Collective2 Collective2
Featured Strategy 3XTraderQ Followed by live capital $73,500 Hypothetical

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ORION AI Model
(152325376)

Created by: SparkTrade SparkTrade
Started: 07/2025
Stocks
Last trade: Yesterday
Trading style: Equity Non-hedged Equity

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 $49.00 per month.

C2Star

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

You can read more about C2Star certification requirements here.

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

Trading Category: Equity
Non-hedged Equity
Category: Equity

Non-hedged Equity

Predominantly long equities, although some hedging with short sales of stocks and/or stock index options. Commonly known as "stock-pickers."
27.2%
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.

(21.9%)
Max Drawdown
1206
Num Trades
60.6%
Win Trades
1.3 : 1
Profit Factor
69.2%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2025                                          +0.2%+17.6%(0.4%)+1.4%+4.2%+1.0%+25.1%
2026(2%)+1.2%(12.1%)+5.1%(10.7%)+5.3%+19.2%                              +2.8%

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 6 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 220 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
7/23/26 9:30 CCSI CONSENSUS CLOUD SOLUTIONS INC. LONG 87 33.71 7/27 9:31 37.16 0.05%
Trade id #157009739
Max drawdown($31)
Time7/23/26 9:36
Quant open87
Worst price33.35
Drawdown as % of equity-0.05%
 $298
Includes Typical Broker Commissions trade costs of $1.74
7/16/26 9:31 MKTX MARKETAXESS HOLDINGS LONG 28 116.50 7/27 9:31 117.08 0.2%
Trade id #156928379
Max drawdown($126)
Time7/21/26 0:00
Quant open27
Worst price111.90
Drawdown as % of equity-0.20%
 $15
Includes Typical Broker Commissions trade costs of $0.56
7/24/26 9:30 GAP GAP INC LONG 156 18.69 7/27 9:31 19.19 n/a $75
Includes Typical Broker Commissions trade costs of $3.12
7/24/26 9:30 GCO GENESCO LONG 84 35.33 7/27 9:31 36.45 0.13%
Trade id #157024259
Max drawdown($83)
Time7/24/26 9:54
Quant open84
Worst price34.34
Drawdown as % of equity-0.13%
 $92
Includes Typical Broker Commissions trade costs of $1.68
7/22/26 9:31 HZO MARINEMAX LONG 93 33.17 7/24 9:30 33.18 0.37%
Trade id #156993382
Max drawdown($237)
Time7/23/26 0:00
Quant open93
Worst price30.61
Drawdown as % of equity-0.37%
 ($1)
Includes Typical Broker Commissions trade costs of $1.86
7/16/26 9:31 EVH EVOLENT HEALTH INC LONG 565 5.95 7/24 9:30 4.70 1.11%
Trade id #156928376
Max drawdown($717)
Time7/23/26 0:00
Quant open530
Worst price4.60
Drawdown as % of equity-1.11%
 ($711)
Includes Typical Broker Commissions trade costs of $5.67
7/22/26 9:31 ACDC PROFRAC HC. CLASS A LONG 637 4.94 7/24 9:30 4.58 0.46%
Trade id #156993354
Max drawdown($299)
Time7/23/26 0:00
Quant open637
Worst price4.47
Drawdown as % of equity-0.46%
 ($234)
Includes Typical Broker Commissions trade costs of $5.47
7/15/26 9:30 VRRM VERRA MOBILITY CORP LONG 779 4.34 7/24 9:30 3.92 0.54%
Trade id #156912478
Max drawdown($353)
Time7/23/26 0:00
Quant open752
Worst price3.87
Drawdown as % of equity-0.54%
 ($330)
Includes Typical Broker Commissions trade costs of $5.62
7/23/26 9:30 GTE GRAN TIERRA ENERGY LONG 411 7.53 7/24 9:30 7.62 0.08%
Trade id #157009735
Max drawdown($53)
Time7/23/26 9:45
Quant open411
Worst price7.40
Drawdown as % of equity-0.08%
 $29
Includes Typical Broker Commissions trade costs of $8.22
7/23/26 9:30 CRMD CORMEDIX LONG 376 7.85 7/24 9:30 8.07 0.05%
Trade id #157009731
Max drawdown($33)
Time7/23/26 9:52
Quant open376
Worst price7.76
Drawdown as % of equity-0.05%
 $75
Includes Typical Broker Commissions trade costs of $7.52
7/22/26 9:31 NATH NATHANS FAMOUS LONG 31 98.07 7/23 9:30 97.67 0.03%
Trade id #156993359
Max drawdown($21)
Time7/22/26 12:46
Quant open31
Worst price97.38
Drawdown as % of equity-0.03%
 ($13)
Includes Typical Broker Commissions trade costs of $0.62
7/21/26 9:31 PRG PROG HOLDINGS INC LONG 68 45.21 7/23 9:30 44.16 0.12%
Trade id #156980073
Max drawdown($78)
Time7/23/26 9:30
Quant open68
Worst price44.06
Drawdown as % of equity-0.12%
 ($72)
Includes Typical Broker Commissions trade costs of $1.36
7/22/26 9:31 DECK DECKERS OUTDOOR CORP LONG 30 103.80 7/23 9:30 100.80 0.14%
Trade id #156993361
Max drawdown($92)
Time7/23/26 9:30
Quant open30
Worst price100.72
Drawdown as % of equity-0.14%
 ($91)
Includes Typical Broker Commissions trade costs of $0.60
7/21/26 9:32 EFOR EVERFORTH INC LONG 166 17.83 7/22 9:32 20.03 n/a $362
Includes Typical Broker Commissions trade costs of $3.32
7/21/26 9:32 FCFS FIRST CASH HOLDINGS INC LONG 14 211.33 7/22 9:31 208.13 0.07%
Trade id #156980284
Max drawdown($44)
Time7/22/26 9:30
Quant open14
Worst price208.13
Drawdown as % of equity-0.07%
 ($45)
Includes Typical Broker Commissions trade costs of $0.28
7/17/26 9:32 GOLD GOLD.COM INC LONG 81 38.20 7/22 9:31 40.59 0.15%
Trade id #156942625
Max drawdown($95)
Time7/20/26 0:00
Quant open80
Worst price37.01
Drawdown as % of equity-0.15%
 $191
Includes Typical Broker Commissions trade costs of $1.62
7/17/26 9:32 HII HUNTINGTON INGALLS LONG 11 273.78 7/22 9:31 273.00 0.18%
Trade id #156942659
Max drawdown($111)
Time7/21/26 0:00
Quant open11
Worst price263.62
Drawdown as % of equity-0.18%
 ($9)
Includes Typical Broker Commissions trade costs of $0.22
7/20/26 9:30 HUN HUNTSMAN LONG 261 11.67 7/21 9:32 12.08 0.02%
Trade id #156966625
Max drawdown($15)
Time7/20/26 9:35
Quant open261
Worst price11.61
Drawdown as % of equity-0.02%
 $102
Includes Typical Broker Commissions trade costs of $5.22
7/16/26 9:31 NI NISOURCE LONG 68 45.74 7/21 9:32 45.83 0.05%
Trade id #156928382
Max drawdown($31)
Time7/21/26 9:30
Quant open67
Worst price45.27
Drawdown as % of equity-0.05%
 $5
Includes Typical Broker Commissions trade costs of $1.36
7/20/26 9:30 PUBM PUBMATIC INC. CLASS A COMMON STOCK LONG 242 12.77 7/21 9:30 12.82 0.05%
Trade id #156966620
Max drawdown($33)
Time7/20/26 9:35
Quant open242
Worst price12.63
Drawdown as % of equity-0.05%
 $7
Includes Typical Broker Commissions trade costs of $4.84
7/17/26 9:32 DECK DECKERS OUTDOOR CORP LONG 28 107.39 7/20 9:30 105.90 0.07%
Trade id #156942611
Max drawdown($44)
Time7/20/26 9:30
Quant open28
Worst price105.80
Drawdown as % of equity-0.07%
 ($43)
Includes Typical Broker Commissions trade costs of $0.56
7/15/26 9:30 LVS LAS VEGAS SANDS LONG 72 44.85 7/17 9:32 45.58 0.07%
Trade id #156912471
Max drawdown($45)
Time7/15/26 9:55
Quant open72
Worst price44.22
Drawdown as % of equity-0.07%
 $51
Includes Typical Broker Commissions trade costs of $1.44
7/14/26 9:30 CE CELANESE LONG 68 48.19 7/17 9:32 45.72 0.28%
Trade id #156900187
Max drawdown($180)
Time7/16/26 0:00
Quant open68
Worst price45.55
Drawdown as % of equity-0.28%
 ($169)
Includes Typical Broker Commissions trade costs of $1.36
7/15/26 9:30 LNTH LANTHEUS HOLDINGS INC. COMMON STOCK LONG 31 101.71 7/16 9:31 105.00 n/a $101
Includes Typical Broker Commissions trade costs of $0.62
7/15/26 9:30 CRMD CORMEDIX LONG 393 8.26 7/16 9:31 8.39 0.09%
Trade id #156912456
Max drawdown($58)
Time7/15/26 10:42
Quant open393
Worst price8.11
Drawdown as % of equity-0.09%
 $43
Includes Typical Broker Commissions trade costs of $7.86
7/14/26 9:32 ACDC PROFRAC HC. CLASS A LONG 608 5.30 7/16 9:30 4.93 0.53%
Trade id #156900643
Max drawdown($340)
Time7/15/26 0:00
Quant open597
Worst price4.73
Drawdown as % of equity-0.53%
 ($230)
Includes Typical Broker Commissions trade costs of $5.11
7/15/26 9:30 GCO GENESCO LONG 94 34.35 7/16 9:30 35.19 n/a $77
Includes Typical Broker Commissions trade costs of $1.88
7/14/26 9:30 HST HOST HOTELS & RESORTS LONG 134 23.31 7/15 9:30 23.27 0.04%
Trade id #156900183
Max drawdown($28)
Time7/14/26 12:41
Quant open134
Worst price23.10
Drawdown as % of equity-0.04%
 ($8)
Includes Typical Broker Commissions trade costs of $2.68
7/14/26 9:32 EFOR EVERFORTH INC LONG 170 17.50 7/15 9:30 17.33 0.16%
Trade id #156900645
Max drawdown($102)
Time7/14/26 15:40
Quant open170
Worst price16.90
Drawdown as % of equity-0.16%
 ($32)
Includes Typical Broker Commissions trade costs of $3.40
7/14/26 9:30 NVAX NOVAVAX LONG 348 8.88 7/15 9:30 8.40 0.31%
Trade id #156900188
Max drawdown($200)
Time7/15/26 9:30
Quant open348
Worst price8.31
Drawdown as % of equity-0.31%
 ($176)
Includes Typical Broker Commissions trade costs of $6.96

Statistics

  • Strategy began
    7/15/2025
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    377.64
  • Age
    13 months ago
  • What it trades
    Stocks
  • # Trades
    1206
  • # Profitable
    731
  • % Profitable
    60.60%
  • Avg trade duration
    6.8 days
  • Max peak-to-valley drawdown
    21.85%
  • drawdown period
    Dec 18, 2025 - May 14, 2026
  • Annual Return (Compounded)
    27.2%
  • Avg win
    $108.60
  • Avg loss
    $128.85
  • Model Account Values (Raw)
  • Cash
    $32,900
  • Margin Used
    ($32,611)
  • Buying Power
    $65,314
  • Ratios
  • W:L ratio
    1.32:1
  • Sharpe Ratio
    0.99
  • Sortino Ratio
    1.51
  • Calmar Ratio
    3.291
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    9.79%
  • Correlation to SP500
    0.37830
  • Return Percent SP500 (cumu) during strategy life
    18.73%
  • Return Statistics
  • Ann Return (w trading costs)
    27.2%
  • Slump
  • Current Slump as Pcnt Equity
    1.20%
  • 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)
    0.272%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    35.7%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    13.50%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    100.00%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    611
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    392
  • Popularity (7 days, Percentile 1000 scale)
    556
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $130
  • Avg Win
    $109
  • Sum Trade PL (losers)
    $61,555.000
  • Age
  • Num Months filled monthly returns table
    13
  • Win / Loss
  • Sum Trade PL (winners)
    $79,458.000
  • # Winners
    731
  • Num Months Winners
    9
  • Dividends
  • Dividends Received in Model Acct
    706
  • Win / Loss
  • # Losers
    475
  • % Winners
    60.6%
  • Frequency
  • Avg Position Time (mins)
    9788.23
  • Avg Position Time (hrs)
    163.14
  • Avg Trade Length
    6.8 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    1.10
  • Daily leverage (max)
    1.80
  • Regression
  • Alpha
    0.04
  • Beta
    0.57
  • 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)
    0.11
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    37.568
  • 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
    0.622
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.444
  • Hold-and-Hope Ratio
    0.027
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.48223
  • SD
    0.29139
  • Sharpe ratio (Glass type estimate)
    1.65494
  • Sharpe ratio (Hedges UMVUE)
    1.46993
  • df
    7.00000
  • t
    1.35126
  • p
    0.10933
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.94277
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.15038
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.05100
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.99085
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.53200
  • Upside Potential Ratio
    6.49329
  • Upside part of mean
    0.69092
  • Downside part of mean
    -0.20869
  • Upside SD
    0.28697
  • Downside SD
    0.10641
  • N nonnegative terms
    5.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    8.00000
  • Mean of predictor
    0.25411
  • Mean of criterion
    0.48223
  • SD of predictor
    0.06882
  • SD of criterion
    0.29139
  • Covariance
    -0.00995
  • r
    -0.49597
  • b (slope, estimate of beta)
    -2.09982
  • a (intercept, estimate of alpha)
    1.01582
  • Mean Square Error
    0.07469
  • DF error
    6.00000
  • t(b)
    -1.39906
  • p(b)
    0.89435
  • t(a)
    2.00185
  • p(a)
    0.04609
  • Lowerbound of 95% confidence interval for beta
    -5.77238
  • Upperbound of 95% confidence interval for beta
    1.57274
  • Lowerbound of 95% confidence interval for alpha
    -0.22586
  • Upperbound of 95% confidence interval for alpha
    2.25749
  • Treynor index (mean / b)
    -0.22965
  • Jensen alpha (a)
    1.01582
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.43770
  • SD
    0.27856
  • Sharpe ratio (Glass type estimate)
    1.57130
  • Sharpe ratio (Hedges UMVUE)
    1.39563
  • df
    7.00000
  • t
    1.28296
  • p
    0.12017
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.01038
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.05475
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.11368
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.90494
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.99407
  • Upside Potential Ratio
    5.94765
  • Upside part of mean
    0.65179
  • Downside part of mean
    -0.21409
  • Upside SD
    0.26805
  • Downside SD
    0.10959
  • N nonnegative terms
    5.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    8.00000
  • Mean of predictor
    0.24891
  • Mean of criterion
    0.43770
  • SD of predictor
    0.06697
  • SD of criterion
    0.27856
  • Covariance
    -0.00935
  • r
    -0.50133
  • b (slope, estimate of beta)
    -2.08532
  • a (intercept, estimate of alpha)
    0.95676
  • Mean Square Error
    0.06777
  • DF error
    6.00000
  • t(b)
    -1.41925
  • p(b)
    0.89719
  • t(a)
    1.97188
  • p(a)
    0.04805
  • Lowerbound of 95% confidence interval for beta
    -5.68065
  • Upperbound of 95% confidence interval for beta
    1.51000
  • Lowerbound of 95% confidence interval for alpha
    -0.23050
  • Upperbound of 95% confidence interval for alpha
    2.14402
  • Treynor index (mean / b)
    -0.20989
  • Jensen alpha (a)
    0.95676
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.09135
  • Expected Shortfall on VaR
    0.12098
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03405
  • Expected Shortfall on VaR
    0.06366
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    8.00000
  • Minimum
    0.92902
  • Quartile 1
    0.97039
  • Median
    1.05139
  • Quartile 3
    1.08086
  • Maximum
    1.17617
  • Mean of quarter 1
    0.94825
  • Mean of quarter 2
    1.00829
  • Mean of quarter 3
    1.06132
  • Mean of quarter 4
    1.15220
  • Inter Quartile Range
    0.11047
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.03252
  • Quartile 1
    0.04879
  • Median
    0.06506
  • Quartile 3
    0.08132
  • Maximum
    0.09759
  • Mean of quarter 1
    0.03252
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.09759
  • Inter Quartile Range
    0.03253
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.54596
  • Compounded annual return (geometric extrapolation)
    0.59298
  • Calmar ratio (compounded annual return / max draw down)
    6.07621
  • Compounded annual return / average of 25% largest draw downs
    6.07621
  • Compounded annual return / Expected Shortfall lognormal
    4.90125
  • 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
    0.46463
  • SD
    0.23018
  • Sharpe ratio (Glass type estimate)
    2.01852
  • Sharpe ratio (Hedges UMVUE)
    2.01005
  • df
    179.00000
  • t
    1.67309
  • p
    0.42121
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.35806
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.38964
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.36372
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.38383
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.35948
  • Upside Potential Ratio
    10.34290
  • Upside part of mean
    1.43045
  • Downside part of mean
    -0.96583
  • Upside SD
    0.18543
  • Downside SD
    0.13830
  • N nonnegative terms
    100.00000
  • N negative terms
    80.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    180.00000
  • Mean of predictor
    0.23452
  • Mean of criterion
    0.46463
  • SD of predictor
    0.15907
  • SD of criterion
    0.23018
  • Covariance
    0.01243
  • r
    0.33941
  • b (slope, estimate of beta)
    0.49116
  • a (intercept, estimate of alpha)
    0.34900
  • Mean Square Error
    0.04714
  • DF error
    178.00000
  • t(b)
    4.81413
  • p(b)
    0.33029
  • t(a)
    1.32845
  • p(a)
    0.45046
  • Lowerbound of 95% confidence interval for beta
    0.28982
  • Upperbound of 95% confidence interval for beta
    0.69249
  • Lowerbound of 95% confidence interval for alpha
    -0.16965
  • Upperbound of 95% confidence interval for alpha
    0.86853
  • Treynor index (mean / b)
    0.94599
  • Jensen alpha (a)
    0.34944
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.43814
  • SD
    0.22838
  • Sharpe ratio (Glass type estimate)
    1.91850
  • Sharpe ratio (Hedges UMVUE)
    1.91045
  • df
    179.00000
  • t
    1.59018
  • p
    0.42504
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.45711
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.28882
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.46244
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.28334
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.10487
  • Upside Potential Ratio
    10.01810
  • Upside part of mean
    1.41368
  • Downside part of mean
    -0.97554
  • Upside SD
    0.18079
  • Downside SD
    0.14111
  • N nonnegative terms
    100.00000
  • N negative terms
    80.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    180.00000
  • Mean of predictor
    0.22198
  • Mean of criterion
    0.43814
  • SD of predictor
    0.15759
  • SD of criterion
    0.22838
  • Covariance
    0.01249
  • r
    0.34714
  • b (slope, estimate of beta)
    0.50306
  • a (intercept, estimate of alpha)
    0.32647
  • Mean Square Error
    0.04613
  • DF error
    178.00000
  • t(b)
    4.93859
  • p(b)
    0.32643
  • t(a)
    1.25516
  • p(a)
    0.45317
  • Lowerbound of 95% confidence interval for beta
    0.30205
  • Upperbound of 95% confidence interval for beta
    0.70407
  • Lowerbound of 95% confidence interval for alpha
    -0.18681
  • Upperbound of 95% confidence interval for alpha
    0.83975
  • Treynor index (mean / b)
    0.87095
  • Jensen alpha (a)
    0.32647
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02130
  • Expected Shortfall on VaR
    0.02704
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00777
  • Expected Shortfall on VaR
    0.01633
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    180.00000
  • Minimum
    0.92915
  • Quartile 1
    0.99545
  • Median
    1.00115
  • Quartile 3
    1.00784
  • Maximum
    1.09852
  • Mean of quarter 1
    0.98706
  • Mean of quarter 2
    0.99855
  • Mean of quarter 3
    1.00435
  • Mean of quarter 4
    1.01757
  • Inter Quartile Range
    0.01238
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.02222
  • Mean of outliers low
    0.95964
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.03333
  • Mean of outliers high
    1.04231
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.11386
  • VaR(95%) (moments method)
    0.01161
  • Expected Shortfall (moments method)
    0.01699
  • Extreme Value Index (regression method)
    0.29437
  • VaR(95%) (regression method)
    0.01275
  • Expected Shortfall (regression method)
    0.02168
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    17.00000
  • Minimum
    0.00020
  • Quartile 1
    0.00254
  • Median
    0.00552
  • Quartile 3
    0.02407
  • Maximum
    0.18038
  • Mean of quarter 1
    0.00128
  • Mean of quarter 2
    0.00490
  • Mean of quarter 3
    0.01632
  • Mean of quarter 4
    0.09232
  • Inter Quartile Range
    0.02153
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.11765
  • Mean of outliers high
    0.13542
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.71384
  • VaR(95%) (moments method)
    0.07006
  • Expected Shortfall (moments method)
    0.07953
  • Extreme Value Index (regression method)
    0.35023
  • VaR(95%) (regression method)
    0.13511
  • Expected Shortfall (regression method)
    0.26767
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.54930
  • Compounded annual return (geometric extrapolation)
    0.59368
  • Calmar ratio (compounded annual return / max draw down)
    3.29118
  • Compounded annual return / average of 25% largest draw downs
    6.43097
  • Compounded annual return / Expected Shortfall lognormal
    21.95190
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.24788
  • SD
    0.25040
  • Sharpe ratio (Glass type estimate)
    0.98994
  • Sharpe ratio (Hedges UMVUE)
    0.98422
  • df
    130.00000
  • t
    0.69999
  • p
    0.46936
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.78629
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.76255
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.79017
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.75860
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.58670
  • Upside Potential Ratio
    8.88187
  • Upside part of mean
    1.38757
  • Downside part of mean
    -1.13969
  • Upside SD
    0.19506
  • Downside SD
    0.15623
  • N nonnegative terms
    69.00000
  • N negative terms
    62.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.19188
  • Mean of criterion
    0.24788
  • SD of predictor
    0.17817
  • SD of criterion
    0.25040
  • Covariance
    0.01400
  • r
    0.31383
  • b (slope, estimate of beta)
    0.44105
  • a (intercept, estimate of alpha)
    0.16325
  • Mean Square Error
    0.05696
  • DF error
    129.00000
  • t(b)
    3.75404
  • p(b)
    0.30354
  • t(a)
    0.48259
  • p(a)
    0.47298
  • Lowerbound of 95% confidence interval for beta
    0.20860
  • Upperbound of 95% confidence interval for beta
    0.67350
  • Lowerbound of 95% confidence interval for alpha
    -0.50605
  • Upperbound of 95% confidence interval for alpha
    0.83255
  • Treynor index (mean / b)
    0.56202
  • Jensen alpha (a)
    0.16325
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.21701
  • SD
    0.24830
  • Sharpe ratio (Glass type estimate)
    0.87396
  • Sharpe ratio (Hedges UMVUE)
    0.86891
  • df
    130.00000
  • t
    0.61799
  • p
    0.47294
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.90145
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.64624
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.90491
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.64273
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.36003
  • Upside Potential Ratio
    8.58061
  • Upside part of mean
    1.36912
  • Downside part of mean
    -1.15212
  • Upside SD
    0.18948
  • Downside SD
    0.15956
  • N nonnegative terms
    69.00000
  • N negative terms
    62.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.17626
  • Mean of criterion
    0.21701
  • SD of predictor
    0.17637
  • SD of criterion
    0.24830
  • Covariance
    0.01410
  • r
    0.32195
  • b (slope, estimate of beta)
    0.45326
  • a (intercept, estimate of alpha)
    0.13711
  • Mean Square Error
    0.05569
  • DF error
    129.00000
  • t(b)
    3.86230
  • p(b)
    0.29864
  • t(a)
    0.41005
  • p(a)
    0.47704
  • VAR (95 Confidence Intrvl)
    0.02100
  • Lowerbound of 95% confidence interval for beta
    0.22107
  • Upperbound of 95% confidence interval for beta
    0.68545
  • Lowerbound of 95% confidence interval for alpha
    -0.52447
  • Upperbound of 95% confidence interval for alpha
    0.79870
  • Treynor index (mean / b)
    0.47877
  • Jensen alpha (a)
    0.13711
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02411
  • Expected Shortfall on VaR
    0.03033
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00960
  • Expected Shortfall on VaR
    0.01965
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.92915
  • Quartile 1
    0.99337
  • Median
    1.00078
  • Quartile 3
    1.00740
  • Maximum
    1.09852
  • Mean of quarter 1
    0.98533
  • Mean of quarter 2
    0.99766
  • Mean of quarter 3
    1.00367
  • Mean of quarter 4
    1.01763
  • Inter Quartile Range
    0.01403
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.02290
  • Mean of outliers low
    0.95506
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.03053
  • Mean of outliers high
    1.04906
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.45301
  • VaR(95%) (moments method)
    0.01650
  • Expected Shortfall (moments method)
    0.03172
  • Extreme Value Index (regression method)
    0.65468
  • VaR(95%) (regression method)
    0.01473
  • Expected Shortfall (regression method)
    0.03697
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.00020
  • Quartile 1
    0.01063
  • Median
    0.01931
  • Quartile 3
    0.05583
  • Maximum
    0.18038
  • Mean of quarter 1
    0.00266
  • Mean of quarter 2
    0.01351
  • Mean of quarter 3
    0.03418
  • Mean of quarter 4
    0.13542
  • Inter Quartile Range
    0.04520
  • 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
    0.12500
  • Mean of outliers high
    0.18038
  • 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
  • Last 4 Months - Pcnt Negative
    0.25%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -468035000
  • Max Equity Drawdown (num days)
    147
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.26054
  • Compounded annual return (geometric extrapolation)
    0.27751
  • Calmar ratio (compounded annual return / max draw down)
    1.53844
  • Compounded annual return / average of 25% largest draw downs
    2.04928
  • Compounded annual return / Expected Shortfall lognormal
    9.15021

Strategy Description

SparkTrade.io is an AI-powered platform that provides stock predictions and investment strategies for institutional investors and hedge funds. SparkTrade utilizes advanced machine learning techniques to analyze extensive financial data, offering daily long and short prediction scores for individual equities and sectors. These scores are designed to help investors identify equities that are poised for a reversal or catch-up trade. SparkTrade prediction scores are used to assist in position sizing, trading around a position, and uncovering opportunities to assist in portfolio optimization and risk management.

This model in particular is our ORION AI Model. On each trading day, this strategy takes SparkTrade's Top 21 Long Prediction scores for all of the 2,500+ US equities our model covers, dividing the principle equally amongst them to allocate the same dollar amount of investment into each stock for that day. Any stocks that remain amongst our Top 21 Long Predictions day-to-day are carried over and allocated their portion of any total profits gained in the previous trading session, increasing the position size. This model does not switch regimes based on volatility, and only enters into long positions.

Be sure to check out our other SparkTrade.io strategies found here on C2, including the RAPTOR AI (All Vol Long Monthly Top 21), CORTEX AI (Regime-switching Long Daily Top 21), and SYNAPSE AI (Regime-switching Top 55 Long / Top 21 Short Daily) models to see which one fits your risk tolerance and overall portfolio strategy best.
Trade this strategy at Tradier

Summary Statistics

Strategy began
2025-07-15
Suggested Minimum Capital
$15,000
# Trades
1206
# Profitable
731
% Profitable
60.6%
Net Dividends
$705
Correlation S&P500
0.378
Sharpe Ratio
0.99
Sortino Ratio
1.51
Beta
0.57
Alpha
0.04
Leverage
1.10 Average
1.80 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

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

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

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

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

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

Latest Activity

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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Suggested Minimum Capital

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