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These are hypothetical performance results that have certain inherent limitations. Learn more

Blue Fund
(129778450)

Created by: OakSpringCapital OakSpringCapital
Started: 06/2020
Stocks
Last trade: 8 days ago
Trading style: Equity Trend-following Short-term Reversal

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.
Short-term Reversal
Category: Equity

Short-term Reversal

Exploits the tendency of stocks with strong gains and stocks with strong losses to reverse in a short-term time frame (up to one month).
10.0%
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.

(3.7%)
Max Drawdown
257
Num Trades
58.8%
Win Trades
1.7 : 1
Profit Factor
100.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020                                   +0.8%+8.6%+0.5%                        +9.9%

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.

System developer has asked us to delay this information by 168 hours.

Trading Record

This strategy has placed 426 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
7/30/20 15:43 CTSH COGNIZANT TECH SOLUTION SHORT 81 68.95 7/31 15:25 67.83 0.04%
Trade id #130372474
Max drawdown($21)
Time7/30/20 15:59
Quant open81
Worst price69.22
Drawdown as % of equity-0.04%
$89
Includes Typical Broker Commissions trade costs of $1.62
7/30/20 15:44 PGR PROGRESSIVE LONG 18 88.29 7/31 15:25 89.93 0.01%
Trade id #130372516
Max drawdown($3)
Time7/31/20 0:00
Quant open18
Worst price88.11
Drawdown as % of equity-0.01%
$30
Includes Typical Broker Commissions trade costs of $0.36
7/30/20 15:44 TGT TARGET LONG 13 124.60 7/31 15:25 125.10 0.02%
Trade id #130372522
Max drawdown($10)
Time7/31/20 13:18
Quant open13
Worst price123.79
Drawdown as % of equity-0.02%
$7
Includes Typical Broker Commissions trade costs of $0.26
7/30/20 15:44 MNST MONSTER BEVERAGE LONG 52 77.69 7/31 15:25 77.91 0.08%
Trade id #130372510
Max drawdown($45)
Time7/31/20 13:17
Quant open52
Worst price76.81
Drawdown as % of equity-0.08%
$11
Includes Typical Broker Commissions trade costs of $1.04
7/30/20 15:43 SOXL DIREXION DAILY SEMICONDCT BULL SHORT 35 229.40 7/31 11:16 225.18 0.19%
Trade id #130372471
Max drawdown($105)
Time7/31/20 9:30
Quant open35
Worst price232.40
Drawdown as % of equity-0.19%
$147
Includes Typical Broker Commissions trade costs of $0.70
7/30/20 15:43 EMR EMERSON ELECTRIC LONG 141 62.52 7/31 10:06 61.69 0.22%
Trade id #130372465
Max drawdown($121)
Time7/31/20 10:06
Quant open141
Worst price61.66
Drawdown as % of equity-0.22%
($120)
Includes Typical Broker Commissions trade costs of $2.82
7/30/20 15:42 A AGILENT TECHNOLOGIES LONG 142 96.05 7/31 9:48 95.49 0.16%
Trade id #130372440
Max drawdown($87)
Time7/31/20 9:48
Quant open142
Worst price95.44
Drawdown as % of equity-0.16%
($83)
Includes Typical Broker Commissions trade costs of $2.84
7/30/20 15:43 SCHW CHARLES SCHWAB LONG 215 33.67 7/31 9:30 33.08 0.24%
Trade id #130372506
Max drawdown($132)
Time7/31/20 0:00
Quant open215
Worst price33.05
Drawdown as % of equity-0.24%
($131)
Includes Typical Broker Commissions trade costs of $4.30
7/30/20 15:42 JCI JOHNSON CONTROLS SHORT 115 37.31 7/31 9:30 39.16 0.55%
Trade id #130372456
Max drawdown($303)
Time7/31/20 0:00
Quant open115
Worst price39.95
Drawdown as % of equity-0.55%
($214)
Includes Typical Broker Commissions trade costs of $2.30
7/29/20 15:43 DG DOLLAR GENERAL LONG 8 191.37 7/30 10:51 191.21 0.02%
Trade id #130346752
Max drawdown($10)
Time7/30/20 9:39
Quant open8
Worst price190.09
Drawdown as % of equity-0.02%
($1)
Includes Typical Broker Commissions trade costs of $0.16
7/29/20 15:41 BAM BROOKFIELD ASSET SHORT 382 33.95 7/30 10:34 32.97 n/a $364
Includes Typical Broker Commissions trade costs of $7.64
7/29/20 15:44 CB CHUBB SHORT 12 131.46 7/30 10:08 129.55 0.01%
Trade id #130346769
Max drawdown($6)
Time7/29/20 15:59
Quant open12
Worst price132.04
Drawdown as % of equity-0.01%
$23
Includes Typical Broker Commissions trade costs of $0.24
7/29/20 15:43 GE GENERAL ELECTRIC SHORT 246 6.60 7/30 10:04 6.33 0%
Trade id #130346743
Max drawdown($2)
Time7/29/20 15:46
Quant open246
Worst price6.61
Drawdown as % of equity-0.00%
$60
Includes Typical Broker Commissions trade costs of $4.92
7/29/20 15:43 RNG RINGCENTRAL INC. LONG 20 283.16 7/30 9:55 279.42 0.15%
Trade id #130346727
Max drawdown($80)
Time7/30/20 9:55
Quant open20
Worst price279.13
Drawdown as % of equity-0.15%
($75)
Includes Typical Broker Commissions trade costs of $0.40
7/29/20 15:42 APH AMPHENOL LONG 92 106.00 7/30 9:43 104.92 0.27%
Trade id #130346696
Max drawdown($146)
Time7/30/20 0:00
Quant open92
Worst price104.41
Drawdown as % of equity-0.27%
($101)
Includes Typical Broker Commissions trade costs of $1.84
7/29/20 15:42 HUM HUMANA LONG 22 396.96 7/30 9:32 392.67 0.37%
Trade id #130346703
Max drawdown($201)
Time7/30/20 0:00
Quant open22
Worst price387.80
Drawdown as % of equity-0.37%
($94)
Includes Typical Broker Commissions trade costs of $0.44
7/29/20 15:42 EW EDWARDS LIFESCIENCES LONG 61 79.61 7/30 9:31 78.12 0.24%
Trade id #130346721
Max drawdown($133)
Time7/30/20 0:00
Quant open61
Worst price77.42
Drawdown as % of equity-0.24%
($92)
Includes Typical Broker Commissions trade costs of $1.22
7/29/20 15:42 CME CME GROUP LONG 39 165.01 7/30 9:30 162.22 0.23%
Trade id #130346713
Max drawdown($129)
Time7/30/20 0:00
Quant open39
Worst price161.69
Drawdown as % of equity-0.23%
($110)
Includes Typical Broker Commissions trade costs of $0.78
7/29/20 15:44 FNV FRANCO-NEVADA LONG 10 161.89 7/30 9:30 158.81 0.08%
Trade id #130346757
Max drawdown($45)
Time7/30/20 0:00
Quant open10
Worst price157.36
Drawdown as % of equity-0.08%
($31)
Includes Typical Broker Commissions trade costs of $0.20
7/28/20 15:38 BCE BCE SHORT 152 42.11 7/29 15:32 42.23 0.04%
Trade id #130323987
Max drawdown($19)
Time7/29/20 15:32
Quant open152
Worst price42.24
Drawdown as % of equity-0.04%
($21)
Includes Typical Broker Commissions trade costs of $3.04
7/28/20 15:40 KLAC KLA CORP LONG 12 193.28 7/29 15:26 194.87 0.06%
Trade id #130324054
Max drawdown($35)
Time7/29/20 0:00
Quant open12
Worst price190.34
Drawdown as % of equity-0.06%
$19
Includes Typical Broker Commissions trade costs of $0.24
7/28/20 15:39 PEG PUBLIC SERVICE ENTERPRISE SHORT 84 52.39 7/29 15:26 52.31 0.04%
Trade id #130324017
Max drawdown($23)
Time7/29/20 0:00
Quant open84
Worst price52.67
Drawdown as % of equity-0.04%
$5
Includes Typical Broker Commissions trade costs of $1.68
7/28/20 15:38 EXC EXELON SHORT 178 37.95 7/29 14:43 38.26 0.1%
Trade id #130323978
Max drawdown($55)
Time7/29/20 14:43
Quant open178
Worst price38.27
Drawdown as % of equity-0.10%
($58)
Includes Typical Broker Commissions trade costs of $3.56
7/28/20 15:38 GM GENERAL MOTORS LONG 217 26.46 7/29 10:01 26.53 0.17%
Trade id #130323992
Max drawdown($92)
Time7/29/20 0:00
Quant open217
Worst price26.03
Drawdown as % of equity-0.17%
$12
Includes Typical Broker Commissions trade costs of $4.34
7/28/20 15:38 INFY INFOSYS LONG 402 12.61 7/29 9:37 12.76 0.03%
Trade id #130323995
Max drawdown($16)
Time7/28/20 15:57
Quant open402
Worst price12.57
Drawdown as % of equity-0.03%
$51
Includes Typical Broker Commissions trade costs of $8.04
7/28/20 15:40 LULU LULULEMON ATHLETICA SHORT 6 322.71 7/29 9:37 326.79 0.05%
Trade id #130324064
Max drawdown($27)
Time7/29/20 9:37
Quant open6
Worst price327.33
Drawdown as % of equity-0.05%
($25)
Includes Typical Broker Commissions trade costs of $0.12
7/29/20 9:36 CMG CHIPOTLE MEXICAN GRILL SHORT 4 1126.19 7/29 9:36 1127.96 0.01%
Trade id #130337495
Max drawdown($7)
Time7/29/20 9:36
Quant open4
Worst price1127.96
Drawdown as % of equity-0.01%
($7)
Includes Typical Broker Commissions trade costs of $0.08
7/28/20 15:39 CP CANADIAN PACIFIC RAILWAY LONG 11 274.84 7/29 9:36 278.03 0.01%
Trade id #130324024
Max drawdown($8)
Time7/28/20 15:57
Quant open11
Worst price274.11
Drawdown as % of equity-0.01%
$35
Includes Typical Broker Commissions trade costs of $0.22
7/28/20 15:39 VEEV VEEVA SYSTEMS INC LONG 11 252.10 7/29 9:36 253.74 0.02%
Trade id #130324039
Max drawdown($13)
Time7/28/20 15:57
Quant open11
Worst price250.86
Drawdown as % of equity-0.02%
$18
Includes Typical Broker Commissions trade costs of $0.22
7/28/20 15:39 CMG CHIPOTLE MEXICAN GRILL LONG 4 1117.04 7/29 9:36 1126.78 0.05%
Trade id #130324003
Max drawdown($26)
Time7/28/20 15:58
Quant open4
Worst price1110.30
Drawdown as % of equity-0.05%
$39
Includes Typical Broker Commissions trade costs of $0.08

Statistics

  • Strategy began
    6/26/2020
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    42.81
  • Age
    43 days ago
  • What it trades
    Stocks
  • # Trades
    257
  • # Profitable
    151
  • % Profitable
    58.80%
  • Avg trade duration
    1.2 days
  • Max peak-to-valley drawdown
    3.68%
  • drawdown period
    July 15, 2020 - July 27, 2020
  • Cumul. Return
    10.0%
  • Avg win
    $87.55
  • Avg loss
    $71.91
  • Model Account Values (Raw)
  • Cash
    $97,188
  • Margin Used
    $68,932
  • Buying Power
    $28,140
  • Ratios
  • W:L ratio
    1.73:1
  • Sharpe Ratio
    5.54
  • Sortino Ratio
    11.28
  • Calmar Ratio
    65.136
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -1.42%
  • Correlation to SP500
    0.14050
  • Return Percent SP500 (cumu) during strategy life
    11.37%
  • Verified
  • C2Star
    1
  • Return Statistics
  • Ann Return (w trading costs)
    113.4%
  • Slump
  • Current Slump as Pcnt Equity
    2.30%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.100%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.55%
  • Instruments
  • Percent Trades Stocks
    1.00%
  • Short Options - Percent Covered
    100.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    141.9%
  • Automation
  • Percentage Signals Automated
    n/a
  • Popularity
  • Popularity (Today)
    915
  • Popularity (Last 6 weeks)
    951
  • Popularity (7 days, Percentile 1000 scale)
    940
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    722
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Strat abandoned?
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Win
    $88
  • Avg Loss
    $72
  • Sum Trade PL (losers)
    $7,622.000
  • # Winners
    151
  • Num Months Winners
    3
  • Age
  • Num Months filled monthly returns table
    3
  • AUM
  • AUM (AutoTrader num accounts)
    4
  • Win / Loss
  • Sum Trade PL (winners)
    $13,220.000
  • Dividends
  • Dividends Received in Model Acct
    0
  • AUM
  • AUM (AutoTrader live capital)
    193356
  • Win / Loss
  • # Losers
    106
  • % Winners
    58.8%
  • Frequency
  • Avg Position Time (mins)
    1773.83
  • Avg Position Time (hrs)
    29.56
  • Avg Trade Length
    1.2 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    1.09
  • Daily leverage (max)
    1.72
  • Regression
  • Alpha
    0.20
  • Beta
    0.14
  • Treynor Index
    1.68
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.95
  • Avg(MAE) / Avg(PL) - All trades
    3.271
  • MAE:Equity, 95th Percentile Value for this strat
    0.00
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.372
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.393
  • Hold-and-Hope Ratio
    0.309
  • Analysis based on DAILY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to linear regression on benchmark
  • a (intercept, estimate of alpha)
    0.85200
  • Analysis based on DAILY values, last 6 months only
  • Ratio statistics of excess log return rates
  • VAR (95 Confidence Intrvl)
    0.00900
  • DRAW DOWN STATISTICS
  • Risk estimates based on draw downs (based on Extreme Value T
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -271340000
  • Max Equity Drawdown (num days)
    12
  • Last 4 Months - Pcnt Negative
    n/a

Strategy Description

Summary Statistics

Strategy began
2020-06-26
Suggested Minimum Capital
$35,000
# Trades
257
# Profitable
151
% Profitable
58.8%
Correlation S&P500
0.141
Sharpe Ratio
5.54
Sortino Ratio
11.28
Beta
0.14
Alpha
0.20
Leverage
1.09 Average
1.72 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

#PERSONNAME#
subscribed on started simulation #SUBSCRIBEDDATE#

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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Suggested Minimum Capital

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