Collective2 Collective2
Featured Strategy Cryptoverse +51.0% Annual Return (Compounded) since Jun 13, 2022 Hypothetical

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Seeking Value maximum
(140998850)

Created by: RomanZarubin RomanZarubin
Started: 07/2022
Stocks
Last trade: 43 days ago
Trading style: Equity Non-hedged Equity Sector Rotation

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 $50.00 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."
Sector Rotation
Category: Equity

Sector Rotation

Uses the proceeds from the sale of securities related to a particular investment sector for the purchase of securities in another sector. This strategy is used as a method for capturing returns from market cycles and diversifying holdings over a specified holding period.
23.4%
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.

(16.5%)
Max Drawdown
28
Num Trades
57.1%
Win Trades
3.2 : 1
Profit Factor
63.3%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022                                          +8.5%(3%)(11.5%)+6.9%+10.0%(4.5%)+4.6%
2023+13.1%+2.4%+0.1%(2.4%)(5.7%)+12.0%+2.9%(4.7%)+0.4%(4.2%)+2.8%+16.3%+34.6%
2024+5.0%+5.9%+5.6%(7.4%)+0.4%(4%)+5.0%+1.8%+8.6%(9.2%)+13.7%(3.6%)+21.2%

Model Account Details

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

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

Trading Record

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
3/6/24 10:54 HESAY HERMES INTL S A ADR LONG 47 244.24 11/6 12:00 224.89 3.64%
Trade id #147553319
Max drawdown($1,613)
Time9/10/24 0:00
Quant open43
Worst price208.28
Drawdown as % of equity-3.64%
 ($911)
Includes Typical Broker Commissions trade costs of $0.94
5/30/24 14:50 NKE NIKE LONG 162 83.92 10/11 15:40 82.13 3.24%
Trade id #148293798
Max drawdown($1,399)
Time8/5/24 0:00
Quant open62
Worst price70.75
Drawdown as % of equity-3.24%
 ($293)
Includes Typical Broker Commissions trade costs of $3.24
3/6/24 10:53 BURBY BURBERRY GROUP PLC ADR LONG 865 16.35 7/17 13:20 10.42 11.69%
Trade id #147553313
Max drawdown($5,220)
Time7/16/24 0:00
Quant open740
Worst price9.30
Drawdown as % of equity-11.69%
 ($5,144)
Includes Typical Broker Commissions trade costs of $6.83
7/8/22 11:46 WIRE ENCORE WIRE LONG 163 169.35 5/7/24 13:55 249.28 0.71%
Trade id #141005171
Max drawdown($207)
Time7/14/22 0:00
Quant open25
Worst price96.96
Drawdown as % of equity-0.71%
 $13,025
Includes Typical Broker Commissions trade costs of $3.26
7/8/22 11:49 PPRUY KERING UNSP ADR LONG 342 47.59 2/16/24 11:05 46.03 8.42%
Trade id #141005259
Max drawdown($3,521)
Time1/17/24 0:00
Quant open342
Worst price37.30
Drawdown as % of equity-8.42%
 ($541)
Includes Typical Broker Commissions trade costs of $6.84
7/8/22 11:49 DFS DISCOVER FINANCIAL LONG 37 103.75 11/17/23 10:31 85.60 2.71%
Trade id #141005228
Max drawdown($914)
Time10/27/23 0:00
Quant open37
Worst price79.04
Drawdown as % of equity-2.71%
 ($673)
Includes Typical Broker Commissions trade costs of $0.74
1/11/23 14:35 CHRW CH ROBINSON WORLDWIDE LONG 26 94.97 11/17 10:30 81.87 1.19%
Trade id #143182599
Max drawdown($423)
Time11/13/23 0:00
Quant open26
Worst price78.69
Drawdown as % of equity-1.19%
 ($342)
Includes Typical Broker Commissions trade costs of $0.52
7/8/22 11:52 EVR EVERCORE INC LONG 12 92.80 11/17/23 10:30 143.59 0.62%
Trade id #141005359
Max drawdown($169)
Time9/27/22 0:00
Quant open12
Worst price78.67
Drawdown as % of equity-0.62%
 $609
Includes Typical Broker Commissions trade costs of $0.24
7/8/22 11:53 JRSH JERASH HOLDINGS (US) INC. COMMON STOCK LONG 285 4.40 7/28/23 14:41 3.86 0.65%
Trade id #141005381
Max drawdown($233)
Time7/12/23 0:00
Quant open285
Worst price3.58
Drawdown as % of equity-0.65%
 ($159)
Includes Typical Broker Commissions trade costs of $5.70
7/8/22 11:51 CE CELANESE LONG 16 113.53 7/25/23 12:38 125.08 1.55%
Trade id #141005344
Max drawdown($429)
Time9/26/22 0:00
Quant open16
Worst price86.70
Drawdown as % of equity-1.55%
 $185
Includes Typical Broker Commissions trade costs of $0.32
7/8/22 11:44 RS RELIANCE INC LONG 22 181.85 7/19/23 13:17 285.34 0.31%
Trade id #141004459
Max drawdown($86)
Time9/26/22 0:00
Quant open17
Worst price168.25
Drawdown as % of equity-0.31%
 $2,277
Includes Typical Broker Commissions trade costs of $0.44
7/8/22 11:47 EXPD EXPEDITORS INTERNATIONAL LONG 26 97.74 7/18/23 14:59 122.42 1.1%
Trade id #141005195
Max drawdown($303)
Time9/26/22 0:00
Quant open26
Worst price86.08
Drawdown as % of equity-1.10%
 $641
Includes Typical Broker Commissions trade costs of $0.52
1/11/23 14:45 SSD SIMPSON MANUFACTURING LONG 22 98.70 7/18 14:58 150.83 0.25%
Trade id #143182661
Max drawdown($81)
Time1/19/23 0:00
Quant open22
Worst price95.00
Drawdown as % of equity-0.25%
 $1,147
Includes Typical Broker Commissions trade costs of $0.44
7/8/22 11:55 NGVT INGEVITY CORP LONG 24 73.73 7/17/23 15:29 60.43 1.97%
Trade id #141005404
Max drawdown($652)
Time5/31/23 0:00
Quant open24
Worst price46.52
Drawdown as % of equity-1.97%
 ($319)
Includes Typical Broker Commissions trade costs of $0.48
7/8/22 11:45 ADDDF ADIDAS AG OR LONG 21 171.62 7/17/23 15:21 193.40 5.4%
Trade id #141005130
Max drawdown($1,577)
Time11/3/22 0:00
Quant open19
Worst price90.01
Drawdown as % of equity-5.40%
 $457
Includes Typical Broker Commissions trade costs of $0.42
7/8/22 11:56 LX LEXINFINTECH HOLDINGS LTD. ADS LONG 261 2.27 2/9/23 14:10 3.31 0.87%
Trade id #141005420
Max drawdown($263)
Time11/9/22 0:00
Quant open261
Worst price1.26
Drawdown as % of equity-0.87%
 $267
Includes Typical Broker Commissions trade costs of $5.22
7/8/22 11:48 LSTR LANDSTAR SYSTEM LONG 14 145.49 11/9 11:18 160.92 0.36%
Trade id #141005212
Max drawdown($111)
Time9/16/22 0:00
Quant open14
Worst price137.51
Drawdown as % of equity-0.36%
 $216
Includes Typical Broker Commissions trade costs of $0.28
7/8/22 11:54 AFL AFLAC LONG 21 56.48 8/24 11:59 61.74 0.25%
Trade id #141005389
Max drawdown($72)
Time7/14/22 0:00
Quant open21
Worst price53.04
Drawdown as % of equity-0.25%
 $110
Includes Typical Broker Commissions trade costs of $0.42
7/8/22 11:54 ALL ALLSTATE LONG 7 131.81 8/24 11:59 127.19 0.45%
Trade id #141005387
Max drawdown($139)
Time7/21/22 0:00
Quant open7
Worst price111.85
Drawdown as % of equity-0.45%
 ($32)
Includes Typical Broker Commissions trade costs of $0.14
7/8/22 11:56 FUPBY FUCHS SE ADR LONG 42 6.69 8/11 10:39 7.28 n/a $24
Includes Typical Broker Commissions trade costs of $0.84
7/8/22 11:47 JOUT JOHNSON OUTDOORS LONG 41 63.02 8/5 14:25 66.29 0.25%
Trade id #141005181
Max drawdown($73)
Time7/14/22 0:00
Quant open41
Worst price61.23
Drawdown as % of equity-0.25%
 $133
Includes Typical Broker Commissions trade costs of $0.82
7/8/22 11:53 MLR MILLER INDUSTRIES LONG 26 22.85 8/5 14:25 22.82 0.09%
Trade id #141005374
Max drawdown($25)
Time7/14/22 0:00
Quant open26
Worst price21.89
Drawdown as % of equity-0.09%
 ($2)
Includes Typical Broker Commissions trade costs of $0.52
Next

Statistics

  • Strategy began
    7/8/2022
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    897.04
  • Age
    30 months ago
  • What it trades
    Stocks
  • # Trades
    28
  • # Profitable
    16
  • % Profitable
    57.10%
  • Avg trade duration
    323.9 days
  • Max peak-to-valley drawdown
    16.52%
  • drawdown period
    Aug 16, 2022 - Sept 27, 2022
  • Annual Return (Compounded)
    23.4%
  • Avg win
    $1,980
  • Avg loss
    $886.42
  • Model Account Values (Raw)
  • Cash
    $345
  • Margin Used
    $0
  • Buying Power
    $10,688
  • Ratios
  • W:L ratio
    3.16:1
  • Sharpe Ratio
    0.91
  • Sortino Ratio
    1.34
  • Calmar Ratio
    1.959
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    15.97%
  • Correlation to SP500
    0.50520
  • Return Percent SP500 (cumu) during strategy life
    52.10%
  • Return Statistics
  • Ann Return (w trading costs)
    23.4%
  • Slump
  • Current Slump as Pcnt Equity
    8.40%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.01%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.234%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    26.0%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    48.00%
  • Chance of 20% account loss
    15.50%
  • Chance of 30% account loss
    4.50%
  • Chance of 40% account loss
    0.50%
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    365
  • Popularity (Last 6 weeks)
    846
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    934
  • Popularity (7 days, Percentile 1000 scale)
    723
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $886
  • Avg Win
    $1,981
  • Sum Trade PL (losers)
    $10,637.000
  • Age
  • Num Months filled monthly returns table
    30
  • Win / Loss
  • Sum Trade PL (winners)
    $31,693.000
  • # Winners
    16
  • Num Months Winners
    19
  • Dividends
  • Dividends Received in Model Acct
    1900
  • Win / Loss
  • # Losers
    12
  • % Winners
    57.1%
  • Frequency
  • Avg Position Time (mins)
    466388.00
  • Avg Position Time (hrs)
    7773.13
  • Avg Trade Length
    323.9 days
  • Last Trade Ago
    43
  • Leverage
  • Daily leverage (average)
    1.10
  • Daily leverage (max)
    1.91
  • Regression
  • Alpha
    0.03
  • Beta
    0.66
  • Treynor Index
    0.09
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -1.69
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.04
  • Avg(MAE) / Avg(PL) - All trades
    1.345
  • 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
    0.183
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.605
  • Hold-and-Hope Ratio
    0.947
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.28514
  • SD
    0.22998
  • Sharpe ratio (Glass type estimate)
    1.23981
  • Sharpe ratio (Hedges UMVUE)
    1.20059
  • df
    24.00000
  • t
    1.78952
  • p
    0.04308
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.17425
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.62977
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.19914
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.60033
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.47657
  • Upside Potential Ratio
    3.95323
  • Upside part of mean
    0.45515
  • Downside part of mean
    -0.17001
  • Upside SD
    0.21047
  • Downside SD
    0.11513
  • N nonnegative terms
    17.00000
  • N negative terms
    8.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    25.00000
  • Mean of predictor
    0.19855
  • Mean of criterion
    0.28514
  • SD of predictor
    0.16413
  • SD of criterion
    0.22998
  • Covariance
    0.02904
  • r
    0.76932
  • b (slope, estimate of beta)
    1.07801
  • a (intercept, estimate of alpha)
    0.07110
  • Mean Square Error
    0.02253
  • DF error
    23.00000
  • t(b)
    5.77513
  • p(b)
    0.00000
  • t(a)
    0.64408
  • p(a)
    0.26295
  • Lowerbound of 95% confidence interval for beta
    0.69186
  • Upperbound of 95% confidence interval for beta
    1.46415
  • Lowerbound of 95% confidence interval for alpha
    -0.15726
  • Upperbound of 95% confidence interval for alpha
    0.29946
  • Treynor index (mean / b)
    0.26450
  • Jensen alpha (a)
    0.07110
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.25694
  • SD
    0.22499
  • Sharpe ratio (Glass type estimate)
    1.14200
  • Sharpe ratio (Hedges UMVUE)
    1.10588
  • df
    24.00000
  • t
    1.64834
  • p
    0.05616
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.26458
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.52619
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.28760
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.49935
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.11083
  • Upside Potential Ratio
    3.56283
  • Upside part of mean
    0.43369
  • Downside part of mean
    -0.17674
  • Upside SD
    0.19820
  • Downside SD
    0.12172
  • N nonnegative terms
    17.00000
  • N negative terms
    8.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    25.00000
  • Mean of predictor
    0.18350
  • Mean of criterion
    0.25694
  • SD of predictor
    0.16615
  • SD of criterion
    0.22499
  • Covariance
    0.02899
  • r
    0.77545
  • b (slope, estimate of beta)
    1.05010
  • a (intercept, estimate of alpha)
    0.06425
  • Mean Square Error
    0.02106
  • DF error
    23.00000
  • t(b)
    5.88986
  • p(b)
    0.00000
  • t(a)
    0.60767
  • p(a)
    0.27468
  • Lowerbound of 95% confidence interval for beta
    0.68128
  • Upperbound of 95% confidence interval for beta
    1.41892
  • Lowerbound of 95% confidence interval for alpha
    -0.15447
  • Upperbound of 95% confidence interval for alpha
    0.28297
  • Treynor index (mean / b)
    0.24468
  • Jensen alpha (a)
    0.06425
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.08187
  • Expected Shortfall on VaR
    0.10620
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02356
  • Expected Shortfall on VaR
    0.05273
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    25.00000
  • Minimum
    0.86422
  • Quartile 1
    0.98999
  • Median
    1.01806
  • Quartile 3
    1.05699
  • Maximum
    1.16539
  • Mean of quarter 1
    0.95258
  • Mean of quarter 2
    1.00903
  • Mean of quarter 3
    1.04283
  • Mean of quarter 4
    1.11217
  • Inter Quartile Range
    0.06700
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.04000
  • Mean of outliers low
    0.86422
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.04000
  • Mean of outliers high
    1.16539
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -1.41909
  • VaR(95%) (moments method)
    0.03273
  • Expected Shortfall (moments method)
    0.03434
  • Extreme Value Index (regression method)
    0.07090
  • VaR(95%) (regression method)
    0.06370
  • Expected Shortfall (regression method)
    0.10011
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.01001
  • Quartile 1
    0.03496
  • Median
    0.04663
  • Quartile 3
    0.05998
  • Maximum
    0.13578
  • Mean of quarter 1
    0.02145
  • Mean of quarter 2
    0.04115
  • Mean of quarter 3
    0.05210
  • Mean of quarter 4
    0.09919
  • Inter Quartile Range
    0.02501
  • 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
    0.13578
  • 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)
    0.38889
  • Compounded annual return (geometric extrapolation)
    0.32956
  • Calmar ratio (compounded annual return / max draw down)
    2.42722
  • Compounded annual return / average of 25% largest draw downs
    3.32253
  • Compounded annual return / Expected Shortfall lognormal
    3.10322
  • 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
    0.26038
  • SD
    0.21008
  • Sharpe ratio (Glass type estimate)
    1.23946
  • Sharpe ratio (Hedges UMVUE)
    1.23781
  • df
    564.00000
  • t
    1.82015
  • p
    0.03463
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.09767
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.57559
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.09881
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.57444
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.82616
  • Upside Potential Ratio
    9.67315
  • Upside part of mean
    1.37926
  • Downside part of mean
    -1.11888
  • Upside SD
    0.15487
  • Downside SD
    0.14259
  • N nonnegative terms
    304.00000
  • N negative terms
    261.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    565.00000
  • Mean of predictor
    0.18587
  • Mean of criterion
    0.26038
  • SD of predictor
    0.16653
  • SD of criterion
    0.21008
  • Covariance
    0.01767
  • r
    0.50499
  • b (slope, estimate of beta)
    0.63705
  • a (intercept, estimate of alpha)
    0.14200
  • Mean Square Error
    0.03294
  • DF error
    563.00000
  • t(b)
    13.88240
  • p(b)
    -0.00000
  • t(a)
    1.14608
  • p(a)
    0.12612
  • Lowerbound of 95% confidence interval for beta
    0.54692
  • Upperbound of 95% confidence interval for beta
    0.72719
  • Lowerbound of 95% confidence interval for alpha
    -0.10135
  • Upperbound of 95% confidence interval for alpha
    0.38530
  • Treynor index (mean / b)
    0.40873
  • Jensen alpha (a)
    0.14198
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.23820
  • SD
    0.21020
  • Sharpe ratio (Glass type estimate)
    1.13321
  • Sharpe ratio (Hedges UMVUE)
    1.13170
  • df
    564.00000
  • t
    1.66412
  • p
    0.04832
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.20355
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.46907
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.20460
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.46801
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.64697
  • Upside Potential Ratio
    9.45388
  • Upside part of mean
    1.36732
  • Downside part of mean
    -1.12912
  • Upside SD
    0.15299
  • Downside SD
    0.14463
  • N nonnegative terms
    304.00000
  • N negative terms
    261.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    565.00000
  • Mean of predictor
    0.17193
  • Mean of criterion
    0.23820
  • SD of predictor
    0.16673
  • SD of criterion
    0.21020
  • Covariance
    0.01782
  • r
    0.50842
  • b (slope, estimate of beta)
    0.64099
  • a (intercept, estimate of alpha)
    0.12800
  • Mean Square Error
    0.03282
  • DF error
    563.00000
  • t(b)
    14.00950
  • p(b)
    -0.00000
  • t(a)
    1.03541
  • p(a)
    0.15046
  • Lowerbound of 95% confidence interval for beta
    0.55112
  • Upperbound of 95% confidence interval for beta
    0.73086
  • Lowerbound of 95% confidence interval for alpha
    -0.11481
  • Upperbound of 95% confidence interval for alpha
    0.37081
  • Treynor index (mean / b)
    0.37161
  • Jensen alpha (a)
    0.12800
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02024
  • Expected Shortfall on VaR
    0.02553
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00935
  • Expected Shortfall on VaR
    0.01857
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    565.00000
  • Minimum
    0.93027
  • Quartile 1
    0.99455
  • Median
    1.00122
  • Quartile 3
    1.00826
  • Maximum
    1.05221
  • Mean of quarter 1
    0.98527
  • Mean of quarter 2
    0.99804
  • Mean of quarter 3
    1.00451
  • Mean of quarter 4
    1.01669
  • Inter Quartile Range
    0.01370
  • Number outliers low
    13.00000
  • Percentage of outliers low
    0.02301
  • Mean of outliers low
    0.96423
  • Number of outliers high
    15.00000
  • Percentage of outliers high
    0.02655
  • Mean of outliers high
    1.03548
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.03477
  • VaR(95%) (moments method)
    0.01301
  • Expected Shortfall (moments method)
    0.01743
  • Extreme Value Index (regression method)
    -0.06731
  • VaR(95%) (regression method)
    0.01369
  • Expected Shortfall (regression method)
    0.01823
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    25.00000
  • Minimum
    0.00177
  • Quartile 1
    0.00698
  • Median
    0.02480
  • Quartile 3
    0.08713
  • Maximum
    0.15565
  • Mean of quarter 1
    0.00343
  • Mean of quarter 2
    0.01736
  • Mean of quarter 3
    0.05156
  • Mean of quarter 4
    0.11257
  • Inter Quartile Range
    0.08015
  • 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)
    -0.01153
  • VaR(95%) (moments method)
    0.11953
  • Expected Shortfall (moments method)
    0.13978
  • Extreme Value Index (regression method)
    0.66584
  • VaR(95%) (regression method)
    0.11102
  • Expected Shortfall (regression method)
    0.18167
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.35943
  • Compounded annual return (geometric extrapolation)
    0.30488
  • Calmar ratio (compounded annual return / max draw down)
    1.95869
  • Compounded annual return / average of 25% largest draw downs
    2.70838
  • Compounded annual return / Expected Shortfall lognormal
    11.93980
  • 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
    0.22431
  • SD
    0.23059
  • Sharpe ratio (Glass type estimate)
    0.97280
  • Sharpe ratio (Hedges UMVUE)
    0.96718
  • df
    130.00000
  • t
    0.68787
  • p
    0.46989
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.80334
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.74532
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.80712
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.74147
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.38262
  • Upside Potential Ratio
    9.81390
  • Upside part of mean
    1.59218
  • Downside part of mean
    -1.36787
  • Upside SD
    0.16320
  • Downside SD
    0.16224
  • N nonnegative terms
    76.00000
  • N negative terms
    55.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.14272
  • Mean of criterion
    0.22431
  • SD of predictor
    0.14146
  • SD of criterion
    0.23059
  • Covariance
    0.01482
  • r
    0.45445
  • b (slope, estimate of beta)
    0.74077
  • a (intercept, estimate of alpha)
    0.11859
  • Mean Square Error
    0.04252
  • DF error
    129.00000
  • t(b)
    5.79441
  • p(b)
    0.22098
  • t(a)
    0.40588
  • p(a)
    0.47727
  • Lowerbound of 95% confidence interval for beta
    0.48783
  • Upperbound of 95% confidence interval for beta
    0.99370
  • Lowerbound of 95% confidence interval for alpha
    -0.45948
  • Upperbound of 95% confidence interval for alpha
    0.69666
  • Treynor index (mean / b)
    0.30281
  • Jensen alpha (a)
    0.11859
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.19779
  • SD
    0.23083
  • Sharpe ratio (Glass type estimate)
    0.85686
  • Sharpe ratio (Hedges UMVUE)
    0.85191
  • df
    130.00000
  • t
    0.60589
  • p
    0.47347
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.91847
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.62906
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.92183
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.62565
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.20464
  • Upside Potential Ratio
    9.61613
  • Upside part of mean
    1.57889
  • Downside part of mean
    -1.38110
  • Upside SD
    0.16145
  • Downside SD
    0.16419
  • N nonnegative terms
    76.00000
  • N negative terms
    55.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.13271
  • Mean of criterion
    0.19779
  • SD of predictor
    0.14181
  • SD of criterion
    0.23083
  • Covariance
    0.01491
  • r
    0.45556
  • b (slope, estimate of beta)
    0.74155
  • a (intercept, estimate of alpha)
    0.09938
  • Mean Square Error
    0.04255
  • DF error
    129.00000
  • t(b)
    5.81241
  • p(b)
    0.22035
  • t(a)
    0.34008
  • p(a)
    0.48095
  • VAR (95 Confidence Intrvl)
    0.02000
  • Lowerbound of 95% confidence interval for beta
    0.48913
  • Upperbound of 95% confidence interval for beta
    0.99397
  • Lowerbound of 95% confidence interval for alpha
    -0.47878
  • Upperbound of 95% confidence interval for alpha
    0.67754
  • Treynor index (mean / b)
    0.26673
  • Jensen alpha (a)
    0.09938
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02245
  • Expected Shortfall on VaR
    0.02824
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01084
  • Expected Shortfall on VaR
    0.02102
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96054
  • Quartile 1
    0.99137
  • Median
    1.00259
  • Quartile 3
    1.01031
  • Maximum
    1.03422
  • Mean of quarter 1
    0.98194
  • Mean of quarter 2
    0.99799
  • Mean of quarter 3
    1.00621
  • Mean of quarter 4
    1.01786
  • Inter Quartile Range
    0.01893
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.00763
  • Mean of outliers low
    0.96054
  • 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)
    -0.47835
  • VaR(95%) (moments method)
    0.01836
  • Expected Shortfall (moments method)
    0.02111
  • Extreme Value Index (regression method)
    -0.45277
  • VaR(95%) (regression method)
    0.01851
  • Expected Shortfall (regression method)
    0.02135
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.00110
  • Quartile 1
    0.00336
  • Median
    0.05195
  • Quartile 3
    0.09394
  • Maximum
    0.10094
  • Mean of quarter 1
    0.00231
  • Mean of quarter 2
    0.02780
  • Mean of quarter 3
    0.08248
  • Mean of quarter 4
    0.09754
  • Inter Quartile Range
    0.09058
  • 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)
    -0.02955
  • VaR(95%) (moments method)
    0.09917
  • Expected Shortfall (moments method)
    0.10250
  • Extreme Value Index (regression method)
    4.00612
  • VaR(95%) (regression method)
    0.12115
  • Last 4 Months - Pcnt Negative
    0.50%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -384381000
  • Max Equity Drawdown (num days)
    42
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.23893
  • Compounded annual return (geometric extrapolation)
    0.25320
  • Calmar ratio (compounded annual return / max draw down)
    2.50848
  • Compounded annual return / average of 25% largest draw downs
    2.59578
  • Compounded annual return / Expected Shortfall lognormal
    8.96570

Strategy Description

My strategy has a small number of trades. Several weeks or several months may pass between the time you subscribe to my strategy and the time I make my next trade. For this reason, I encourage each of my subscribers to use the Join Trades in Progress (when you select this mode, you connect to previously opened trades of my strategy) in AutoTrade Setting.

The selection of shares of companies is carried out by on the basis of:

• Qualitative indicators:

- analysis of the company's environment in the industry and the economy as a whole (competitors, suppliers, buyers, substitute goods / services, government regulation);
- analysis of the company's competitive advantages (for example, brands, patents from the state, poorly regulated monopolistic companies);
- analysis of the company's value chain and the measures taken by the company to optimize it (vertical integration, etc.);
- analysis of the structure of the company's share capital (as a rule, the absence of a majority shareholder is an advantage).

• Quantitative indicators:

- coefficients of profitability;
- liquidity ratios;
- debt burden ratios;
- coefficients of capital intensity;
- to assess the real value of the company: discounting cash flows (income approach), value multipliers (comparative approach).

In addition to calculating and analyzing financial ratios and value multipliers (see the works of B. Graham and D. Dodd, A. Damodaran) I use strategic management (see the works of Michael Porter, A.A. Thompson and A.J. Strickland, H. Mintsberg , Philip Kotler), and also analyze the degree of influence of the company on the economic behavior of their customers using the hierarchy of human needs of Abraham Maslow and the branding pyramid of Jean-Noel Kapferer.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2022-07-08
Suggested Minimum Capital
$15,000
Rank at C2 %
Top 6.6%
Rank # 
#48
# Trades
28
# Profitable
16
% Profitable
57.1%
Net Dividends
$1,900
Correlation S&P500
0.505
Sharpe Ratio
0.91
Sortino Ratio
1.34
Beta
0.66
Alpha
0.03
Leverage
1.10 Average
1.91 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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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.