Collective2 Collective2
Featured Strategy Lazy Trading ES +44.1% Cumul. Return since Sep 25, 2024 Hypothetical

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These are hypothetical performance results that have certain inherent limitations. Learn more
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C2 slow steady
(142012072)

Created by: Patience_iskey Patience_iskey
Started: 10/2022
Stocks
Last trade: 3 days ago
Trading style: Equity Pairs Trading / Relative Value

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 $50.00 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
Pairs Trading / Relative Value
Category: Equity

Pairs Trading / Relative Value

Seeks to exploit differences in the price or rate of the same or similar securities. The relative value fund trades on gaps, rather than the price of a specific security alone
26.3%
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.

(12.8%)
Max Drawdown
290
Num Trades
85.9%
Win Trades
2.8 : 1
Profit Factor
61.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022                                                               +5.4%(3.7%)(5.9%)(4.5%)
2023+15.4%(3.6%)+7.8%+2.9%+1.1%+2.3%+9.1%(3.3%)(5.1%)(2%)+14.6%+6.8%+53.1%
2024(3%)+11.1%+0.5%(3.6%)+3.5%+1.3%+2.7%(1.3%)+1.0%(0.7%)+1.4%      +12.9%

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 471 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
7/31/24 11:21 COIN COINBASE GLOBAL INC. CLASS A LONG 10 232.10 11/6 12:49 245.01 1.06%
Trade id #148784814
Max drawdown($859)
Time9/6/24 0:00
Quant open10
Worst price146.12
Drawdown as % of equity-1.06%
 $129
Includes Typical Broker Commissions trade costs of $0.20
9/23/24 11:25 DIS WALT DISNEY LONG 14 92.86 11/6 10:05 98.81 0.02%
Trade id #149484026
Max drawdown($19)
Time10/9/24 0:00
Quant open14
Worst price91.46
Drawdown as % of equity-0.02%
 $83
Includes Typical Broker Commissions trade costs of $0.28
5/29/24 9:32 AAL AMERICAN AIRLINES GROUP INC. C LONG 60 11.11 11/5 10:47 13.13 0.15%
Trade id #148278094
Max drawdown($122)
Time8/5/24 0:00
Quant open60
Worst price9.07
Drawdown as % of equity-0.15%
 $121
Includes Typical Broker Commissions trade costs of $1.20
9/23/24 11:18 NVDA NVIDIA LONG 10 115.23 10/14 14:51 138.83 0%
Trade id #149483956
Max drawdown($0)
Time10/2/24 0:00
Quant open10
Worst price115.14
Drawdown as % of equity-0.00%
 $236
Includes Typical Broker Commissions trade costs of $0.20
7/31/24 11:21 MSFT MICROSOFT LONG 5 417.30 9/23 11:13 434.88 0.2%
Trade id #148784823
Max drawdown($158)
Time8/5/24 0:00
Quant open5
Worst price385.58
Drawdown as % of equity-0.20%
 $88
Includes Typical Broker Commissions trade costs of $0.10
12/20/23 14:53 TSLA TESLA INC. LONG 30 245.64 9/23/24 11:12 256.97 4.29%
Trade id #146762693
Max drawdown($3,205)
Time4/22/24 0:00
Quant open30
Worst price138.80
Drawdown as % of equity-4.29%
 $339
Includes Typical Broker Commissions trade costs of $0.60
2/14/24 9:45 ABNB AIRBNB INC. CLASS A COMMON STOCK LONG 29 127.99 9/23 11:12 142.81 0.37%
Trade id #147333613
Max drawdown($295)
Time8/8/24 0:00
Quant open19
Worst price112.42
Drawdown as % of equity-0.37%
 $429
Includes Typical Broker Commissions trade costs of $0.58
9/6/24 11:19 CRWD CROWDSTRIKE HOLDINGS INC. CLASS A LONG 10 246.00 9/12 13:53 258.00 0.05%
Trade id #149302822
Max drawdown($37)
Time9/11/24 0:00
Quant open10
Worst price242.25
Drawdown as % of equity-0.05%
 $120
Includes Typical Broker Commissions trade costs of $0.20
8/5/24 9:30 F FORD MOTOR LONG 200 9.55 8/16 11:48 10.40 0.01%
Trade id #148829247
Max drawdown($12)
Time8/5/24 9:33
Quant open200
Worst price9.49
Drawdown as % of equity-0.01%
 $166
Includes Typical Broker Commissions trade costs of $4.00
7/31/24 11:22 META META PLATFORMS INC. CLASS A LONG 5 474.19 8/16 11:48 528.67 0.15%
Trade id #148784828
Max drawdown($116)
Time8/5/24 0:00
Quant open5
Worst price450.80
Drawdown as % of equity-0.15%
 $272
Includes Typical Broker Commissions trade costs of $0.10
7/31/24 11:20 CRWD CROWDSTRIKE HOLDINGS INC. CLASS A LONG 10 234.87 8/16 11:46 259.24 0.42%
Trade id #148784809
Max drawdown($340)
Time8/5/24 0:00
Quant open10
Worst price200.81
Drawdown as % of equity-0.42%
 $244
Includes Typical Broker Commissions trade costs of $0.20
2/6/24 11:14 IBKR INTERACTIVE BROKERS GROUP LONG 20 93.76 7/31 11:18 123.03 0.03%
Trade id #147238783
Max drawdown($23)
Time2/7/24 0:00
Quant open20
Worst price92.61
Drawdown as % of equity-0.03%
 $585
Includes Typical Broker Commissions trade costs of $0.40
1/2/24 9:30 AAPL APPLE LONG 17 186.26 7/31 11:18 207.40 0.5%
Trade id #146861791
Max drawdown($377)
Time4/19/24 0:00
Quant open17
Worst price164.07
Drawdown as % of equity-0.50%
 $359
Includes Typical Broker Commissions trade costs of $0.34
1/30/24 12:59 PYPL PAYPAL HOLDINGS CORP LONG 70 62.09 7/31 11:18 66.55 0.59%
Trade id #147170144
Max drawdown($422)
Time2/8/24 0:00
Quant open60
Worst price55.77
Drawdown as % of equity-0.59%
 $311
Includes Typical Broker Commissions trade costs of $1.40
3/13/24 10:35 ZS ZSCALER INC. COMMON STOCK LONG 5 201.59 7/15 9:47 206.05 0.3%
Trade id #147626468
Max drawdown($231)
Time5/30/24 0:00
Quant open5
Worst price155.25
Drawdown as % of equity-0.30%
 $22
Includes Typical Broker Commissions trade costs of $0.10
7/1/24 12:38 MPX MARINE PRODUCTS LONG 200 9.43 7/12 10:24 9.91 0.11%
Trade id #148547502
Max drawdown($94)
Time7/10/24 0:00
Quant open200
Worst price8.96
Drawdown as % of equity-0.11%
 $92
Includes Typical Broker Commissions trade costs of $4.00
2/13/24 15:46 MSFT MICROSOFT LONG 8 406.30 6/24 10:47 434.16 0.1%
Trade id #147328752
Max drawdown($73)
Time4/25/24 0:00
Quant open4
Worst price388.03
Drawdown as % of equity-0.10%
 $223
Includes Typical Broker Commissions trade costs of $0.16
2/22/24 9:36 PANW PALO ALTO NETWORKS LONG 30 275.46 6/24 10:47 300.83 0.13%
Trade id #147409134
Max drawdown($104)
Time4/4/24 0:00
Quant open10
Worst price265.00
Drawdown as % of equity-0.13%
 $760
Includes Typical Broker Commissions trade costs of $0.60
4/3/24 9:52 FL FOOT LOCKER LONG 200 23.28 6/24 10:46 26.10 0.74%
Trade id #147793330
Max drawdown($562)
Time5/1/24 0:00
Quant open200
Worst price20.47
Drawdown as % of equity-0.74%
 $560
Includes Typical Broker Commissions trade costs of $4.00
12/29/23 10:23 COIN COINBASE GLOBAL INC. CLASS A LONG 44 164.80 6/12/24 10:16 214.25 2.32%
Trade id #146842781
Max drawdown($1,662)
Time2/7/24 0:00
Quant open40
Worst price114.51
Drawdown as % of equity-2.32%
 $2,175
Includes Typical Broker Commissions trade costs of $0.88
2/13/24 15:43 AI C3.AI INC LONG 200 27.01 6/7 12:15 30.80 1.16%
Trade id #147328716
Max drawdown($881)
Time4/16/24 0:00
Quant open130
Worst price20.23
Drawdown as % of equity-1.16%
 $755
Includes Typical Broker Commissions trade costs of $4.00
4/1/24 11:26 LLY ELI LILLY LONG 3 757.02 5/23 11:09 812.41 0.15%
Trade id #147772975
Max drawdown($116)
Time4/25/24 0:00
Quant open3
Worst price718.30
Drawdown as % of equity-0.15%
 $166
Includes Typical Broker Commissions trade costs of $0.06
3/6/24 9:44 FL FOOT LOCKER LONG 120 25.49 3/28 12:47 28.34 0.51%
Trade id #147551880
Max drawdown($390)
Time3/18/24 0:00
Quant open120
Worst price22.23
Drawdown as % of equity-0.51%
 $340
Includes Typical Broker Commissions trade costs of $2.40
2/13/24 15:50 MPX MARINE PRODUCTS LONG 100 10.51 3/28 11:37 11.66 0.05%
Trade id #147328859
Max drawdown($35)
Time2/23/24 0:00
Quant open100
Worst price10.16
Drawdown as % of equity-0.05%
 $113
Includes Typical Broker Commissions trade costs of $2.00
1/31/24 10:35 GOOGL ALPHABET INC CLASS A LONG 35 139.73 3/18 10:41 150.50 0.29%
Trade id #147178491
Max drawdown($226)
Time3/5/24 0:00
Quant open25
Worst price130.66
Drawdown as % of equity-0.29%
 $376
Includes Typical Broker Commissions trade costs of $0.70
3/11/24 15:25 NVDA NVIDIA LONG 5 855.00 3/12 9:30 880.53 0.01%
Trade id #147595400
Max drawdown($10)
Time3/11/24 15:28
Quant open5
Worst price852.91
Drawdown as % of equity-0.01%
 $128
Includes Typical Broker Commissions trade costs of $0.10
2/6/24 11:39 NVDA NVIDIA LONG 4 678.00 3/8 14:10 806.17 0.08%
Trade id #147239047
Max drawdown($60)
Time2/6/24 12:21
Quant open4
Worst price663.00
Drawdown as % of equity-0.08%
 $513
Includes Typical Broker Commissions trade costs of $0.08
11/7/23 9:32 XOM EXXON MOBIL LONG 70 102.17 3/5/24 11:58 104.69 0.63%
Trade id #146355003
Max drawdown($447)
Time1/22/24 0:00
Quant open70
Worst price95.77
Drawdown as % of equity-0.63%
 $175
Includes Typical Broker Commissions trade costs of $1.40
2/6/24 11:15 AMD ADVANCED MICRO DEVICES INC. C LONG 15 168.20 3/1 9:30 197.84 0.13%
Trade id #147238786
Max drawdown($95)
Time2/21/24 0:00
Quant open15
Worst price161.81
Drawdown as % of equity-0.13%
 $445
Includes Typical Broker Commissions trade costs of $0.30
9/20/23 9:59 AAL AMERICAN AIRLINES GROUP INC. C LONG 140 13.02 2/27/24 9:30 13.70 0.41%
Trade id #145877434
Max drawdown($247)
Time10/23/23 0:00
Quant open100
Worst price10.94
Drawdown as % of equity-0.41%
 $93
Includes Typical Broker Commissions trade costs of $2.80
Next

Statistics

  • Strategy began
    10/3/2022
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    779.72
  • Age
    26 months ago
  • What it trades
    Stocks
  • # Trades
    290
  • # Profitable
    249
  • % Profitable
    85.90%
  • Avg trade duration
    30.8 days
  • Max peak-to-valley drawdown
    12.84%
  • drawdown period
    Aug 01, 2023 - Oct 26, 2023
  • Annual Return (Compounded)
    26.3%
  • Avg win
    $224.74
  • Avg loss
    $515.02
  • Model Account Values (Raw)
  • Cash
    $82,011
  • Margin Used
    $0
  • Buying Power
    $77,017
  • Ratios
  • W:L ratio
    2.80:1
  • Sharpe Ratio
    1.31
  • Sortino Ratio
    2.2
  • Calmar Ratio
    2.602
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    4.17%
  • Correlation to SP500
    0.47680
  • Return Percent SP500 (cumu) during strategy life
    60.86%
  • Verified
  • C2Star
    0
  • Return Statistics
  • Ann Return (w trading costs)
    26.3%
  • Slump
  • Current Slump as Pcnt Equity
    0.70%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.16%
  • 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)
    0.263%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    28.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    11.50%
  • 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)
    703
  • Popularity (Last 6 weeks)
    944
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    964
  • Popularity (7 days, Percentile 1000 scale)
    892
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $545
  • Avg Win
    $225
  • Sum Trade PL (losers)
    $22,361.000
  • Age
  • Num Months filled monthly returns table
    26
  • Win / Loss
  • Sum Trade PL (winners)
    $55,960.000
  • # Winners
    249
  • Num Months Winners
    16
  • Dividends
  • Dividends Received in Model Acct
    1588
  • Win / Loss
  • # Losers
    41
  • % Winners
    85.9%
  • Frequency
  • Avg Position Time (mins)
    44333.10
  • Avg Position Time (hrs)
    738.88
  • Avg Trade Length
    30.8 days
  • Last Trade Ago
    15
  • Leverage
  • Daily leverage (average)
    0.70
  • Daily leverage (max)
    1.81
  • Regression
  • Alpha
    0.03
  • Beta
    0.47
  • Treynor Index
    0.13
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    1.28
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    2.966
  • 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
    0.02
  • Avg(MAE) / Avg(PL) - Winning trades
    1.275
  • Avg(MAE) / Avg(PL) - Losing trades
    -0.948
  • Hold-and-Hope Ratio
    0.333
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.24564
  • SD
    0.17724
  • Sharpe ratio (Glass type estimate)
    1.38590
  • Sharpe ratio (Hedges UMVUE)
    1.34205
  • df
    24.00000
  • t
    2.00037
  • p
    0.02845
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.04015
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.78539
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.06793
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.75203
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.97648
  • Upside Potential Ratio
    4.42427
  • Upside part of mean
    0.36512
  • Downside part of mean
    -0.11948
  • Upside SD
    0.16845
  • Downside SD
    0.08253
  • N nonnegative terms
    16.00000
  • N negative terms
    9.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    25.00000
  • Mean of predictor
    0.21581
  • Mean of criterion
    0.24564
  • SD of predictor
    0.12845
  • SD of criterion
    0.17724
  • Covariance
    0.01437
  • r
    0.63133
  • b (slope, estimate of beta)
    0.87111
  • a (intercept, estimate of alpha)
    0.05765
  • Mean Square Error
    0.01971
  • DF error
    23.00000
  • t(b)
    3.90418
  • p(b)
    0.00036
  • t(a)
    0.53108
  • p(a)
    0.30023
  • Lowerbound of 95% confidence interval for beta
    0.40955
  • Upperbound of 95% confidence interval for beta
    1.33268
  • Lowerbound of 95% confidence interval for alpha
    -0.16689
  • Upperbound of 95% confidence interval for alpha
    0.28219
  • Treynor index (mean / b)
    0.28198
  • Jensen alpha (a)
    0.05765
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.22828
  • SD
    0.17249
  • Sharpe ratio (Glass type estimate)
    1.32349
  • Sharpe ratio (Hedges UMVUE)
    1.28162
  • df
    24.00000
  • t
    1.91029
  • p
    0.03406
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.09730
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.71880
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.12385
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.68709
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.67088
  • Upside Potential Ratio
    4.10723
  • Upside part of mean
    0.35105
  • Downside part of mean
    -0.12277
  • Upside SD
    0.16000
  • Downside SD
    0.08547
  • N nonnegative terms
    16.00000
  • N negative terms
    9.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    25.00000
  • Mean of predictor
    0.20566
  • Mean of criterion
    0.22828
  • SD of predictor
    0.12751
  • SD of criterion
    0.17249
  • Covariance
    0.01422
  • r
    0.64650
  • b (slope, estimate of beta)
    0.87456
  • a (intercept, estimate of alpha)
    0.04842
  • Mean Square Error
    0.01807
  • DF error
    23.00000
  • t(b)
    4.06399
  • p(b)
    0.00024
  • t(a)
    0.46958
  • p(a)
    0.32154
  • Lowerbound of 95% confidence interval for beta
    0.42939
  • Upperbound of 95% confidence interval for beta
    1.31973
  • Lowerbound of 95% confidence interval for alpha
    -0.16488
  • Upperbound of 95% confidence interval for alpha
    0.26172
  • Treynor index (mean / b)
    0.26103
  • Jensen alpha (a)
    0.04842
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06094
  • Expected Shortfall on VaR
    0.08012
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01802
  • Expected Shortfall on VaR
    0.03970
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    25.00000
  • Minimum
    0.91492
  • Quartile 1
    0.99695
  • Median
    1.01672
  • Quartile 3
    1.05258
  • Maximum
    1.16140
  • Mean of quarter 1
    0.96777
  • Mean of quarter 2
    1.00626
  • Mean of quarter 3
    1.04070
  • Mean of quarter 4
    1.08564
  • Inter Quartile Range
    0.05563
  • 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
    0.04000
  • Mean of outliers high
    1.16140
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.45002
  • VaR(95%) (moments method)
    0.01380
  • Expected Shortfall (moments method)
    0.01705
  • Extreme Value Index (regression method)
    -0.01688
  • VaR(95%) (regression method)
    0.04641
  • Expected Shortfall (regression method)
    0.07138
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00305
  • Quartile 1
    0.00841
  • Median
    0.02018
  • Quartile 3
    0.07221
  • Maximum
    0.08868
  • Mean of quarter 1
    0.00493
  • Mean of quarter 2
    0.01322
  • Mean of quarter 3
    0.02715
  • Mean of quarter 4
    0.08796
  • Inter Quartile Range
    0.06381
  • 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)
    0.33853
  • Compounded annual return (geometric extrapolation)
    0.29200
  • Calmar ratio (compounded annual return / max draw down)
    3.29277
  • Compounded annual return / average of 25% largest draw downs
    3.31978
  • Compounded annual return / Expected Shortfall lognormal
    3.64442
  • 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
    0.23477
  • SD
    0.14322
  • Sharpe ratio (Glass type estimate)
    1.63923
  • Sharpe ratio (Hedges UMVUE)
    1.63700
  • df
    552.00000
  • t
    2.38151
  • p
    0.00879
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.28601
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.99108
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.28447
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.98953
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.82164
  • Upside Potential Ratio
    10.59850
  • Upside part of mean
    0.88183
  • Downside part of mean
    -0.64706
  • Upside SD
    0.11731
  • Downside SD
    0.08320
  • N nonnegative terms
    293.00000
  • N negative terms
    260.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    553.00000
  • Mean of predictor
    0.20821
  • Mean of criterion
    0.23477
  • SD of predictor
    0.14734
  • SD of criterion
    0.14322
  • Covariance
    0.00983
  • r
    0.46575
  • b (slope, estimate of beta)
    0.45273
  • a (intercept, estimate of alpha)
    0.14100
  • Mean Square Error
    0.01609
  • DF error
    551.00000
  • t(b)
    12.35450
  • p(b)
    -0.00000
  • t(a)
    1.60310
  • p(a)
    0.05474
  • Lowerbound of 95% confidence interval for beta
    0.38075
  • Upperbound of 95% confidence interval for beta
    0.52471
  • Lowerbound of 95% confidence interval for alpha
    -0.03166
  • Upperbound of 95% confidence interval for alpha
    0.31267
  • Treynor index (mean / b)
    0.51857
  • Jensen alpha (a)
    0.14051
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.22448
  • SD
    0.14243
  • Sharpe ratio (Glass type estimate)
    1.57615
  • Sharpe ratio (Hedges UMVUE)
    1.57401
  • df
    552.00000
  • t
    2.28987
  • p
    0.01120
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.22319
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.92774
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.22175
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.92628
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.67833
  • Upside Potential Ratio
    10.43930
  • Upside part of mean
    0.87497
  • Downside part of mean
    -0.65049
  • Upside SD
    0.11583
  • Downside SD
    0.08382
  • N nonnegative terms
    293.00000
  • N negative terms
    260.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    553.00000
  • Mean of predictor
    0.19731
  • Mean of criterion
    0.22448
  • SD of predictor
    0.14702
  • SD of criterion
    0.14243
  • Covariance
    0.00980
  • r
    0.46797
  • b (slope, estimate of beta)
    0.45336
  • a (intercept, estimate of alpha)
    0.13503
  • Mean Square Error
    0.01587
  • DF error
    551.00000
  • t(b)
    12.42970
  • p(b)
    -0.00000
  • t(a)
    1.55186
  • p(a)
    0.06064
  • Lowerbound of 95% confidence interval for beta
    0.38171
  • Upperbound of 95% confidence interval for beta
    0.52500
  • Lowerbound of 95% confidence interval for alpha
    -0.03589
  • Upperbound of 95% confidence interval for alpha
    0.30595
  • Treynor index (mean / b)
    0.49516
  • Jensen alpha (a)
    0.13503
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01352
  • Expected Shortfall on VaR
    0.01714
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00546
  • Expected Shortfall on VaR
    0.01087
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    553.00000
  • Minimum
    0.97193
  • Quartile 1
    0.99712
  • Median
    1.00047
  • Quartile 3
    1.00417
  • Maximum
    1.05360
  • Mean of quarter 1
    0.99135
  • Mean of quarter 2
    0.99904
  • Mean of quarter 3
    1.00193
  • Mean of quarter 4
    1.01175
  • Inter Quartile Range
    0.00705
  • Number outliers low
    25.00000
  • Percentage of outliers low
    0.04521
  • Mean of outliers low
    0.98242
  • Number of outliers high
    29.00000
  • Percentage of outliers high
    0.05244
  • Mean of outliers high
    1.02492
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.07018
  • VaR(95%) (moments method)
    0.00734
  • Expected Shortfall (moments method)
    0.00979
  • Extreme Value Index (regression method)
    -0.17089
  • VaR(95%) (regression method)
    0.00821
  • Expected Shortfall (regression method)
    0.01066
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    35.00000
  • Minimum
    0.00038
  • Quartile 1
    0.00391
  • Median
    0.01337
  • Quartile 3
    0.02601
  • Maximum
    0.11034
  • Mean of quarter 1
    0.00148
  • Mean of quarter 2
    0.00752
  • Mean of quarter 3
    0.01868
  • Mean of quarter 4
    0.05957
  • Inter Quartile Range
    0.02210
  • 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
    0.08571
  • Mean of outliers high
    0.09489
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.49770
  • VaR(95%) (moments method)
    0.06056
  • Expected Shortfall (moments method)
    0.07026
  • Extreme Value Index (regression method)
    -1.89224
  • VaR(95%) (regression method)
    0.06908
  • Expected Shortfall (regression method)
    0.07044
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.33333
  • Compounded annual return (geometric extrapolation)
    0.28710
  • Calmar ratio (compounded annual return / max draw down)
    2.60200
  • Compounded annual return / average of 25% largest draw downs
    4.81980
  • Compounded annual return / Expected Shortfall lognormal
    16.75100
  • 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
    0.08849
  • SD
    0.05749
  • Sharpe ratio (Glass type estimate)
    1.53912
  • Sharpe ratio (Hedges UMVUE)
    1.53022
  • df
    130.00000
  • t
    1.08832
  • p
    0.45249
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.24190
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.31433
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.24782
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.30826
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.14315
  • Upside Potential Ratio
    8.40387
  • Upside part of mean
    0.34700
  • Downside part of mean
    -0.25851
  • Upside SD
    0.04007
  • Downside SD
    0.04129
  • N nonnegative terms
    82.00000
  • N negative terms
    49.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.19845
  • Mean of criterion
    0.08849
  • SD of predictor
    0.13493
  • SD of criterion
    0.05749
  • Covariance
    0.00446
  • r
    0.57436
  • b (slope, estimate of beta)
    0.24474
  • a (intercept, estimate of alpha)
    0.03992
  • Mean Square Error
    0.00223
  • DF error
    129.00000
  • t(b)
    7.96910
  • p(b)
    0.15559
  • t(a)
    0.59499
  • p(a)
    0.46671
  • Lowerbound of 95% confidence interval for beta
    0.18398
  • Upperbound of 95% confidence interval for beta
    0.30551
  • Lowerbound of 95% confidence interval for alpha
    -0.09283
  • Upperbound of 95% confidence interval for alpha
    0.17267
  • Treynor index (mean / b)
    0.36157
  • Jensen alpha (a)
    0.03992
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.08682
  • SD
    0.05759
  • Sharpe ratio (Glass type estimate)
    1.50757
  • Sharpe ratio (Hedges UMVUE)
    1.49885
  • df
    130.00000
  • t
    1.06601
  • p
    0.45345
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.27307
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.28264
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.27894
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.27664
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.08956
  • Upside Potential Ratio
    8.33100
  • Upside part of mean
    0.34616
  • Downside part of mean
    -0.25934
  • Upside SD
    0.03992
  • Downside SD
    0.04155
  • N nonnegative terms
    82.00000
  • N negative terms
    49.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.18931
  • Mean of criterion
    0.08682
  • SD of predictor
    0.13512
  • SD of criterion
    0.05759
  • Covariance
    0.00448
  • r
    0.57570
  • b (slope, estimate of beta)
    0.24538
  • a (intercept, estimate of alpha)
    0.04037
  • Mean Square Error
    0.00223
  • DF error
    129.00000
  • t(b)
    7.99679
  • p(b)
    0.15489
  • t(a)
    0.60160
  • p(a)
    0.46634
  • VAR (95 Confidence Intrvl)
    0.01400
  • Lowerbound of 95% confidence interval for beta
    0.18467
  • Upperbound of 95% confidence interval for beta
    0.30609
  • Lowerbound of 95% confidence interval for alpha
    -0.09240
  • Upperbound of 95% confidence interval for alpha
    0.17314
  • Treynor index (mean / b)
    0.35384
  • Jensen alpha (a)
    0.04037
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00551
  • Expected Shortfall on VaR
    0.00698
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00182
  • Expected Shortfall on VaR
    0.00408
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97979
  • Quartile 1
    0.99910
  • Median
    1.00053
  • Quartile 3
    1.00203
  • Maximum
    1.01329
  • Mean of quarter 1
    0.99642
  • Mean of quarter 2
    0.99999
  • Mean of quarter 3
    1.00120
  • Mean of quarter 4
    1.00420
  • Inter Quartile Range
    0.00294
  • Number outliers low
    6.00000
  • Percentage of outliers low
    0.04580
  • Mean of outliers low
    0.99103
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.04580
  • Mean of outliers high
    1.00852
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.15195
  • VaR(95%) (moments method)
    0.00287
  • Expected Shortfall (moments method)
    0.00445
  • Extreme Value Index (regression method)
    0.07822
  • VaR(95%) (regression method)
    0.00284
  • Expected Shortfall (regression method)
    0.00418
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    11.00000
  • Minimum
    0.00046
  • Quartile 1
    0.00140
  • Median
    0.00198
  • Quartile 3
    0.00508
  • Maximum
    0.03901
  • Mean of quarter 1
    0.00086
  • Mean of quarter 2
    0.00169
  • Mean of quarter 3
    0.00391
  • Mean of quarter 4
    0.01842
  • Inter Quartile Range
    0.00368
  • 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
    0.18182
  • Mean of outliers high
    0.02482
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.16383
  • VaR(95%) (moments method)
    0.01544
  • Expected Shortfall (moments method)
    0.02130
  • Extreme Value Index (regression method)
    1.51007
  • VaR(95%) (regression method)
    0.04272
  • 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?
    -372404000
  • Max Equity Drawdown (num days)
    86
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.11808
  • Compounded annual return (geometric extrapolation)
    0.12157
  • Calmar ratio (compounded annual return / max draw down)
    3.11636
  • Compounded annual return / average of 25% largest draw downs
    6.59829
  • Compounded annual return / Expected Shortfall lognormal
    17.41090

Strategy Description

The C2 Slow and Steady trading strategy is built upon the principles of patience, long-term investment, and a strong belief in carefully selected companies. With a focus on steady growth and minimizing risk, this strategy aims to provide reliable and consistent performance for investors seeking stable returns.

Long-term Approach: The strategy is designed for long-term investors who are willing to hold positions for extended periods. It emphasizes the importance of giving the selected companies ample time to fulfill their potential.

Daily Order Placement: The strategy typically places orders on a daily basis to take advantage of short-term fluctuations while maintaining a long-term investment horizon. However, the overarching philosophy remains focused on the big picture.

Limited Diversification: The strategy typically maintains a manageable number of positions, with a maximum of 20 different companies in the portfolio at any given time. This approach allows for better monitoring and analysis of each investment.

No Short Positions: The strategy does not engage in short selling, thereby avoiding potential higher risks associated with short positions.

Fundamental Belief in Companies: Investments are made in companies that the strategy's creator firmly believes in, based on thorough fundamental analysis. The focus is on selecting strong, well-established companies with solid growth prospects.

Patient Risk Management: Emphasizing patience and discipline, the strategy avoids making impulsive decisions during market downturns or euphoria. Losses are managed carefully, and exits are only executed when there is a strong conviction that a company's potential has diminished.

Scaling Possibility: Investors have the option to scale their accounts, but the strategy creator suggests a minimum account size of 3K to ensure the timely execution of signals.

Risk and Reward:

The C2 Slow and Steady strategy aims for steady, consistent growth over time, rather than chasing quick gains. By focusing on fundamentally strong companies and exercising patience, the strategy seeks to limit downside risk while participating in potential long-term upsides. Investors should be prepared for moderate volatility in the short term but can expect a smoother equity curve over the long run.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2022-10-03
Suggested Minimum Capital
$15,000
Rank at C2 %
Top 3.6%
Rank # 
#27
# Trades
290
# Profitable
249
% Profitable
85.9%
Net Dividends
$1,588
Correlation S&P500
0.477
Sharpe Ratio
1.31
Sortino Ratio
2.20
Beta
0.47
Alpha
0.03
Leverage
0.70 Average
1.81 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.