.20
Drawdown as % of equity-0.01%
 ($12)
Includes Typical Broker Commissions trade costs of $0.64
4/21/25 19:56 PLTR PALANTIR TECHNOLOGIES INC. CLASS A LONG 400 95.31 4/24 11:19 104.84 0.12%
Trade id #151476914
Max drawdown($139)
Time4/22/25 0:00
Quant open200
Worst price91.35
Drawdown as % of equity-0.12%
 $3,806
Includes Typical Broker Commissions trade costs of $8.00
4/24/25 10:14 SOXX ISHARES SEMICONDUCTOR ETF LONG 130 180.53 4/24 11:17 181.33 0.06%
Trade id #151514399
Max drawdown($74)
Time4/24/25 10:48
Quant open130
Worst price179.96
Drawdown as % of equity-0.06%
 $101
Includes Typical Broker Commissions trade costs of $2.60
4/22/25 9:54 APP APPLOVIN CORPORATION CLASS A LONG 150 236.10 4/23 19:43 253.20 0.38%
Trade id #151483117
Max drawdown($429)
Time4/22/25 13:58
Quant open150
Worst price233.24
Drawdown as % of equity-0.38%
 $2,562
Includes Typical Broker Commissions trade costs of $3.00
4/22/25 9:59 SOXX ISHARES SEMICONDUCTOR ETF LONG 200 166.79 4/23 13:43 174.97 0.36%
Trade id #151483202
Max drawdown($412)
Time4/22/25 15:39
Quant open200
Worst price164.73
Drawdown as % of equity-0.36%
 $1,631
Includes Typical Broker Commissions trade costs of $4.00
4/21/25 11:47 UVXY PROSHARES ULTRA VIX SHORT-TERM LONG 500 38.92 4/21 19:45 37.79 0.33%
Trade id #151471910
Max drawdown($372)
Time4/21/25 12:41
Quant open400
Worst price38.11
Drawdown as % of equity-0.33%
 ($578)
Includes Typical Broker Commissions trade costs of $10.00
4/17/25 11:16 NVDA NVIDIA LONG 300 100.89 4/21 15:38 96.10 1.56%
Trade id #151442239
Max drawdown($1,756)
Time4/21/25 14:02
Quant open300
Worst price95.04
Drawdown as % of equity-1.56%
 ($1,445)
Includes Typical Broker Commissions trade costs of $6.00
4/15/25 19:58 UVXY PROSHARES ULTRA VIX SHORT-TERM LONG 1,700 35.41 4/17 14:13 35.62 0.68%
Trade id #151417254
Max drawdown($877)
Time4/16/25 0:00
Quant open500
Worst price33.29
Drawdown as % of equity-0.68%
 $323
Includes Typical Broker Commissions trade costs of $29.68
4/9/25 13:42 DIA SPDR DOW JONES INDUSTRIAL AVER LONG 100 396.67 4/17 10:39 389.78 0.87%
Trade id #151341531
Max drawdown($1,236)
Time4/10/25 0:00
Quant open100
Worst price384.31
Drawdown as % of equity-0.87%
 ($691)
Includes Typical Broker Commissions trade costs of $2.00
4/9/25 14:11 APP APPLOVIN CORPORATION CLASS A LONG 170 265.96 4/17 10:21 228.33 5.45%
Trade id #151342123
Max drawdown($7,065)
Time4/16/25 0:00
Quant open170
Worst price224.40
Drawdown as % of equity-5.45%
 ($6,400)
Includes Typical Broker Commissions trade costs of $3.40
4/9/25 13:31 NVDA NVIDIA LONG 500 107.62 4/17 9:46 102.05 2.96%
Trade id #151341225
Max drawdown($4,234)
Time4/10/25 0:00
Quant open500
Worst price99.15
Drawdown as % of equity-2.96%
 ($2,793)
Includes Typical Broker Commissions trade costs of $10.00
4/9/25 13:23 META META PLATFORMS INC. CLASS A LONG 80 539.06 4/17 9:39 501.21 2.68%
Trade id #151340326
Max drawdown($3,474)
Time4/16/25 0:00
Quant open80
Worst price495.63
Drawdown as % of equity-2.68%
 ($3,030)
Includes Typical Broker Commissions trade costs of $1.60
4/11/25 13:31 QQQ POWERSHARES QQQ LONG 70 449.42 4/16 14:40 441.75 0.47%
Trade id #151376078
Max drawdown($560)
Time4/16/25 14:39
Quant open70
Worst price441.41
Drawdown as % of equity-0.47%
 ($538)
Includes Typical Broker Commissions trade costs of $1.40
4/9/25 13:24 DXYZ DESTINY TECH100 INC LONG 1,000 28.23 4/16 10:24 30.97 0.3%
Trade id #151340386
Max drawdown($430)
Time4/10/25 0:00
Quant open1,000
Worst price27.80
Drawdown as % of equity-0.30%
 $2,729
Includes Typical Broker Commissions trade costs of $5.00
4/9/25 13:06 SOXX ISHARES SEMICONDUCTOR ETF LONG 250 162.94 4/16 9:46 168.29 0.42%
Trade id #151339946
Max drawdown($516)
Time4/9/25 13:18
Quant open200
Worst price158.11
Drawdown as % of equity-0.42%
 $1,332
Includes Typical Broker Commissions trade costs of $5.00
4/9/25 14:30 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 500 38.14 4/16 9:45 35.90 2.13%
Trade id #151342356
Max drawdown($3,044)
Time4/10/25 0:00
Quant open500
Worst price32.05
Drawdown as % of equity-2.13%
 ($1,134)
Includes Typical Broker Commissions trade costs of $10.00
4/15/25 10:18 UVXY PROSHARES ULTRA VIX SHORT-TERM LONG 1,000 33.16 4/15 14:29 32.56 1.4%
Trade id #151410039
Max drawdown($1,837)
Time4/15/25 12:06
Quant open1,000
Worst price31.32
Drawdown as % of equity-1.40%
 ($622)
Includes Typical Broker Commissions trade costs of $20.00
4/14/25 11:28 UVXY PROSHARES ULTRA VIX SHORT-TERM LONG 1,000 35.86 4/14 12:01 38.17 0.19%
Trade id #151396440
Max drawdown($250)
Time4/14/25 11:35
Quant open1,000
Worst price35.60
Drawdown as % of equity-0.19%
 $2,307
Includes Typical Broker Commissions trade costs of $8.00
4/14/25 10:47 UVXY PROSHARES ULTRA VIX SHORT-TERM LONG 500 34.71 4/14 11:08 35.39 0.25%
Trade id #151395687
Max drawdown($315)
Time4/14/25 10:51
Quant open500
Worst price34.08
Drawdown as % of equity-0.25%
 $330
Includes Typical Broker Commissions trade costs of $10.00
Next

Statistics

  • Strategy began
    9/20/2023
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    589
  • Age
    20 months ago
  • What it trades
    Stocks
  • # Trades
    1528
  • # Profitable
    916
  • % Profitable
    59.90%
  • Avg trade duration
    5.8 days
  • Max peak-to-valley drawdown
    54.83%
  • drawdown period
    Feb 06, 2025 - April 07, 2025
  • Annual Return (Compounded)
    20.0%
  • Avg win
    $557.90
  • Avg loss
    $776.25
  • Model Account Values (Raw)
  • Cash
    $26,268
  • Margin Used
    ($97,386)
  • Buying Power
    $122,195
  • Ratios
  • W:L ratio
    1.09:1
  • Sharpe Ratio
    0.48
  • Sortino Ratio
    0.63
  • Calmar Ratio
    0.458
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    6.08%
  • Correlation to SP500
    0.57520
  • Return Percent SP500 (cumu) during strategy life
    26.51%
  • Return Statistics
  • Ann Return (w trading costs)
    20.0%
  • Slump
  • Current Slump as Pcnt Equity
    82.10%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.14%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.200%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    23.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    83.50%
  • Chance of 20% account loss
    71.50%
  • Chance of 30% account loss
    46.50%
  • Chance of 40% account loss
    29.00%
  • Chance of 60% account loss (Monte Carlo)
    3.00%
  • Chance of 70% account loss (Monte Carlo)
    0.50%
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 100% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    16.50%
  • Popularity
  • Popularity (Today)
    697
  • Popularity (Last 6 weeks)
    928
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    498
  • Popularity (7 days, Percentile 1000 scale)
    806
  • Trades-Own-System Certification
  • Trades Own System?
    Yes
  • TOS percent
    100%
  • Win / Loss
  • Avg Loss
    $776
  • Avg Win
    $558
  • Sum Trade PL (losers)
    $475,064.000
  • Age
  • Num Months filled monthly returns table
    21
  • Win / Loss
  • Sum Trade PL (winners)
    $511,038.000
  • # Winners
    916
  • Num Months Winners
    14
  • Dividends
  • Dividends Received in Model Acct
    4825
  • AUM
  • AUM (AutoTrader live capital)
    391908
  • Win / Loss
  • # Losers
    612
  • % Winners
    60.0%
  • Frequency
  • Avg Position Time (mins)
    8416.50
  • Avg Position Time (hrs)
    140.28
  • Avg Trade Length
    5.8 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    2.68
  • Daily leverage (max)
    4.18
  • Regression
  • Alpha
    0.01
  • Beta
    1.83
  • Treynor Index
    0.05
  • 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)
    -0.15
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    -49.441
  • 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
    0.476
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.378
  • Hold-and-Hope Ratio
    -0.022
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.31099
  • SD
    0.43681
  • Sharpe ratio (Glass type estimate)
    0.71196
  • Sharpe ratio (Hedges UMVUE)
    0.68180
  • df
    18.00000
  • t
    0.89586
  • p
    0.39670
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.87229
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.27703
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.89166
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.25526
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.10129
  • Upside Potential Ratio
    2.64189
  • Upside part of mean
    0.74604
  • Downside part of mean
    -0.43505
  • Upside SD
    0.33027
  • Downside SD
    0.28239
  • N nonnegative terms
    11.00000
  • N negative terms
    8.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    19.00000
  • Mean of predictor
    0.15492
  • Mean of criterion
    0.31099
  • SD of predictor
    0.11672
  • SD of criterion
    0.43681
  • Covariance
    0.03553
  • r
    0.69685
  • b (slope, estimate of beta)
    2.60776
  • a (intercept, estimate of alpha)
    -0.09300
  • Mean Square Error
    0.10393
  • DF error
    17.00000
  • t(b)
    4.00600
  • p(b)
    0.09550
  • t(a)
    -0.33779
  • p(a)
    0.55192
  • Lowerbound of 95% confidence interval for beta
    1.23435
  • Upperbound of 95% confidence interval for beta
    3.98118
  • Lowerbound of 95% confidence interval for alpha
    -0.67390
  • Upperbound of 95% confidence interval for alpha
    0.48789
  • Treynor index (mean / b)
    0.11926
  • Jensen alpha (a)
    -0.09300
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.21377
  • SD
    0.45412
  • Sharpe ratio (Glass type estimate)
    0.47073
  • Sharpe ratio (Hedges UMVUE)
    0.45079
  • df
    18.00000
  • t
    0.59232
  • p
    0.43086
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.10077
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.02939
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.11378
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.01535
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.65603
  • Upside Potential Ratio
    2.13906
  • Upside part of mean
    0.69701
  • Downside part of mean
    -0.48325
  • Upside SD
    0.30496
  • Downside SD
    0.32585
  • N nonnegative terms
    11.00000
  • N negative terms
    8.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    19.00000
  • Mean of predictor
    0.14756
  • Mean of criterion
    0.21377
  • SD of predictor
    0.11626
  • SD of criterion
    0.45412
  • Covariance
    0.03794
  • r
    0.71859
  • b (slope, estimate of beta)
    2.80680
  • a (intercept, estimate of alpha)
    -0.20042
  • Mean Square Error
    0.10561
  • DF error
    17.00000
  • t(b)
    4.26034
  • p(b)
    0.08572
  • t(a)
    -0.72627
  • p(a)
    0.60988
  • Lowerbound of 95% confidence interval for beta
    1.41681
  • Upperbound of 95% confidence interval for beta
    4.19679
  • Lowerbound of 95% confidence interval for alpha
    -0.78262
  • Upperbound of 95% confidence interval for alpha
    0.38179
  • Treynor index (mean / b)
    0.07616
  • Jensen alpha (a)
    -0.20042
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.17948
  • Expected Shortfall on VaR
    0.22232
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.07387
  • Expected Shortfall on VaR
    0.15477
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    19.00000
  • Minimum
    0.69976
  • Quartile 1
    0.96905
  • Median
    1.04433
  • Quartile 3
    1.11764
  • Maximum
    1.24395
  • Mean of quarter 1
    0.87145
  • Mean of quarter 2
    1.00210
  • Mean of quarter 3
    1.07267
  • Mean of quarter 4
    1.16680
  • Inter Quartile Range
    0.14859
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.05263
  • Mean of outliers low
    0.69976
  • 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)
    -1.58362
  • VaR(95%) (moments method)
    0.10060
  • Expected Shortfall (moments method)
    0.10531
  • Extreme Value Index (regression method)
    0.42727
  • VaR(95%) (regression method)
    0.18243
  • Expected Shortfall (regression method)
    0.40584
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.11309
  • Quartile 1
    0.12662
  • Median
    0.14015
  • Quartile 3
    0.25611
  • Maximum
    0.37208
  • Mean of quarter 1
    0.11309
  • Mean of quarter 2
    0.14015
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.37208
  • Inter Quartile Range
    0.12949
  • 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)
    0.25439
  • Compounded annual return (geometric extrapolation)
    0.23833
  • Calmar ratio (compounded annual return / max draw down)
    0.64055
  • Compounded annual return / average of 25% largest draw downs
    0.64055
  • Compounded annual return / Expected Shortfall lognormal
    1.07205
  • 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
    0.35826
  • SD
    0.53475
  • Sharpe ratio (Glass type estimate)
    0.66996
  • Sharpe ratio (Hedges UMVUE)
    0.66875
  • df
    416.00000
  • t
    0.84521
  • p
    0.19924
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.88466
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.22382
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.88548
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.22298
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.89536
  • Upside Potential Ratio
    8.03447
  • Upside part of mean
    3.21482
  • Downside part of mean
    -2.85656
  • Upside SD
    0.35448
  • Downside SD
    0.40013
  • N nonnegative terms
    232.00000
  • N negative terms
    185.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    417.00000
  • Mean of predictor
    0.17151
  • Mean of criterion
    0.35826
  • SD of predictor
    0.17057
  • SD of criterion
    0.53475
  • Covariance
    0.05202
  • r
    0.57031
  • b (slope, estimate of beta)
    1.78793
  • a (intercept, estimate of alpha)
    0.05200
  • Mean Square Error
    0.19342
  • DF error
    415.00000
  • t(b)
    14.14360
  • p(b)
    -0.00000
  • t(a)
    0.14779
  • p(a)
    0.44129
  • Lowerbound of 95% confidence interval for beta
    1.53944
  • Upperbound of 95% confidence interval for beta
    2.03642
  • Lowerbound of 95% confidence interval for alpha
    -0.63495
  • Upperbound of 95% confidence interval for alpha
    0.73819
  • Treynor index (mean / b)
    0.20038
  • Jensen alpha (a)
    0.05162
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.21255
  • SD
    0.54329
  • Sharpe ratio (Glass type estimate)
    0.39122
  • Sharpe ratio (Hedges UMVUE)
    0.39052
  • df
    416.00000
  • t
    0.49356
  • p
    0.31094
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.16280
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.94479
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.16328
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.94431
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.50769
  • Upside Potential Ratio
    7.53397
  • Upside part of mean
    3.15411
  • Downside part of mean
    -2.94156
  • Upside SD
    0.34548
  • Downside SD
    0.41865
  • N nonnegative terms
    232.00000
  • N negative terms
    185.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    417.00000
  • Mean of predictor
    0.15702
  • Mean of criterion
    0.21255
  • SD of predictor
    0.16995
  • SD of criterion
    0.54329
  • Covariance
    0.05287
  • r
    0.57255
  • b (slope, estimate of beta)
    1.83024
  • a (intercept, estimate of alpha)
    -0.07483
  • Mean Square Error
    0.19888
  • DF error
    415.00000
  • t(b)
    14.22620
  • p(b)
    -0.00000
  • t(a)
    -0.21135
  • p(a)
    0.58364
  • Lowerbound of 95% confidence interval for beta
    1.57734
  • Upperbound of 95% confidence interval for beta
    2.08313
  • Lowerbound of 95% confidence interval for alpha
    -0.77082
  • Upperbound of 95% confidence interval for alpha
    0.62116
  • Treynor index (mean / b)
    0.11613
  • Jensen alpha (a)
    -0.07483
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05294
  • Expected Shortfall on VaR
    0.06606
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02299
  • Expected Shortfall on VaR
    0.04795
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    417.00000
  • Minimum
    0.82666
  • Quartile 1
    0.98711
  • Median
    1.00314
  • Quartile 3
    1.01874
  • Maximum
    1.10214
  • Mean of quarter 1
    0.96026
  • Mean of quarter 2
    0.99671
  • Mean of quarter 3
    1.01040
  • Mean of quarter 4
    1.03850
  • Inter Quartile Range
    0.03163
  • Number outliers low
    20.00000
  • Percentage of outliers low
    0.04796
  • Mean of outliers low
    0.91121
  • Number of outliers high
    8.00000
  • Percentage of outliers high
    0.01918
  • Mean of outliers high
    1.08114
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.22353
  • VaR(95%) (moments method)
    0.03621
  • Expected Shortfall (moments method)
    0.05845
  • Extreme Value Index (regression method)
    0.08039
  • VaR(95%) (regression method)
    0.03702
  • Expected Shortfall (regression method)
    0.05435
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    21.00000
  • Minimum
    0.00118
  • Quartile 1
    0.00646
  • Median
    0.03365
  • Quartile 3
    0.08015
  • Maximum
    0.51714
  • Mean of quarter 1
    0.00372
  • Mean of quarter 2
    0.01855
  • Mean of quarter 3
    0.05812
  • Mean of quarter 4
    0.27772
  • Inter Quartile Range
    0.07369
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.09524
  • Mean of outliers high
    0.43692
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -1.14757
  • VaR(95%) (moments method)
    0.22060
  • Expected Shortfall (moments method)
    0.23563
  • Extreme Value Index (regression method)
    0.04775
  • VaR(95%) (regression method)
    0.31062
  • Expected Shortfall (regression method)
    0.45914
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.25292
  • Compounded annual return (geometric extrapolation)
    0.23682
  • Calmar ratio (compounded annual return / max draw down)
    0.45795
  • Compounded annual return / average of 25% largest draw downs
    0.85274
  • Compounded annual return / Expected Shortfall lognormal
    3.58488
  • 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
    -0.36657
  • SD
    0.72613
  • Sharpe ratio (Glass type estimate)
    -0.50483
  • Sharpe ratio (Hedges UMVUE)
    -0.50191
  • df
    130.00000
  • t
    -0.35697
  • p
    0.51565
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.27635
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.26862
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.27439
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.27056
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.65851
  • Upside Potential Ratio
    7.70080
  • Upside part of mean
    4.28682
  • Downside part of mean
    -4.65339
  • Upside SD
    0.46247
  • Downside SD
    0.55667
  • N nonnegative terms
    67.00000
  • N negative terms
    64.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.03090
  • Mean of criterion
    -0.36657
  • SD of predictor
    0.24235
  • SD of criterion
    0.72613
  • Covariance
    0.09081
  • r
    0.51603
  • b (slope, estimate of beta)
    1.54613
  • a (intercept, estimate of alpha)
    -0.31881
  • Mean Square Error
    0.38987
  • DF error
    129.00000
  • t(b)
    6.84235
  • p(b)
    0.18671
  • t(a)
    -0.36103
  • p(a)
    0.52022
  • Lowerbound of 95% confidence interval for beta
    1.09905
  • Upperbound of 95% confidence interval for beta
    1.99320
  • Lowerbound of 95% confidence interval for alpha
    -2.06594
  • Upperbound of 95% confidence interval for alpha
    1.42833
  • Treynor index (mean / b)
    -0.23709
  • Jensen alpha (a)
    -0.31881
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.63488
  • SD
    0.73925
  • Sharpe ratio (Glass type estimate)
    -0.85881
  • Sharpe ratio (Hedges UMVUE)
    -0.85385
  • df
    130.00000
  • t
    -0.60727
  • p
    0.52659
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.63101
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.91653
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.62759
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.91990
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.08502
  • Upside Potential Ratio
    7.15062
  • Upside part of mean
    4.18406
  • Downside part of mean
    -4.81894
  • Upside SD
    0.44887
  • Downside SD
    0.58513
  • N nonnegative terms
    67.00000
  • N negative terms
    64.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.05978
  • Mean of criterion
    -0.63488
  • SD of predictor
    0.24079
  • SD of criterion
    0.73925
  • Covariance
    0.09238
  • r
    0.51899
  • b (slope, estimate of beta)
    1.59333
  • a (intercept, estimate of alpha)
    -0.53962
  • Mean Square Error
    0.40239
  • DF error
    129.00000
  • t(b)
    6.89601
  • p(b)
    0.18510
  • t(a)
    -0.60145
  • p(a)
    0.53365
  • VAR (95 Confidence Intrvl)
    0.05300
  • Lowerbound of 95% confidence interval for beta
    1.13619
  • Upperbound of 95% confidence interval for beta
    2.05047
  • Lowerbound of 95% confidence interval for alpha
    -2.31476
  • Upperbound of 95% confidence interval for alpha
    1.23552
  • Treynor index (mean / b)
    -0.39846
  • Jensen alpha (a)
    -0.53962
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07462
  • Expected Shortfall on VaR
    0.09198
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.04054
  • Expected Shortfall on VaR
    0.07722
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.82666
  • Quartile 1
    0.97208
  • Median
    1.00051
  • Quartile 3
    1.02867
  • Maximum
    1.10214
  • Mean of quarter 1
    0.94130
  • Mean of quarter 2
    0.98821
  • Mean of quarter 3
    1.01399
  • Mean of quarter 4
    1.05136
  • Inter Quartile Range
    0.05660
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.01527
  • Mean of outliers low
    0.85586
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.22493
  • VaR(95%) (moments method)
    0.06203
  • Expected Shortfall (moments method)
    0.09493
  • Extreme Value Index (regression method)
    0.18289
  • VaR(95%) (regression method)
    0.05633
  • Expected Shortfall (regression method)
    0.08120
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.14256
  • Quartile 1
    0.14332
  • Median
    0.15488
  • Quartile 3
    0.25392
  • Maximum
    0.51714
  • Mean of quarter 1
    0.14256
  • Mean of quarter 2
    0.14358
  • Mean of quarter 3
    0.16618
  • Mean of quarter 4
    0.51714
  • Inter Quartile Range
    0.11059
  • 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
    0.51714
  • 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
    0.50%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -350150000
  • Max Equity Drawdown (num days)
    60
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.54398
  • Compounded annual return (geometric extrapolation)
    -0.47000
  • Calmar ratio (compounded annual return / max draw down)
    -0.90885
  • Compounded annual return / average of 25% largest draw downs
    -0.90885
  • Compounded annual return / Expected Shortfall lognormal
    -5.10990

Strategy Description

As a data analyst with nine years of experience, I deeply understand that formulating a successful trading strategy is not possible without thorough stock screening, monitoring market trends, implementing technical analysis strategies, continuous backtesting of data, and analyzing backtest results.
Fortunately, my background in knowledge supports me through the entire process, and I've successfully implemented fully automated trading. This includes automated data feeding, automated calculations, and the automatic generation of trading signals according to predefined strategies. Most importantly, I use it on my own money in my Interactive Brokers account. In this age where data can easily be manipulated, you may find it reassuring to know that there are individuals who use the system for real trading in their own accounts. The fluctuations on my statements represent my actual investments, with no exaggerations or false claims of profits. My automated trading strategy strives to exit positions when stock prices reach relative highs and enter when they are relatively low, eliminating emotional trading. Ultimately, this approach allows for stability and the realization of deserved profits in the market. It's that simple!
I maintain a disciplined routine of checking the market every hour while trading, making necessary adjustments, and potentially entering or exiting positions. I also personally monitor the connection of my automated trading system to Interactive Brokers to prevent any unnecessary losses. You're welcome to replicate my trades now and join me in experiencing stable growth in the market for your assets!
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2023-09-20
Suggested Minimum Capital
$35,000
# Trades
1528
# Profitable
916
% Profitable
59.9%
Net Dividends
$4,824
Correlation S&P500
0.575
Sharpe Ratio
0.48
Sortino Ratio
0.63
Beta
1.83
Alpha
0.01
Leverage
2.68 Average
4.18 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

Collective2 calculates the maximum leverage used by a strategy in each day. We then display the average of these measurements (i.e. the average daily maximum leverage) and the greatest of these measurements (maximum daily leverage).

Leverage is the ratio of total notional value controlled by a strategy divided by its Model Account equity. Generally higher leverage implies greater risk.

Example of calculation:
The Strategy buys 100 shares of stock at $12 per share.
The Model Account equity during that day is $5,000.
The leverage is: $1200 / $5,000 = 0.24

This is a useful measurement, but it should be considered in context. This measurement doesn't take into account important factors, such as when multiple positions are held that are inversely correlated. Nor does the measurement take into account the volatility of the instruments being held.

In addition, certain asset classes are inherently more leveraged than others. For example, futures contracts are highly leveraged. Forex positions are often even more leveraged than futures.

Latest Activity

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subscribed on started simulation #SUBSCRIBEDDATE#

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

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

Material assumptions and methods used when calculating results

The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.

  • Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
  • Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been re-scaled downward to make current go-forward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
  • All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any per-trade AutoTrade fees, plus estimated broker commissions if any.
  • "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.

Trading is risky

There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.

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Suggested Minimum Capital

This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.