Collective2 Collective2
Featured Strategy Gold and Silver Followed by live capital $687.7 thousand 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 01/07/2025
Most recent certification approved 1/7/25 9:30 ET
Trades at broker Interactive Brokers (Europe)
Scaling percentage used 100%
# trading signals issued by system since certification 288
# trading signals executed in manager's Interactive Brokers (Europe) account 288
Percent signals followed since 01/07/2025 100%
This information was last updated 9/1/25 12:06 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 01/07/2025, 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.

Big Player and Momentum
(150503125)

Powered by BrokerTransmit.
Read important disclosures.

Created by: StefRuf StefRuf
Started: 01/2025
Stocks
Last trade: 18 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 $125.00 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.
-1.2%
Cumul. Return

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 Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

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

All results are hypothetical.

(12.4%)
Max Drawdown
51
Num Trades
52.9%
Win Trades
1.1 : 1
Profit Factor
55.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2025+2.9%(3.1%)(6%)(1.5%)+1.4%+3.1%+2.6%+0.3%(0.4%)                  (1.2%)

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.

Trading Record

This strategy has placed 110 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
5/23/25 9:30 MSFT MICROSOFT LONG 5 450.00 6/12 14:09 479.79 0.01%
Trade id #151811763
Max drawdown($5)
Time5/23/25 9:54
Quant open5
Worst price448.91
Drawdown as % of equity-0.01%
 $149
Includes Typical Broker Commissions trade costs of $0.10
5/23/25 9:30 AAPL APPLE LONG 11 193.59 6/12 14:09 199.09 n/a $61
Includes Typical Broker Commissions trade costs of $0.22
5/23/25 9:30 ORCL ORACLE CORP LONG 15 155.18 6/12 14:09 200.54 0.01%
Trade id #151811898
Max drawdown($5)
Time5/23/25 11:16
Quant open15
Worst price154.79
Drawdown as % of equity-0.01%
 $680
Includes Typical Broker Commissions trade costs of $0.30
5/23/25 9:30 GOOG ALPHABET INC CLASS C LONG 14 170.32 6/12 14:07 177.53 0.11%
Trade id #151811733
Max drawdown($50)
Time6/3/25 0:00
Quant open14
Worst price166.68
Drawdown as % of equity-0.11%
 $101
Includes Typical Broker Commissions trade costs of $0.28
5/23/25 9:30 AMZN AMAZON.COM LONG 11 199.00 6/12 14:07 212.76 n/a $151
Includes Typical Broker Commissions trade costs of $0.22
5/13/25 11:40 MOS MOSAIC LONG 57 33.93 6/12 14:05 34.64 0.06%
Trade id #151710759
Max drawdown($29)
Time5/14/25 0:00
Quant open57
Worst price33.41
Drawdown as % of equity-0.06%
 $39
Includes Typical Broker Commissions trade costs of $1.14
5/19/25 15:48 SPY SPDR S&P 500 LONG 13 594.15 6/12 14:05 603.21 0.52%
Trade id #151768300
Max drawdown($241)
Time5/23/25 0:00
Quant open13
Worst price575.60
Drawdown as % of equity-0.52%
 $118
Includes Typical Broker Commissions trade costs of $0.26
5/23/25 9:30 WM WASTE MANAGEMENT LONG 10 236.00 6/12 14:05 236.16 0.12%
Trade id #151811731
Max drawdown($55)
Time6/9/25 0:00
Quant open10
Worst price230.50
Drawdown as % of equity-0.12%
 $2
Includes Typical Broker Commissions trade costs of $0.20
5/13/25 11:37 AIG AMERICAN INTERNATIONAL LONG 21 84.33 6/12 14:00 85.32 0.15%
Trade id #151709946
Max drawdown($67)
Time5/23/25 0:00
Quant open21
Worst price81.13
Drawdown as % of equity-0.15%
 $21
Includes Typical Broker Commissions trade costs of $0.42
5/13/25 11:40 V VISA LONG 9 355.57 6/12 14:00 370.40 0.03%
Trade id #151710747
Max drawdown($12)
Time5/23/25 0:00
Quant open3
Worst price352.22
Drawdown as % of equity-0.03%
 $133
Includes Typical Broker Commissions trade costs of $0.18
5/13/25 11:37 CAH CARDINAL HEALTH LONG 11 148.72 6/12 14:00 160.24 0.02%
Trade id #151709862
Max drawdown($10)
Time5/13/25 13:00
Quant open11
Worst price147.73
Drawdown as % of equity-0.02%
 $127
Includes Typical Broker Commissions trade costs of $0.22
5/8/25 9:30 MOS MOSAIC LONG 57 32.25 5/13 11:37 33.94 0.11%
Trade id #151660079
Max drawdown($50)
Time5/8/25 11:00
Quant open57
Worst price31.36
Drawdown as % of equity-0.11%
 $95
Includes Typical Broker Commissions trade costs of $1.14
5/5/25 9:30 AIG AMERICAN INTERNATIONAL LONG 21 83.41 5/13 11:33 84.33 0.09%
Trade id #151619123
Max drawdown($40)
Time5/12/25 0:00
Quant open21
Worst price81.48
Drawdown as % of equity-0.09%
 $19
Includes Typical Broker Commissions trade costs of $0.42
5/6/25 9:30 CAH CARDINAL HEALTH LONG 11 151.26 5/13 11:33 148.56 0.2%
Trade id #151632461
Max drawdown($91)
Time5/12/25 0:00
Quant open11
Worst price142.94
Drawdown as % of equity-0.20%
 ($30)
Includes Typical Broker Commissions trade costs of $0.22
5/5/25 9:30 V VISA LONG 3 347.00 5/13 11:33 356.83 0.01%
Trade id #151619116
Max drawdown($3)
Time5/6/25 0:00
Quant open3
Worst price345.76
Drawdown as % of equity-0.01%
 $29
Includes Typical Broker Commissions trade costs of $0.06
4/7/25 12:05 WRB WR BERKLEY LONG 26 64.02 5/5 9:30 72.42 0.03%
Trade id #151307334
Max drawdown($15)
Time4/7/25 12:22
Quant open26
Worst price63.41
Drawdown as % of equity-0.03%
 $217
Includes Typical Broker Commissions trade costs of $0.52
4/29/25 9:30 SPY SPDR S&P 500 LONG 31 548.93 4/29 15:48 554.36 n/a $167
Includes Typical Broker Commissions trade costs of $0.62
1/8/25 9:30 SAP SAP AE LONG 4 250.97 4/22 9:30 248.16 0.14%
Trade id #150513811
Max drawdown($65)
Time4/8/25 0:00
Quant open4
Worst price234.51
Drawdown as % of equity-0.14%
 ($11)
Includes Typical Broker Commissions trade costs of $0.08
1/8/25 9:32 V VISA LONG 11 311.59 4/22 9:30 327.99 0.17%
Trade id #150514070
Max drawdown($85)
Time1/13/25 0:00
Quant open11
Worst price303.84
Drawdown as % of equity-0.17%
 $180
Includes Typical Broker Commissions trade costs of $0.22
1/8/25 9:30 MSFT MICROSOFT LONG 7 424.40 4/10 9:30 382.54 0.7%
Trade id #150513817
Max drawdown($332)
Time3/11/25 0:00
Quant open7
Worst price376.91
Drawdown as % of equity-0.70%
 ($293)
Includes Typical Broker Commissions trade costs of $0.14
1/10/25 9:30 GRMN GARMIN LONG 12 209.00 4/8 11:31 177.86 1.04%
Trade id #150531161
Max drawdown($476)
Time4/7/25 0:00
Quant open12
Worst price169.26
Drawdown as % of equity-1.04%
 ($374)
Includes Typical Broker Commissions trade costs of $0.24
1/10/25 9:30 GDDY GODADDY INC LONG 16 194.76 4/8 11:28 166.73 1.37%
Trade id #150531163
Max drawdown($628)
Time4/7/25 0:00
Quant open16
Worst price155.50
Drawdown as % of equity-1.37%
 ($448)
Includes Typical Broker Commissions trade costs of $0.32
3/17/25 15:48 SSO PROSHARES ULTRA S&P 500 LONG 113 85.58 3/18 15:47 83.05 0.7%
Trade id #151119253
Max drawdown($327)
Time3/18/25 11:57
Quant open113
Worst price82.68
Drawdown as % of equity-0.70%
 ($287)
Includes Typical Broker Commissions trade costs of $2.26
1/8/25 9:30 WM WASTE MANAGEMENT LONG 11 204.16 3/17 9:30 224.88 0.01%
Trade id #150513808
Max drawdown($4)
Time1/8/25 10:03
Quant open11
Worst price203.74
Drawdown as % of equity-0.01%
 $228
Includes Typical Broker Commissions trade costs of $0.22
1/8/25 9:32 AAPL APPLE LONG 26 234.61 3/14 9:30 221.68 0.67%
Trade id #150514068
Max drawdown($315)
Time3/12/25 0:00
Quant open16
Worst price214.91
Drawdown as % of equity-0.67%
 ($337)
Includes Typical Broker Commissions trade costs of $0.52
2/24/25 15:49 SSO PROSHARES ULTRA S&P 500 LONG 58 95.63 3/11 15:48 82.92 1.83%
Trade id #150941971
Max drawdown($863)
Time3/11/25 13:27
Quant open58
Worst price80.74
Drawdown as % of equity-1.83%
 ($738)
Includes Typical Broker Commissions trade costs of $1.16
2/4/25 9:49 CEG CONSTELLATION ENERGY CORPORATION LONG 15 300.00 2/4 9:52 298.21 0.05%
Trade id #150760411
Max drawdown($26)
Time2/4/25 9:52
Quant open15
Worst price298.21
Drawdown as % of equity-0.05%
 ($27)
Includes Typical Broker Commissions trade costs of $0.30
1/23/25 9:30 ORCL ORACLE CORP LONG 15 181.52 1/29 14:17 160.45 0.85%
Trade id #150647860
Max drawdown($432)
Time1/27/25 0:00
Quant open15
Worst price152.66
Drawdown as % of equity-0.85%
 ($316)
Includes Typical Broker Commissions trade costs of $0.30
1/8/25 9:30 PEP PEPSICO LONG 6 145.40 1/13 9:30 142.67 0.05%
Trade id #150513813
Max drawdown($23)
Time1/10/25 0:00
Quant open6
Worst price141.51
Drawdown as % of equity-0.05%
 ($16)
Includes Typical Broker Commissions trade costs of $0.12
1/8/25 9:30 MDLZ MONDELEZ INTERNATIONAL LONG 15 58.20 1/10 9:30 57.52 0.02%
Trade id #150513815
Max drawdown($10)
Time1/10/25 9:30
Quant open15
Worst price57.51
Drawdown as % of equity-0.02%
 ($10)
Includes Typical Broker Commissions trade costs of $0.30

Statistics

  • Strategy began
    1/7/2025
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    237.01
  • Age
    8 months ago
  • What it trades
    Stocks
  • # Trades
    51
  • # Profitable
    27
  • % Profitable
    52.90%
  • Avg trade duration
    46.4 days
  • Max peak-to-valley drawdown
    12.38%
  • drawdown period
    Jan 31, 2025 - April 07, 2025
  • Cumul. Return
    -1.2%
  • Avg win
    $240.67
  • Avg loss
    $246.00
  • Model Account Values (Raw)
  • Cash
    $21,380
  • Margin Used
    ($27,228)
  • Buying Power
    $50,927
  • Ratios
  • W:L ratio
    1.12:1
  • Sharpe Ratio
    -0.23
  • Sortino Ratio
    -0.29
  • Calmar Ratio
    0.27
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -10.50%
  • Correlation to SP500
    0.45800
  • Return Percent SP500 (cumu) during strategy life
    9.33%
  • Return Statistics
  • Ann Return (w trading costs)
    -1.8%
  • Slump
  • Current Slump as Pcnt Equity
    5.00%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.90%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.012%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    2.2%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    2.50%
  • 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)
    703
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    923
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    Yes
  • TOS percent
    100%
  • Win / Loss
  • Avg Loss
    $246
  • Avg Win
    $241
  • Sum Trade PL (losers)
    $5,904.000
  • Age
  • Num Months filled monthly returns table
    9
  • Win / Loss
  • Sum Trade PL (winners)
    $6,498.000
  • # Winners
    27
  • Num Months Winners
    5
  • Dividends
  • Dividends Received in Model Acct
    130
  • AUM
  • AUM (AutoTrader live capital)
    50678
  • Win / Loss
  • # Losers
    24
  • % Winners
    52.9%
  • Frequency
  • Avg Position Time (mins)
    66752.40
  • Avg Position Time (hrs)
    1112.54
  • Avg Trade Length
    46.4 days
  • Last Trade Ago
    18
  • Leverage
  • Daily leverage (average)
    0.64
  • Daily leverage (max)
    1.10
  • Regression
  • Alpha
    -0.01
  • Beta
    0.18
  • Treynor Index
    -0.04
  • 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)
    0.12
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    307.384
  • 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
    0.262
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.276
  • Hold-and-Hope Ratio
    0.024
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.00547
  • SD
    0.13183
  • Sharpe ratio (Glass type estimate)
    0.04152
  • Sharpe ratio (Hedges UMVUE)
    0.03607
  • df
    6.00000
  • t
    0.03171
  • p
    0.48786
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.52641
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.60614
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.53021
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.60234
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.05433
  • Upside Potential Ratio
    1.85241
  • Upside part of mean
    0.18663
  • Downside part of mean
    -0.18116
  • Upside SD
    0.06890
  • Downside SD
    0.10075
  • N nonnegative terms
    5.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    7.00000
  • Mean of predictor
    0.11894
  • Mean of criterion
    0.00547
  • SD of predictor
    0.16663
  • SD of criterion
    0.13183
  • Covariance
    0.02066
  • r
    0.94038
  • b (slope, estimate of beta)
    0.74398
  • a (intercept, estimate of alpha)
    -0.08301
  • Mean Square Error
    0.00241
  • DF error
    5.00000
  • t(b)
    6.18240
  • p(b)
    0.00081
  • t(a)
    -1.26001
  • p(a)
    0.86836
  • Lowerbound of 95% confidence interval for beta
    0.43463
  • Upperbound of 95% confidence interval for beta
    1.05333
  • Lowerbound of 95% confidence interval for alpha
    -0.25238
  • Upperbound of 95% confidence interval for alpha
    0.08635
  • Treynor index (mean / b)
    0.00736
  • Jensen alpha (a)
    -0.08301
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.00212
  • SD
    0.13376
  • Sharpe ratio (Glass type estimate)
    -0.01585
  • Sharpe ratio (Hedges UMVUE)
    -0.01377
  • df
    6.00000
  • t
    -0.01210
  • p
    0.50463
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.58145
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.55097
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.57997
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.55244
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.02046
  • Upside Potential Ratio
    1.77494
  • Upside part of mean
    0.18388
  • Downside part of mean
    -0.18600
  • Upside SD
    0.06784
  • Downside SD
    0.10360
  • N nonnegative terms
    5.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    7.00000
  • Mean of predictor
    0.10609
  • Mean of criterion
    -0.00212
  • SD of predictor
    0.16855
  • SD of criterion
    0.13376
  • Covariance
    0.02129
  • r
    0.94432
  • b (slope, estimate of beta)
    0.74939
  • a (intercept, estimate of alpha)
    -0.08162
  • Mean Square Error
    0.00232
  • DF error
    5.00000
  • t(b)
    6.41748
  • p(b)
    0.00068
  • t(a)
    -1.26891
  • p(a)
    0.86983
  • Lowerbound of 95% confidence interval for beta
    0.44921
  • Upperbound of 95% confidence interval for beta
    1.04958
  • Lowerbound of 95% confidence interval for alpha
    -0.24699
  • Upperbound of 95% confidence interval for alpha
    0.08374
  • Treynor index (mean / b)
    -0.00283
  • Jensen alpha (a)
    -0.08162
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06170
  • Expected Shortfall on VaR
    0.07662
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02401
  • Expected Shortfall on VaR
    0.05018
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    7.00000
  • Minimum
    0.93650
  • Quartile 1
    0.98490
  • Median
    1.02378
  • Quartile 3
    1.02821
  • Maximum
    1.03299
  • Mean of quarter 1
    0.94949
  • Mean of quarter 2
    1.01555
  • Mean of quarter 3
    1.02675
  • Mean of quarter 4
    1.03133
  • Inter Quartile Range
    0.04331
  • 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)
    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
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.09864
  • Quartile 1
    0.09864
  • Median
    0.09864
  • Quartile 3
    0.09864
  • Maximum
    0.09864
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • 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)
    0.02598
  • Compounded annual return (geometric extrapolation)
    0.02612
  • Calmar ratio (compounded annual return / max draw down)
    0.26483
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    0.34092
  • 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
    0.00411
  • SD
    0.07937
  • Sharpe ratio (Glass type estimate)
    0.05181
  • Sharpe ratio (Hedges UMVUE)
    0.05158
  • df
    168.00000
  • t
    0.04161
  • p
    0.49839
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.38856
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.49219
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.38879
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.49195
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.06614
  • Upside Potential Ratio
    7.17039
  • Upside part of mean
    0.44581
  • Downside part of mean
    -0.44170
  • Upside SD
    0.04895
  • Downside SD
    0.06217
  • N nonnegative terms
    98.00000
  • N negative terms
    71.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    169.00000
  • Mean of predictor
    0.13345
  • Mean of criterion
    0.00411
  • SD of predictor
    0.21640
  • SD of criterion
    0.07937
  • Covariance
    0.00772
  • r
    0.44942
  • b (slope, estimate of beta)
    0.16483
  • a (intercept, estimate of alpha)
    -0.01800
  • Mean Square Error
    0.00506
  • DF error
    167.00000
  • t(b)
    6.50131
  • p(b)
    0.22384
  • t(a)
    -0.20185
  • p(a)
    0.50994
  • Lowerbound of 95% confidence interval for beta
    0.11478
  • Upperbound of 95% confidence interval for beta
    0.21488
  • Lowerbound of 95% confidence interval for alpha
    -0.19282
  • Upperbound of 95% confidence interval for alpha
    0.15705
  • Treynor index (mean / b)
    0.02495
  • Jensen alpha (a)
    -0.01788
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.00097
  • SD
    0.07958
  • Sharpe ratio (Glass type estimate)
    0.01219
  • Sharpe ratio (Hedges UMVUE)
    0.01213
  • df
    168.00000
  • t
    0.00979
  • p
    0.49962
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.42818
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.45256
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.42824
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.45250
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.01550
  • Upside Potential Ratio
    7.10314
  • Upside part of mean
    0.44457
  • Downside part of mean
    -0.44360
  • Upside SD
    0.04877
  • Downside SD
    0.06259
  • N nonnegative terms
    98.00000
  • N negative terms
    71.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    169.00000
  • Mean of predictor
    0.11036
  • Mean of criterion
    0.00097
  • SD of predictor
    0.21491
  • SD of criterion
    0.07958
  • Covariance
    0.00779
  • r
    0.45541
  • b (slope, estimate of beta)
    0.16864
  • a (intercept, estimate of alpha)
    -0.01764
  • Mean Square Error
    0.00505
  • DF error
    167.00000
  • t(b)
    6.61039
  • p(b)
    0.22044
  • t(a)
    -0.19928
  • p(a)
    0.50982
  • Lowerbound of 95% confidence interval for beta
    0.11827
  • Upperbound of 95% confidence interval for beta
    0.21901
  • Lowerbound of 95% confidence interval for alpha
    -0.19241
  • Upperbound of 95% confidence interval for alpha
    0.15713
  • Treynor index (mean / b)
    0.00575
  • Jensen alpha (a)
    -0.01764
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00805
  • Expected Shortfall on VaR
    0.01008
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00342
  • Expected Shortfall on VaR
    0.00722
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    169.00000
  • Minimum
    0.97566
  • Quartile 1
    0.99833
  • Median
    1.00057
  • Quartile 3
    1.00257
  • Maximum
    1.01258
  • Mean of quarter 1
    0.99395
  • Mean of quarter 2
    0.99970
  • Mean of quarter 3
    1.00154
  • Mean of quarter 4
    1.00544
  • Inter Quartile Range
    0.00424
  • Number outliers low
    8.00000
  • Percentage of outliers low
    0.04734
  • Mean of outliers low
    0.98650
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.01775
  • Mean of outliers high
    1.01171
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.04377
  • VaR(95%) (moments method)
    0.00465
  • Expected Shortfall (moments method)
    0.00637
  • Extreme Value Index (regression method)
    0.03210
  • VaR(95%) (regression method)
    0.00561
  • Expected Shortfall (regression method)
    0.00819
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00051
  • Quartile 1
    0.00901
  • Median
    0.01246
  • Quartile 3
    0.03689
  • Maximum
    0.10833
  • Mean of quarter 1
    0.00051
  • Mean of quarter 2
    0.01184
  • Mean of quarter 3
    0.01308
  • Mean of quarter 4
    0.10833
  • Inter Quartile Range
    0.02788
  • 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
    0.10833
  • 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)
    0.02915
  • Compounded annual return (geometric extrapolation)
    0.02930
  • Calmar ratio (compounded annual return / max draw down)
    0.27046
  • Compounded annual return / average of 25% largest draw downs
    0.27046
  • Compounded annual return / Expected Shortfall lognormal
    2.90516
  • 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
    0.01430
  • SD
    0.07610
  • Sharpe ratio (Glass type estimate)
    0.18795
  • Sharpe ratio (Hedges UMVUE)
    0.18686
  • df
    130.00000
  • t
    0.13290
  • p
    0.49417
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.58419
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.95961
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.58504
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.95876
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.23404
  • Upside Potential Ratio
    6.62534
  • Upside part of mean
    0.40491
  • Downside part of mean
    -0.39060
  • Upside SD
    0.04487
  • Downside SD
    0.06111
  • 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
    0.16246
  • Mean of criterion
    0.01430
  • SD of predictor
    0.23565
  • SD of criterion
    0.07610
  • Covariance
    0.00750
  • r
    0.41847
  • b (slope, estimate of beta)
    0.13514
  • a (intercept, estimate of alpha)
    -0.00765
  • Mean Square Error
    0.00481
  • DF error
    129.00000
  • t(b)
    5.23310
  • p(b)
    0.24159
  • t(a)
    -0.07791
  • p(a)
    0.50437
  • Lowerbound of 95% confidence interval for beta
    0.08405
  • Upperbound of 95% confidence interval for beta
    0.18624
  • Lowerbound of 95% confidence interval for alpha
    -0.20198
  • Upperbound of 95% confidence interval for alpha
    0.18667
  • Treynor index (mean / b)
    0.10584
  • Jensen alpha (a)
    -0.00765
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.01141
  • SD
    0.07638
  • Sharpe ratio (Glass type estimate)
    0.14944
  • Sharpe ratio (Hedges UMVUE)
    0.14857
  • df
    130.00000
  • t
    0.10567
  • p
    0.49537
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.62267
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.92106
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.62329
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.92044
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.18538
  • Upside Potential Ratio
    6.55906
  • Upside part of mean
    0.40386
  • Downside part of mean
    -0.39245
  • Upside SD
    0.04471
  • Downside SD
    0.06157
  • 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
    0.13514
  • Mean of criterion
    0.01141
  • SD of predictor
    0.23387
  • SD of criterion
    0.07638
  • Covariance
    0.00759
  • r
    0.42496
  • b (slope, estimate of beta)
    0.13879
  • a (intercept, estimate of alpha)
    -0.00734
  • Mean Square Error
    0.00482
  • DF error
    129.00000
  • t(b)
    5.33197
  • p(b)
    0.23784
  • t(a)
    -0.07474
  • p(a)
    0.50419
  • VAR (95 Confidence Intrvl)
    0.00800
  • Lowerbound of 95% confidence interval for beta
    0.08729
  • Upperbound of 95% confidence interval for beta
    0.19029
  • Lowerbound of 95% confidence interval for alpha
    -0.20168
  • Upperbound of 95% confidence interval for alpha
    0.18699
  • Treynor index (mean / b)
    0.08224
  • Jensen alpha (a)
    -0.00734
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00769
  • Expected Shortfall on VaR
    0.00964
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00287
  • Expected Shortfall on VaR
    0.00634
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97566
  • Quartile 1
    0.99868
  • Median
    1.00057
  • Quartile 3
    1.00227
  • Maximum
    1.01218
  • Mean of quarter 1
    0.99450
  • Mean of quarter 2
    0.99990
  • Mean of quarter 3
    1.00140
  • Mean of quarter 4
    1.00489
  • Inter Quartile Range
    0.00360
  • Number outliers low
    10.00000
  • Percentage of outliers low
    0.07634
  • Mean of outliers low
    0.98857
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.02290
  • Mean of outliers high
    1.01030
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.47763
  • VaR(95%) (moments method)
    0.00497
  • Expected Shortfall (moments method)
    0.01119
  • Extreme Value Index (regression method)
    0.28099
  • VaR(95%) (regression method)
    0.00587
  • Expected Shortfall (regression method)
    0.01073
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00130
  • Quartile 1
    0.00232
  • Median
    0.00978
  • Quartile 3
    0.02282
  • Maximum
    0.07487
  • Mean of quarter 1
    0.00148
  • Mean of quarter 2
    0.00638
  • Mean of quarter 3
    0.02131
  • Mean of quarter 4
    0.04960
  • Inter Quartile Range
    0.02050
  • 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
    0.14286
  • Mean of outliers high
    0.07487
  • 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?
    -378367000
  • Max Equity Drawdown (num days)
    66
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.03971
  • Compounded annual return (geometric extrapolation)
    0.04010
  • Calmar ratio (compounded annual return / max draw down)
    0.53565
  • Compounded annual return / average of 25% largest draw downs
    0.80849
  • Compounded annual return / Expected Shortfall lognormal
    4.15943

Strategy Description

A multi-strategy is implemented in this system.

Systems are used that are either based on the well-known momentum effect of stocks or have their origins in statistical evaluations. In addition, market timing is represented in some strategies using the tried and tested indicators I developed:

SR1 (developed in 2010-2012), momentum indicator for the entire market

SR2 (developed in 2010-2012), evaluation of market cycles in relation to investors' risk appetite

and SR3 (developed in 2020), evaluation of market cycles in relation to market rotations within sectors

Immediately after entry, these strategies are the most sensitive and exit quickly again if the market is trending significantly downward. Once the positions are in the plus, the stops are adjusted and can increase their stop distance compared to the initial stop. This is how the principle of limiting losses and letting profits run is implemented. But there are also systems that exit less quickly and do not exit in the event of medium setbacks. This offers the opportunity to mitigate false signals from other systems.

The stock selection is partly system-related (high momentum), but mostly selected at my discretion and includes companies (from the SP500). The stock selection mainly takes into account very large companies with a business model from which growth can also be expected in the long term and which have a significant market share.

The distribution should include various sectors, but tend to be technology-heavy. The stock selection will concentrate on a few stocks (approx. 10-15). There will be 4 ETFs: SP500, Russell2000, Gold and Oil.

Diversification and risk minimization are important criteria for this system and take precedence over maximum return. Significantly less capital should be invested in stocks, especially in major crises. In these phases, gold can be invested.

An attempt is made to reduce risk through diversification and strict money management:

Risk minimization through 10 different strategies that share the capital.
Momentum strategies, cyclical strategies, purely statistical strategies.

Risk minimization through distribution across 10-15 large companies and 4 liquid ETFs:
SP500, Russell2000, Gold, Oil

Risk minimization through money management:

Through money management, individual stocks are assigned a maximum position risk of approx. 1% and for indices a maximum of approx. 2% (always in relation to the total capital). This is calculated in relation to the position size and the stop distance. In volatile times, the stopped out trades can exceed 2% of the portfolio value.

Risk minimization through variable investment ratio:

The system is only 100% invested if all strategies receive entry signals. On average, the system is only invested to around 75% and can therefore reduce general market risks in phases with less capital investment.

The aim is not to invest more than 1.4% of the portfolio overall. A 2x leveraged SP500 can be used for this, with a maximum holding period of 1-15 trading days. During this time, the maximum leverage for the entire portfolio is set at 1.2. Limited to a short period of 2 days, the portfolio can be increased to a factor of 1.4. This means that the system is only leveraged in rare cases and then only moderately. A margin account is not required.

Experience in strategy development:

I started developing stock strategies in 2010. Since 2013, these have been shown in their development on my homepage: https://www.aktienstrategie-handelssystem.de/

This strategy shown here has been traded by me in the live depot since January 2023 (https://www.aktienstrategie-handelssystem.de/strategien-performance/live-depot-big-player/) see SR2/3 BIG PLAYER (so far with 11% German stocks and partly with a DAX ETF. Only US stocks and US ETFs are traded in this strategy). A backtest was created over the last 30 years (https://www.aktienstrategie-handelssystem.de/strategien-performance/multi-system-sr2-3-big-player-usa/). There was no mathematical optimization of variables regarding the system parameters in order to avoid curve fitting.

Note: Backtests do not guarantee future results, but they do provide good indications of how the system behaved in the most diverse stock market phases. Care is taken to calculate the backtests in the area of ​​systematic stock selection using data that is as free of survivorship bias as possible. With a discretionary approach to stock selection, the backtest is more meaningful for the recent past (e.g. 3-5 years).

Live real money portfolios have been documented on my homepage since 2017.
Trade this strategy at Tradier

Summary Statistics

Strategy began
2025-01-07
Suggested Minimum Capital
$15,000
Rank at C2 %
Top 7.7%
Rank # 
#321
# Trades
51
# Profitable
27
% Profitable
52.9%
Net Dividends
$129
Correlation S&P500
0.458
Sharpe Ratio
-0.23
Sortino Ratio
-0.29
Beta
0.18
Alpha
-0.01
Leverage
0.64 Average
1.10 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

subscribed on started simulation

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.