Collective2 Collective2
Featured Strategy Prophet Alpha Followed by live capital $193,000 Hypothetical

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Prophet Alpha
(153868456)

Created by: KennethChambers KennethChambers
Started: 12/2025
Stocks
Last trade: Yesterday
Trading style: Equity Non-hedged 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 $99.00 per month.

C2Star

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

You can read more about C2Star certification requirements here.

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

Trading Category: Equity
Non-hedged Equity
Category: Equity

Non-hedged Equity

Predominantly long equities, although some hedging with short sales of stocks and/or stock index options. Commonly known as "stock-pickers."
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.
110.2%
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.

(15.3%)
Max Drawdown
8976
Num Trades
32.4%
Win Trades
1.7 : 1
Profit Factor
100.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2025                                                                             +0.3%+0.3%
2026+17.1%+23.5%+3.2%+7.7%+2.7%+3.1%+21.6%+1.2%                        +109.6%

Model Account Details

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

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

LiveSignal

Community chat and highlights.
Open LiveSignal

Live Chat

hello everyone ! last night while i was sleeping the VPS restarted on it's own, and was not managing positions, it would have correctly exited via the correlation filter. but that ...
Just an update: I've successfully migrated all the code to the new server- hopefully won't have issues in the future , once the market opens back up i will start the script again, ...
After careful investigation into what happened, I pieced together a full report from collective 2 and also the data from my database I use to track various metrics about the strate...
what is the best Broker for this strategy ?
i'd recommend tradier tiered pricing But it is actually now optimized for IBKR as well @SAMIRELALAMI2
Since early july i've made some modifications to the system that should help with commission fees. core strategy has not changed - it remains the same since december last year.
Open LiveSignal

Trading Record

This strategy has placed 8,161 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
8/6/26 15:12 USO UNITED STATES OIL LONG 22 118.70 8/6 15:23 118.73 0.01%
Trade id #157174063
Max drawdown($3)
Time8/6/26 15:18
Quant open22
Worst price118.55
Drawdown as % of equity-0.01%
 $1
Includes Typical Broker Commissions trade costs of $0.44
8/6/26 14:40 ORCL ORACLE CORP LONG 21 143.83 8/6 15:14 143.72 0.03%
Trade id #157173673
Max drawdown($10)
Time8/6/26 14:57
Quant open21
Worst price143.32
Drawdown as % of equity-0.03%
 ($2)
Includes Typical Broker Commissions trade costs of $0.42
8/6/26 14:48 PLTR PALANTIR TECHNOLOGIES INC. CLASS A LONG 17 155.55 8/6 15:14 155.42 0.02%
Trade id #157173797
Max drawdown($8)
Time8/6/26 15:05
Quant open17
Worst price155.07
Drawdown as % of equity-0.02%
 ($2)
Includes Typical Broker Commissions trade costs of $0.34
8/6/26 15:06 NFLX NETFLIX LONG 28 73.62 8/6 15:08 73.60 0%
Trade id #157174006
Max drawdown($1)
Time8/6/26 15:08
Quant open28
Worst price73.57
Drawdown as % of equity-0.00%
 ($2)
Includes Typical Broker Commissions trade costs of $0.56
8/6/26 15:04 MSTR STRATEGY INC CLASS A LONG 27 95.98 8/6 15:05 95.87 0.01%
Trade id #157173970
Max drawdown($3)
Time8/6/26 15:05
Quant open27
Worst price95.87
Drawdown as % of equity-0.01%
 ($4)
Includes Typical Broker Commissions trade costs of $0.54
8/6/26 15:00 MSTR STRATEGY INC CLASS A LONG 27 95.89 8/6 15:03 96.03 n/a $3
Includes Typical Broker Commissions trade costs of $0.54
8/6/26 14:42 SLV ISHARES SILVER TRUST LONG 43 55.54 8/6 14:51 55.60 n/a $2
Includes Typical Broker Commissions trade costs of $0.86
8/6/26 14:31 USO UNITED STATES OIL LONG 32 118.27 8/6 14:45 118.16 0.01%
Trade id #157173483
Max drawdown($5)
Time8/6/26 14:37
Quant open32
Worst price118.09
Drawdown as % of equity-0.01%
 ($4)
Includes Typical Broker Commissions trade costs of $0.64
8/6/26 14:40 SLV ISHARES SILVER TRUST LONG 43 55.59 8/6 14:41 55.56 0%
Trade id #157173680
Max drawdown($1)
Time8/6/26 14:41
Quant open43
Worst price55.56
Drawdown as % of equity-0.00%
 ($2)
Includes Typical Broker Commissions trade costs of $0.86
8/6/26 14:35 NVDA NVIDIA LONG 14 219.83 8/6 14:39 219.83 0%
Trade id #157173626
Max drawdown($1)
Time8/6/26 14:39
Quant open14
Worst price219.73
Drawdown as % of equity-0.00%
 $0
Includes Typical Broker Commissions trade costs of $0.28
8/6/26 14:35 ORCL ORACLE CORP LONG 16 143.99 8/6 14:38 143.97 0%
Trade id #157173633
Max drawdown($1)
Time8/6/26 14:38
Quant open16
Worst price143.92
Drawdown as % of equity-0.00%
 $0
Includes Typical Broker Commissions trade costs of $0.32
8/6/26 14:26 MSTR STRATEGY INC CLASS A LONG 31 96.55 8/6 14:29 96.47 0.01%
Trade id #157173435
Max drawdown($3)
Time8/6/26 14:29
Quant open31
Worst price96.45
Drawdown as % of equity-0.01%
 ($3)
Includes Typical Broker Commissions trade costs of $0.62
8/6/26 14:24 SLV ISHARES SILVER TRUST LONG 67 55.58 8/6 14:28 55.59 n/a $0
Includes Typical Broker Commissions trade costs of $1.34
8/6/26 14:24 MSTR STRATEGY INC CLASS A LONG 31 96.68 8/6 14:25 96.61 0%
Trade id #157173393
Max drawdown($2)
Time8/6/26 14:25
Quant open31
Worst price96.61
Drawdown as % of equity-0.00%
 ($3)
Includes Typical Broker Commissions trade costs of $0.62
8/6/26 14:17 MSTR STRATEGY INC CLASS A LONG 39 96.94 8/6 14:22 96.82 0.01%
Trade id #157173328
Max drawdown($4)
Time8/6/26 14:22
Quant open39
Worst price96.81
Drawdown as % of equity-0.01%
 ($5)
Includes Typical Broker Commissions trade costs of $0.78
8/6/26 14:01 PLTR PALANTIR TECHNOLOGIES INC. CLASS A LONG 16 156.15 8/6 14:16 156.22 0.02%
Trade id #157173106
Max drawdown($7)
Time8/6/26 14:06
Quant open16
Worst price155.66
Drawdown as % of equity-0.02%
 $1
Includes Typical Broker Commissions trade costs of $0.32
8/6/26 14:10 GOOGL ALPHABET INC CLASS A LONG 9 356.97 8/6 14:15 357.15 n/a $2
Includes Typical Broker Commissions trade costs of $0.18
8/6/26 14:12 USO UNITED STATES OIL LONG 22 118.24 8/6 14:14 118.19 0%
Trade id #157173240
Max drawdown($1)
Time8/6/26 14:14
Quant open22
Worst price118.19
Drawdown as % of equity-0.00%
 ($1)
Includes Typical Broker Commissions trade costs of $0.44
8/6/26 14:10 MSTR STRATEGY INC CLASS A LONG 27 96.66 8/6 14:11 96.53 0.01%
Trade id #157173203
Max drawdown($4)
Time8/6/26 14:11
Quant open27
Worst price96.53
Drawdown as % of equity-0.01%
 ($5)
Includes Typical Broker Commissions trade costs of $0.54
8/6/26 14:07 GOOGL ALPHABET INC CLASS A LONG 8 357.36 8/6 14:08 357.13 0%
Trade id #157173162
Max drawdown($2)
Time8/6/26 14:08
Quant open8
Worst price357.13
Drawdown as % of equity-0.00%
 ($2)
Includes Typical Broker Commissions trade costs of $0.16
8/6/26 14:02 SLV ISHARES SILVER TRUST LONG 47 55.52 8/6 14:07 55.54 0%
Trade id #157173120
Max drawdown($0)
Time8/6/26 14:04
Quant open47
Worst price55.52
Drawdown as % of equity-0.00%
 $0
Includes Typical Broker Commissions trade costs of $0.94
8/6/26 14:01 GOOGL ALPHABET INC CLASS A LONG 9 357.65 8/6 14:04 357.56 0%
Trade id #157173098
Max drawdown($2)
Time8/6/26 14:04
Quant open9
Worst price357.42
Drawdown as % of equity-0.00%
 ($1)
Includes Typical Broker Commissions trade costs of $0.18
8/6/26 13:58 SLV ISHARES SILVER TRUST LONG 54 55.55 8/6 14:01 55.52 0%
Trade id #157173067
Max drawdown($1)
Time8/6/26 14:01
Quant open54
Worst price55.52
Drawdown as % of equity-0.00%
 ($3)
Includes Typical Broker Commissions trade costs of $1.08
8/6/26 13:52 MSTR STRATEGY INC CLASS A LONG 39 96.97 8/6 13:59 96.95 0%
Trade id #157173004
Max drawdown($1)
Time8/6/26 13:55
Quant open39
Worst price96.93
Drawdown as % of equity-0.00%
 ($2)
Includes Typical Broker Commissions trade costs of $0.78
8/6/26 13:53 ORCL ORACLE CORP LONG 21 143.85 8/6 13:54 143.78 0%
Trade id #157173020
Max drawdown($2)
Time8/6/26 13:54
Quant open21
Worst price143.78
Drawdown as % of equity-0.00%
 ($2)
Includes Typical Broker Commissions trade costs of $0.42
8/6/26 13:42 NVDA NVIDIA LONG 11 218.65 8/6 13:50 218.68 n/a $0
Includes Typical Broker Commissions trade costs of $0.22
8/6/26 13:26 SLV ISHARES SILVER TRUST LONG 67 55.48 8/6 13:50 55.50 0.02%
Trade id #157172797
Max drawdown($7)
Time8/6/26 13:37
Quant open67
Worst price55.37
Drawdown as % of equity-0.02%
 $0
Includes Typical Broker Commissions trade costs of $1.34
8/6/26 13:40 PLTR PALANTIR TECHNOLOGIES INC. CLASS A LONG 19 155.75 8/6 13:43 155.67 0%
Trade id #157172914
Max drawdown($1)
Time8/6/26 13:43
Quant open19
Worst price155.65
Drawdown as % of equity-0.00%
 ($2)
Includes Typical Broker Commissions trade costs of $0.38
8/6/26 13:34 PLTR PALANTIR TECHNOLOGIES INC. CLASS A LONG 19 155.97 8/6 13:39 156.02 0.01%
Trade id #157172861
Max drawdown($4)
Time8/6/26 13:39
Quant open19
Worst price155.73
Drawdown as % of equity-0.01%
 $1
Includes Typical Broker Commissions trade costs of $0.38
8/6/26 13:30 PLTR PALANTIR TECHNOLOGIES INC. CLASS A LONG 19 155.76 8/6 13:32 155.65 0%
Trade id #157172825
Max drawdown($2)
Time8/6/26 13:32
Quant open19
Worst price155.65
Drawdown as % of equity-0.00%
 ($2)
Includes Typical Broker Commissions trade costs of $0.38

Statistics

  • Strategy began
    12/18/2025
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    231.15
  • Age
    8 months ago
  • What it trades
    Stocks
  • # Trades
    8976
  • # Profitable
    2912
  • % Profitable
    32.40%
  • Avg trade duration
    4.7 hours
  • Max peak-to-valley drawdown
    15.27%
  • drawdown period
    Feb 11, 2026 - April 21, 2026
  • Cumul. Return
    110.2%
  • Avg win
    $21.36
  • Avg loss
    $6.10
  • Model Account Values (Raw)
  • Cash
    $45,161
  • Margin Used
    $0
  • Buying Power
    $45,161
  • Ratios
  • W:L ratio
    1.68:1
  • Sharpe Ratio
    3
  • Sortino Ratio
    10.2
  • Calmar Ratio
    27.882
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    96.41%
  • Correlation to SP500
    -0.20540
  • Return Percent SP500 (cumu) during strategy life
    13.80%
  • Return Statistics
  • Ann Return (w trading costs)
    217.6%
  • Slump
  • Current Slump as Pcnt Equity
    0.20%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.01%
  • 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)
    1.102%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    259.9%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    8.00%
  • 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
    100.00%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    979
  • Popularity (Last 6 weeks)
    953
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    925
  • Popularity (7 days, Percentile 1000 scale)
    966
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $6
  • Avg Win
    $21
  • Sum Trade PL (losers)
    $37,005.000
  • Age
  • Num Months filled monthly returns table
    9
  • Win / Loss
  • Sum Trade PL (winners)
    $62,205.000
  • # Winners
    2912
  • Num Months Winners
    9
  • Dividends
  • Dividends Received in Model Acct
    -26
  • AUM
  • AUM (AutoTrader live capital)
    193245
  • Win / Loss
  • # Losers
    6064
  • % Winners
    32.4%
  • Frequency
  • Avg Position Time (mins)
    282.05
  • Avg Position Time (hrs)
    4.70
  • Avg Trade Length
    0.2 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    0.96
  • Daily leverage (max)
    4.18
  • Regression
  • Alpha
    0.36
  • Beta
    -0.51
  • Treynor Index
    -0.65
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    41.06
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    35.22
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.79
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    39.503
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.359
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.312
  • Hold-and-Hope Ratio
    0.025
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.52447
  • SD
    0.40870
  • Sharpe ratio (Glass type estimate)
    3.73000
  • Sharpe ratio (Hedges UMVUE)
    3.23998
  • df
    6.00000
  • t
    2.84884
  • p
    0.01461
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.34991
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.93271
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.08628
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.39368
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    1.52447
  • Downside part of mean
    0.00000
  • Upside SD
    0.58038
  • Downside SD
    0.00000
  • N nonnegative terms
    7.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    7.00000
  • Mean of predictor
    0.16420
  • Mean of criterion
    1.52447
  • SD of predictor
    0.15406
  • SD of criterion
    0.40870
  • Covariance
    -0.02028
  • r
    -0.32214
  • b (slope, estimate of beta)
    -0.85458
  • a (intercept, estimate of alpha)
    1.66479
  • Mean Square Error
    0.17965
  • DF error
    5.00000
  • t(b)
    -0.76088
  • p(b)
    0.75947
  • t(a)
    2.84683
  • p(a)
    0.01798
  • Lowerbound of 95% confidence interval for beta
    -3.74186
  • Upperbound of 95% confidence interval for beta
    2.03270
  • Lowerbound of 95% confidence interval for alpha
    0.16148
  • Upperbound of 95% confidence interval for alpha
    3.16810
  • Treynor index (mean / b)
    -1.78388
  • Jensen alpha (a)
    1.66479
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.38089
  • SD
    0.35243
  • Sharpe ratio (Glass type estimate)
    3.91820
  • Sharpe ratio (Hedges UMVUE)
    3.40345
  • df
    6.00000
  • t
    2.99257
  • p
    0.01212
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.47180
  • Upperbound of 95% confidence interval for Sharpe Ratio
    7.18626
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.19511
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.61179
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    1.38089
  • Downside part of mean
    0.00000
  • Upside SD
    0.51514
  • Downside SD
    0.00000
  • N nonnegative terms
    7.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    7.00000
  • Mean of predictor
    0.15325
  • Mean of criterion
    1.38089
  • SD of predictor
    0.15120
  • SD of criterion
    0.35243
  • Covariance
    -0.01746
  • r
    -0.32759
  • b (slope, estimate of beta)
    -0.76356
  • a (intercept, estimate of alpha)
    1.49791
  • Mean Square Error
    0.13305
  • DF error
    5.00000
  • t(b)
    -0.77529
  • p(b)
    0.76339
  • t(a)
    2.99060
  • p(a)
    0.01521
  • Lowerbound of 95% confidence interval for beta
    -3.29535
  • Upperbound of 95% confidence interval for beta
    1.76823
  • Lowerbound of 95% confidence interval for alpha
    0.21032
  • Upperbound of 95% confidence interval for alpha
    2.78549
  • Treynor index (mean / b)
    -1.80848
  • Jensen alpha (a)
    1.49791
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05093
  • Expected Shortfall on VaR
    0.08979
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    7.00000
  • Minimum
    1.01445
  • Quartile 1
    1.03606
  • Median
    1.11822
  • Quartile 3
    1.17579
  • Maximum
    1.33291
  • Mean of quarter 1
    1.01448
  • Mean of quarter 2
    1.08792
  • Mean of quarter 3
    1.12034
  • Mean of quarter 4
    1.28207
  • Inter Quartile Range
    0.13973
  • 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
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • 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)
    2.12204
  • Compounded annual return (geometric extrapolation)
    2.97843
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    33.17110
  • 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
    1.36265
  • SD
    0.32644
  • Sharpe ratio (Glass type estimate)
    4.17421
  • Sharpe ratio (Hedges UMVUE)
    4.15486
  • df
    162.00000
  • t
    3.29244
  • p
    0.37478
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.64200
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.69411
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.62913
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.68058
  • Statistics related to Sortino ratio
  • Sortino ratio
    15.03530
  • Upside Potential Ratio
    22.41100
  • Upside part of mean
    2.03110
  • Downside part of mean
    -0.66845
  • Upside SD
    0.32371
  • Downside SD
    0.09063
  • N nonnegative terms
    95.00000
  • N negative terms
    68.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    163.00000
  • Mean of predictor
    0.21730
  • Mean of criterion
    1.36265
  • SD of predictor
    0.13734
  • SD of criterion
    0.32644
  • Covariance
    -0.00973
  • r
    -0.21703
  • b (slope, estimate of beta)
    -0.51585
  • a (intercept, estimate of alpha)
    1.47500
  • Mean Square Error
    0.10218
  • DF error
    161.00000
  • t(b)
    -2.82107
  • p(b)
    0.63707
  • t(a)
    3.62164
  • p(a)
    0.32749
  • Lowerbound of 95% confidence interval for beta
    -0.87696
  • Upperbound of 95% confidence interval for beta
    -0.15474
  • Lowerbound of 95% confidence interval for alpha
    0.67059
  • Upperbound of 95% confidence interval for alpha
    2.27889
  • Treynor index (mean / b)
    -2.64156
  • Jensen alpha (a)
    1.47474
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.30882
  • SD
    0.31495
  • Sharpe ratio (Glass type estimate)
    4.15567
  • Sharpe ratio (Hedges UMVUE)
    4.13640
  • df
    162.00000
  • t
    3.27781
  • p
    0.37530
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.62382
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.67520
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.61103
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.66176
  • Statistics related to Sortino ratio
  • Sortino ratio
    14.32410
  • Upside Potential Ratio
    21.68530
  • Upside part of mean
    1.98142
  • Downside part of mean
    -0.67260
  • Upside SD
    0.31108
  • Downside SD
    0.09137
  • N nonnegative terms
    95.00000
  • N negative terms
    68.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    163.00000
  • Mean of predictor
    0.20785
  • Mean of criterion
    1.30882
  • SD of predictor
    0.13728
  • SD of criterion
    0.31495
  • Covariance
    -0.00952
  • r
    -0.22022
  • b (slope, estimate of beta)
    -0.50523
  • a (intercept, estimate of alpha)
    1.41383
  • Mean Square Error
    0.09497
  • DF error
    161.00000
  • t(b)
    -2.86463
  • p(b)
    0.63906
  • t(a)
    3.60287
  • p(a)
    0.32830
  • Lowerbound of 95% confidence interval for beta
    -0.85352
  • Upperbound of 95% confidence interval for beta
    -0.15693
  • Lowerbound of 95% confidence interval for alpha
    0.63888
  • Upperbound of 95% confidence interval for alpha
    2.18878
  • Treynor index (mean / b)
    -2.59055
  • Jensen alpha (a)
    1.41383
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02665
  • Expected Shortfall on VaR
    0.03450
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00518
  • Expected Shortfall on VaR
    0.01076
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    163.00000
  • Minimum
    0.97511
  • Quartile 1
    0.99747
  • Median
    1.00041
  • Quartile 3
    1.00663
  • Maximum
    1.13634
  • Mean of quarter 1
    0.99065
  • Mean of quarter 2
    0.99926
  • Mean of quarter 3
    1.00280
  • Mean of quarter 4
    1.02804
  • Inter Quartile Range
    0.00916
  • Number outliers low
    6.00000
  • Percentage of outliers low
    0.03681
  • Mean of outliers low
    0.97975
  • Number of outliers high
    16.00000
  • Percentage of outliers high
    0.09816
  • Mean of outliers high
    1.05342
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.26946
  • VaR(95%) (moments method)
    0.00844
  • Expected Shortfall (moments method)
    0.01444
  • Extreme Value Index (regression method)
    0.04413
  • VaR(95%) (regression method)
    0.00899
  • Expected Shortfall (regression method)
    0.01317
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    17.00000
  • Minimum
    0.00011
  • Quartile 1
    0.00215
  • Median
    0.00881
  • Quartile 3
    0.02636
  • Maximum
    0.09690
  • Mean of quarter 1
    0.00104
  • Mean of quarter 2
    0.00600
  • Mean of quarter 3
    0.01738
  • Mean of quarter 4
    0.06557
  • Inter Quartile Range
    0.02421
  • 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
    0.17647
  • Mean of outliers high
    0.07854
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.08942
  • VaR(95%) (moments method)
    0.06003
  • Expected Shortfall (moments method)
    0.07863
  • Extreme Value Index (regression method)
    1.13497
  • VaR(95%) (regression method)
    0.05953
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    2.02128
  • Compounded annual return (geometric extrapolation)
    2.70179
  • Calmar ratio (compounded annual return / max draw down)
    27.88200
  • Compounded annual return / average of 25% largest draw downs
    41.20570
  • Compounded annual return / Expected Shortfall lognormal
    78.30290
  • 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
    1.15741
  • SD
    0.31882
  • Sharpe ratio (Glass type estimate)
    3.63031
  • Sharpe ratio (Hedges UMVUE)
    3.60932
  • df
    130.00000
  • t
    2.56702
  • p
    0.39018
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.81688
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.43018
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.80301
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.41564
  • Statistics related to Sortino ratio
  • Sortino ratio
    12.96330
  • Upside Potential Ratio
    20.60860
  • Upside part of mean
    1.84000
  • Downside part of mean
    -0.68259
  • Upside SD
    0.31307
  • Downside SD
    0.08928
  • N nonnegative terms
    70.00000
  • N negative terms
    61.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.23758
  • Mean of criterion
    1.15741
  • SD of predictor
    0.14543
  • SD of criterion
    0.31882
  • Covariance
    -0.00934
  • r
    -0.20134
  • b (slope, estimate of beta)
    -0.44139
  • a (intercept, estimate of alpha)
    1.26227
  • Mean Square Error
    0.09828
  • DF error
    129.00000
  • t(b)
    -2.33461
  • p(b)
    0.62731
  • t(a)
    2.83262
  • p(a)
    0.34746
  • Lowerbound of 95% confidence interval for beta
    -0.81546
  • Upperbound of 95% confidence interval for beta
    -0.06732
  • Lowerbound of 95% confidence interval for alpha
    0.38060
  • Upperbound of 95% confidence interval for alpha
    2.14394
  • Treynor index (mean / b)
    -2.62219
  • Jensen alpha (a)
    1.26227
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.10709
  • SD
    0.30682
  • Sharpe ratio (Glass type estimate)
    3.60832
  • Sharpe ratio (Hedges UMVUE)
    3.58746
  • df
    130.00000
  • t
    2.55147
  • p
    0.39081
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.79543
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.40789
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.78156
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.39336
  • Statistics related to Sortino ratio
  • Sortino ratio
    12.29920
  • Upside Potential Ratio
    19.92720
  • Upside part of mean
    1.79371
  • Downside part of mean
    -0.68662
  • Upside SD
    0.29999
  • Downside SD
    0.09001
  • N nonnegative terms
    70.00000
  • N negative terms
    61.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.22700
  • Mean of criterion
    1.10709
  • SD of predictor
    0.14531
  • SD of criterion
    0.30682
  • Covariance
    -0.00913
  • r
    -0.20476
  • b (slope, estimate of beta)
    -0.43234
  • a (intercept, estimate of alpha)
    1.20523
  • Mean Square Error
    0.09089
  • DF error
    129.00000
  • t(b)
    -2.37598
  • p(b)
    0.62944
  • t(a)
    2.81366
  • p(a)
    0.34841
  • VAR (95 Confidence Intrvl)
    0.02700
  • Lowerbound of 95% confidence interval for beta
    -0.79236
  • Upperbound of 95% confidence interval for beta
    -0.07232
  • Lowerbound of 95% confidence interval for alpha
    0.35773
  • Upperbound of 95% confidence interval for alpha
    2.05273
  • Treynor index (mean / b)
    -2.56068
  • Jensen alpha (a)
    1.20523
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02659
  • Expected Shortfall on VaR
    0.03425
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00572
  • Expected Shortfall on VaR
    0.01149
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97511
  • Quartile 1
    0.99722
  • Median
    1.00053
  • Quartile 3
    1.00529
  • Maximum
    1.13634
  • Mean of quarter 1
    0.99079
  • Mean of quarter 2
    0.99892
  • Mean of quarter 3
    1.00228
  • Mean of quarter 4
    1.02562
  • Inter Quartile Range
    0.00807
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.03817
  • Mean of outliers low
    0.97961
  • Number of outliers high
    12.00000
  • Percentage of outliers high
    0.09160
  • Mean of outliers high
    1.05206
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00720
  • VaR(95%) (moments method)
    0.00741
  • Expected Shortfall (moments method)
    0.01036
  • Extreme Value Index (regression method)
    -0.06462
  • VaR(95%) (regression method)
    0.00919
  • Expected Shortfall (regression method)
    0.01274
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    13.00000
  • Minimum
    0.00011
  • Quartile 1
    0.00215
  • Median
    0.00901
  • Quartile 3
    0.02636
  • Maximum
    0.09690
  • Mean of quarter 1
    0.00110
  • Mean of quarter 2
    0.00835
  • Mean of quarter 3
    0.02017
  • Mean of quarter 4
    0.06602
  • Inter Quartile Range
    0.02421
  • 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
    0.15385
  • Mean of outliers high
    0.08571
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.29275
  • VaR(95%) (moments method)
    0.06623
  • Expected Shortfall (moments method)
    0.11196
  • Extreme Value Index (regression method)
    2.38262
  • VaR(95%) (regression method)
    0.07632
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -384766000
  • Max Equity Drawdown (num days)
    69
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.47882
  • Compounded annual return (geometric extrapolation)
    2.02554
  • Calmar ratio (compounded annual return / max draw down)
    20.90320
  • Compounded annual return / average of 25% largest draw downs
    30.67880
  • Compounded annual return / Expected Shortfall lognormal
    59.14230

Strategy Description

Trade this strategy at Tradier

LiveSignal

Community chat and highlights.
Open LiveSignal

Live Chat

hello everyone ! last night while i was sleeping the VPS restarted on it's own, and was not managing positions, it would have correctly exited via the correlation filter. but that ...
Just an update: I've successfully migrated all the code to the new server- hopefully won't have issues in the future , once the market opens back up i will start the script again, ...
After careful investigation into what happened, I pieced together a full report from collective 2 and also the data from my database I use to track various metrics about the strate...
what is the best Broker for this strategy ?
i'd recommend tradier tiered pricing But it is actually now optimized for IBKR as well @SAMIRELALAMI2
Since early july i've made some modifications to the system that should help with commission fees. core strategy has not changed - it remains the same since december last year.
Open LiveSignal

Summary Statistics

Strategy began
2025-12-18
Suggested Minimum Capital
$35,000
Rank at C2 %
Top 7.5%
Rank # 
#324
# Trades
8976
# Profitable
2912
% Profitable
32.4%
Net Dividends
($26)
Correlation S&P500
-0.205
Sharpe Ratio
3.00
Sortino Ratio
10.20
Beta
-0.51
Alpha
0.36
Leverage
0.96 Average
4.18 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

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

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

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

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

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

Latest Activity

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.