Collective2 Collective2
Featured Strategy Income Trades Followed by live capital $80,500 Hypothetical

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Pro2
(130086534)

Created by: MarkEriksson MarkEriksson
Started: 07/2020
Stocks
Last trade: 30 days ago
Trading style: Equity 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 $300.00 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
Hedged Equity
Category: Equity

Hedged Equity

Core holding of long equities hedged at all times with short sales of stocks and/or stock index options.
13.0%
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.

(68.6%)
Max Drawdown
994
Num Trades
66.9%
Win Trades
1.3 : 1
Profit Factor
52.9%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020                                          (0.4%)+4.4%(2%)+2.0%+20.0%(3.2%)+20.7%
2021+22.2%+3.0%(0.7%)+11.9%(2.9%)+0.4%+4.5%+0.3%(9.9%)+9.6%(0.1%)+8.5%+52.9%
2022(9.7%)(3.7%)(3.7%)(31.5%)(3%)(11.3%)+3.9%(3.7%)(13.2%)+0.3%+8.8%+2.3%(52.1%)
2023+2.7%(4.8%)+23.2%(12%)(1.8%)+2.1%+1.3%(5.3%)(7.5%)(22%)+48.4%+16.5%+27.0%
2024+9.2%+26.9%+8.2%(1.9%)+13.1%+7.6%+0.6%(8.5%)(11.5%)                  +45.9%

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

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Long
Short
Both
Win
Loss
Both
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Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
6/14/24 10:21 ADP AUTOMATIC DATA PROCESSING LONG 45 241.14 8/8 14:58 262.57 0.33%
Trade id #148409438
Max drawdown($335)
Time7/10/24 0:00
Quant open35
Worst price231.27
Drawdown as % of equity-0.33%
 $963
Includes Typical Broker Commissions trade costs of $0.90
8/1/24 10:18 ARM2402T124 ARM Aug2'24 124 put SHORT 1 1.93 8/3 9:35 0.00 1.28%
Trade id #148795556
Max drawdown($1,291)
Time8/2/24 0:00
Quant open1
Worst price14.84
Drawdown as % of equity-1.28%
 $192
Includes Typical Broker Commissions trade costs of $1.00
7/26/24 9:56 GOOGL2402T160 GOOGL Aug2'24 160 put SHORT 1 1.49 8/1 10:09 0.02 0%
Trade id #148748881
Max drawdown($1)
Time7/26/24 10:08
Quant open1
Worst price1.50
Drawdown as % of equity-0.00%
 $145
Includes Typical Broker Commissions trade costs of $2.00
7/26/24 9:30 SERV SERVE ROBOTICS INC. LONG 1,000 12.10 7/29 12:30 16.03 1.22%
Trade id #148748142
Max drawdown($1,200)
Time7/26/24 9:34
Quant open1,000
Worst price10.90
Drawdown as % of equity-1.22%
 $3,925
Includes Typical Broker Commissions trade costs of $5.00
6/26/24 10:25 HES HESS LONG 200 147.51 7/26 9:40 149.51 0.28%
Trade id #148504316
Max drawdown($291)
Time7/24/24 0:00
Quant open200
Worst price146.05
Drawdown as % of equity-0.28%
 $397
Includes Typical Broker Commissions trade costs of $4.00
6/20/24 11:30 ACN ACCENTURE LONG 60 305.08 7/26 9:39 326.63 0.29%
Trade id #148455862
Max drawdown($294)
Time7/10/24 0:00
Quant open20
Worst price290.53
Drawdown as % of equity-0.29%
 $1,292
Includes Typical Broker Commissions trade costs of $1.20
7/10/24 10:37 ACN2412S290 ACN Jul12'24 290 put SHORT 1 1.50 7/11 10:15 0.15 n/a $133
Includes Typical Broker Commissions trade costs of $2.00
6/14/24 10:20 GOOG ALPHABET INC CLASS C LONG 215 178.58 7/8 9:43 185.49 0.48%
Trade id #148409420
Max drawdown($473)
Time6/18/24 0:00
Quant open205
Worst price175.62
Drawdown as % of equity-0.48%
 $1,482
Includes Typical Broker Commissions trade costs of $4.30
7/2/24 10:22 TSLA TESLA INC. LONG 30 234.58 7/8 9:43 246.55 0.03%
Trade id #148555146
Max drawdown($34)
Time7/2/24 13:41
Quant open20
Worst price225.87
Drawdown as % of equity-0.03%
 $358
Includes Typical Broker Commissions trade costs of $0.60
6/14/24 10:08 AMD ADVANCED MICRO DEVICES INC. C LONG 250 161.36 7/5 12:30 173.66 1.42%
Trade id #148409198
Max drawdown($1,427)
Time7/1/24 0:00
Quant open225
Worst price153.64
Drawdown as % of equity-1.42%
 $3,070
Includes Typical Broker Commissions trade costs of $5.00
6/14/24 10:17 META META PLATFORMS INC. CLASS A LONG 20 518.63 7/5 12:30 531.11 0.11%
Trade id #148409345
Max drawdown($114)
Time7/1/24 0:00
Quant open10
Worst price493.17
Drawdown as % of equity-0.11%
 $250
Includes Typical Broker Commissions trade costs of $0.40
6/3/24 14:52 NVDA NVIDIA LONG 310 120.28 7/5 12:30 129.84 0.04%
Trade id #148319153
Max drawdown($35)
Time6/3/24 14:56
Quant open100
Worst price113.35
Drawdown as % of equity-0.04%
 $2,957
Includes Typical Broker Commissions trade costs of $6.20
6/22/24 9:35 COIN COINBASE GLOBAL INC. CLASS A LONG 100 227.50 7/2 10:22 229.67 2.01%
Trade id #148475028
Max drawdown($1,979)
Time6/24/24 0:00
Quant open100
Worst price207.71
Drawdown as % of equity-2.01%
 $215
Includes Typical Broker Commissions trade costs of $2.00
6/24/24 10:06 SMCI2428R805 SMCI Jun28'24 805 put SHORT 1 8.30 6/27 15:55 0.45 1.46%
Trade id #148482935
Max drawdown($1,370)
Time6/24/24 14:36
Quant open1
Worst price22.00
Drawdown as % of equity-1.46%
 $783
Includes Typical Broker Commissions trade costs of $2.00
6/24/24 10:05 SMCI2428R810 SMCI Jun28'24 810 put SHORT 1 9.70 6/27 15:55 0.50 1.53%
Trade id #148482902
Max drawdown($1,440)
Time6/24/24 14:32
Quant open1
Worst price24.10
Drawdown as % of equity-1.53%
 $918
Includes Typical Broker Commissions trade costs of $2.00
6/14/24 11:16 AXP AMERICAN EXPRESS LONG 30 224.41 6/25 13:58 230.12 0.02%
Trade id #148410138
Max drawdown($19)
Time6/14/24 14:17
Quant open30
Worst price223.75
Drawdown as % of equity-0.02%
 $170
Includes Typical Broker Commissions trade costs of $0.60
6/14/24 10:21 NFLX NETFLIX LONG 20 672.00 6/24 10:05 677.37 0.14%
Trade id #148409435
Max drawdown($137)
Time6/17/24 0:00
Quant open20
Worst price665.11
Drawdown as % of equity-0.14%
 $107
Includes Typical Broker Commissions trade costs of $0.40
6/18/24 10:30 LEN2421R150 LEN Jun21'24 150 put SHORT 1 1.00 6/22 9:35 0.00 0.28%
Trade id #148438322
Max drawdown($270)
Time6/20/24 0:00
Quant open1
Worst price3.70
Drawdown as % of equity-0.28%
 $99
Includes Typical Broker Commissions trade costs of $1.00
6/18/24 9:38 COIN2421R227.5 COIN Jun21'24 227.5 put SHORT 1 2.28 6/22 9:35 0.00 0.5%
Trade id #148437355
Max drawdown($492)
Time6/21/24 0:00
Quant open1
Worst price7.20
Drawdown as % of equity-0.50%
 $227
Includes Typical Broker Commissions trade costs of $1.00
6/20/24 9:49 ACN2421R287.5 ACN Jun21'24 287.5 put SHORT 1 0.45 6/22 9:35 0.00 n/a $44
Includes Typical Broker Commissions trade costs of $1.00
6/20/24 11:29 ACN2421R295 ACN Jun21'24 295 put SHORT 1 0.30 6/22 9:35 0.00 0.02%
Trade id #148455853
Max drawdown($17)
Time6/20/24 11:42
Quant open1
Worst price0.47
Drawdown as % of equity-0.02%
 $29
Includes Typical Broker Commissions trade costs of $1.00
6/11/24 10:00 COIN2414R217.5 COIN Jun14'24 217.5 put SHORT 1 1.32 6/15 9:35 0.00 n/a $131
Includes Typical Broker Commissions trade costs of $1.00
6/13/24 10:34 ADP2414R242.5 ADP Jun14'24 242.5 put SHORT 1 1.15 6/15 9:35 0.00 n/a $114
Includes Typical Broker Commissions trade costs of $1.00
6/11/24 12:27 META2414R487.5 META Jun14'24 487.5 put SHORT 1 1.86 6/15 9:35 0.00 n/a $185
Includes Typical Broker Commissions trade costs of $1.00
6/11/24 9:57 AMD2414R155 AMD Jun14'24 155 put SHORT 1 2.09 6/15 9:35 0.00 0.02%
Trade id #148379928
Max drawdown($18)
Time6/11/24 10:00
Quant open1
Worst price2.27
Drawdown as % of equity-0.02%
 $208
Includes Typical Broker Commissions trade costs of $1.00
6/4/24 12:17 ACN ACCENTURE LONG 100 285.75 6/12 11:53 288.38 0.01%
Trade id #148327097
Max drawdown($9)
Time6/4/24 12:20
Quant open100
Worst price285.65
Drawdown as % of equity-0.01%
 $261
Includes Typical Broker Commissions trade costs of $2.00
5/31/24 9:40 CRM SALESFORCE INC LONG 20 222.30 6/4 12:17 234.04 0.13%
Trade id #148298816
Max drawdown($124)
Time5/31/24 10:54
Quant open20
Worst price216.06
Drawdown as % of equity-0.13%
 $235
Includes Typical Broker Commissions trade costs of $0.40
5/28/24 10:46 ARM ARM HOLDINGS PLC ADS LONG 100 122.98 6/4 12:17 124.82 0.75%
Trade id #148270436
Max drawdown($697)
Time5/31/24 0:00
Quant open100
Worst price116.01
Drawdown as % of equity-0.75%
 $182
Includes Typical Broker Commissions trade costs of $2.00
5/29/24 9:57 BBY2431Q67 BBY May31'24 67 put SHORT 1 0.36 6/1 9:35 0.00 0.09%
Trade id #148278586
Max drawdown($87)
Time5/29/24 15:51
Quant open1
Worst price1.23
Drawdown as % of equity-0.09%
 $35
Includes Typical Broker Commissions trade costs of $1.00
5/24/24 13:06: Rescaled downward to 50% of previous Model Account size
5/7/24 14:58 COIN COINBASE GLOBAL INC. CLASS A LONG 60 213.70 5/24 13:03 231.63 1.33%
Trade id #148114420
Max drawdown($1,126)
Time5/14/24 0:00
Quant open60
Worst price194.93
Drawdown as % of equity-1.33%
 $1,075
Includes Typical Broker Commissions trade costs of $1.20
Next

Statistics

  • Strategy began
    7/15/2020
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    1515.79
  • Age
    51 months ago
  • What it trades
    Stocks
  • # Trades
    994
  • # Profitable
    665
  • % Profitable
    66.90%
  • Avg trade duration
    22.6 days
  • Max peak-to-valley drawdown
    68.63%
  • drawdown period
    Dec 31, 2021 - Oct 27, 2023
  • Annual Return (Compounded)
    13.0%
  • Avg win
    $282.89
  • Avg loss
    $443.85
  • Model Account Values (Raw)
  • Cash
    $39,121
  • Margin Used
    $0
  • Buying Power
    $10,542
  • Ratios
  • W:L ratio
    1.31:1
  • Sharpe Ratio
    0.4
  • Sortino Ratio
    0.56
  • Calmar Ratio
    0.298
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -1.16%
  • Correlation to SP500
    0.41370
  • Return Percent SP500 (cumu) during strategy life
    67.62%
  • Return Statistics
  • Ann Return (w trading costs)
    13.0%
  • Slump
  • Current Slump as Pcnt Equity
    27.70%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.04%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    0.76%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.130%
  • Instruments
  • Percent Trades Options
    0.07%
  • Percent Trades Stocks
    0.93%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    16.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    83.50%
  • Chance of 20% account loss
    66.50%
  • Chance of 30% account loss
    39.50%
  • Chance of 40% account loss
    22.50%
  • Chance of 60% account loss (Monte Carlo)
    5.50%
  • Chance of 70% account loss (Monte Carlo)
    1.00%
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    26.94%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    12.50%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    852
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    358
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $444
  • Avg Win
    $283
  • Sum Trade PL (losers)
    $146,027.000
  • Age
  • Num Months filled monthly returns table
    51
  • Win / Loss
  • Sum Trade PL (winners)
    $188,120.000
  • # Winners
    665
  • Num Months Winners
    27
  • Dividends
  • Dividends Received in Model Acct
    2744
  • Win / Loss
  • # Losers
    329
  • % Winners
    66.9%
  • Frequency
  • Avg Position Time (mins)
    32537.90
  • Avg Position Time (hrs)
    542.30
  • Avg Trade Length
    22.6 days
  • Last Trade Ago
    30
  • Leverage
  • Daily leverage (average)
    1.71
  • Daily leverage (max)
    10.42
  • Regression
  • Alpha
    0.02
  • Beta
    0.86
  • Treynor Index
    0.05
  • 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)
    0.72
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    12.753
  • 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
    0.03
  • Avg(MAE) / Avg(PL) - Winning trades
    0.548
  • Avg(MAE) / Avg(PL) - Losing trades
    -0.878
  • Hold-and-Hope Ratio
    0.084
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.23821
  • SD
    0.34913
  • Sharpe ratio (Glass type estimate)
    0.68229
  • Sharpe ratio (Hedges UMVUE)
    0.67133
  • df
    47.00000
  • t
    1.36457
  • p
    0.08944
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.31084
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.66833
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.31800
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.66066
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.15975
  • Upside Potential Ratio
    2.73033
  • Upside part of mean
    0.56080
  • Downside part of mean
    -0.32259
  • Upside SD
    0.28617
  • Downside SD
    0.20539
  • N nonnegative terms
    29.00000
  • N negative terms
    19.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    48.00000
  • Mean of predictor
    0.12104
  • Mean of criterion
    0.23821
  • SD of predictor
    0.13801
  • SD of criterion
    0.34913
  • Covariance
    0.03248
  • r
    0.67401
  • b (slope, estimate of beta)
    1.70512
  • a (intercept, estimate of alpha)
    0.03181
  • Mean Square Error
    0.06796
  • DF error
    46.00000
  • t(b)
    6.18827
  • p(b)
    0.00000
  • t(a)
    0.23644
  • p(a)
    0.40707
  • Lowerbound of 95% confidence interval for beta
    1.15049
  • Upperbound of 95% confidence interval for beta
    2.25976
  • Lowerbound of 95% confidence interval for alpha
    -0.23902
  • Upperbound of 95% confidence interval for alpha
    0.30264
  • Treynor index (mean / b)
    0.13970
  • Jensen alpha (a)
    0.03181
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.17723
  • SD
    0.34687
  • Sharpe ratio (Glass type estimate)
    0.51093
  • Sharpe ratio (Hedges UMVUE)
    0.50272
  • df
    47.00000
  • t
    1.02186
  • p
    0.15604
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.47710
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.49365
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.48251
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.48796
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.77593
  • Upside Potential Ratio
    2.29109
  • Upside part of mean
    0.52331
  • Downside part of mean
    -0.34608
  • Upside SD
    0.26127
  • Downside SD
    0.22841
  • N nonnegative terms
    29.00000
  • N negative terms
    19.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    48.00000
  • Mean of predictor
    0.11086
  • Mean of criterion
    0.17723
  • SD of predictor
    0.13859
  • SD of criterion
    0.34687
  • Covariance
    0.03348
  • r
    0.69642
  • b (slope, estimate of beta)
    1.74298
  • a (intercept, estimate of alpha)
    -0.01600
  • Mean Square Error
    0.06331
  • DF error
    46.00000
  • t(b)
    6.58176
  • p(b)
    0.00000
  • t(a)
    -0.12384
  • p(a)
    0.54901
  • Lowerbound of 95% confidence interval for beta
    1.20993
  • Upperbound of 95% confidence interval for beta
    2.27604
  • Lowerbound of 95% confidence interval for alpha
    -0.27605
  • Upperbound of 95% confidence interval for alpha
    0.24405
  • Treynor index (mean / b)
    0.10168
  • Jensen alpha (a)
    -0.01600
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.13924
  • Expected Shortfall on VaR
    0.17395
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.05263
  • Expected Shortfall on VaR
    0.11051
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    48.00000
  • Minimum
    0.72503
  • Quartile 1
    0.96891
  • Median
    1.01653
  • Quartile 3
    1.06590
  • Maximum
    1.31032
  • Mean of quarter 1
    0.90376
  • Mean of quarter 2
    0.99701
  • Mean of quarter 3
    1.03769
  • Mean of quarter 4
    1.15026
  • Inter Quartile Range
    0.09699
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.04167
  • Mean of outliers low
    0.77228
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.04167
  • Mean of outliers high
    1.27303
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.31528
  • VaR(95%) (moments method)
    0.08640
  • Expected Shortfall (moments method)
    0.10641
  • Extreme Value Index (regression method)
    0.46224
  • VaR(95%) (regression method)
    0.08701
  • Expected Shortfall (regression method)
    0.17302
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00173
  • Quartile 1
    0.02269
  • Median
    0.06830
  • Quartile 3
    0.07429
  • Maximum
    0.51305
  • Mean of quarter 1
    0.00481
  • Mean of quarter 2
    0.06707
  • Mean of quarter 3
    0.06952
  • Mean of quarter 4
    0.29447
  • Inter Quartile Range
    0.05160
  • 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
    0.16667
  • Mean of outliers high
    0.51305
  • 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)
    0.31793
  • Compounded annual return (geometric extrapolation)
    0.22769
  • Calmar ratio (compounded annual return / max draw down)
    0.44380
  • Compounded annual return / average of 25% largest draw downs
    0.77323
  • Compounded annual return / Expected Shortfall lognormal
    1.30895
  • 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
    0.18246
  • SD
    0.31355
  • Sharpe ratio (Glass type estimate)
    0.58191
  • Sharpe ratio (Hedges UMVUE)
    0.58150
  • df
    1059.00000
  • t
    1.17047
  • p
    0.47712
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.39294
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.55653
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.39323
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.55624
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.83175
  • Upside Potential Ratio
    7.35639
  • Upside part of mean
    1.61375
  • Downside part of mean
    -1.43129
  • Upside SD
    0.22411
  • Downside SD
    0.21937
  • N nonnegative terms
    562.00000
  • N negative terms
    498.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1060.00000
  • Mean of predictor
    0.11432
  • Mean of criterion
    0.18246
  • SD of predictor
    0.17033
  • SD of criterion
    0.31355
  • Covariance
    0.02268
  • r
    0.42464
  • b (slope, estimate of beta)
    0.78170
  • a (intercept, estimate of alpha)
    0.09300
  • Mean Square Error
    0.08066
  • DF error
    1058.00000
  • t(b)
    15.25620
  • p(b)
    0.28768
  • t(a)
    0.65877
  • p(a)
    0.48988
  • Lowerbound of 95% confidence interval for beta
    0.68116
  • Upperbound of 95% confidence interval for beta
    0.88224
  • Lowerbound of 95% confidence interval for alpha
    -0.18420
  • Upperbound of 95% confidence interval for alpha
    0.37040
  • Treynor index (mean / b)
    0.23341
  • Jensen alpha (a)
    0.09310
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.13299
  • SD
    0.31519
  • Sharpe ratio (Glass type estimate)
    0.42192
  • Sharpe ratio (Hedges UMVUE)
    0.42163
  • df
    1059.00000
  • t
    0.84867
  • p
    0.48340
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.55275
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.39642
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.55296
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.39621
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.58274
  • Upside Potential Ratio
    6.96505
  • Upside part of mean
    1.58948
  • Downside part of mean
    -1.45649
  • Upside SD
    0.21735
  • Downside SD
    0.22821
  • N nonnegative terms
    562.00000
  • N negative terms
    498.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1060.00000
  • Mean of predictor
    0.09977
  • Mean of criterion
    0.13299
  • SD of predictor
    0.17056
  • SD of criterion
    0.31519
  • Covariance
    0.02276
  • r
    0.42338
  • b (slope, estimate of beta)
    0.78238
  • a (intercept, estimate of alpha)
    0.05493
  • Mean Square Error
    0.08161
  • DF error
    1058.00000
  • t(b)
    15.20060
  • p(b)
    0.28831
  • t(a)
    0.38650
  • p(a)
    0.49406
  • Lowerbound of 95% confidence interval for beta
    0.68139
  • Upperbound of 95% confidence interval for beta
    0.88338
  • Lowerbound of 95% confidence interval for alpha
    -0.22395
  • Upperbound of 95% confidence interval for alpha
    0.33381
  • Treynor index (mean / b)
    0.16998
  • Jensen alpha (a)
    0.05493
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03103
  • Expected Shortfall on VaR
    0.03886
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01187
  • Expected Shortfall on VaR
    0.02534
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1060.00000
  • Minimum
    0.83992
  • Quartile 1
    0.99384
  • Median
    1.00081
  • Quartile 3
    1.00784
  • Maximum
    1.14646
  • Mean of quarter 1
    0.98071
  • Mean of quarter 2
    0.99770
  • Mean of quarter 3
    1.00368
  • Mean of quarter 4
    1.02113
  • Inter Quartile Range
    0.01401
  • Number outliers low
    44.00000
  • Percentage of outliers low
    0.04151
  • Mean of outliers low
    0.95142
  • Number of outliers high
    47.00000
  • Percentage of outliers high
    0.04434
  • Mean of outliers high
    1.04803
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.35943
  • VaR(95%) (moments method)
    0.01829
  • Expected Shortfall (moments method)
    0.03379
  • Extreme Value Index (regression method)
    0.28808
  • VaR(95%) (regression method)
    0.01629
  • Expected Shortfall (regression method)
    0.02734
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    35.00000
  • Minimum
    0.00003
  • Quartile 1
    0.00536
  • Median
    0.01409
  • Quartile 3
    0.03797
  • Maximum
    0.58556
  • Mean of quarter 1
    0.00272
  • Mean of quarter 2
    0.00848
  • Mean of quarter 3
    0.02184
  • Mean of quarter 4
    0.15267
  • Inter Quartile Range
    0.03261
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.14286
  • Mean of outliers high
    0.23050
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.66219
  • VaR(95%) (moments method)
    0.16218
  • Expected Shortfall (moments method)
    0.51637
  • Extreme Value Index (regression method)
    0.89342
  • VaR(95%) (regression method)
    0.14249
  • Expected Shortfall (regression method)
    1.18621
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.22674
  • Compounded annual return (geometric extrapolation)
    0.17456
  • Calmar ratio (compounded annual return / max draw down)
    0.29811
  • Compounded annual return / average of 25% largest draw downs
    1.14336
  • Compounded annual return / Expected Shortfall lognormal
    4.49232
  • 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
    0.12490
  • SD
    0.27855
  • Sharpe ratio (Glass type estimate)
    0.44839
  • Sharpe ratio (Hedges UMVUE)
    0.44580
  • df
    130.00000
  • t
    0.31706
  • p
    0.48610
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.32480
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.21989
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.32653
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.21814
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.62620
  • Upside Potential Ratio
    8.13858
  • Upside part of mean
    1.62330
  • Downside part of mean
    -1.49840
  • Upside SD
    0.19307
  • Downside SD
    0.19946
  • N nonnegative terms
    73.00000
  • N negative terms
    58.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.10808
  • Mean of criterion
    0.12490
  • SD of predictor
    0.14237
  • SD of criterion
    0.27855
  • Covariance
    0.02322
  • r
    0.58556
  • b (slope, estimate of beta)
    1.14567
  • a (intercept, estimate of alpha)
    0.00108
  • Mean Square Error
    0.05138
  • DF error
    129.00000
  • t(b)
    8.20434
  • p(b)
    0.14978
  • t(a)
    0.00335
  • p(a)
    0.49981
  • Lowerbound of 95% confidence interval for beta
    0.86938
  • Upperbound of 95% confidence interval for beta
    1.42195
  • Lowerbound of 95% confidence interval for alpha
    -0.63388
  • Upperbound of 95% confidence interval for alpha
    0.63603
  • Treynor index (mean / b)
    0.10902
  • Jensen alpha (a)
    0.00108
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.08616
  • SD
    0.27974
  • Sharpe ratio (Glass type estimate)
    0.30800
  • Sharpe ratio (Hedges UMVUE)
    0.30622
  • df
    130.00000
  • t
    0.21779
  • p
    0.49045
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.46454
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.07958
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.46583
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.07828
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.42271
  • Upside Potential Ratio
    7.87375
  • Upside part of mean
    1.60487
  • Downside part of mean
    -1.51871
  • Upside SD
    0.19010
  • Downside SD
    0.20383
  • N nonnegative terms
    73.00000
  • N negative terms
    58.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.09792
  • Mean of criterion
    0.08616
  • SD of predictor
    0.14320
  • SD of criterion
    0.27974
  • Covariance
    0.02371
  • r
    0.59178
  • b (slope, estimate of beta)
    1.15607
  • a (intercept, estimate of alpha)
    -0.02704
  • Mean Square Error
    0.05124
  • DF error
    129.00000
  • t(b)
    8.33818
  • p(b)
    0.14658
  • t(a)
    -0.08438
  • p(a)
    0.50473
  • VAR (95 Confidence Intrvl)
    0.03100
  • Lowerbound of 95% confidence interval for beta
    0.88175
  • Upperbound of 95% confidence interval for beta
    1.43038
  • Lowerbound of 95% confidence interval for alpha
    -0.66100
  • Upperbound of 95% confidence interval for alpha
    0.60692
  • Treynor index (mean / b)
    0.07453
  • Jensen alpha (a)
    -0.02704
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02771
  • Expected Shortfall on VaR
    0.03468
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01212
  • Expected Shortfall on VaR
    0.02473
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.92262
  • Quartile 1
    0.99378
  • Median
    1.00129
  • Quartile 3
    1.00825
  • Maximum
    1.04587
  • Mean of quarter 1
    0.97982
  • Mean of quarter 2
    0.99787
  • Mean of quarter 3
    1.00421
  • Mean of quarter 4
    1.02054
  • Inter Quartile Range
    0.01447
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.03817
  • Mean of outliers low
    0.95455
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.05344
  • Mean of outliers high
    1.03907
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.41093
  • VaR(95%) (moments method)
    0.01698
  • Expected Shortfall (moments method)
    0.02037
  • Extreme Value Index (regression method)
    -0.06537
  • VaR(95%) (regression method)
    0.01914
  • Expected Shortfall (regression method)
    0.02626
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    14.00000
  • Minimum
    0.00003
  • Quartile 1
    0.00338
  • Median
    0.01266
  • Quartile 3
    0.01872
  • Maximum
    0.18195
  • Mean of quarter 1
    0.00171
  • Mean of quarter 2
    0.00714
  • Mean of quarter 3
    0.01698
  • Mean of quarter 4
    0.09372
  • Inter Quartile Range
    0.01533
  • 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
    0.14286
  • Mean of outliers high
    0.16552
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.57261
  • VaR(95%) (moments method)
    0.08503
  • Expected Shortfall (moments method)
    0.24147
  • Extreme Value Index (regression method)
    0.20011
  • VaR(95%) (regression method)
    0.10769
  • Last 4 Months - Pcnt Negative
    0.50%
  • Expected Shortfall (regression method)
    0.18563
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -331249000
  • Max Equity Drawdown (num days)
    665
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.11738
  • Compounded annual return (geometric extrapolation)
    0.12083
  • Calmar ratio (compounded annual return / max draw down)
    0.66407
  • Compounded annual return / average of 25% largest draw downs
    1.28922
  • Compounded annual return / Expected Shortfall lognormal
    3.48374

Strategy Description

Slow and Conservative
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2020-07-15
Suggested Minimum Capital
$35,000
# Trades
994
# Profitable
665
% Profitable
66.9%
Net Dividends
$2,744
Correlation S&P500
0.414
Sharpe Ratio
0.40
Sortino Ratio
0.56
Beta
0.86
Alpha
0.02
Leverage
1.71 Average
10.42 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.