Collective2 · investment strategy
by Collective2
Drift & Bounce — systematic, long-only US-equity strategy
Description from Collective2
of the return and risk figures:as the source publishes them
What $10,000 would have become, from the strategy's own published history, against the S&P 500 over the same dates. The basis is labelled.
Each rule is quoted word for word from the strategy's own documents.
“steps aside to cash when a rules-based regime filter detects a sustained market downtrend”
“a concentrated momentum rotation in highly liquid large/mid-cap US names”
“a short-term mean-reversion engine that buys statistically extreme washouts in healthy, still-uptrending names”
“highly liquid large/mid-cap US names”
No published holdings for this strategy.
Fitted to 95 returns (hypothetical) from 2026-06-08 to 2026-10-16. An estimate, not holdings: it can't name stocks.
· : 0.72 · Too loose a fit for a verdict; shown as a guide.
Beta to the S&P 500: 2.14 (90%: 1.50 to 2.43)
Compares the stated rules with the holdings (or, where none are published, a mix estimated from returns), using tests fixed before any results were seen.
No holdings on file, so nothing to test.
Strategies that share its Mean reversion label, from other sources first, strongest risk-adjusted return first.
Composer Technologies · Composer
Composer Technologies · Composer
How much of what we look for this strategy has, and why anything is missing. Fields that don't apply to it aren't counted.
3 missing
The text the rules are quoted from, with where it came from.
A systematic, long-only US-equity strategy running two independent engines side by side: - Drift — a concentrated momentum rotation in highly liquid large/mid-cap US names, re-ranked on a fixed multi-week schedule. It holds market leaders while they lead, and steps aside to cash when a rules-based regime filter detects a sustained market downtrend. - Bounce — a short-term mean-reversion engine that buys statistically extreme washouts in healthy, still-uptrending names and sells into the rebound — deliberately throttled so it never loads up into a falling market. The two engines draw down at different times (trend and reversion rarely break together) and capital is mechanically rebalanced between them. RISK CHARACTER - Drawdown control is the primary objective; return is its consequence — the aim is to beat the broad market over full cycles while keeping drawdowns shallower than buy-and-hold. The regime filter (Drift moves to cash in sustained downtrends) is the main drawdown brake. - A fully-invested long equity strategy — expect equity-level volatility, quiet sideways stretches, and the occasional sharp week. Built to compound across cycles, not to win every month. - No leverage, no margin, no options, no shorting, no discretionary overrides — only long shares of liquid US stocks. - Every rule was validated on 27 years of point-in-time data spanning four major bear markets. ACADEMIC & RESEARCH FOUNDATIONS Drift — cross-sectional and time-series momentum (among the most replicated effects in finance): - Jegadeesh & Titman (1993), Returns to Buying Winners and Selling Losers, Journal of Finance. - Asness, Moskowitz & Pedersen (2013), Value and Momentum Everywhere, Journal of Finance. - Moskowitz, Ooi & Pedersen (2012), Time Series Momentum, Journal of Financial Economics — trend persistence (the basis of the regime filter). - Faber (2007), A Quantitative Approach to Tactical Asset Allocation, Journal of Wealth Management — the moving-average regime/trend filter. Bounce — short-term reversal / overreaction in equities: - De Bondt & Thaler (1985), Does the Stock Market Overreact?, Journal of Finance. - Jegadeesh (1990), Evidence of Predictable Behavior of Security Returns, Journal of Finance. - Lehmann (1990), Fads, Martingales, and Market Efficiency, Quarterly Journal of Economics. - Lo & MacKinlay (1990), When Are Contrarian Profits Due to Stock Market Overreaction?, Review of Financial Studies. - Connors & Alvarez (2008), Short Term Trading Strategies That Work — the practitioner short-period-RSI oversold rule inside a trend filter. Combining them — momentum and short-term reversal are distinct, well-documented effects on opposite horizons (multi-month trend versus days-long reversal), so they diversify each other: Markowitz (1952), Portfolio Selection, Journal of Finance.
Drift & Bounce — systematic, long-only US-equity strategy
Every value on file, each labelled with its calculation basis and as-of date.
| Asset classes / instruments | stocks | ||
| Leaderboard views (Collective2) | tos |
| Subscription price per month | $75 | ||
| Suggested minimum capital | $15k |
| Strategy age | 129 |
| Alpha vs S&P 500, strategy life (hypothetical model account) | -0.04 | 2026-10-19 | |
| Beta vs S&P 500, strategy life (hypothetical model account) | 1.51 | 2026-10-19 | |
| Correlation to S&P 500, strategy life (hypothetical model account) | 0.51 | 2026-10-19 |
| Annual return compounded, strategy life (hypothetical model account) | 8.20% | ||
| Monthly returns (hypothetical model account) | show{
"2026-Aug": 0.03918,
"2026-Jul": -0.15598,
"2026-Jun": 0.12811999999999998,
"2026-Oct": -0.091,
"2026-Sep": 0.11627000000000001,
"2026-YTD": 0.004
} | 2026-10-19 |
| Maximum drawdown, strategy life (hypothetical model account) | -23.90% | ||
| Sharpe ratio, strategy life (hypothetical model account) | 0.74 | ||
| Sortino ratio, strategy life (hypothetical model account) | 0.06 | 2026-10-19 |
| Heart Attack Index (Collective2) | 14 |
| Average leverage | 0.68 | ||
| Average position time | 36,870 | ||
| Maximum daily leverage | 0.90 | 2026-10-19 | |
| Number of trades | 76 | 2026-10-19 | |
| Percent of trades profitable | 65.33% | ||
| Profit factor | 2.33 | ||
| Win:loss ratio | 2.33 |
Composer Technologies · Composer
Composer Technologies · Composer
