Collective2 Collective2
Featured Strategy Income Trades +20.1% Cumul. Return since Feb 16, 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 05/11/2023
Most recent certification approved 5/11/23 11:33 ET
Trades at broker Israel Interactive Trading
Scaling percentage used 100%
# trading signals issued by system since certification 205
# trading signals executed in manager's Israel Interactive Trading account 205
Percent signals followed since 05/11/2023 100%
This information was last updated 11/23/24 21:32 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 05/11/2023, 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.

AELong
(144585915)

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Read important disclosures.

Created by: EliAizen EliAizen
Started: 05/2023
Stocks
Last trade: 2 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 $38.00 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."
22.8%
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.

(13.7%)
Max Drawdown
104
Num Trades
63.5%
Win Trades
2.8 : 1
Profit Factor
63.2%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2023                            +1.0%+6.1%+4.4%(3.8%)(4.9%)(4.2%)+8.1%+7.1%+13.4%
2024(3.4%)+3.5%+3.6%(3.1%)+7.4%(0.7%)+0.9%(0.2%)+1.4%+1.7%+9.0%      +21.1%

Model Account Details

A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.

Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.

Trading Record

This strategy has placed 205 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
6/10/24 14:37 CRM SALESFORCE INC LONG 15 242.00 11/21 15:54 337.41 0.35%
Trade id #148374292
Max drawdown($213)
Time6/17/24 0:00
Quant open15
Worst price227.77
Drawdown as % of equity-0.35%
 $1,431
Includes Typical Broker Commissions trade costs of $0.30
7/25/24 10:07 MCD MCDONALD'S LONG 14 255.28 11/19 9:35 288.51 0.12%
Trade id #148739281
Max drawdown($70)
Time7/29/24 0:00
Quant open14
Worst price250.23
Drawdown as % of equity-0.12%
 $465
Includes Typical Broker Commissions trade costs of $0.28
7/25/24 13:07 GOOGL ALPHABET INC CLASS A LONG 21 173.14 11/14 9:31 177.99 0.95%
Trade id #148742461
Max drawdown($544)
Time9/9/24 0:00
Quant open21
Worst price147.22
Drawdown as % of equity-0.95%
 $102
Includes Typical Broker Commissions trade costs of $0.42
8/2/24 11:25 AMD ADVANCED MICRO DEVICES INC. C LONG 25 135.73 10/28 12:37 158.76 0.59%
Trade id #148808565
Max drawdown($347)
Time8/5/24 0:00
Quant open25
Worst price121.83
Drawdown as % of equity-0.59%
 $576
Includes Typical Broker Commissions trade costs of $0.50
10/9/24 9:30 TAN INVESCO SOLAR PORTFOLIO SHORT 23 39.87 10/9 15:34 40.13 0.02%
Trade id #149615404
Max drawdown($12)
Time10/9/24 11:59
Quant open23
Worst price40.43
Drawdown as % of equity-0.02%
 ($6)
Includes Typical Broker Commissions trade costs of $0.46
4/11/24 9:38 TAN INVESCO SOLAR PORTFOLIO LONG 77 44.13 10/9 9:30 39.87 0.9%
Trade id #147870960
Max drawdown($523)
Time9/10/24 0:00
Quant open77
Worst price37.33
Drawdown as % of equity-0.90%
 ($330)
Includes Typical Broker Commissions trade costs of $1.54
4/4/24 15:49 AAPL APPLE LONG 18 169.52 10/3 12:49 222.66 0.18%
Trade id #147813352
Max drawdown($97)
Time4/19/24 0:00
Quant open18
Worst price164.07
Drawdown as % of equity-0.18%
 $957
Includes Typical Broker Commissions trade costs of $0.36
11/10/23 9:37 ASML ASML HOLDING LONG 5 642.53 9/4/24 9:30 858.43 0.01%
Trade id #146395716
Max drawdown($4)
Time11/10/23 10:04
Quant open5
Worst price641.62
Drawdown as % of equity-0.01%
 $1,080
Includes Typical Broker Commissions trade costs of $0.10
6/3/24 14:45 COR CENCORA INC LONG 15 229.25 8/26 9:30 233.49 0.25%
Trade id #148319108
Max drawdown($150)
Time7/5/24 0:00
Quant open15
Worst price219.19
Drawdown as % of equity-0.25%
 $64
Includes Typical Broker Commissions trade costs of $0.30
6/14/24 11:47 PEP PEPSICO LONG 22 164.17 8/20 13:10 174.74 0.22%
Trade id #148411054
Max drawdown($135)
Time7/11/24 0:00
Quant open22
Worst price158.03
Drawdown as % of equity-0.22%
 $233
Includes Typical Broker Commissions trade costs of $0.44
1/25/24 12:16 PYPL PAYPAL HOLDINGS CORP LONG 57 64.32 8/2 9:32 62.99 0.87%
Trade id #147126768
Max drawdown($487)
Time2/8/24 0:00
Quant open57
Worst price55.77
Drawdown as % of equity-0.87%
 ($77)
Includes Typical Broker Commissions trade costs of $1.14
2/23/24 12:28 PANW PALO ALTO NETWORKS LONG 9 280.70 8/1 13:44 312.92 0.24%
Trade id #147436882
Max drawdown($141)
Time4/4/24 0:00
Quant open9
Worst price265.00
Drawdown as % of equity-0.24%
 $290
Includes Typical Broker Commissions trade costs of $0.18
7/1/24 11:00 ULTA ULTA BEAUTY INC LONG 7 389.20 8/1 12:25 350.02 0.45%
Trade id #148545519
Max drawdown($275)
Time8/1/24 12:25
Quant open7
Worst price349.90
Drawdown as % of equity-0.45%
 ($274)
Includes Typical Broker Commissions trade costs of $0.14
6/28/24 13:13 INTC INTEL LONG 122 31.06 7/25 9:30 31.30 0.1%
Trade id #148532898
Max drawdown($57)
Time7/2/24 0:00
Quant open122
Worst price30.59
Drawdown as % of equity-0.10%
 $28
Includes Typical Broker Commissions trade costs of $2.44
2/20/24 9:51 PINS PINTEREST INC LONG 98 34.87 7/24 9:46 38.89 0.75%
Trade id #147378093
Max drawdown($422)
Time4/25/24 0:00
Quant open98
Worst price30.56
Drawdown as % of equity-0.75%
 $392
Includes Typical Broker Commissions trade costs of $1.96
5/24/24 15:54 CSX CSX LONG 89 33.80 7/9 12:44 32.64 0.3%
Trade id #148253979
Max drawdown($183)
Time6/14/24 0:00
Quant open89
Worst price31.74
Drawdown as % of equity-0.30%
 ($106)
Includes Typical Broker Commissions trade costs of $1.78
2/2/24 9:52 FSLR FIRST SOLAR INC LONG 24 140.72 7/1 9:43 232.32 0.21%
Trade id #147203075
Max drawdown($116)
Time2/5/24 0:00
Quant open24
Worst price135.88
Drawdown as % of equity-0.21%
 $2,198
Includes Typical Broker Commissions trade costs of $0.48
4/2/24 11:01 GIS GENERAL MILLS LONG 52 70.52 6/26 9:30 62.05 0.73%
Trade id #147784485
Max drawdown($441)
Time6/26/24 9:30
Quant open52
Worst price62.03
Drawdown as % of equity-0.73%
 ($441)
Includes Typical Broker Commissions trade costs of $1.04
3/19/24 9:32 DAL DELTA AIR LINES LONG 80 43.68 6/14 10:18 47.90 0.07%
Trade id #147682130
Max drawdown($37)
Time3/19/24 10:47
Quant open80
Worst price43.22
Drawdown as % of equity-0.07%
 $335
Includes Typical Broker Commissions trade costs of $1.60
1/22/24 9:43 PFE PFIZER LONG 124 28.57 6/10 15:09 28.07 0.75%
Trade id #147083845
Max drawdown($418)
Time4/26/24 0:00
Quant open124
Worst price25.20
Drawdown as % of equity-0.75%
 ($65)
Includes Typical Broker Commissions trade costs of $2.48
3/15/24 15:48 AVGO BROADCOM LIMITED ORDINARY SHARES LONG 3 1234.20 6/10 13:17 1427.20 0.2%
Trade id #147652657
Max drawdown($109)
Time4/19/24 0:00
Quant open3
Worst price1197.56
Drawdown as % of equity-0.20%
 $579
Includes Typical Broker Commissions trade costs of $0.06
5/8/24 10:30 ADBE ADOBE INC LONG 7 493.01 5/31 10:30 438.85 0.64%
Trade id #148122760
Max drawdown($384)
Time5/31/24 10:30
Quant open7
Worst price438.04
Drawdown as % of equity-0.64%
 ($379)
Includes Typical Broker Commissions trade costs of $0.14
1/23/24 9:38 BABA ALIBABA GROUP HOLDING LIMITED LONG 50 73.99 5/31 9:33 77.70 0.52%
Trade id #147097446
Max drawdown($281)
Time4/19/24 0:00
Quant open50
Worst price68.36
Drawdown as % of equity-0.52%
 $184
Includes Typical Broker Commissions trade costs of $1.00
4/10/24 15:18 TSLA TESLA INC. LONG 20 171.00 5/8 9:30 171.37 1.18%
Trade id #147864216
Max drawdown($643)
Time4/22/24 0:00
Quant open20
Worst price138.80
Drawdown as % of equity-1.18%
 $8
Includes Typical Broker Commissions trade costs of $0.40
12/18/23 11:13 SLB SCHLUMBERGER LONG 69 52.70 4/22/24 9:33 48.97 0.73%
Trade id #146730388
Max drawdown($399)
Time2/9/24 0:00
Quant open69
Worst price46.91
Drawdown as % of equity-0.73%
 ($258)
Includes Typical Broker Commissions trade costs of $1.38
1/5/24 9:37 INTC INTEL LONG 80 46.88 4/10 11:44 37.28 1.34%
Trade id #146915612
Max drawdown($768)
Time4/10/24 11:44
Quant open80
Worst price37.27
Drawdown as % of equity-1.34%
 ($770)
Includes Typical Broker Commissions trade costs of $1.60
10/16/23 10:36 XLP SPDR CONSUMER STAPLES SELECT LONG 51 67.52 4/10/24 9:33 74.08 0.12%
Trade id #146140394
Max drawdown($58)
Time10/27/23 0:00
Quant open51
Worst price66.38
Drawdown as % of equity-0.12%
 $333
Includes Typical Broker Commissions trade costs of $1.02
1/29/24 15:07 SBUX STARBUCKS LONG 35 93.59 4/4 14:14 88.54 0.3%
Trade id #147152329
Max drawdown($177)
Time4/4/24 14:14
Quant open35
Worst price88.52
Drawdown as % of equity-0.30%
 ($178)
Includes Typical Broker Commissions trade costs of $0.70
12/13/23 15:09 BKR BAKER HUGHES CO LONG 112 32.65 4/2/24 9:40 33.61 0.88%
Trade id #146686645
Max drawdown($484)
Time2/5/24 0:00
Quant open112
Worst price28.32
Drawdown as % of equity-0.88%
 $106
Includes Typical Broker Commissions trade costs of $2.24
1/17/24 9:44 BA BOEING LONG 18 204.87 3/18 9:32 178.91 0.84%
Trade id #147026331
Max drawdown($473)
Time3/18/24 9:32
Quant open18
Worst price178.54
Drawdown as % of equity-0.84%
 ($467)
Includes Typical Broker Commissions trade costs of $0.36
Next

Statistics

  • Strategy began
    5/11/2023
  • Suggested Minimum Cap
    $5,000
  • Strategy Age (days)
    562.65
  • Age
    19 months ago
  • What it trades
    Stocks
  • # Trades
    104
  • # Profitable
    66
  • % Profitable
    63.50%
  • Avg trade duration
    82.5 days
  • Max peak-to-valley drawdown
    13.73%
  • drawdown period
    July 19, 2023 - Oct 30, 2023
  • Annual Return (Compounded)
    22.8%
  • Avg win
    $455.64
  • Avg loss
    $288.71
  • Model Account Values (Raw)
  • Cash
    $33,557
  • Margin Used
    $0
  • Buying Power
    $42,671
  • Ratios
  • W:L ratio
    2.84:1
  • Sharpe Ratio
    1.39
  • Sortino Ratio
    2.14
  • Calmar Ratio
    1.986
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -7.10%
  • Correlation to SP500
    0.69320
  • Return Percent SP500 (cumu) during strategy life
    44.51%
  • Return Statistics
  • Ann Return (w trading costs)
    22.8%
  • Slump
  • Current Slump as Pcnt Equity
    n/a
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    n/a
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.228%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    24.5%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    n/a
  • Chance of 20% account loss
    n/a
  • 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)
    0
  • Popularity (Last 6 weeks)
    820
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    943
  • Popularity (7 days, Percentile 1000 scale)
    718
  • Trades-Own-System Certification
  • Trades Own System?
    Yes
  • TOS percent
    100%
  • Win / Loss
  • Avg Loss
    $289
  • Avg Win
    $456
  • Sum Trade PL (losers)
    $10,971.000
  • Age
  • Num Months filled monthly returns table
    19
  • Win / Loss
  • Sum Trade PL (winners)
    $30,072.000
  • # Winners
    66
  • Num Months Winners
    12
  • Dividends
  • Dividends Received in Model Acct
    1035
  • AUM
  • AUM (AutoTrader live capital)
    70056
  • Win / Loss
  • # Losers
    38
  • % Winners
    63.5%
  • Frequency
  • Avg Position Time (mins)
    118738.00
  • Avg Position Time (hrs)
    1978.96
  • Avg Trade Length
    82.5 days
  • Last Trade Ago
    2
  • Leverage
  • Daily leverage (average)
    0.91
  • Daily leverage (max)
    1.08
  • Regression
  • Alpha
    0.01
  • Beta
    0.66
  • Treynor Index
    0.08
  • 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)
    0.91
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    1.624
  • 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
    0.04
  • Avg(MAE) / Avg(PL) - Winning trades
    0.405
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.355
  • Hold-and-Hope Ratio
    0.500
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.16576
  • SD
    0.14255
  • Sharpe ratio (Glass type estimate)
    1.16283
  • Sharpe ratio (Hedges UMVUE)
    1.10731
  • df
    16.00000
  • t
    1.38404
  • p
    0.33650
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.54868
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.84032
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.58349
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.79811
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.03833
  • Upside Potential Ratio
    3.78065
  • Upside part of mean
    0.30745
  • Downside part of mean
    -0.14169
  • Upside SD
    0.12166
  • Downside SD
    0.08132
  • N nonnegative terms
    12.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    17.00000
  • Mean of predictor
    0.21319
  • Mean of criterion
    0.16576
  • SD of predictor
    0.14672
  • SD of criterion
    0.14255
  • Covariance
    0.01659
  • r
    0.79343
  • b (slope, estimate of beta)
    0.77089
  • a (intercept, estimate of alpha)
    0.00142
  • Mean Square Error
    0.00803
  • DF error
    15.00000
  • t(b)
    5.04873
  • p(b)
    0.05457
  • t(a)
    0.01728
  • p(a)
    0.49716
  • Lowerbound of 95% confidence interval for beta
    0.44544
  • Upperbound of 95% confidence interval for beta
    1.09634
  • Lowerbound of 95% confidence interval for alpha
    -0.17341
  • Upperbound of 95% confidence interval for alpha
    0.17625
  • Treynor index (mean / b)
    0.21503
  • Jensen alpha (a)
    0.00142
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.15488
  • SD
    0.14154
  • Sharpe ratio (Glass type estimate)
    1.09423
  • Sharpe ratio (Hedges UMVUE)
    1.04198
  • df
    16.00000
  • t
    1.30239
  • p
    0.34520
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.61097
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.76721
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.64382
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.72779
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.86121
  • Upside Potential Ratio
    3.60091
  • Upside part of mean
    0.29964
  • Downside part of mean
    -0.14477
  • Upside SD
    0.11802
  • Downside SD
    0.08321
  • N nonnegative terms
    12.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    17.00000
  • Mean of predictor
    0.20098
  • Mean of criterion
    0.15488
  • SD of predictor
    0.14507
  • SD of criterion
    0.14154
  • Covariance
    0.01638
  • r
    0.79763
  • b (slope, estimate of beta)
    0.77824
  • a (intercept, estimate of alpha)
    -0.00154
  • Mean Square Error
    0.00777
  • DF error
    15.00000
  • t(b)
    5.12189
  • p(b)
    0.05295
  • t(a)
    -0.01918
  • p(a)
    0.50315
  • Lowerbound of 95% confidence interval for beta
    0.45438
  • Upperbound of 95% confidence interval for beta
    1.10210
  • Lowerbound of 95% confidence interval for alpha
    -0.17232
  • Upperbound of 95% confidence interval for alpha
    0.16924
  • Treynor index (mean / b)
    0.19901
  • Jensen alpha (a)
    -0.00154
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05285
  • Expected Shortfall on VaR
    0.06878
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01904
  • Expected Shortfall on VaR
    0.04025
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    17.00000
  • Minimum
    0.94600
  • Quartile 1
    0.99034
  • Median
    1.02611
  • Quartile 3
    1.03754
  • Maximum
    1.08250
  • Mean of quarter 1
    0.96218
  • Mean of quarter 2
    1.01987
  • Mean of quarter 3
    1.03203
  • Mean of quarter 4
    1.06398
  • Inter Quartile Range
    0.04720
  • 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)
    -20.82110
  • VaR(95%) (moments method)
    0.02497
  • Expected Shortfall (moments method)
    0.02497
  • Extreme Value Index (regression method)
    -2.15071
  • VaR(95%) (regression method)
    0.04921
  • Expected Shortfall (regression method)
    0.04990
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.00966
  • Quartile 1
    0.03183
  • Median
    0.05400
  • Quartile 3
    0.08718
  • Maximum
    0.12036
  • Mean of quarter 1
    0.00966
  • Mean of quarter 2
    0.05400
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.12036
  • Inter Quartile Range
    0.05535
  • 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)
    0.20863
  • Compounded annual return (geometric extrapolation)
    0.20055
  • Calmar ratio (compounded annual return / max draw down)
    1.66629
  • Compounded annual return / average of 25% largest draw downs
    1.66629
  • Compounded annual return / Expected Shortfall lognormal
    2.91590
  • 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
    0.20573
  • SD
    0.11768
  • Sharpe ratio (Glass type estimate)
    1.74821
  • Sharpe ratio (Hedges UMVUE)
    1.74480
  • df
    384.00000
  • t
    2.11921
  • p
    0.01736
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.12558
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.36867
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.12325
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.36634
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.65834
  • Upside Potential Ratio
    10.58480
  • Upside part of mean
    0.81918
  • Downside part of mean
    -0.61345
  • Upside SD
    0.08936
  • Downside SD
    0.07739
  • N nonnegative terms
    217.00000
  • N negative terms
    168.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    385.00000
  • Mean of predictor
    0.23063
  • Mean of criterion
    0.20573
  • SD of predictor
    0.12540
  • SD of criterion
    0.11768
  • Covariance
    0.01025
  • r
    0.69444
  • b (slope, estimate of beta)
    0.65173
  • a (intercept, estimate of alpha)
    0.05500
  • Mean Square Error
    0.00719
  • DF error
    383.00000
  • t(b)
    18.88760
  • p(b)
    -0.00000
  • t(a)
    0.78737
  • p(a)
    0.21578
  • Lowerbound of 95% confidence interval for beta
    0.58388
  • Upperbound of 95% confidence interval for beta
    0.71957
  • Lowerbound of 95% confidence interval for alpha
    -0.08298
  • Upperbound of 95% confidence interval for alpha
    0.19384
  • Treynor index (mean / b)
    0.31567
  • Jensen alpha (a)
    0.05543
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.19873
  • SD
    0.11761
  • Sharpe ratio (Glass type estimate)
    1.68977
  • Sharpe ratio (Hedges UMVUE)
    1.68647
  • df
    384.00000
  • t
    2.04837
  • p
    0.02060
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.06745
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.30996
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.06523
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.30771
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.55055
  • Upside Potential Ratio
    10.46140
  • Upside part of mean
    0.81514
  • Downside part of mean
    -0.61640
  • Upside SD
    0.08875
  • Downside SD
    0.07792
  • N nonnegative terms
    217.00000
  • N negative terms
    168.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    385.00000
  • Mean of predictor
    0.22267
  • Mean of criterion
    0.19873
  • SD of predictor
    0.12537
  • SD of criterion
    0.11761
  • Covariance
    0.01025
  • r
    0.69517
  • b (slope, estimate of beta)
    0.65214
  • a (intercept, estimate of alpha)
    0.05352
  • Mean Square Error
    0.00717
  • DF error
    383.00000
  • t(b)
    18.92570
  • p(b)
    -0.00000
  • t(a)
    0.76186
  • p(a)
    0.22331
  • Lowerbound of 95% confidence interval for beta
    0.58439
  • Upperbound of 95% confidence interval for beta
    0.71989
  • Lowerbound of 95% confidence interval for alpha
    -0.08461
  • Upperbound of 95% confidence interval for alpha
    0.19166
  • Treynor index (mean / b)
    0.30474
  • Jensen alpha (a)
    0.05352
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01113
  • Expected Shortfall on VaR
    0.01412
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00495
  • Expected Shortfall on VaR
    0.00986
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    385.00000
  • Minimum
    0.97277
  • Quartile 1
    0.99692
  • Median
    1.00104
  • Quartile 3
    1.00513
  • Maximum
    1.02929
  • Mean of quarter 1
    0.99192
  • Mean of quarter 2
    0.99909
  • Mean of quarter 3
    1.00289
  • Mean of quarter 4
    1.00975
  • Inter Quartile Range
    0.00820
  • Number outliers low
    10.00000
  • Percentage of outliers low
    0.02597
  • Mean of outliers low
    0.98147
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.01558
  • Mean of outliers high
    1.02198
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.08588
  • VaR(95%) (moments method)
    0.00729
  • Expected Shortfall (moments method)
    0.00953
  • Extreme Value Index (regression method)
    -0.12373
  • VaR(95%) (regression method)
    0.00735
  • Expected Shortfall (regression method)
    0.00947
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    27.00000
  • Minimum
    0.00001
  • Quartile 1
    0.00262
  • Median
    0.00883
  • Quartile 3
    0.02195
  • Maximum
    0.12809
  • Mean of quarter 1
    0.00125
  • Mean of quarter 2
    0.00552
  • Mean of quarter 3
    0.01530
  • Mean of quarter 4
    0.05614
  • Inter Quartile Range
    0.01933
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.11111
  • Mean of outliers high
    0.09074
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.38665
  • VaR(95%) (moments method)
    0.06173
  • Expected Shortfall (moments method)
    0.11559
  • Extreme Value Index (regression method)
    1.05317
  • VaR(95%) (regression method)
    0.06146
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.26894
  • Compounded annual return (geometric extrapolation)
    0.25438
  • Calmar ratio (compounded annual return / max draw down)
    1.98590
  • Compounded annual return / average of 25% largest draw downs
    4.53108
  • Compounded annual return / Expected Shortfall lognormal
    18.00950
  • 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
    0.20266
  • SD
    0.12826
  • Sharpe ratio (Glass type estimate)
    1.58003
  • Sharpe ratio (Hedges UMVUE)
    1.57090
  • df
    130.00000
  • t
    1.11725
  • p
    0.45124
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.20132
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.35546
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.20747
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.34928
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.23512
  • Upside Potential Ratio
    9.53250
  • Upside part of mean
    0.86431
  • Downside part of mean
    -0.66165
  • Upside SD
    0.09089
  • Downside SD
    0.09067
  • N nonnegative terms
    79.00000
  • N negative terms
    52.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.23133
  • Mean of criterion
    0.20266
  • SD of predictor
    0.13518
  • SD of criterion
    0.12826
  • Covariance
    0.01277
  • r
    0.73635
  • b (slope, estimate of beta)
    0.69865
  • a (intercept, estimate of alpha)
    0.04104
  • Mean Square Error
    0.00759
  • DF error
    129.00000
  • t(b)
    12.36090
  • p(b)
    0.07796
  • t(a)
    0.33125
  • p(a)
    0.48144
  • Lowerbound of 95% confidence interval for beta
    0.58682
  • Upperbound of 95% confidence interval for beta
    0.81047
  • Lowerbound of 95% confidence interval for alpha
    -0.20409
  • Upperbound of 95% confidence interval for alpha
    0.28617
  • Treynor index (mean / b)
    0.29007
  • Jensen alpha (a)
    0.04104
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.19439
  • SD
    0.12843
  • Sharpe ratio (Glass type estimate)
    1.51356
  • Sharpe ratio (Hedges UMVUE)
    1.50481
  • df
    130.00000
  • t
    1.07025
  • p
    0.45327
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.26713
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.28857
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.27302
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.28265
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.12571
  • Upside Potential Ratio
    9.40593
  • Upside part of mean
    0.86012
  • Downside part of mean
    -0.66574
  • Upside SD
    0.09028
  • Downside SD
    0.09144
  • N nonnegative terms
    79.00000
  • N negative terms
    52.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.22212
  • Mean of criterion
    0.19439
  • SD of predictor
    0.13537
  • SD of criterion
    0.12843
  • Covariance
    0.01282
  • r
    0.73742
  • b (slope, estimate of beta)
    0.69963
  • a (intercept, estimate of alpha)
    0.03898
  • Mean Square Error
    0.00758
  • DF error
    129.00000
  • t(b)
    12.40020
  • p(b)
    0.07750
  • t(a)
    0.31489
  • p(a)
    0.48236
  • VAR (95 Confidence Intrvl)
    0.01100
  • Lowerbound of 95% confidence interval for beta
    0.58800
  • Upperbound of 95% confidence interval for beta
    0.81127
  • Lowerbound of 95% confidence interval for alpha
    -0.20594
  • Upperbound of 95% confidence interval for alpha
    0.28389
  • Treynor index (mean / b)
    0.27784
  • Jensen alpha (a)
    0.03898
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01223
  • Expected Shortfall on VaR
    0.01550
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00495
  • Expected Shortfall on VaR
    0.01041
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97277
  • Quartile 1
    0.99727
  • Median
    1.00136
  • Quartile 3
    1.00502
  • Maximum
    1.02606
  • Mean of quarter 1
    0.99084
  • Mean of quarter 2
    0.99968
  • Mean of quarter 3
    1.00325
  • Mean of quarter 4
    1.00982
  • Inter Quartile Range
    0.00775
  • Number outliers low
    7.00000
  • Percentage of outliers low
    0.05344
  • Mean of outliers low
    0.98070
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.01527
  • Mean of outliers high
    1.02186
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.01797
  • VaR(95%) (moments method)
    0.00733
  • Expected Shortfall (moments method)
    0.01033
  • Extreme Value Index (regression method)
    0.04442
  • VaR(95%) (regression method)
    0.00764
  • Expected Shortfall (regression method)
    0.01095
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.00117
  • Quartile 1
    0.01197
  • Median
    0.01840
  • Quartile 3
    0.02547
  • Maximum
    0.07530
  • Mean of quarter 1
    0.00195
  • Mean of quarter 2
    0.01611
  • Mean of quarter 3
    0.02210
  • Mean of quarter 4
    0.05173
  • Inter Quartile Range
    0.01350
  • 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
    0.07530
  • 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?
    -402983000
  • Max Equity Drawdown (num days)
    103
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.23512
  • Compounded annual return (geometric extrapolation)
    0.24894
  • Calmar ratio (compounded annual return / max draw down)
    3.30582
  • Compounded annual return / average of 25% largest draw downs
    4.81191
  • Compounded annual return / Expected Shortfall lognormal
    16.06180

Strategy Description

An investment in stocks or funds, primarily from the S&P 500 index, the 'AE Long' investment strategy combines well-known stock management techniques and integrates them into one proven successful method. The strength of this strategy lies in its incorporation of micro and macroeconomic parameters for individual stocks, as well as market forecasts and technical and quantitative models, such as Momentum. The method is inspired by the Dow Theory.
Stock Selection Process:
• Identifying stocks from analytical database.
• High market capitalization and high trading volume on stocks give further validating to the selection.
• Utilizing quantitative and technical models to aid in selecting the appropriate stocks and determining the optimal investment timing.
Portfolio management and strategy:
• Usually the amount of shares is known in advance and with equal weight
• Establishing a trading plan for each stock
• Incorporating psychological factors of the market and the individual trading.
• Implementing dynamic portfolio management. Each of the shares can be held for very short to long periods.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2023-05-11
Suggested Minimum Capital
$5,000
Rank at C2 %
Top 5.7%
Rank # 
#42
# Trades
104
# Profitable
66
% Profitable
63.5%
Net Dividends
$1,035
Correlation S&P500
0.693
Sharpe Ratio
1.39
Sortino Ratio
2.14
Beta
0.66
Alpha
0.01
Leverage
0.91 Average
1.08 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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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.