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UnicornIndex
(129575948)

Created by: MarkEriksson MarkEriksson
Started: 06/2020
Stocks
Last trade: 8 days ago
Trading style: Equity Event-driven Sector: Technology

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 $499.00 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
Event-driven
Category: Equity

Event-driven

Seeks to exploit pricing inefficiencies that may occur before or after a corporate event, such as an earnings call, bankruptcy, merger, acquisition, or spinoff.
Sector: Technology
Category: Equity

Sector: Technology

Focuses primarily on stocks of technology companies.
44.1%
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.

(81.1%)
Max Drawdown
3921
Num Trades
75.0%
Win Trades
1.8 : 1
Profit Factor
62.3%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020                                   (0.5%)+4.7%+7.3%(0.1%)(6.5%)+27.8%(7.7%)+23.3%
2021+38.3%+10.7%+1.5%+10.9%+2.4%+45.2%+4.9%(0.6%)+0.2%+6.6%(11.8%)+11.0%+179.5%
2022+9.6%(3.4%)+7.5%(35.5%)(8.9%)(35.4%)+31.9%(6.4%)(17.2%)+7.0%(16.4%)(20.9%)(68.7%)
2023+78.1%+11.5%+18.7%(15.2%)+23.2%+6.3%+11.5%(11.9%)(6.9%)(15.5%)+35.0%+26.1%+244.5%
2024(6.6%)+7.8%+6.1%(6.3%)+17.5%+3.5%+3.6%+0.9%+2.9%+1.8%            +33.3%

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 12,166 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 51 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
10/7/24 15:41 SMCI SUPER MICRO COMPUTER LONG 140 47.49 10/9 11:45 47.87 0.02%
Trade id #149598080
Max drawdown($36)
Time10/8/24 0:00
Quant open10
Worst price44.06
Drawdown as % of equity-0.02%
 $50
Includes Typical Broker Commissions trade costs of $2.80
10/9/24 9:43 TSLA2411V227.5 TSLA Oct11'24 227.5 put SHORT 1 2.31 10/9 10:27 1.36 0.01%
Trade id #149615984
Max drawdown($27)
Time10/9/24 9:46
Quant open1
Worst price2.58
Drawdown as % of equity-0.01%
 $93
Includes Typical Broker Commissions trade costs of $2.00
8/23/24 13:50 ZM ZOOM VIDEO COMMUNICATIONS INC. CLASS A LONG 65 68.72 10/9 10:26 68.65 0.06%
Trade id #149022943
Max drawdown($133)
Time9/18/24 0:00
Quant open50
Worst price65.91
Drawdown as % of equity-0.06%
 ($6)
Includes Typical Broker Commissions trade costs of $1.30
10/9/24 9:50 DOCU DOCUSIGN INC. COMMON STOCK LONG 20 68.07 10/9 10:26 68.20 0%
Trade id #149616130
Max drawdown($1)
Time10/9/24 10:22
Quant open20
Worst price68.02
Drawdown as % of equity-0.00%
 $3
Includes Typical Broker Commissions trade costs of $0.40
9/27/24 9:30 COST COSTCO WHOLESALE LONG 20 890.97 10/9 9:41 891.55 0.16%
Trade id #149523107
Max drawdown($372)
Time10/7/24 0:00
Quant open20
Worst price872.33
Drawdown as % of equity-0.16%
 $12
Includes Typical Broker Commissions trade costs of $0.40
10/8/24 9:41 DOCU DOCUSIGN INC. COMMON STOCK LONG 40 67.24 10/8 14:04 67.72 n/a $18
Includes Typical Broker Commissions trade costs of $0.80
10/8/24 9:38 PEP2411V162.5 PEP Oct11'24 162.5 put SHORT 1 0.15 10/8 10:29 0.09 0%
Trade id #149604334
Max drawdown($1)
Time10/8/24 9:41
Quant open1
Worst price0.16
Drawdown as % of equity-0.00%
 $4
Includes Typical Broker Commissions trade costs of $2.00
9/26/24 12:24 HPE HEWLETT PACKARD ENTERPRISE CO LONG 144 20.64 10/8 10:16 20.98 0%
Trade id #149516368
Max drawdown($1)
Time10/1/24 0:00
Quant open3
Worst price19.82
Drawdown as % of equity-0.00%
 $46
Includes Typical Broker Commissions trade costs of $2.88
10/4/24 9:41 UBER UBER TECHNOLOGIES INC LONG 200 74.06 10/7 14:40 74.20 0.07%
Trade id #149577919
Max drawdown($168)
Time10/4/24 11:32
Quant open200
Worst price73.22
Drawdown as % of equity-0.07%
 $24
Includes Typical Broker Commissions trade costs of $4.00
9/23/24 14:15 SMCI SUPER MICRO COMPUTER LONG 300 46.27 10/7 12:16 46.84 0.36%
Trade id #149486419
Max drawdown($837)
Time10/2/24 0:00
Quant open130
Worst price39.84
Drawdown as % of equity-0.36%
 $165
Includes Typical Broker Commissions trade costs of $6.00
9/6/24 9:43 LEN LENNAR LONG 89 184.34 10/4 9:40 182.98 0.07%
Trade id #149292650
Max drawdown($140)
Time9/6/24 10:57
Quant open50
Worst price179.92
Drawdown as % of equity-0.07%
 ($122)
Includes Typical Broker Commissions trade costs of $1.78
8/1/24 9:49 CMI CUMMINS LONG 104 313.25 10/4 9:39 312.21 0.22%
Trade id #148794734
Max drawdown($448)
Time8/5/24 0:00
Quant open12
Worst price278.20
Drawdown as % of equity-0.22%
 ($111)
Includes Typical Broker Commissions trade costs of $2.08
9/24/24 9:30 HES HESS LONG 585 137.47 10/4 9:38 138.56 0.14%
Trade id #149491575
Max drawdown($329)
Time9/24/24 11:23
Quant open200
Worst price135.03
Drawdown as % of equity-0.14%
 $622
Includes Typical Broker Commissions trade costs of $11.70
10/2/24 14:46 NVDA NVIDIA LONG 100 118.78 10/3 13:12 122.25 0.01%
Trade id #149563326
Max drawdown($17)
Time10/2/24 15:03
Quant open100
Worst price118.61
Drawdown as % of equity-0.01%
 $345
Includes Typical Broker Commissions trade costs of $2.00
10/1/24 9:30 GOOG ALPHABET INC CLASS C LONG 30 168.86 10/1 14:40 168.96 0.04%
Trade id #149548108
Max drawdown($88)
Time10/1/24 11:19
Quant open30
Worst price165.90
Drawdown as % of equity-0.04%
 $2
Includes Typical Broker Commissions trade costs of $0.60
9/26/24 9:40 HES2427U127 HES Sep27'24 127 put SHORT 1 0.05 9/28 9:35 0.00 n/a $4
Includes Typical Broker Commissions trade costs of $1.00
9/27/24 10:14 GOOG ALPHABET INC CLASS C LONG 100 165.76 9/27 11:05 166.60 0.01%
Trade id #149524090
Max drawdown($21)
Time9/27/24 10:17
Quant open100
Worst price165.55
Drawdown as % of equity-0.01%
 $82
Includes Typical Broker Commissions trade costs of $2.00
9/6/24 9:32 DOCU DOCUSIGN INC. COMMON STOCK LONG 351 61.49 9/27 10:19 61.73 0.04%
Trade id #149292262
Max drawdown($81)
Time9/18/24 0:00
Quant open40
Worst price55.14
Drawdown as % of equity-0.04%
 $76
Includes Typical Broker Commissions trade costs of $7.02
9/27/24 9:36 SMCI2427U365 SMCI Sep27'24 365 put SHORT 1 0.75 9/27 9:52 0.35 n/a $38
Includes Typical Broker Commissions trade costs of $2.00
9/27/24 9:34 COST2427U850 COST Sep27'24 850 put SHORT 1 0.41 9/27 9:49 0.09 0.01%
Trade id #149523398
Max drawdown($19)
Time9/27/24 9:37
Quant open1
Worst price0.60
Drawdown as % of equity-0.01%
 $30
Includes Typical Broker Commissions trade costs of $2.00
9/26/24 10:53 ACN ACCENTURE LONG 10 353.23 9/27 9:45 355.40 0.01%
Trade id #149514612
Max drawdown($18)
Time9/26/24 13:19
Quant open10
Worst price351.34
Drawdown as % of equity-0.01%
 $22
Includes Typical Broker Commissions trade costs of $0.20
9/26/24 15:16 SMCI2427U360 SMCI Sep27'24 360 put SHORT 1 1.65 9/27 9:31 1.20 0.02%
Trade id #149518015
Max drawdown($53)
Time9/26/24 15:40
Quant open1
Worst price2.18
Drawdown as % of equity-0.02%
 $43
Includes Typical Broker Commissions trade costs of $2.00
9/26/24 12:40 SMCI2427U315 SMCI Sep27'24 315 put SHORT 1 1.50 9/26 15:07 0.50 0.02%
Trade id #149516512
Max drawdown($50)
Time9/26/24 12:44
Quant open1
Worst price2.00
Drawdown as % of equity-0.02%
 $98
Includes Typical Broker Commissions trade costs of $2.00
9/24/24 12:08 BABA ALIBABA GROUP HOLDING LIMITED LONG 80 98.72 9/26 10:24 103.29 0.05%
Trade id #149495006
Max drawdown($128)
Time9/25/24 0:00
Quant open55
Worst price94.06
Drawdown as % of equity-0.05%
 $363
Includes Typical Broker Commissions trade costs of $1.60
9/26/24 9:30 HPE HEWLETT PACKARD ENTERPRISE CO LONG 300 20.23 9/26 10:15 20.40 0%
Trade id #149512226
Max drawdown($12)
Time9/26/24 9:33
Quant open300
Worst price20.19
Drawdown as % of equity-0.00%
 $45
Includes Typical Broker Commissions trade costs of $6.00
9/24/24 14:33 FXI ISHARES FTSE CHINA 25 INDEX FU LONG 20 30.91 9/26 10:15 31.82 0%
Trade id #149496580
Max drawdown($6)
Time9/25/24 0:00
Quant open10
Worst price29.42
Drawdown as % of equity-0.00%
 $18
Includes Typical Broker Commissions trade costs of $0.40
9/18/24 10:48 META META PLATFORMS INC. CLASS A LONG 20 565.59 9/26 9:51 570.79 0%
Trade id #149431218
Max drawdown($10)
Time9/18/24 12:00
Quant open2
Worst price533.90
Drawdown as % of equity-0.00%
 $104
Includes Typical Broker Commissions trade costs of $0.40
9/26/24 9:30 ACN ACCENTURE LONG 40 356.71 9/26 9:46 358.99 n/a $90
Includes Typical Broker Commissions trade costs of $0.80
9/25/24 15:12 NVDA NVIDIA LONG 55 123.86 9/26 9:41 126.85 0.01%
Trade id #149507064
Max drawdown($14)
Time9/25/24 15:16
Quant open50
Worst price123.21
Drawdown as % of equity-0.01%
 $163
Includes Typical Broker Commissions trade costs of $1.10
9/13/24 11:53 ARM ARM HOLDINGS PLC ADS LONG 20 145.78 9/26 9:33 151.24 0.07%
Trade id #149385547
Max drawdown($167)
Time9/20/24 0:00
Quant open20
Worst price137.41
Drawdown as % of equity-0.07%
 $109
Includes Typical Broker Commissions trade costs of $0.40
Next

Statistics

  • Strategy began
    6/16/2020
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    1584.7
  • Age
    53 months ago
  • What it trades
    Stocks
  • # Trades
    3921
  • # Profitable
    2942
  • % Profitable
    75.00%
  • Avg trade duration
    5.7 days
  • Max peak-to-valley drawdown
    81.06%
  • drawdown period
    March 29, 2022 - June 03, 2022
  • Annual Return (Compounded)
    44.1%
  • Avg win
    $184.64
  • Avg loss
    $323.60
  • Model Account Values (Raw)
  • Cash
    $79,789
  • Margin Used
    $701
  • Buying Power
    $35,548
  • Ratios
  • W:L ratio
    1.79:1
  • Sharpe Ratio
    0.74
  • Sortino Ratio
    1.18
  • Calmar Ratio
    0.759
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    302.42%
  • Correlation to SP500
    0.48820
  • Return Percent SP500 (cumu) during strategy life
    86.94%
  • Return Statistics
  • Ann Return (w trading costs)
    44.1%
  • Slump
  • Current Slump as Pcnt Equity
    5.90%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.00%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    0.70%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.441%
  • Instruments
  • Percent Trades Options
    0.01%
  • Percent Trades Stocks
    0.98%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    49.5%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    84.50%
  • Chance of 20% account loss
    74.00%
  • Chance of 30% account loss
    61.00%
  • Chance of 40% account loss
    50.00%
  • Chance of 60% account loss (Monte Carlo)
    22.00%
  • Chance of 70% account loss (Monte Carlo)
    11.50%
  • Chance of 80% account loss (Monte Carlo)
    5.00%
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 100% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    7.90%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    36.50%
  • Popularity
  • Popularity (Today)
    790
  • Popularity (Last 6 weeks)
    916
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    987
  • Popularity (7 days, Percentile 1000 scale)
    866
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $325
  • Avg Win
    $185
  • Sum Trade PL (losers)
    $318,051.000
  • Age
  • Num Months filled monthly returns table
    53
  • Win / Loss
  • Sum Trade PL (winners)
    $543,224.000
  • # Winners
    2942
  • Num Months Winners
    34
  • Dividends
  • Dividends Received in Model Acct
    11972
  • Win / Loss
  • # Losers
    979
  • % Winners
    75.0%
  • Frequency
  • Avg Position Time (mins)
    8191.03
  • Avg Position Time (hrs)
    136.52
  • Avg Trade Length
    5.7 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    2.34
  • Daily leverage (max)
    10.20
  • Regression
  • Alpha
    0.08
  • Beta
    1.71
  • Treynor Index
    0.08
  • 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)
    1.19
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    12.903
  • 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
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    2.112
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.770
  • Hold-and-Hope Ratio
    0.079
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.52962
  • SD
    0.57184
  • Sharpe ratio (Glass type estimate)
    0.92616
  • Sharpe ratio (Hedges UMVUE)
    0.91218
  • df
    50.00000
  • t
    1.90932
  • p
    0.03098
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.04610
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.88953
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.05520
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.87957
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.89640
  • Upside Potential Ratio
    3.52555
  • Upside part of mean
    0.98459
  • Downside part of mean
    -0.45498
  • Upside SD
    0.51573
  • Downside SD
    0.27927
  • N nonnegative terms
    31.00000
  • N negative terms
    20.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    51.00000
  • Mean of predictor
    0.12279
  • Mean of criterion
    0.52962
  • SD of predictor
    0.13055
  • SD of criterion
    0.57184
  • Covariance
    0.03960
  • r
    0.53047
  • b (slope, estimate of beta)
    2.32355
  • a (intercept, estimate of alpha)
    0.24432
  • Mean Square Error
    0.23978
  • DF error
    49.00000
  • t(b)
    4.38038
  • p(b)
    0.00003
  • t(a)
    0.99196
  • p(a)
    0.16305
  • Lowerbound of 95% confidence interval for beta
    1.25758
  • Upperbound of 95% confidence interval for beta
    3.38951
  • Lowerbound of 95% confidence interval for alpha
    -0.25063
  • Upperbound of 95% confidence interval for alpha
    0.73926
  • Treynor index (mean / b)
    0.22793
  • Jensen alpha (a)
    0.24432
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.37509
  • SD
    0.53669
  • Sharpe ratio (Glass type estimate)
    0.69890
  • Sharpe ratio (Hedges UMVUE)
    0.68836
  • df
    50.00000
  • t
    1.44082
  • p
    0.07793
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.26499
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.65599
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.27189
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.64860
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.17969
  • Upside Potential Ratio
    2.75269
  • Upside part of mean
    0.87523
  • Downside part of mean
    -0.50014
  • Upside SD
    0.43933
  • Downside SD
    0.31796
  • N nonnegative terms
    31.00000
  • N negative terms
    20.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    51.00000
  • Mean of predictor
    0.11353
  • Mean of criterion
    0.37509
  • SD of predictor
    0.13135
  • SD of criterion
    0.53669
  • Covariance
    0.04103
  • r
    0.58198
  • b (slope, estimate of beta)
    2.37796
  • a (intercept, estimate of alpha)
    0.10512
  • Mean Square Error
    0.19436
  • DF error
    49.00000
  • t(b)
    5.00970
  • p(b)
    0.00000
  • t(a)
    0.47667
  • p(a)
    0.31786
  • Lowerbound of 95% confidence interval for beta
    1.42407
  • Upperbound of 95% confidence interval for beta
    3.33185
  • Lowerbound of 95% confidence interval for alpha
    -0.33806
  • Upperbound of 95% confidence interval for alpha
    0.54831
  • Treynor index (mean / b)
    0.15774
  • Jensen alpha (a)
    0.10512
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.20035
  • Expected Shortfall on VaR
    0.24926
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.07414
  • Expected Shortfall on VaR
    0.15340
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    51.00000
  • Minimum
    0.66819
  • Quartile 1
    0.95865
  • Median
    1.04410
  • Quartile 3
    1.10496
  • Maximum
    1.49390
  • Mean of quarter 1
    0.86583
  • Mean of quarter 2
    1.00192
  • Mean of quarter 3
    1.06610
  • Mean of quarter 4
    1.25351
  • Inter Quartile Range
    0.14630
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.01961
  • Mean of outliers low
    0.66819
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.07843
  • Mean of outliers high
    1.44950
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.09017
  • VaR(95%) (moments method)
    0.11883
  • Expected Shortfall (moments method)
    0.15781
  • Extreme Value Index (regression method)
    -0.16561
  • VaR(95%) (regression method)
    0.16246
  • Expected Shortfall (regression method)
    0.21562
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.00517
  • Quartile 1
    0.02934
  • Median
    0.04820
  • Quartile 3
    0.08847
  • Maximum
    0.64874
  • Mean of quarter 1
    0.01877
  • Mean of quarter 2
    0.03959
  • Mean of quarter 3
    0.07105
  • Mean of quarter 4
    0.36961
  • Inter Quartile Range
    0.05913
  • 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
    0.11111
  • Mean of outliers high
    0.64874
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.98429
  • VaR(95%) (moments method)
    0.39106
  • Expected Shortfall (moments method)
    25.02650
  • Extreme Value Index (regression method)
    7.11419
  • VaR(95%) (regression method)
    10.95990
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.06921
  • Compounded annual return (geometric extrapolation)
    0.49630
  • Calmar ratio (compounded annual return / max draw down)
    0.76503
  • Compounded annual return / average of 25% largest draw downs
    1.34276
  • Compounded annual return / Expected Shortfall lognormal
    1.99107
  • 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
    0.49956
  • SD
    0.48625
  • Sharpe ratio (Glass type estimate)
    1.02738
  • Sharpe ratio (Hedges UMVUE)
    1.02669
  • df
    1123.00000
  • t
    2.12796
  • p
    0.45968
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.07993
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.97438
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.07947
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.97392
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.63370
  • Upside Potential Ratio
    8.86717
  • Upside part of mean
    2.71143
  • Downside part of mean
    -2.21187
  • Upside SD
    0.37904
  • Downside SD
    0.30578
  • N nonnegative terms
    606.00000
  • N negative terms
    518.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1124.00000
  • Mean of predictor
    0.13208
  • Mean of criterion
    0.49956
  • SD of predictor
    0.16796
  • SD of criterion
    0.48625
  • Covariance
    0.04017
  • r
    0.49185
  • b (slope, estimate of beta)
    1.42393
  • a (intercept, estimate of alpha)
    0.31100
  • Mean Square Error
    0.17940
  • DF error
    1122.00000
  • t(b)
    18.92200
  • p(b)
    0.25408
  • t(a)
    1.52143
  • p(a)
    0.47731
  • Lowerbound of 95% confidence interval for beta
    1.27628
  • Upperbound of 95% confidence interval for beta
    1.57159
  • Lowerbound of 95% confidence interval for alpha
    -0.09022
  • Upperbound of 95% confidence interval for alpha
    0.71319
  • Treynor index (mean / b)
    0.35083
  • Jensen alpha (a)
    0.31149
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.38279
  • SD
    0.48141
  • Sharpe ratio (Glass type estimate)
    0.79515
  • Sharpe ratio (Hedges UMVUE)
    0.79462
  • df
    1123.00000
  • t
    1.64695
  • p
    0.46876
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.15186
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.74182
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.15222
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.74146
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.19840
  • Upside Potential Ratio
    8.27744
  • Upside part of mean
    2.64395
  • Downside part of mean
    -2.26116
  • Upside SD
    0.36066
  • Downside SD
    0.31942
  • N nonnegative terms
    606.00000
  • N negative terms
    518.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1124.00000
  • Mean of predictor
    0.11793
  • Mean of criterion
    0.38279
  • SD of predictor
    0.16813
  • SD of criterion
    0.48141
  • Covariance
    0.04050
  • r
    0.50040
  • b (slope, estimate of beta)
    1.43276
  • a (intercept, estimate of alpha)
    0.21383
  • Mean Square Error
    0.17388
  • DF error
    1122.00000
  • t(b)
    19.35980
  • p(b)
    0.24980
  • t(a)
    1.06114
  • p(a)
    0.48417
  • Lowerbound of 95% confidence interval for beta
    1.28755
  • Upperbound of 95% confidence interval for beta
    1.57797
  • Lowerbound of 95% confidence interval for alpha
    -0.18155
  • Upperbound of 95% confidence interval for alpha
    0.60921
  • Treynor index (mean / b)
    0.26717
  • Jensen alpha (a)
    0.21383
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04635
  • Expected Shortfall on VaR
    0.05807
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01829
  • Expected Shortfall on VaR
    0.03772
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1124.00000
  • Minimum
    0.79771
  • Quartile 1
    0.98931
  • Median
    1.00140
  • Quartile 3
    1.01334
  • Maximum
    1.24072
  • Mean of quarter 1
    0.97071
  • Mean of quarter 2
    0.99583
  • Mean of quarter 3
    1.00663
  • Mean of quarter 4
    1.03489
  • Inter Quartile Range
    0.02403
  • Number outliers low
    36.00000
  • Percentage of outliers low
    0.03203
  • Mean of outliers low
    0.92513
  • Number of outliers high
    42.00000
  • Percentage of outliers high
    0.03737
  • Mean of outliers high
    1.09033
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.27932
  • VaR(95%) (moments method)
    0.02855
  • Expected Shortfall (moments method)
    0.04764
  • Extreme Value Index (regression method)
    0.13830
  • VaR(95%) (regression method)
    0.02833
  • Expected Shortfall (regression method)
    0.04247
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    60.00000
  • Minimum
    0.00015
  • Quartile 1
    0.00796
  • Median
    0.02254
  • Quartile 3
    0.04977
  • Maximum
    0.66908
  • Mean of quarter 1
    0.00333
  • Mean of quarter 2
    0.01507
  • Mean of quarter 3
    0.03628
  • Mean of quarter 4
    0.14517
  • Inter Quartile Range
    0.04181
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.10000
  • Mean of outliers high
    0.24475
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.45659
  • VaR(95%) (moments method)
    0.14828
  • Expected Shortfall (moments method)
    0.30633
  • Extreme Value Index (regression method)
    0.44309
  • VaR(95%) (regression method)
    0.13950
  • Expected Shortfall (regression method)
    0.27502
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.12436
  • Compounded annual return (geometric extrapolation)
    0.50787
  • Calmar ratio (compounded annual return / max draw down)
    0.75905
  • Compounded annual return / average of 25% largest draw downs
    3.49849
  • Compounded annual return / Expected Shortfall lognormal
    8.74550
  • 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
    0.47600
  • SD
    0.32436
  • Sharpe ratio (Glass type estimate)
    1.46750
  • Sharpe ratio (Hedges UMVUE)
    1.45902
  • df
    130.00000
  • t
    1.03768
  • p
    0.45468
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.31282
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.24226
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.31846
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.23649
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.14979
  • Upside Potential Ratio
    9.99109
  • Upside part of mean
    2.21221
  • Downside part of mean
    -1.73621
  • Upside SD
    0.23716
  • Downside SD
    0.22142
  • N nonnegative terms
    70.00000
  • N negative terms
    61.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.21432
  • Mean of criterion
    0.47600
  • SD of predictor
    0.13538
  • SD of criterion
    0.32436
  • Covariance
    0.02625
  • r
    0.59777
  • b (slope, estimate of beta)
    1.43226
  • a (intercept, estimate of alpha)
    0.16904
  • Mean Square Error
    0.06814
  • DF error
    129.00000
  • t(b)
    8.46911
  • p(b)
    0.14351
  • t(a)
    0.45570
  • p(a)
    0.47448
  • Lowerbound of 95% confidence interval for beta
    1.09766
  • Upperbound of 95% confidence interval for beta
    1.76685
  • Lowerbound of 95% confidence interval for alpha
    -0.56487
  • Upperbound of 95% confidence interval for alpha
    0.90295
  • Treynor index (mean / b)
    0.33235
  • Jensen alpha (a)
    0.16904
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.42324
  • SD
    0.32507
  • Sharpe ratio (Glass type estimate)
    1.30199
  • Sharpe ratio (Hedges UMVUE)
    1.29446
  • df
    130.00000
  • t
    0.92064
  • p
    0.45976
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.47675
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.07589
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.48181
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.07073
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.87219
  • Upside Potential Ratio
    9.66297
  • Upside part of mean
    2.18446
  • Downside part of mean
    -1.76122
  • Upside SD
    0.23333
  • Downside SD
    0.22606
  • N nonnegative terms
    70.00000
  • N negative terms
    61.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.20510
  • Mean of criterion
    0.42324
  • SD of predictor
    0.13563
  • SD of criterion
    0.32507
  • Covariance
    0.02650
  • r
    0.60096
  • b (slope, estimate of beta)
    1.44034
  • a (intercept, estimate of alpha)
    0.12782
  • Mean Square Error
    0.06803
  • DF error
    129.00000
  • t(b)
    8.53978
  • p(b)
    0.14189
  • t(a)
    0.34501
  • p(a)
    0.48067
  • VAR (95 Confidence Intrvl)
    0.04600
  • Lowerbound of 95% confidence interval for beta
    1.10663
  • Upperbound of 95% confidence interval for beta
    1.77404
  • Lowerbound of 95% confidence interval for alpha
    -0.60519
  • Upperbound of 95% confidence interval for alpha
    0.86083
  • Treynor index (mean / b)
    0.29385
  • Jensen alpha (a)
    0.12782
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03093
  • Expected Shortfall on VaR
    0.03900
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01458
  • Expected Shortfall on VaR
    0.02894
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.93339
  • Quartile 1
    0.99274
  • Median
    1.00235
  • Quartile 3
    1.01295
  • Maximum
    1.05614
  • Mean of quarter 1
    0.97767
  • Mean of quarter 2
    0.99644
  • Mean of quarter 3
    1.00762
  • Mean of quarter 4
    1.02614
  • Inter Quartile Range
    0.02021
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.03053
  • Mean of outliers low
    0.94602
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.02290
  • Mean of outliers high
    1.04902
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.27644
  • VaR(95%) (moments method)
    0.02140
  • Expected Shortfall (moments method)
    0.03624
  • Extreme Value Index (regression method)
    -0.06368
  • VaR(95%) (regression method)
    0.02199
  • Expected Shortfall (regression method)
    0.02997
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    13.00000
  • Minimum
    0.00249
  • Quartile 1
    0.01393
  • Median
    0.02232
  • Quartile 3
    0.04077
  • Maximum
    0.18137
  • Mean of quarter 1
    0.00850
  • Mean of quarter 2
    0.02035
  • Mean of quarter 3
    0.03574
  • Mean of quarter 4
    0.11625
  • Inter Quartile Range
    0.02684
  • 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
    0.15385
  • Mean of outliers high
    0.14537
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.60537
  • VaR(95%) (moments method)
    0.10240
  • Expected Shortfall (moments method)
    0.11765
  • Extreme Value Index (regression method)
    0.21321
  • VaR(95%) (regression method)
    0.17029
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.28337
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -401618000
  • Max Equity Drawdown (num days)
    66
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.50608
  • Compounded annual return (geometric extrapolation)
    0.57011
  • Calmar ratio (compounded annual return / max draw down)
    3.14333
  • Compounded annual return / average of 25% largest draw downs
    4.90403
  • Compounded annual return / Expected Shortfall lognormal
    14.61770

Strategy Description

Actual intrinsic value trading.
Limited to 50 users.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2020-06-16
Suggested Minimum Capital
$100,000
Rank at C2 %
Top 1.3%
Rank # 
#10
# Trades
3921
# Profitable
2942
% Profitable
75.0%
Net Dividends
$11,972
Correlation S&P500
0.488
Sharpe Ratio
0.74
Sortino Ratio
1.18
Beta
1.71
Alpha
0.08
Leverage
2.34 Average
10.20 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

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

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

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

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

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

Latest Activity

#PERSONNAME#
subscribed on started simulation #SUBSCRIBEDDATE#

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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Suggested Minimum Capital

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