Collective2 Collective2
Featured Strategy Daily Theme +31.6% Cumul. Return since Jan 9, 2025 Hypothetical

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URS4
(140807894)

Created by: Hideki2 Hideki2
Started: 06/2022
Stocks
Last trade: 8 days ago
Trading style: Equity Trend-following 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 $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
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.
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).
49.9%
Annual Return (Compounded)

Rate of Return Calculations

Overview

To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.

How Annualized (Compounded) Rate of Return is calculated

= ((Ending_equity / Starting_equity) ^ (1 / age_in_years)) - 1

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

All results are hypothetical.

(36.1%)
Max Drawdown
239
Num Trades
40.6%
Win Trades
2.4 : 1
Profit Factor
63.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022                                   (5.7%)(0.8%)+11.4%(15.9%)(1.5%)+6.2%+13.5%+4.0%
2023+4.6%(16.5%)+2.5%(1.1%)(1.6%)+4.2%+32.4%(10.4%)(14.7%)(3%)+10.4%+12.8%+11.1%
2024+2.4%+7.6%+3.5%+1.2%+6.6%(0.1%)+2.7%(0.2%)+9.3%+10.1%+41.3%+0.8%+115.9%
2025+15.6%+0.5%                                                            +16.2%

Model Account Details

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

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

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

Trading Record

This strategy has placed 79 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
2/12/25 14:57 OKTA OKTA INC. CL A COMMON STOCK LONG 50 98.92 2/14 10:28 96.68 0.18%
Trade id #150851548
Max drawdown($111)
Time2/14/25 10:28
Quant open50
Worst price96.68
Drawdown as % of equity-0.18%
 ($113)
Includes Typical Broker Commissions trade costs of $1.00
2/5/25 15:51 MSTR MICROSTRATEGY SHORT 13 333.82 2/14 9:39 330.46 0.23%
Trade id #150777109
Max drawdown($138)
Time2/6/25 0:00
Quant open13
Worst price344.50
Drawdown as % of equity-0.23%
 $44
Includes Typical Broker Commissions trade costs of $0.26
2/5/25 11:58 DELL DELL TECHNOLOGIES INC LONG 47 104.79 2/13 11:15 108.82 0.04%
Trade id #150774473
Max drawdown($23)
Time2/5/25 13:16
Quant open47
Worst price104.30
Drawdown as % of equity-0.04%
 $188
Includes Typical Broker Commissions trade costs of $0.94
2/11/25 9:30 SPXL DIREXION DAILY S&P500 BULL 3X SHORT 27 179.92 2/13 10:02 182.08 0.13%
Trade id #150835767
Max drawdown($80)
Time2/11/25 14:42
Quant open27
Worst price182.89
Drawdown as % of equity-0.13%
 ($59)
Includes Typical Broker Commissions trade costs of $0.54
2/5/25 9:30 SMCI SUPER MICRO COMPUTER LONG 165 30.86 2/13 9:47 37.80 0.31%
Trade id #150771148
Max drawdown($183)
Time2/5/25 9:43
Quant open165
Worst price29.75
Drawdown as % of equity-0.31%
 $1,142
Includes Typical Broker Commissions trade costs of $3.30
2/3/25 9:30 TSLZ T-REX -2X TESLA DAILY TARGET ETF LONG 2,024 2.51 2/13 9:32 3.02 0.35%
Trade id #150747510
Max drawdown($201)
Time2/4/25 0:00
Quant open2,024
Worst price2.41
Drawdown as % of equity-0.35%
 $1,031
Includes Typical Broker Commissions trade costs of $5.00
2/12/25 15:49 NVDL GRANITESHARES 1.5X LONG NVDA DAILY ETF SHORT 88 58.22 2/13 9:31 58.84 0.12%
Trade id #150851988
Max drawdown($68)
Time2/13/25 9:31
Quant open88
Worst price59.00
Drawdown as % of equity-0.12%
 ($56)
Includes Typical Broker Commissions trade costs of $1.76
2/12/25 15:08 SOXL DIREXION DAILY SEMICONDCT BULL SHORT 187 27.29 2/13 9:31 27.55 0.13%
Trade id #150851638
Max drawdown($74)
Time2/13/25 9:31
Quant open187
Worst price27.69
Drawdown as % of equity-0.13%
 ($52)
Includes Typical Broker Commissions trade costs of $3.74
2/12/25 15:10 TECL DIREXION DAILY TECHNOLOGY BULL SHORT 55 91.21 2/13 9:30 91.89 0.08%
Trade id #150851644
Max drawdown($45)
Time2/13/25 9:30
Quant open55
Worst price92.04
Drawdown as % of equity-0.08%
 ($39)
Includes Typical Broker Commissions trade costs of $1.10
2/12/25 15:43 NVDL GRANITESHARES 1.5X LONG NVDA DAILY ETF LONG 88 58.05 2/12 15:49 58.22 n/a $13
Includes Typical Broker Commissions trade costs of $1.76
2/11/25 9:30 TQQQ PROSHARES ULTRAPRO QQQ SHORT 59 84.04 2/12 14:49 85.52 0.18%
Trade id #150835757
Max drawdown($115)
Time2/11/25 10:53
Quant open59
Worst price85.99
Drawdown as % of equity-0.18%
 ($88)
Includes Typical Broker Commissions trade costs of $1.18
2/7/25 9:32 CRNC CERENCE INC LONG 363 13.77 2/12 10:31 14.09 0.62%
Trade id #150805190
Max drawdown($370)
Time2/7/25 9:51
Quant open363
Worst price12.75
Drawdown as % of equity-0.62%
 $109
Includes Typical Broker Commissions trade costs of $7.26
2/5/25 15:20 MU MICRON TECHNOLOGY LONG 53 93.01 2/12 9:30 88.60 0.48%
Trade id #150776578
Max drawdown($299)
Time2/12/25 9:30
Quant open53
Worst price87.35
Drawdown as % of equity-0.48%
 ($235)
Includes Typical Broker Commissions trade costs of $1.06
2/5/25 11:44 NVDL GRANITESHARES 1.5X LONG NVDA DAILY ETF LONG 95 52.37 2/12 9:30 56.30 0.26%
Trade id #150773531
Max drawdown($154)
Time2/5/25 13:53
Quant open95
Worst price50.74
Drawdown as % of equity-0.26%
 $372
Includes Typical Broker Commissions trade costs of $1.90
2/7/25 9:45 RKLB ROCKET LAB USA INC. COMMON STOCK LONG 170 29.25 2/12 9:30 27.72 0.56%
Trade id #150805494
Max drawdown($345)
Time2/7/25 15:04
Quant open170
Worst price27.22
Drawdown as % of equity-0.56%
 ($263)
Includes Typical Broker Commissions trade costs of $3.40
2/4/25 11:03 CIBR FIRST TR NASDAQ CYBERSECURITY ETF LONG 73 67.85 2/12 9:30 69.41 0.03%
Trade id #150761613
Max drawdown($15)
Time2/4/25 12:30
Quant open73
Worst price67.64
Drawdown as % of equity-0.03%
 $113
Includes Typical Broker Commissions trade costs of $1.46
2/7/25 9:45 LTBR LIGHTBRIDGE CORP LONG 501 9.99 2/12 9:30 10.55 0.15%
Trade id #150805518
Max drawdown($90)
Time2/7/25 10:02
Quant open501
Worst price9.81
Drawdown as % of equity-0.15%
 $276
Includes Typical Broker Commissions trade costs of $5.00
2/5/25 9:33 VRT VERTIV HOLDINGS LLC LONG 42 116.49 2/12 9:30 111.09 0.39%
Trade id #150771472
Max drawdown($241)
Time2/12/25 9:30
Quant open42
Worst price110.75
Drawdown as % of equity-0.39%
 ($228)
Includes Typical Broker Commissions trade costs of $0.84
2/4/25 9:30 META META PLATFORMS INC. CLASS A LONG 7 701.41 2/11 12:08 710.35 0.12%
Trade id #150759689
Max drawdown($68)
Time2/4/25 9:46
Quant open7
Worst price691.61
Drawdown as % of equity-0.12%
 $63
Includes Typical Broker Commissions trade costs of $0.14
2/3/25 9:30 OKLO OKLO INC LONG 127 38.68 2/11 11:46 50.35 n/a $1,480
Includes Typical Broker Commissions trade costs of $2.54
2/7/25 9:31 APP APPLOVIN CORPORATION CLASS A LONG 12 389.28 2/11 10:32 372.41 0.33%
Trade id #150805117
Max drawdown($207)
Time2/11/25 10:32
Quant open12
Worst price372.01
Drawdown as % of equity-0.33%
 ($202)
Includes Typical Broker Commissions trade costs of $0.24
2/11/25 9:30 SOXL DIREXION DAILY SEMICONDCT BULL SHORT 185 26.70 2/11 9:55 27.67 0.34%
Trade id #150835773
Max drawdown($214)
Time2/11/25 9:53
Quant open185
Worst price27.86
Drawdown as % of equity-0.34%
 ($183)
Includes Typical Broker Commissions trade costs of $3.70
2/10/25 9:31 LNSR LENSAR INC LONG 434 11.61 2/11 9:30 10.86 0.66%
Trade id #150821883
Max drawdown($416)
Time2/10/25 9:39
Quant open434
Worst price10.65
Drawdown as % of equity-0.66%
 ($333)
Includes Typical Broker Commissions trade costs of $8.68
2/3/25 11:41 SEDG SOLAREDGE TECHNOLOGIES INC. C LONG 362 13.83 2/11 9:30 14.00 0.37%
Trade id #150750764
Max drawdown($217)
Time2/3/25 12:46
Quant open362
Worst price13.23
Drawdown as % of equity-0.37%
 $55
Includes Typical Broker Commissions trade costs of $7.24
2/6/25 9:30 NEXN NEXXEN INTERNATIONAL LTD. SHORT 11 9.33 2/10 13:10 9.67 0.01%
Trade id #150782461
Max drawdown($4)
Time2/7/25 0:00
Quant open11
Worst price9.70
Drawdown as % of equity-0.01%
 ($4)
Includes Typical Broker Commissions trade costs of $0.22
1/29/25 9:30 ICAGY INTERNATIONAL CONS AIRL LONG 613 8.21 2/10 9:35 8.84 0.07%
Trade id #150699337
Max drawdown($42)
Time1/29/25 14:15
Quant open613
Worst price8.14
Drawdown as % of equity-0.07%
 $381
Includes Typical Broker Commissions trade costs of $5.00
2/6/25 14:33 NLR VANECK URANIUM AND NUCLEAR ETF SHORT 2 89.12 2/10 9:30 92.80 0.02%
Trade id #150789967
Max drawdown($9)
Time2/7/25 0:00
Quant open2
Worst price94.05
Drawdown as % of equity-0.02%
 ($7)
Includes Typical Broker Commissions trade costs of $0.04
1/31/25 9:41 CLS CELESTICA LONG 40 124.98 2/10 9:30 125.35 1.08%
Trade id #150722763
Max drawdown($639)
Time2/3/25 0:00
Quant open40
Worst price109.00
Drawdown as % of equity-1.08%
 $14
Includes Typical Broker Commissions trade costs of $0.80
1/29/25 9:30 KINS KINGSTONE COMPANIES LONG 320 15.60 2/7 13:36 17.56 n/a $622
Includes Typical Broker Commissions trade costs of $6.40
2/4/25 10:03 AVGO BROADCOM LIMITED ORDINARY SHARES LONG 22 221.00 2/7 12:18 225.60 0.08%
Trade id #150760699
Max drawdown($49)
Time2/4/25 13:05
Quant open22
Worst price218.75
Drawdown as % of equity-0.08%
 $101
Includes Typical Broker Commissions trade costs of $0.44
Next

Statistics

  • Strategy began
    6/19/2022
  • Suggested Minimum Cap
    $60,000
  • Strategy Age (days)
    978.56
  • Age
    33 months ago
  • What it trades
    Stocks
  • # Trades
    239
  • # Profitable
    97
  • % Profitable
    40.60%
  • Avg trade duration
    31.7 days
  • Max peak-to-valley drawdown
    36.14%
  • drawdown period
    Aug 01, 2023 - Oct 29, 2023
  • Annual Return (Compounded)
    49.9%
  • Avg win
    $715.44
  • Avg loss
    $200.81
  • Model Account Values (Raw)
  • Cash
    $44,279
  • Margin Used
    $0
  • Buying Power
    $45,660
  • Ratios
  • W:L ratio
    2.44:1
  • Sharpe Ratio
    0.97
  • Sortino Ratio
    1.69
  • Calmar Ratio
    2.679
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    133.27%
  • Correlation to SP500
    0.38180
  • Return Percent SP500 (cumu) during strategy life
    63.63%
  • Return Statistics
  • Ann Return (w trading costs)
    49.9%
  • Slump
  • Current Slump as Pcnt Equity
    8.20%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.01%
  • 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)
    0.499%
  • Instruments
  • Percent Trades Options
    0.01%
  • Percent Trades Stocks
    0.99%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    51.5%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    47.50%
  • Chance of 20% account loss
    25.50%
  • Chance of 30% account loss
    8.00%
  • Chance of 40% account loss
    3.00%
  • 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)
    893
  • Popularity (Last 6 weeks)
    958
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    986
  • Popularity (7 days, Percentile 1000 scale)
    908
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $201
  • Avg Win
    $715
  • Sum Trade PL (losers)
    $28,515.000
  • Age
  • Num Months filled monthly returns table
    33
  • Win / Loss
  • Sum Trade PL (winners)
    $69,398.000
  • # Winners
    97
  • Num Months Winners
    21
  • Dividends
  • Dividends Received in Model Acct
    136
  • AUM
  • AUM (AutoTrader live capital)
    120804
  • Win / Loss
  • # Losers
    142
  • % Winners
    40.6%
  • Frequency
  • Avg Position Time (mins)
    45614.00
  • Avg Position Time (hrs)
    760.23
  • Avg Trade Length
    31.7 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    0.75
  • Daily leverage (max)
    4.75
  • Regression
  • Alpha
    0.08
  • Beta
    1.00
  • Treynor Index
    0.12
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.15
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    0.624
  • 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
    0.141
  • Avg(MAE) / Avg(PL) - Losing trades
    -0.865
  • Hold-and-Hope Ratio
    1.618
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.76635
  • SD
    0.55222
  • Sharpe ratio (Glass type estimate)
    1.38776
  • Sharpe ratio (Hedges UMVUE)
    1.33750
  • df
    21.00000
  • t
    1.87904
  • p
    0.26440
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.13384
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.87902
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.16548
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.84048
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.02685
  • Upside Potential Ratio
    5.71003
  • Upside part of mean
    1.08668
  • Downside part of mean
    -0.32033
  • Upside SD
    0.55119
  • Downside SD
    0.19031
  • N nonnegative terms
    13.00000
  • N negative terms
    9.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    22.00000
  • Mean of predictor
    0.27832
  • Mean of criterion
    0.76635
  • SD of predictor
    0.17971
  • SD of criterion
    0.55222
  • Covariance
    0.05845
  • r
    0.58894
  • b (slope, estimate of beta)
    1.80978
  • a (intercept, estimate of alpha)
    0.26265
  • Mean Square Error
    0.20914
  • DF error
    20.00000
  • t(b)
    3.25900
  • p(b)
    0.20553
  • t(a)
    0.70712
  • p(a)
    0.42191
  • Lowerbound of 95% confidence interval for beta
    0.65141
  • Upperbound of 95% confidence interval for beta
    2.96815
  • Lowerbound of 95% confidence interval for alpha
    -0.51215
  • Upperbound of 95% confidence interval for alpha
    1.03744
  • Treynor index (mean / b)
    0.42345
  • Jensen alpha (a)
    0.26265
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.62385
  • SD
    0.49127
  • Sharpe ratio (Glass type estimate)
    1.26987
  • Sharpe ratio (Hedges UMVUE)
    1.22388
  • df
    21.00000
  • t
    1.71941
  • p
    0.28105
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.24118
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.75284
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.27022
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.71798
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.02768
  • Upside Potential Ratio
    4.67997
  • Upside part of mean
    0.96430
  • Downside part of mean
    -0.34045
  • Upside SD
    0.46942
  • Downside SD
    0.20605
  • N nonnegative terms
    13.00000
  • N negative terms
    9.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    22.00000
  • Mean of predictor
    0.26041
  • Mean of criterion
    0.62385
  • SD of predictor
    0.17578
  • SD of criterion
    0.49127
  • Covariance
    0.05020
  • r
    0.58129
  • b (slope, estimate of beta)
    1.62458
  • a (intercept, estimate of alpha)
    0.20079
  • Mean Square Error
    0.16778
  • DF error
    20.00000
  • t(b)
    3.19483
  • p(b)
    0.20935
  • t(a)
    0.60803
  • p(a)
    0.43264
  • Lowerbound of 95% confidence interval for beta
    0.56386
  • Upperbound of 95% confidence interval for beta
    2.68530
  • Lowerbound of 95% confidence interval for alpha
    -0.48806
  • Upperbound of 95% confidence interval for alpha
    0.88965
  • Treynor index (mean / b)
    0.38401
  • Jensen alpha (a)
    0.20079
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.16580
  • Expected Shortfall on VaR
    0.21273
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.05397
  • Expected Shortfall on VaR
    0.10915
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    22.00000
  • Minimum
    0.80653
  • Quartile 1
    0.96985
  • Median
    1.02986
  • Quartile 3
    1.15706
  • Maximum
    1.54765
  • Mean of quarter 1
    0.90794
  • Mean of quarter 2
    0.99885
  • Mean of quarter 3
    1.07343
  • Mean of quarter 4
    1.26599
  • Inter Quartile Range
    0.18721
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.04545
  • Mean of outliers high
    1.54765
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -1.30283
  • VaR(95%) (moments method)
    0.08831
  • Expected Shortfall (moments method)
    0.09314
  • Extreme Value Index (regression method)
    -0.24114
  • VaR(95%) (regression method)
    0.12206
  • Expected Shortfall (regression method)
    0.15643
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.05369
  • Quartile 1
    0.10227
  • Median
    0.15473
  • Quartile 3
    0.19161
  • Maximum
    0.19347
  • Mean of quarter 1
    0.05369
  • Mean of quarter 2
    0.11847
  • Mean of quarter 3
    0.19099
  • Mean of quarter 4
    0.19347
  • Inter Quartile Range
    0.08933
  • 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)
    1.16642
  • Compounded annual return (geometric extrapolation)
    0.86610
  • Calmar ratio (compounded annual return / max draw down)
    4.47671
  • Compounded annual return / average of 25% largest draw downs
    4.47671
  • Compounded annual return / Expected Shortfall lognormal
    4.07130
  • 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
    0.68580
  • SD
    0.44736
  • Sharpe ratio (Glass type estimate)
    1.53299
  • Sharpe ratio (Hedges UMVUE)
    1.53063
  • df
    487.00000
  • t
    2.09218
  • p
    0.01847
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.09287
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.97155
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.09130
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.96995
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.70065
  • Upside Potential Ratio
    10.75530
  • Upside part of mean
    2.73118
  • Downside part of mean
    -2.04538
  • Upside SD
    0.37018
  • Downside SD
    0.25394
  • N nonnegative terms
    261.00000
  • N negative terms
    227.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    488.00000
  • Mean of predictor
    0.26721
  • Mean of criterion
    0.68580
  • SD of predictor
    0.17750
  • SD of criterion
    0.44736
  • Covariance
    0.03024
  • r
    0.38079
  • b (slope, estimate of beta)
    0.95969
  • a (intercept, estimate of alpha)
    0.42900
  • Mean Square Error
    0.17147
  • DF error
    486.00000
  • t(b)
    9.07856
  • p(b)
    0.00000
  • t(a)
    1.40904
  • p(a)
    0.07973
  • Lowerbound of 95% confidence interval for beta
    0.75199
  • Upperbound of 95% confidence interval for beta
    1.16739
  • Lowerbound of 95% confidence interval for alpha
    -0.16937
  • Upperbound of 95% confidence interval for alpha
    1.02810
  • Treynor index (mean / b)
    0.71461
  • Jensen alpha (a)
    0.42936
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.58844
  • SD
    0.43673
  • Sharpe ratio (Glass type estimate)
    1.34740
  • Sharpe ratio (Hedges UMVUE)
    1.34533
  • df
    487.00000
  • t
    1.83889
  • p
    0.03327
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.09185
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.78536
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.09327
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.78392
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.26553
  • Upside Potential Ratio
    10.26820
  • Upside part of mean
    2.66705
  • Downside part of mean
    -2.07860
  • Upside SD
    0.35241
  • Downside SD
    0.25974
  • N nonnegative terms
    261.00000
  • N negative terms
    227.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    488.00000
  • Mean of predictor
    0.25140
  • Mean of criterion
    0.58844
  • SD of predictor
    0.17720
  • SD of criterion
    0.43673
  • Covariance
    0.02979
  • r
    0.38495
  • b (slope, estimate of beta)
    0.94875
  • a (intercept, estimate of alpha)
    0.34993
  • Mean Square Error
    0.16280
  • DF error
    486.00000
  • t(b)
    9.19485
  • p(b)
    0.00000
  • t(a)
    1.17909
  • p(a)
    0.11947
  • Lowerbound of 95% confidence interval for beta
    0.74601
  • Upperbound of 95% confidence interval for beta
    1.15149
  • Lowerbound of 95% confidence interval for alpha
    -0.23320
  • Upperbound of 95% confidence interval for alpha
    0.93306
  • Treynor index (mean / b)
    0.62023
  • Jensen alpha (a)
    0.34993
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04126
  • Expected Shortfall on VaR
    0.05196
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01722
  • Expected Shortfall on VaR
    0.03371
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    488.00000
  • Minimum
    0.92040
  • Quartile 1
    0.98893
  • Median
    1.00062
  • Quartile 3
    1.01346
  • Maximum
    1.24425
  • Mean of quarter 1
    0.97314
  • Mean of quarter 2
    0.99565
  • Mean of quarter 3
    1.00701
  • Mean of quarter 4
    1.03467
  • Inter Quartile Range
    0.02454
  • Number outliers low
    14.00000
  • Percentage of outliers low
    0.02869
  • Mean of outliers low
    0.93964
  • Number of outliers high
    16.00000
  • Percentage of outliers high
    0.03279
  • Mean of outliers high
    1.08944
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.07492
  • VaR(95%) (moments method)
    0.02540
  • Expected Shortfall (moments method)
    0.03565
  • Extreme Value Index (regression method)
    0.07892
  • VaR(95%) (regression method)
    0.02453
  • Expected Shortfall (regression method)
    0.03420
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    21.00000
  • Minimum
    0.00043
  • Quartile 1
    0.02149
  • Median
    0.03622
  • Quartile 3
    0.07809
  • Maximum
    0.29903
  • Mean of quarter 1
    0.01182
  • Mean of quarter 2
    0.02936
  • Mean of quarter 3
    0.06713
  • Mean of quarter 4
    0.20510
  • Inter Quartile Range
    0.05661
  • 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
    0.14286
  • Mean of outliers high
    0.26504
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.41794
  • VaR(95%) (moments method)
    0.18845
  • Expected Shortfall (moments method)
    0.22381
  • Extreme Value Index (regression method)
    -1.43779
  • VaR(95%) (regression method)
    0.24176
  • Expected Shortfall (regression method)
    0.25099
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.06963
  • Compounded annual return (geometric extrapolation)
    0.80119
  • Calmar ratio (compounded annual return / max draw down)
    2.67926
  • Compounded annual return / average of 25% largest draw downs
    3.90626
  • Compounded annual return / Expected Shortfall lognormal
    15.41940
  • 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
    2.39913
  • SD
    0.54046
  • Sharpe ratio (Glass type estimate)
    4.43903
  • Sharpe ratio (Hedges UMVUE)
    4.41337
  • df
    130.00000
  • t
    3.13887
  • p
    0.36729
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.60708
  • Upperbound of 95% confidence interval for Sharpe Ratio
    7.25464
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.59013
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    7.23662
  • Statistics related to Sortino ratio
  • Sortino ratio
    10.54530
  • Upside Potential Ratio
    16.71170
  • Upside part of mean
    3.80206
  • Downside part of mean
    -1.40293
  • Upside SD
    0.50998
  • Downside SD
    0.22751
  • N nonnegative terms
    86.00000
  • N negative terms
    45.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.65516
  • Mean of criterion
    2.39913
  • SD of predictor
    0.16906
  • SD of criterion
    0.54046
  • Covariance
    0.04213
  • r
    0.46112
  • b (slope, estimate of beta)
    1.47412
  • a (intercept, estimate of alpha)
    1.43335
  • Mean Square Error
    0.23177
  • DF error
    129.00000
  • t(b)
    5.90235
  • p(b)
    0.21720
  • t(a)
    2.04697
  • p(a)
    0.38768
  • Lowerbound of 95% confidence interval for beta
    0.97998
  • Upperbound of 95% confidence interval for beta
    1.96826
  • Lowerbound of 95% confidence interval for alpha
    0.04793
  • Upperbound of 95% confidence interval for alpha
    2.81876
  • Treynor index (mean / b)
    1.62750
  • Jensen alpha (a)
    1.43335
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    2.25336
  • SD
    0.51482
  • Sharpe ratio (Glass type estimate)
    4.37700
  • Sharpe ratio (Hedges UMVUE)
    4.35170
  • df
    130.00000
  • t
    3.09501
  • p
    0.36901
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.54661
  • Upperbound of 95% confidence interval for Sharpe Ratio
    7.19130
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.52987
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    7.17353
  • Statistics related to Sortino ratio
  • Sortino ratio
    9.64631
  • Upside Potential Ratio
    15.76680
  • Upside part of mean
    3.68310
  • Downside part of mean
    -1.42973
  • Upside SD
    0.47731
  • Downside SD
    0.23360
  • N nonnegative terms
    86.00000
  • N negative terms
    45.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.64021
  • Mean of criterion
    2.25336
  • SD of predictor
    0.16888
  • SD of criterion
    0.51482
  • Covariance
    0.04059
  • r
    0.46686
  • b (slope, estimate of beta)
    1.42318
  • a (intercept, estimate of alpha)
    1.34224
  • Mean Square Error
    0.20888
  • DF error
    129.00000
  • t(b)
    5.99602
  • p(b)
    0.21397
  • t(a)
    2.02155
  • p(a)
    0.38902
  • VAR (95 Confidence Intrvl)
    0.04100
  • Lowerbound of 95% confidence interval for beta
    0.95357
  • Upperbound of 95% confidence interval for beta
    1.89279
  • Lowerbound of 95% confidence interval for alpha
    0.02857
  • Upperbound of 95% confidence interval for alpha
    2.65590
  • Treynor index (mean / b)
    1.58333
  • Jensen alpha (a)
    1.34224
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04277
  • Expected Shortfall on VaR
    0.05535
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00925
  • Expected Shortfall on VaR
    0.02116
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.92254
  • Quartile 1
    0.99633
  • Median
    1.00493
  • Quartile 3
    1.01747
  • Maximum
    1.24425
  • Mean of quarter 1
    0.97933
  • Mean of quarter 2
    1.00082
  • Mean of quarter 3
    1.01086
  • Mean of quarter 4
    1.04566
  • Inter Quartile Range
    0.02114
  • Number outliers low
    7.00000
  • Percentage of outliers low
    0.05344
  • Mean of outliers low
    0.94744
  • Number of outliers high
    8.00000
  • Percentage of outliers high
    0.06107
  • Mean of outliers high
    1.09814
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.66922
  • VaR(95%) (moments method)
    0.01891
  • Expected Shortfall (moments method)
    0.06462
  • Extreme Value Index (regression method)
    0.56909
  • VaR(95%) (regression method)
    0.01711
  • Expected Shortfall (regression method)
    0.04569
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    19.00000
  • Minimum
    0.00043
  • Quartile 1
    0.00517
  • Median
    0.01563
  • Quartile 3
    0.04107
  • Maximum
    0.14159
  • Mean of quarter 1
    0.00179
  • Mean of quarter 2
    0.01018
  • Mean of quarter 3
    0.02489
  • Mean of quarter 4
    0.08361
  • Inter Quartile Range
    0.03590
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.05263
  • Mean of outliers high
    0.14159
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00267
  • VaR(95%) (moments method)
    0.09036
  • Expected Shortfall (moments method)
    0.11500
  • Extreme Value Index (regression method)
    0.70570
  • VaR(95%) (regression method)
    0.10862
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.29769
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -355079000
  • Max Equity Drawdown (num days)
    89
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    4.17080
  • Compounded annual return (geometric extrapolation)
    8.51971
  • Calmar ratio (compounded annual return / max draw down)
    60.17040
  • Compounded annual return / average of 25% largest draw downs
    101.90000
  • Compounded annual return / Expected Shortfall lognormal
    153.93700

Strategy Description

Hello trader, my name is Hideki Uchimoto and I am the developer of Uchimoto Robust System 4 (URS4). After graduating from UCLA in 1992, I started my career as an investment analyst at several leading global investment banks. With over 25+ years of experience as a quantitative analyst, I specialize in developing statistically-driven trading strategies for equities.

Before co-founding MindPlus Capital Management, I was the Director of Securities Trading at Credit Lyonnais Securities Asia, where I managed client portfolios exceeding US$300 million. I later served as Director of Global Arbitrage & Trading at RBC Capital Markets in Tokyo, leading the bank's proprietary trading operations. After selling MindPlus last year, I semi-retired to Canada and now work as an independent consultant for hedge funds and portfolio managers.

URS4 is an advanced, institutional-grade swing trading system designed to capture short-term movements lasting 5 to 20 days. This system, which is long-biased, requires minimal daily management from traders. Extensive research shows that short-term market swings often occur within this timeframe, making URS4 ideal for exploiting these movements. Even during broader market trends, stocks exhibit temporary swings, allowing URS4 to capitalize on these for profit.

URS4 features a robust risk management framework that can mitigate losses in as little as one day if downside risks are detected. Developed over two decades, URS4 has proven its performance across equities, commodities, forex, and futures, consistently generating returns under tight risk controls in my past roles.

Currently, URS4 targets US-listed high-growth stocks, using their volatility to optimize the risk-reward ratio. Contrary to popular belief, these high-beta stocks offer less correlation than expected, providing diversification across sectors like AI, software, and semiconductors while reducing drawdown risks. The system adjusts its por tfolio dynamically using a proprietary quant model that identifies stocks with potential for significant price movements based on volume and volatility.

My objective is to identify and trade systematically the next wave of high-growth stocks, like NVDA and TSLA, using a proprietary quantitative ranking system I developed. This system selects the strongest growth stocks from companies with a market cap of at least $1 billion.

I typically diversify across 20 to 40 stocks, given their smaller size relative to market giants. This active trading strategy, rather than a buy-and-hold approach, should, on average, yield more gains than losses, with the compounding effect leading to steady portfolio growth over time.

Additionally, I sometimes buy put options as a hedge when my other systems detect market risks. I monitor market breadth, corporate insider activities, and options market behavior to anticipate market shifts.

Hope this makes sense to you!
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2022-06-19
Suggested Minimum Capital
$60,000
Rank at C2 %
Top 1.4%
Rank # 
#10
# Trades
239
# Profitable
97
% Profitable
40.6%
Net Dividends
$135
Correlation S&P500
0.382
Sharpe Ratio
0.97
Sortino Ratio
1.69
Beta
1.00
Alpha
0.08
Leverage
0.75 Average
4.75 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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