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Featured Strategy QUANT AI Gold and Silver +50.8% Cumul. Return since Sep 23, 2025 Hypothetical

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US Stock Momentum
(151894080)

Created by: KDT95 KDT95
Started: 06/2025
Stocks
Last trade: 18 days ago
Trading style: Equity Momentum

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 $59.00 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
Momentum
Category: Equity

Momentum

Aims to capitalize on the continuance of existing trends in the market. Trader takes a long position in an asset in an upward trend, and short-sells a security that has been in a downward trend. While similar to Trend-following, tends to be more forward-looking (predicting oncoming trend), while Momentum is more backward-looking (observing already-established price direction).
152.7%
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.

(16.3%)
Max Drawdown
90
Num Trades
65.6%
Win Trades
5.2 : 1
Profit Factor
75.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2025                                   +0.7%(0.6%)+1.2%+10.5%+12.5%(4.7%)+6.8%+28.3%
2026+27.5%(2.2%)+11.4%+35.7%+4.4%                                          +97.0%

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 64 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 18 days ago.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
5/1/26 9:36 MU MICRON TECHNOLOGY SHORT 25 516.23 5/1 9:37 518.95 0.07%
Trade id #155867732
Max drawdown($68)
Time5/1/26 9:37
Quant open25
Worst price518.95
Drawdown as % of equity-0.07%
 ($69)
Includes Typical Broker Commissions trade costs of $0.50
4/1/26 9:42 GLW CORNING LONG 9 141.95 5/1 9:37 161.76 0.07%
Trade id #155340068
Max drawdown($50)
Time4/2/26 0:00
Quant open9
Worst price136.34
Drawdown as % of equity-0.07%
 $178
Includes Typical Broker Commissions trade costs of $0.18
4/1/26 9:41 AMAT APPLIED MATERIALS LONG 7 354.78 5/1 9:36 390.95 0.17%
Trade id #155340033
Max drawdown($122)
Time4/2/26 0:00
Quant open7
Worst price337.25
Drawdown as % of equity-0.17%
 $253
Includes Typical Broker Commissions trade costs of $0.14
4/1/26 9:40 LRCX LAM RESEARCH LONG 17 218.93 5/1 9:36 252.82 0.24%
Trade id #155340013
Max drawdown($172)
Time4/2/26 0:00
Quant open17
Worst price208.80
Drawdown as % of equity-0.24%
 $576
Includes Typical Broker Commissions trade costs of $0.34
4/1/26 9:39 WBD WARNER BROS. DISCOVERY INC. SERIES A LONG 185 27.52 5/1 9:36 27.11 0.18%
Trade id #155339954
Max drawdown($171)
Time4/28/26 0:00
Quant open185
Worst price26.60
Drawdown as % of equity-0.18%
 ($80)
Includes Typical Broker Commissions trade costs of $3.70
4/1/26 9:39 STX SEAGATE TECHNOLOGY LONG 15 414.67 5/1 9:36 684.10 0.31%
Trade id #155339937
Max drawdown($220)
Time4/2/26 0:00
Quant open15
Worst price400.00
Drawdown as % of equity-0.31%
 $4,041
Includes Typical Broker Commissions trade costs of $0.30
4/1/26 9:38 TER TERADYNE LONG 25 308.38 5/1 9:36 342.91 0.64%
Trade id #155339915
Max drawdown($459)
Time4/2/26 0:00
Quant open25
Worst price290.00
Drawdown as % of equity-0.64%
 $863
Includes Typical Broker Commissions trade costs of $0.50
4/1/26 9:37 MU MICRON TECHNOLOGY LONG 25 354.33 5/1 9:36 515.81 0.49%
Trade id #155339884
Max drawdown($353)
Time4/2/26 0:00
Quant open25
Worst price340.20
Drawdown as % of equity-0.49%
 $4,037
Includes Typical Broker Commissions trade costs of $0.50
4/1/26 9:37 WDC WESTERN DIGITAL LONG 35 291.63 5/1 9:36 413.22 0.67%
Trade id #155339867
Max drawdown($477)
Time4/2/26 0:00
Quant open35
Worst price278.00
Drawdown as % of equity-0.67%
 $4,255
Includes Typical Broker Commissions trade costs of $0.70
4/1/26 9:36 CIEN CIENA CORPORTION LONG 28 408.64 5/1 9:36 536.67 0.34%
Trade id #155339832
Max drawdown($241)
Time4/2/26 0:00
Quant open28
Worst price400.00
Drawdown as % of equity-0.34%
 $3,584
Includes Typical Broker Commissions trade costs of $0.56
4/1/26 9:35 SNDK SANDISK CORPORATION LONG 19 672.93 5/1 9:35 1063.68 0.85%
Trade id #155339793
Max drawdown($606)
Time4/2/26 0:00
Quant open19
Worst price641.00
Drawdown as % of equity-0.85%
 $7,424
Includes Typical Broker Commissions trade costs of $0.38
3/24/26 13:07 BIL STATE ST SPDR BLOOMBERG 1-3 MONTH T-BILL LONG 766 91.58 4/1 9:31 91.39 0.21%
Trade id #155189428
Max drawdown($149)
Time4/1/26 9:30
Quant open766
Worst price91.39
Drawdown as % of equity-0.21%
 ($153)
Includes Typical Broker Commissions trade costs of $5.00
2/9/26 9:32 XSP2617P685 XSP Apr17'26 685 put LONG 1 14.95 4/1 9:31 23.53 0.58%
Trade id #154497367
Max drawdown($378)
Time2/25/26 0:00
Quant open1
Worst price11.17
Drawdown as % of equity-0.58%
 $856
Includes Typical Broker Commissions trade costs of $2.00
3/3/26 9:39 WBD WARNER BROS. DISCOVERY INC. SERIES A LONG 40 28.38 3/24 13:05 27.30 0.08%
Trade id #154848706
Max drawdown($54)
Time3/13/26 0:00
Quant open40
Worst price27.02
Drawdown as % of equity-0.08%
 ($44)
Includes Typical Broker Commissions trade costs of $0.80
3/3/26 9:39 TER TERADYNE LONG 7 307.33 3/24 13:04 317.69 0.52%
Trade id #154848701
Max drawdown($310)
Time3/9/26 0:00
Quant open7
Worst price263.02
Drawdown as % of equity-0.52%
 $73
Includes Typical Broker Commissions trade costs of $0.14
3/3/26 9:38 INTC INTEL LONG 79 43.28 3/24 13:04 43.52 0.22%
Trade id #154848689
Max drawdown($129)
Time3/9/26 0:00
Quant open79
Worst price41.64
Drawdown as % of equity-0.22%
 $17
Includes Typical Broker Commissions trade costs of $1.58
3/3/26 9:38 LRCX LAM RESEARCH LONG 20 223.30 3/24 13:04 239.44 0.97%
Trade id #154848684
Max drawdown($584)
Time3/9/26 0:00
Quant open20
Worst price194.08
Drawdown as % of equity-0.97%
 $323
Includes Typical Broker Commissions trade costs of $0.40
3/3/26 9:37 ALB ALBEMARLE LONG 35 164.38 3/24 13:04 174.47 0.46%
Trade id #154848664
Max drawdown($339)
Time3/20/26 0:00
Quant open35
Worst price154.69
Drawdown as % of equity-0.46%
 $352
Includes Typical Broker Commissions trade costs of $0.70
3/3/26 9:37 STX SEAGATE TECHNOLOGY LONG 19 361.40 3/24 13:04 416.03 0.61%
Trade id #154848647
Max drawdown($368)
Time3/9/26 0:00
Quant open19
Worst price342.00
Drawdown as % of equity-0.61%
 $1,038
Includes Typical Broker Commissions trade costs of $0.38
3/3/26 9:37 CIEN CIENA CORPORTION LONG 23 337.62 3/24 13:04 426.26 2.14%
Trade id #154848635
Max drawdown($1,362)
Time3/5/26 0:00
Quant open23
Worst price278.39
Drawdown as % of equity-2.14%
 $2,039
Includes Typical Broker Commissions trade costs of $0.46
3/3/26 9:36 WDC WESTERN DIGITAL LONG 37 248.54 3/24 13:04 297.47 0.65%
Trade id #154848617
Max drawdown($390)
Time3/9/26 0:00
Quant open37
Worst price238.00
Drawdown as % of equity-0.65%
 $1,809
Includes Typical Broker Commissions trade costs of $0.74
3/3/26 9:36 MU MICRON TECHNOLOGY LONG 27 383.48 3/24 13:04 392.92 1.16%
Trade id #154848548
Max drawdown($696)
Time3/9/26 0:00
Quant open27
Worst price357.67
Drawdown as % of equity-1.16%
 $254
Includes Typical Broker Commissions trade costs of $0.54
3/3/26 9:35 SNDK SANDISK CORPORATION LONG 20 576.99 3/24 13:04 695.98 2%
Trade id #154848470
Max drawdown($1,199)
Time3/9/26 0:00
Quant open20
Worst price517.00
Drawdown as % of equity-2.00%
 $2,380
Includes Typical Broker Commissions trade costs of $0.40
2/2/26 11:29 JNJ JOHNSON & JOHNSON LONG 5 229.04 3/3 9:34 245.35 0%
Trade id #154340321
Max drawdown($1)
Time2/2/26 11:38
Quant open5
Worst price228.74
Drawdown as % of equity-0.00%
 $82
Includes Typical Broker Commissions trade costs of $0.10
2/2/26 11:29 LLY ELI LILLY LONG 2 1053.64 3/3 9:34 1010.33 0.18%
Trade id #154340313
Max drawdown($120)
Time2/3/26 0:00
Quant open2
Worst price993.58
Drawdown as % of equity-0.18%
 ($87)
Includes Typical Broker Commissions trade costs of $0.04
2/2/26 11:28 AMAT APPLIED MATERIALS LONG 11 328.87 3/3 9:34 353.48 0.67%
Trade id #154340295
Max drawdown($455)
Time2/4/26 0:00
Quant open11
Worst price287.49
Drawdown as % of equity-0.67%
 $271
Includes Typical Broker Commissions trade costs of $0.22
2/2/26 11:28 TSLA TESLA INC. LONG 11 419.07 3/3 9:34 394.37 0.53%
Trade id #154340291
Max drawdown($346)
Time2/5/26 0:00
Quant open11
Worst price387.53
Drawdown as % of equity-0.53%
 ($272)
Includes Typical Broker Commissions trade costs of $0.22
2/2/26 11:28 TMO THERMO FISHER SCIENTIFIC LONG 10 579.72 3/3 9:34 501.92 1.33%
Trade id #154340287
Max drawdown($860)
Time2/12/26 0:00
Quant open10
Worst price493.64
Drawdown as % of equity-1.33%
 ($778)
Includes Typical Broker Commissions trade costs of $0.20
2/2/26 11:25 CAT CATERPILLAR LONG 10 680.62 3/3 9:34 722.83 0.24%
Trade id #154340226
Max drawdown($155)
Time2/5/26 0:00
Quant open10
Worst price665.07
Drawdown as % of equity-0.24%
 $422
Includes Typical Broker Commissions trade costs of $0.20
2/2/26 11:24 AMD ADVANCED MICRO DEVICES INC. C LONG 33 247.45 3/3 9:34 192.66 2.97%
Trade id #154340199
Max drawdown($1,895)
Time3/2/26 0:00
Quant open33
Worst price190.00
Drawdown as % of equity-2.97%
 ($1,809)
Includes Typical Broker Commissions trade costs of $0.66

Statistics

  • Strategy began
    6/2/2025
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    351.05
  • Age
    12 months ago
  • What it trades
    Stocks
  • # Trades
    90
  • # Profitable
    59
  • % Profitable
    65.60%
  • Avg trade duration
    38.8 days
  • Max peak-to-valley drawdown
    16.31%
  • drawdown period
    Jan 28, 2026 - March 09, 2026
  • Cumul. Return
    152.7%
  • Avg win
    $1,298
  • Avg loss
    $483.23
  • Model Account Values (Raw)
  • Cash
    $50,260
  • Margin Used
    ($46,276)
  • Buying Power
    $102,059
  • Ratios
  • W:L ratio
    5.17:1
  • Sharpe Ratio
    2.63
  • Sortino Ratio
    4.71
  • Calmar Ratio
    11.222
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    128.38%
  • Correlation to SP500
    0.45810
  • Return Percent SP500 (cumu) during strategy life
    24.72%
  • Return Statistics
  • Ann Return (w trading costs)
    159.6%
  • Slump
  • Current Slump as Pcnt Equity
    12.50%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.02%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    1.527%
  • Instruments
  • Percent Trades Options
    0.01%
  • Percent Trades Stocks
    0.99%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    164.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    17.50%
  • Chance of 20% account loss
    0.50%
  • 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)
    982
  • Popularity (Last 6 weeks)
    992
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    978
  • Popularity (7 days, Percentile 1000 scale)
    983
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $482
  • Avg Win
    $1,298
  • Sum Trade PL (losers)
    $14,937.000
  • Age
  • Num Months filled monthly returns table
    12
  • Win / Loss
  • Sum Trade PL (winners)
    $76,589.000
  • # Winners
    59
  • Num Months Winners
    9
  • Dividends
  • Dividends Received in Model Acct
    409
  • AUM
  • AUM (AutoTrader live capital)
    716663
  • Win / Loss
  • # Losers
    31
  • % Winners
    65.6%
  • Frequency
  • Avg Position Time (mins)
    55837.90
  • Avg Position Time (hrs)
    930.63
  • Avg Trade Length
    38.8 days
  • Last Trade Ago
    18
  • Leverage
  • Daily leverage (average)
    1.03
  • Daily leverage (max)
    1.97
  • Regression
  • Alpha
    0.20
  • Beta
    1.18
  • Treynor Index
    0.23
  • 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)
    0.69
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    0.587
  • 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
    0.236
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.225
  • Hold-and-Hope Ratio
    1.547
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.16343
  • SD
    0.48445
  • Sharpe ratio (Glass type estimate)
    2.40158
  • Sharpe ratio (Hedges UMVUE)
    2.21605
  • df
    10.00000
  • t
    2.29934
  • p
    0.02215
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.05919
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.65017
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.04977
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.48187
  • Statistics related to Sortino ratio
  • Sortino ratio
    13.23190
  • Upside Potential Ratio
    14.67200
  • Upside part of mean
    1.29005
  • Downside part of mean
    -0.12662
  • Upside SD
    0.56429
  • Downside SD
    0.08793
  • N nonnegative terms
    8.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    11.00000
  • Mean of predictor
    0.21752
  • Mean of criterion
    1.16343
  • SD of predictor
    0.13421
  • SD of criterion
    0.48445
  • Covariance
    0.03632
  • r
    0.55866
  • b (slope, estimate of beta)
    2.01654
  • a (intercept, estimate of alpha)
    0.72479
  • Mean Square Error
    0.17938
  • DF error
    9.00000
  • t(b)
    2.02070
  • p(b)
    0.03702
  • t(a)
    1.47089
  • p(a)
    0.08770
  • Lowerbound of 95% confidence interval for beta
    -0.24096
  • Upperbound of 95% confidence interval for beta
    4.27403
  • Lowerbound of 95% confidence interval for alpha
    -0.38990
  • Upperbound of 95% confidence interval for alpha
    1.83948
  • Treynor index (mean / b)
    0.57695
  • Jensen alpha (a)
    0.72479
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.02390
  • SD
    0.42522
  • Sharpe ratio (Glass type estimate)
    2.40796
  • Sharpe ratio (Hedges UMVUE)
    2.22193
  • df
    10.00000
  • t
    2.30545
  • p
    0.02192
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.06427
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.65771
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.04499
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.48886
  • Statistics related to Sortino ratio
  • Sortino ratio
    11.26750
  • Upside Potential Ratio
    12.70200
  • Upside part of mean
    1.15426
  • Downside part of mean
    -0.13036
  • Upside SD
    0.49344
  • Downside SD
    0.09087
  • N nonnegative terms
    8.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    11.00000
  • Mean of predictor
    0.20744
  • Mean of criterion
    1.02390
  • SD of predictor
    0.12879
  • SD of criterion
    0.42522
  • Covariance
    0.02885
  • r
    0.52687
  • b (slope, estimate of beta)
    1.73958
  • a (intercept, estimate of alpha)
    0.66305
  • Mean Square Error
    0.14513
  • DF error
    9.00000
  • t(b)
    1.85964
  • p(b)
    0.04793
  • t(a)
    1.49777
  • p(a)
    0.08421
  • Lowerbound of 95% confidence interval for beta
    -0.37654
  • Upperbound of 95% confidence interval for beta
    3.85570
  • Lowerbound of 95% confidence interval for alpha
    -0.33839
  • Upperbound of 95% confidence interval for alpha
    1.66450
  • Treynor index (mean / b)
    0.58859
  • Jensen alpha (a)
    0.66305
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.11004
  • Expected Shortfall on VaR
    0.15368
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01542
  • Expected Shortfall on VaR
    0.03606
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    11.00000
  • Minimum
    0.92639
  • Quartile 1
    1.00069
  • Median
    1.11649
  • Quartile 3
    1.16597
  • Maximum
    1.40597
  • Mean of quarter 1
    0.96364
  • Mean of quarter 2
    1.04365
  • Mean of quarter 3
    1.11969
  • Mean of quarter 4
    1.27695
  • Inter Quartile Range
    0.16528
  • 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)
    -33.87810
  • VaR(95%) (moments method)
    0.00758
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -0.68830
  • VaR(95%) (regression method)
    0.08424
  • Expected Shortfall (regression method)
    0.10084
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.00169
  • Quartile 1
    0.01774
  • Median
    0.03378
  • Quartile 3
    0.05370
  • Maximum
    0.07361
  • Mean of quarter 1
    0.00169
  • Mean of quarter 2
    0.03378
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.07361
  • Inter Quartile Range
    0.03596
  • 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)
    1.77009
  • Compounded annual return (geometric extrapolation)
    1.86283
  • Calmar ratio (compounded annual return / max draw down)
    25.30640
  • Compounded annual return / average of 25% largest draw downs
    25.30640
  • Compounded annual return / Expected Shortfall lognormal
    12.12170
  • 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
    0.98581
  • SD
    0.30880
  • Sharpe ratio (Glass type estimate)
    3.19235
  • Sharpe ratio (Hedges UMVUE)
    3.18269
  • df
    248.00000
  • t
    3.11215
  • p
    0.00104
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.15920
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.21922
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.15280
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.21258
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.82916
  • Upside Potential Ratio
    13.26700
  • Upside part of mean
    2.24368
  • Downside part of mean
    -1.25787
  • Upside SD
    0.26474
  • Downside SD
    0.16912
  • N nonnegative terms
    150.00000
  • N negative terms
    99.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    249.00000
  • Mean of predictor
    0.20846
  • Mean of criterion
    0.98581
  • SD of predictor
    0.12083
  • SD of criterion
    0.30880
  • Covariance
    0.01665
  • r
    0.44617
  • b (slope, estimate of beta)
    1.14023
  • a (intercept, estimate of alpha)
    0.74800
  • Mean Square Error
    0.07669
  • DF error
    247.00000
  • t(b)
    7.83520
  • p(b)
    -0.00000
  • t(a)
    2.61879
  • p(a)
    0.00469
  • Lowerbound of 95% confidence interval for beta
    0.85360
  • Upperbound of 95% confidence interval for beta
    1.42686
  • Lowerbound of 95% confidence interval for alpha
    0.18545
  • Upperbound of 95% confidence interval for alpha
    1.31079
  • Treynor index (mean / b)
    0.86457
  • Jensen alpha (a)
    0.74812
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.93712
  • SD
    0.30573
  • Sharpe ratio (Glass type estimate)
    3.06515
  • Sharpe ratio (Hedges UMVUE)
    3.05588
  • df
    248.00000
  • t
    2.98814
  • p
    0.00154
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.03365
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.09064
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.02749
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.08426
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.45808
  • Upside Potential Ratio
    12.86850
  • Upside part of mean
    2.20945
  • Downside part of mean
    -1.27233
  • Upside SD
    0.25879
  • Downside SD
    0.17169
  • N nonnegative terms
    150.00000
  • N negative terms
    99.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    249.00000
  • Mean of predictor
    0.20109
  • Mean of criterion
    0.93712
  • SD of predictor
    0.12082
  • SD of criterion
    0.30573
  • Covariance
    0.01657
  • r
    0.44848
  • b (slope, estimate of beta)
    1.13489
  • a (intercept, estimate of alpha)
    0.70891
  • Mean Square Error
    0.07498
  • DF error
    247.00000
  • t(b)
    7.88595
  • p(b)
    -0.00000
  • t(a)
    2.51067
  • p(a)
    0.00635
  • Lowerbound of 95% confidence interval for beta
    0.85143
  • Upperbound of 95% confidence interval for beta
    1.41834
  • Lowerbound of 95% confidence interval for alpha
    0.15277
  • Upperbound of 95% confidence interval for alpha
    1.26505
  • Treynor index (mean / b)
    0.82574
  • Jensen alpha (a)
    0.70891
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02712
  • Expected Shortfall on VaR
    0.03474
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00945
  • Expected Shortfall on VaR
    0.01970
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    249.00000
  • Minimum
    0.95355
  • Quartile 1
    0.99507
  • Median
    1.00265
  • Quartile 3
    1.01067
  • Maximum
    1.07753
  • Mean of quarter 1
    0.98269
  • Mean of quarter 2
    0.99914
  • Mean of quarter 3
    1.00625
  • Mean of quarter 4
    1.02774
  • Inter Quartile Range
    0.01560
  • Number outliers low
    11.00000
  • Percentage of outliers low
    0.04418
  • Mean of outliers low
    0.96361
  • Number of outliers high
    15.00000
  • Percentage of outliers high
    0.06024
  • Mean of outliers high
    1.05230
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.08565
  • VaR(95%) (moments method)
    0.01404
  • Expected Shortfall (moments method)
    0.02068
  • Extreme Value Index (regression method)
    -0.05377
  • VaR(95%) (regression method)
    0.01431
  • Expected Shortfall (regression method)
    0.01958
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    23.00000
  • Minimum
    0.00088
  • Quartile 1
    0.01559
  • Median
    0.02963
  • Quartile 3
    0.03872
  • Maximum
    0.14479
  • Mean of quarter 1
    0.00596
  • Mean of quarter 2
    0.02109
  • Mean of quarter 3
    0.03372
  • Mean of quarter 4
    0.09314
  • Inter Quartile Range
    0.02313
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.17391
  • Mean of outliers high
    0.11976
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.57475
  • VaR(95%) (moments method)
    0.09409
  • Expected Shortfall (moments method)
    0.10911
  • Extreme Value Index (regression method)
    -0.44090
  • VaR(95%) (regression method)
    0.06528
  • Expected Shortfall (regression method)
    0.07292
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.58057
  • Compounded annual return (geometric extrapolation)
    1.62487
  • Calmar ratio (compounded annual return / max draw down)
    11.22210
  • Compounded annual return / average of 25% largest draw downs
    17.44560
  • Compounded annual return / Expected Shortfall lognormal
    46.76960
  • 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
    1.52701
  • SD
    0.37176
  • Sharpe ratio (Glass type estimate)
    4.10753
  • Sharpe ratio (Hedges UMVUE)
    4.08378
  • df
    130.00000
  • t
    2.90446
  • p
    0.37657
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.28363
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.91622
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.26788
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.89969
  • Statistics related to Sortino ratio
  • Sortino ratio
    7.51547
  • Upside Potential Ratio
    15.07410
  • Upside part of mean
    3.06278
  • Downside part of mean
    -1.53577
  • Upside SD
    0.32368
  • Downside SD
    0.20318
  • N nonnegative terms
    81.00000
  • N negative terms
    50.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.16278
  • Mean of criterion
    1.52701
  • SD of predictor
    0.13236
  • SD of criterion
    0.37176
  • Covariance
    0.02120
  • r
    0.43091
  • b (slope, estimate of beta)
    1.21031
  • a (intercept, estimate of alpha)
    1.32999
  • Mean Square Error
    0.11341
  • DF error
    129.00000
  • t(b)
    5.42356
  • p(b)
    0.23442
  • t(a)
    2.78446
  • p(a)
    0.34986
  • Lowerbound of 95% confidence interval for beta
    0.76879
  • Upperbound of 95% confidence interval for beta
    1.65183
  • Lowerbound of 95% confidence interval for alpha
    0.38495
  • Upperbound of 95% confidence interval for alpha
    2.27503
  • Treynor index (mean / b)
    1.26167
  • Jensen alpha (a)
    1.32999
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.45493
  • SD
    0.36842
  • Sharpe ratio (Glass type estimate)
    3.94913
  • Sharpe ratio (Hedges UMVUE)
    3.92630
  • df
    130.00000
  • t
    2.79246
  • p
    0.38106
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.12884
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.75485
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.11371
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.73889
  • Statistics related to Sortino ratio
  • Sortino ratio
    7.04377
  • Upside Potential Ratio
    14.58030
  • Upside part of mean
    3.01164
  • Downside part of mean
    -1.55671
  • Upside SD
    0.31640
  • Downside SD
    0.20656
  • N nonnegative terms
    81.00000
  • N negative terms
    50.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.15404
  • Mean of criterion
    1.45493
  • SD of predictor
    0.13222
  • SD of criterion
    0.36842
  • Covariance
    0.02102
  • r
    0.43148
  • b (slope, estimate of beta)
    1.20226
  • a (intercept, estimate of alpha)
    1.26974
  • Mean Square Error
    0.11132
  • DF error
    129.00000
  • t(b)
    5.43232
  • p(b)
    0.23409
  • t(a)
    2.68402
  • p(a)
    0.35489
  • VAR (95 Confidence Intrvl)
    0.02700
  • Lowerbound of 95% confidence interval for beta
    0.76438
  • Upperbound of 95% confidence interval for beta
    1.64014
  • Lowerbound of 95% confidence interval for alpha
    0.33375
  • Upperbound of 95% confidence interval for alpha
    2.20573
  • Treynor index (mean / b)
    1.21016
  • Jensen alpha (a)
    1.26974
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03138
  • Expected Shortfall on VaR
    0.04052
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01124
  • Expected Shortfall on VaR
    0.02344
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.95355
  • Quartile 1
    0.99504
  • Median
    1.00485
  • Quartile 3
    1.01867
  • Maximum
    1.07419
  • Mean of quarter 1
    0.97824
  • Mean of quarter 2
    1.00011
  • Mean of quarter 3
    1.01042
  • Mean of quarter 4
    1.03511
  • Inter Quartile Range
    0.02363
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.02290
  • Mean of outliers low
    0.95556
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.03053
  • Mean of outliers high
    1.06810
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.45536
  • VaR(95%) (moments method)
    0.01621
  • Expected Shortfall (moments method)
    0.01947
  • Extreme Value Index (regression method)
    -0.49754
  • VaR(95%) (regression method)
    0.02340
  • Expected Shortfall (regression method)
    0.02833
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    13.00000
  • Minimum
    0.00144
  • Quartile 1
    0.01456
  • Median
    0.03635
  • Quartile 3
    0.07929
  • Maximum
    0.11662
  • Mean of quarter 1
    0.00675
  • Mean of quarter 2
    0.02555
  • Mean of quarter 3
    0.05224
  • Mean of quarter 4
    0.11142
  • Inter Quartile Range
    0.06473
  • 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)
    -12.55310
  • VaR(95%) (moments method)
    0.10824
  • Expected Shortfall (moments method)
    0.10824
  • Extreme Value Index (regression method)
    -4.94118
  • VaR(95%) (regression method)
    0.16779
  • Last 4 Months - Pcnt Negative
    0.25%
  • Expected Shortfall (regression method)
    0.16780
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -390161000
  • Max Equity Drawdown (num days)
    40
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    2.19783
  • Compounded annual return (geometric extrapolation)
    3.40543
  • Calmar ratio (compounded annual return / max draw down)
    29.20070
  • Compounded annual return / average of 25% largest draw downs
    30.56310
  • Compounded annual return / Expected Shortfall lognormal
    84.04980

Strategy Description

The Strategy is a systematic, unleveraged model that selects the top 10 stocks with the strongest momentum from the S&P 500. We only invest in stocks showing a clear upward trend to ensure capital protection.

Execution & Ease of Use
• Monthly Rebalancing: Portfolio is updated once a month at market open.
• Low Turnover: Only 10 positions. Easy to follow with near-zero slippage.
• Capacity: High-capacity model, ideal for both small and large accounts.
Proven Robustness While the live C2 track record is recent, the model has been rigorously backtested on QuantConnect (institutional-grade) back to 1998:
• Historical CAGR: 66%
• Max Drawdown: 17% (including 2001, 2008, and 2020 crises).
• Live Performance: Currently +102% (10 months) with 16% Max DD.

Full Audit Report (1998-2026): https://1drv.ms/b/c/bf9c1b9f66ca875b/IQBd2lHn7EaxRa0cVU3x17KWAU7TqFwuMAxYk4wbf9_GCe0?e=1LQ2YO

Note: Introductory price of $59/month. To reflect the 12-month live milestone, the price will increase to $99/month on June, 1st, 2026 for new subscribers.
Trade this strategy at Tradier

Summary Statistics

Strategy began
2025-06-02
Suggested Minimum Capital
$100,000
Rank at C2 %
Top 2.2%
Rank # 
#14
# Trades
90
# Profitable
59
% Profitable
65.6%
Net Dividends
$409
Correlation S&P500
0.458
Sharpe Ratio
2.63
Sortino Ratio
4.71
Beta
1.18
Alpha
0.20
Leverage
1.03 Average
1.97 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.