Collective2 Collective2
Featured Strategy TechSignal +153.8% Cumul. Return since Jul 3, 2024 Hypothetical

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Prosper-Relax-Compound
(144267526)

Created by: CB_Compound CB_Compound
Started: 04/2023
Stocks
Last trade: 11 days ago
Trading style: Equity Trend-following 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 $58.00 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
Trend-following
Category: Equity

Trend-following

Tries to take advantage of long, medium or short-term moves that seem to play out in various markets. Typically, trend-following analysis is backward looking; that is, it attempts to recognize and profit from already-established trends.
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.
13.2%
Annual Return (Compounded)

Rate of Return Calculations

Overview

To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.

How Annualized (Compounded) Rate of Return is calculated

= ((Ending_equity / Starting_equity) ^ (1 / age_in_years)) - 1

Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.

All results are hypothetical.

(11.9%)
Max Drawdown
29
Num Trades
55.2%
Win Trades
5.6 : 1
Profit Factor
69.2%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2023                     +0.2%+0.7%+0.7%+1.2%(2.3%)(1.3%)+0.6%+1.2%+6.2%+7.1%
2024(2.2%)+2.4%+5.4%(2.2%)+4.2%(0.9%)+2.0%+2.7%+5.3%(4.6%)(1.4%)(1.1%)+9.3%
2025+2.7%+1.8%+3.1%+1.8%+0.7%                                          +10.6%

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

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
11/27/23 9:46 VOO VANGUARD S&P 500 ETF LONG 15 417.49 3/27/25 9:30 532.31 0.03%
Trade id #146542194
Max drawdown($13)
Time11/30/23 0:00
Quant open15
Worst price416.57
Drawdown as % of equity-0.03%
 $1,722
Includes Typical Broker Commissions trade costs of $0.30
11/27/23 9:56 VNQI VANGUARD GLOBAL EX-US REAL EST LONG 402 41.34 12/27/24 9:30 40.85 0.67%
Trade id #146542372
Max drawdown($350)
Time2/13/24 0:00
Quant open215
Worst price39.23
Drawdown as % of equity-0.67%
 ($206)
Includes Typical Broker Commissions trade costs of $8.04
11/27/23 9:50 FLSW FRANKLIN FTSE SWITZERLAND ETF LONG 272 31.41 11/27/24 9:33 33.45 0.09%
Trade id #146542251
Max drawdown($44)
Time11/28/23 0:00
Quant open213
Worst price30.75
Drawdown as % of equity-0.09%
 $551
Includes Typical Broker Commissions trade costs of $5.44
7/29/24 10:02 EMLC VANECK JPMORGAN EM LOC CURR BOND ETF LONG 365 24.07 11/27 9:30 23.94 0.22%
Trade id #148762970
Max drawdown($127)
Time11/14/24 0:00
Quant open261
Worst price23.58
Drawdown as % of equity-0.22%
 ($56)
Includes Typical Broker Commissions trade costs of $7.30
11/27/23 9:48 FEZ SPDR EURO STOXX 50 LONG 185 47.16 11/27/24 9:30 49.19 0.07%
Trade id #146542221
Max drawdown($36)
Time1/17/24 0:00
Quant open144
Worst price45.44
Drawdown as % of equity-0.07%
 $372
Includes Typical Broker Commissions trade costs of $3.70
11/27/23 9:51 FLJP FRANKLIN FTSE JAPAN ETF LONG 317 27.77 10/28/24 10:47 28.90 0.83%
Trade id #146542291
Max drawdown($459)
Time8/5/24 0:00
Quant open226
Worst price25.74
Drawdown as % of equity-0.83%
 $352
Includes Typical Broker Commissions trade costs of $6.34
3/27/24 10:03 CMDY ISHARES BLOOMBERG ROLL SELECT MMODITY STRATEGY LONG 252 49.12 7/29 10:00 48.09 1.39%
Trade id #147745280
Max drawdown($786)
Time5/9/24 0:00
Quant open252
Worst price46.00
Drawdown as % of equity-1.39%
 ($265)
Includes Typical Broker Commissions trade costs of $5.04
5/28/24 15:03 EMLC VANECK JPMORGAN EM LOC CURR BOND ETF LONG 357 24.45 6/27 9:49 23.76 0.52%
Trade id #148273673
Max drawdown($296)
Time6/14/24 0:00
Quant open357
Worst price23.62
Drawdown as % of equity-0.52%
 ($253)
Includes Typical Broker Commissions trade costs of $7.14
9/29/23 9:30 SGOV ISHARES 0-3 MONTH TREASURY BOND ETF LONG 1,195 100.63 5/28/24 14:48 100.68 0.59%
Trade id #145970278
Max drawdown($294)
Time10/2/23 0:00
Quant open840
Worst price100.26
Drawdown as % of equity-0.59%
 $50
Includes Typical Broker Commissions trade costs of $14.29
11/27/23 9:58 EMLC VANECK JPMORGAN EM LOC CURR BOND ETF LONG 353 24.95 4/29/24 11:08 24.25 0.55%
Trade id #146542402
Max drawdown($306)
Time4/16/24 0:00
Quant open229
Worst price23.61
Drawdown as % of equity-0.55%
 ($255)
Includes Typical Broker Commissions trade costs of $7.06
7/28/23 10:23 CMDY ISHARES BLOOMBERG ROLL SELECT MMODITY STRATEGY LONG 289 52.17 11/27 9:52 50.81 1.4%
Trade id #145354984
Max drawdown($689)
Time10/5/23 0:00
Quant open289
Worst price49.78
Drawdown as % of equity-1.40%
 ($397)
Includes Typical Broker Commissions trade costs of $5.78
4/12/23 9:36 SGOV ISHARES 0-3 MONTH TREASURY BOND ETF LONG 1,549 100.45 9/27 15:39 100.60 0.39%
Trade id #144268154
Max drawdown($195)
Time5/1/23 0:00
Quant open996
Worst price100.18
Drawdown as % of equity-0.39%
 $202
Includes Typical Broker Commissions trade costs of $23.98
5/30/23 13:56 IAU ISHARES GOLD TRUST LONG 415 37.11 9/27 14:07 35.71 1.18%
Trade id #144782502
Max drawdown($586)
Time8/17/23 0:00
Quant open415
Worst price35.70
Drawdown as % of equity-1.18%
 ($590)
Includes Typical Broker Commissions trade costs of $8.30
5/30/23 14:02 EMLC VANECK JPMORGAN EM LOC CURR BOND ETF LONG 403 25.07 9/27 14:05 24.07 0.81%
Trade id #144782546
Max drawdown($406)
Time9/27/23 13:36
Quant open280
Worst price23.62
Drawdown as % of equity-0.81%
 ($410)
Includes Typical Broker Commissions trade costs of $8.06
7/28/23 10:10 VNQI VANGUARD GLOBAL EX-US REAL EST LONG 241 42.59 8/28 9:34 39.88 1.76%
Trade id #145354704
Max drawdown($875)
Time8/21/23 0:00
Quant open241
Worst price38.96
Drawdown as % of equity-1.76%
 ($659)
Includes Typical Broker Commissions trade costs of $4.82
5/30/23 13:57 LQD ISHARES IBOXX $ INVEST GRADE C LONG 95 107.34 8/28 9:34 105.44 0.78%
Trade id #144782510
Max drawdown($387)
Time8/21/23 0:00
Quant open95
Worst price103.26
Drawdown as % of equity-0.78%
 ($182)
Includes Typical Broker Commissions trade costs of $1.90
Next

Statistics

  • Strategy began
    4/12/2023
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    757.78
  • Age
    25 months ago
  • What it trades
    Stocks
  • # Trades
    29
  • # Profitable
    16
  • % Profitable
    55.20%
  • Avg trade duration
    243.3 days
  • Max peak-to-valley drawdown
    11.89%
  • drawdown period
    March 19, 2025 - April 08, 2025
  • Annual Return (Compounded)
    13.2%
  • Avg win
    $625.44
  • Avg loss
    $358.46
  • Model Account Values (Raw)
  • Cash
    ($2,913)
  • Margin Used
    $0
  • Buying Power
    $6,340
  • Ratios
  • W:L ratio
    5.56:1
  • Sharpe Ratio
    0.85
  • Sortino Ratio
    1.2
  • Calmar Ratio
    1.585
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -8.93%
  • Correlation to SP500
    0.36850
  • Return Percent SP500 (cumu) during strategy life
    38.42%
  • Return Statistics
  • Ann Return (w trading costs)
    13.2%
  • Slump
  • Current Slump as Pcnt Equity
    1.90%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.00%
  • 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)
    0.132%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    15.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    20.00%
  • Chance of 20% account loss
    0.50%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    430
  • Popularity (Last 6 weeks)
    757
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    941
  • Popularity (7 days, Percentile 1000 scale)
    743
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $402
  • Avg Win
    $911
  • Sum Trade PL (losers)
    $5,224.000
  • Age
  • Num Months filled monthly returns table
    26
  • Win / Loss
  • Sum Trade PL (winners)
    $14,571.000
  • # Winners
    16
  • Num Months Winners
    18
  • Dividends
  • Dividends Received in Model Acct
    7943
  • Win / Loss
  • # Losers
    13
  • % Winners
    55.2%
  • Frequency
  • Avg Position Time (mins)
    350229.00
  • Avg Position Time (hrs)
    5837.16
  • Avg Trade Length
    243.2 days
  • Last Trade Ago
    11
  • Leverage
  • Daily leverage (average)
    1.84
  • Daily leverage (max)
    2.21
  • Regression
  • Alpha
    0.02
  • Beta
    0.25
  • Treynor Index
    0.12
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.33
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    1.684
  • 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
    0.441
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.425
  • Hold-and-Hope Ratio
    0.428
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.11223
  • SD
    0.09998
  • Sharpe ratio (Glass type estimate)
    1.12253
  • Sharpe ratio (Hedges UMVUE)
    1.08545
  • df
    23.00000
  • t
    1.58749
  • p
    0.06303
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.31191
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.53398
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.33550
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.50641
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.16892
  • Upside Potential Ratio
    3.79801
  • Upside part of mean
    0.19653
  • Downside part of mean
    -0.08430
  • Upside SD
    0.08917
  • Downside SD
    0.05174
  • N nonnegative terms
    15.00000
  • N negative terms
    9.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    24.00000
  • Mean of predictor
    0.09646
  • Mean of criterion
    0.11223
  • SD of predictor
    0.12853
  • SD of criterion
    0.09998
  • Covariance
    0.00399
  • r
    0.31059
  • b (slope, estimate of beta)
    0.24160
  • a (intercept, estimate of alpha)
    0.08893
  • Mean Square Error
    0.00944
  • DF error
    22.00000
  • t(b)
    1.53258
  • p(b)
    0.06982
  • t(a)
    1.26363
  • p(a)
    0.10980
  • Lowerbound of 95% confidence interval for beta
    -0.08533
  • Upperbound of 95% confidence interval for beta
    0.56853
  • Lowerbound of 95% confidence interval for alpha
    -0.05702
  • Upperbound of 95% confidence interval for alpha
    0.23487
  • Treynor index (mean / b)
    0.46454
  • Jensen alpha (a)
    0.08893
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.10677
  • SD
    0.09892
  • Sharpe ratio (Glass type estimate)
    1.07933
  • Sharpe ratio (Hedges UMVUE)
    1.04368
  • df
    23.00000
  • t
    1.52640
  • p
    0.07027
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.35197
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.48841
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.37466
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.46202
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.02400
  • Upside Potential Ratio
    3.64434
  • Upside part of mean
    0.19224
  • Downside part of mean
    -0.08547
  • Upside SD
    0.08686
  • Downside SD
    0.05275
  • N nonnegative terms
    15.00000
  • N negative terms
    9.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    24.00000
  • Mean of predictor
    0.08788
  • Mean of criterion
    0.10677
  • SD of predictor
    0.12998
  • SD of criterion
    0.09892
  • Covariance
    0.00392
  • r
    0.30451
  • b (slope, estimate of beta)
    0.23175
  • a (intercept, estimate of alpha)
    0.08640
  • Mean Square Error
    0.00928
  • DF error
    22.00000
  • t(b)
    1.49948
  • p(b)
    0.07398
  • t(a)
    1.24385
  • p(a)
    0.11332
  • Lowerbound of 95% confidence interval for beta
    -0.08877
  • Upperbound of 95% confidence interval for beta
    0.55226
  • Lowerbound of 95% confidence interval for alpha
    -0.05766
  • Upperbound of 95% confidence interval for alpha
    0.23046
  • Treynor index (mean / b)
    0.46070
  • Jensen alpha (a)
    0.08640
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03736
  • Expected Shortfall on VaR
    0.04872
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01332
  • Expected Shortfall on VaR
    0.02777
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    24.00000
  • Minimum
    0.94612
  • Quartile 1
    0.99025
  • Median
    1.01114
  • Quartile 3
    1.03289
  • Maximum
    1.06683
  • Mean of quarter 1
    0.97689
  • Mean of quarter 2
    1.00210
  • Mean of quarter 3
    1.01926
  • Mean of quarter 4
    1.04848
  • Inter Quartile Range
    0.04264
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.07145
  • VaR(95%) (moments method)
    0.02193
  • Expected Shortfall (moments method)
    0.03156
  • Extreme Value Index (regression method)
    0.60116
  • VaR(95%) (regression method)
    0.03018
  • Expected Shortfall (regression method)
    0.08048
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00981
  • Quartile 1
    0.01279
  • Median
    0.02202
  • Quartile 3
    0.02927
  • Maximum
    0.05388
  • Mean of quarter 1
    0.01045
  • Mean of quarter 2
    0.01791
  • Mean of quarter 3
    0.02612
  • Mean of quarter 4
    0.04210
  • Inter Quartile Range
    0.01648
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.15455
  • Compounded annual return (geometric extrapolation)
    0.14416
  • Calmar ratio (compounded annual return / max draw down)
    2.67573
  • Compounded annual return / average of 25% largest draw downs
    3.42440
  • Compounded annual return / Expected Shortfall lognormal
    2.95890
  • 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
    0.12203
  • SD
    0.10250
  • Sharpe ratio (Glass type estimate)
    1.19056
  • Sharpe ratio (Hedges UMVUE)
    1.18889
  • df
    537.00000
  • t
    1.70604
  • p
    0.04429
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.17958
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.55963
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.18071
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.55849
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.64710
  • Upside Potential Ratio
    8.50376
  • Upside part of mean
    0.63005
  • Downside part of mean
    -0.50801
  • Upside SD
    0.07110
  • Downside SD
    0.07409
  • N nonnegative terms
    312.00000
  • N negative terms
    226.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    538.00000
  • Mean of predictor
    0.14309
  • Mean of criterion
    0.12203
  • SD of predictor
    0.15945
  • SD of criterion
    0.10250
  • Covariance
    0.00629
  • r
    0.38491
  • b (slope, estimate of beta)
    0.24744
  • a (intercept, estimate of alpha)
    0.08700
  • Mean Square Error
    0.00897
  • DF error
    536.00000
  • t(b)
    9.65518
  • p(b)
    0.00000
  • t(a)
    1.30892
  • p(a)
    0.09556
  • Lowerbound of 95% confidence interval for beta
    0.19710
  • Upperbound of 95% confidence interval for beta
    0.29779
  • Lowerbound of 95% confidence interval for alpha
    -0.04338
  • Upperbound of 95% confidence interval for alpha
    0.21664
  • Treynor index (mean / b)
    0.49318
  • Jensen alpha (a)
    0.08663
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.11673
  • SD
    0.10278
  • Sharpe ratio (Glass type estimate)
    1.13571
  • Sharpe ratio (Hedges UMVUE)
    1.13413
  • df
    537.00000
  • t
    1.62745
  • p
    0.05211
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.23420
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.50462
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.23531
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.50356
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.56013
  • Upside Potential Ratio
    8.38619
  • Upside part of mean
    0.62747
  • Downside part of mean
    -0.51074
  • Upside SD
    0.07070
  • Downside SD
    0.07482
  • N nonnegative terms
    312.00000
  • N negative terms
    226.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    538.00000
  • Mean of predictor
    0.13041
  • Mean of criterion
    0.11673
  • SD of predictor
    0.15891
  • SD of criterion
    0.10278
  • Covariance
    0.00633
  • r
    0.38738
  • b (slope, estimate of beta)
    0.25055
  • a (intercept, estimate of alpha)
    0.08406
  • Mean Square Error
    0.00900
  • DF error
    536.00000
  • t(b)
    9.72797
  • p(b)
    0.00000
  • t(a)
    1.26833
  • p(a)
    0.10261
  • Lowerbound of 95% confidence interval for beta
    0.19996
  • Upperbound of 95% confidence interval for beta
    0.30115
  • Lowerbound of 95% confidence interval for alpha
    -0.04613
  • Upperbound of 95% confidence interval for alpha
    0.21424
  • Treynor index (mean / b)
    0.46590
  • Jensen alpha (a)
    0.08406
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00995
  • Expected Shortfall on VaR
    0.01257
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00392
  • Expected Shortfall on VaR
    0.00838
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    538.00000
  • Minimum
    0.95757
  • Quartile 1
    0.99779
  • Median
    1.00043
  • Quartile 3
    1.00394
  • Maximum
    1.02480
  • Mean of quarter 1
    0.99302
  • Mean of quarter 2
    0.99952
  • Mean of quarter 3
    1.00186
  • Mean of quarter 4
    1.00790
  • Inter Quartile Range
    0.00614
  • Number outliers low
    18.00000
  • Percentage of outliers low
    0.03346
  • Mean of outliers low
    0.98243
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.01301
  • Mean of outliers high
    1.01771
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.28197
  • VaR(95%) (moments method)
    0.00644
  • Expected Shortfall (moments method)
    0.01100
  • Extreme Value Index (regression method)
    0.16739
  • VaR(95%) (regression method)
    0.00635
  • Expected Shortfall (regression method)
    0.00986
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    24.00000
  • Minimum
    0.00065
  • Quartile 1
    0.00381
  • Median
    0.01110
  • Quartile 3
    0.03056
  • Maximum
    0.09821
  • Mean of quarter 1
    0.00164
  • Mean of quarter 2
    0.00628
  • Mean of quarter 3
    0.01864
  • Mean of quarter 4
    0.06540
  • Inter Quartile Range
    0.02675
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.12500
  • Mean of outliers high
    0.08806
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.65275
  • VaR(95%) (moments method)
    0.07094
  • Expected Shortfall (moments method)
    0.07982
  • Extreme Value Index (regression method)
    -0.52855
  • VaR(95%) (regression method)
    0.06764
  • Expected Shortfall (regression method)
    0.07601
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.16841
  • Compounded annual return (geometric extrapolation)
    0.15562
  • Calmar ratio (compounded annual return / max draw down)
    1.58466
  • Compounded annual return / average of 25% largest draw downs
    2.37967
  • Compounded annual return / Expected Shortfall lognormal
    12.38030
  • 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
    0.13487
  • SD
    0.12962
  • Sharpe ratio (Glass type estimate)
    1.04049
  • Sharpe ratio (Hedges UMVUE)
    1.03448
  • df
    130.00000
  • t
    0.73574
  • p
    0.46780
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.73613
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.81325
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.74018
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.80914
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.37174
  • Upside Potential Ratio
    7.95345
  • Upside part of mean
    0.78198
  • Downside part of mean
    -0.64711
  • Upside SD
    0.08412
  • Downside SD
    0.09832
  • N nonnegative terms
    78.00000
  • N negative terms
    53.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.04089
  • Mean of criterion
    0.13487
  • SD of predictor
    0.24091
  • SD of criterion
    0.12962
  • Covariance
    0.01047
  • r
    0.33524
  • b (slope, estimate of beta)
    0.18037
  • a (intercept, estimate of alpha)
    0.14225
  • Mean Square Error
    0.01503
  • DF error
    129.00000
  • t(b)
    4.04141
  • p(b)
    0.29065
  • t(a)
    0.82042
  • p(a)
    0.45417
  • Lowerbound of 95% confidence interval for beta
    0.09207
  • Upperbound of 95% confidence interval for beta
    0.26868
  • Lowerbound of 95% confidence interval for alpha
    -0.20079
  • Upperbound of 95% confidence interval for alpha
    0.48528
  • Treynor index (mean / b)
    0.74772
  • Jensen alpha (a)
    0.14225
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.12643
  • SD
    0.13035
  • Sharpe ratio (Glass type estimate)
    0.96991
  • Sharpe ratio (Hedges UMVUE)
    0.96431
  • df
    130.00000
  • t
    0.68583
  • p
    0.46998
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.80621
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.74241
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.80998
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.73859
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.26832
  • Upside Potential Ratio
    7.80899
  • Upside part of mean
    0.77839
  • Downside part of mean
    -0.65196
  • Upside SD
    0.08358
  • Downside SD
    0.09968
  • N nonnegative terms
    78.00000
  • N negative terms
    53.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.06943
  • Mean of criterion
    0.12643
  • SD of predictor
    0.23933
  • SD of criterion
    0.13035
  • Covariance
    0.01056
  • r
    0.33865
  • b (slope, estimate of beta)
    0.18444
  • a (intercept, estimate of alpha)
    0.13923
  • Mean Square Error
    0.01516
  • DF error
    129.00000
  • t(b)
    4.08784
  • p(b)
    0.28861
  • t(a)
    0.79951
  • p(a)
    0.45533
  • VAR (95 Confidence Intrvl)
    0.01000
  • Lowerbound of 95% confidence interval for beta
    0.09517
  • Upperbound of 95% confidence interval for beta
    0.27371
  • Lowerbound of 95% confidence interval for alpha
    -0.20532
  • Upperbound of 95% confidence interval for alpha
    0.48378
  • Treynor index (mean / b)
    0.68546
  • Jensen alpha (a)
    0.13923
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01268
  • Expected Shortfall on VaR
    0.01599
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00484
  • Expected Shortfall on VaR
    0.01055
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.95757
  • Quartile 1
    0.99743
  • Median
    1.00116
  • Quartile 3
    1.00448
  • Maximum
    1.02402
  • Mean of quarter 1
    0.99110
  • Mean of quarter 2
    0.99949
  • Mean of quarter 3
    1.00284
  • Mean of quarter 4
    1.00913
  • Inter Quartile Range
    0.00705
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.02290
  • Mean of outliers low
    0.97047
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.01527
  • Mean of outliers high
    1.02126
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.13967
  • VaR(95%) (moments method)
    0.00733
  • Expected Shortfall (moments method)
    0.01120
  • Extreme Value Index (regression method)
    0.03300
  • VaR(95%) (regression method)
    0.00800
  • Expected Shortfall (regression method)
    0.01157
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.00600
  • Quartile 1
    0.00667
  • Median
    0.01367
  • Quartile 3
    0.03458
  • Maximum
    0.09821
  • Mean of quarter 1
    0.00603
  • Mean of quarter 2
    0.01003
  • Mean of quarter 3
    0.02139
  • Mean of quarter 4
    0.07532
  • Inter Quartile Range
    0.02792
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.12500
  • Mean of outliers high
    0.09821
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -360767000
  • Max Equity Drawdown (num days)
    20
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.16044
  • Compounded annual return (geometric extrapolation)
    0.16688
  • Calmar ratio (compounded annual return / max draw down)
    1.69927
  • Compounded annual return / average of 25% largest draw downs
    2.21552
  • Compounded annual return / Expected Shortfall lognormal
    10.43350

Strategy Description

“The big money is not in the buying or selling, but in the waiting.” – C. Munger
“Smooth is fast” – Navy SEAL mantra and racing sport wisdom

PRINCIPLES & INTRO

I began saving and investing money at a very young age – when I earned my first money delivering newspapers at the age of 13.

The initial path from there, however, had been far from easy and smooth.

Why? I was looking for shortcuts, the “get-rich-quick” path, the shiny new things, spectacular returns and “can’t miss, can’t lose trades” that would change it all in an instant. I was impatient and greedy, feelings only fueled by consuming the social media “success stories” of those that try to impress or sell something. It cost me money, time and nerves.
A pathetic game.

Things changed when I,
1) turned all of that off, because it had nothing to do with trading or investing (you might describe it as hoping or the equivalent of wasting money on lottery tickets). And…
2) when I realized, and I mean profoundly and in the depths of my heart and brain understood and accepted, that true wealth is built when you follow a process that is consistent, reliable and that is not interrupted – relentlessly and patiently.
That’s how fortunes have been and will be built, time after time.

And time… time is of essence. Because, yes, it will take time. Yes, there will be occasions when others will think that it’s not going quick enough. Yes, others will feel the urge to take a detour and try “this and that”. That spectacular strategy or investment that made fantastic returns in a few weeks or months. And they might even be rewarded by doing that initially. In particular during bull markets, when everyone and their pet is making money quick and easy while we keep grinding. But everything that is spectacularly up, comes with a risk and can just as well, and even more spectacularly, come down. Some might be fooled by that – that’s the pathetic game (going back to my first paragraph).
So the bottom line is, not everyone will be capable of executing and keeping at it. Probably the majority won’t. But that’s ok, the investment mistakes of the majority is the advantage that we have. That’s why the majority gets majority results – average, at best. We can prosper if we calm down and relax, let go of FOMO, and instead, let the process of compounding do it's magic (prosper, relax and compound – it’s in the name). This is what I found for myself and that enables me to live off my capital in a country with one of the highest costs of living in the world – without sleepless nights or having to run around and chase the next “thing”. You’re invited to be part of that journey.

STRATEGY

I mentioned that the process of building wealth and compounding requires us not to interrupt that very same compounding process, so it can yield the most significant results. There are two common mistakes that can cause interruptions.
The first, is to not actually follow through on it, to start doubting the process when the going gets tough and to stop it. Those who can avoid that have a huge advantage in life, it’s on you.
The second, is temporary or permanent loss of capital, or in other words, equity drawdown. We all heard the story many times, yet many tend to forget, that when you lose 10%, you need 11.11% to get back to even, but, after losing 50%, you would need to double your money (100%) to get back to the previous equity level. And losing it all… there is no way of coming back (unless you borrow money or earn it back somewhere outside of markets to start again from 0).
So getting in a drawdown comes with risks, and getting back out of it requires time. Precious time that is lost on the long recovery, instead of compounding our hard-earned capital. It is no surprise that drawdown is defined as peak-to-“trough/valley” decline in capital. Just imagine falling into that valley or digging yourself into a hole and then spending effort and time to fight against gravity to crawl back up. This is why I put a lot of emphasis on controlling risk, volatility and avoiding big drawdowns. This, of course, does not mean there won’t be losses – this fantasy doesn’t exist in markets. It just means that risk and protecting our capital is first priority. It also means that I have worked hard to find an approach that ensures that these drawdown valleys are kept as short and shallow as possible – smooth is fast. To achieve that, I don’t just trade one market with one system and hope that it will keep working forever. Markets change and go through cycles. Instead, this approach trades a range of markets, different assets within those markets, several strategies that, in turn, work on different time frames. The approach also uses a rather lower trading frequency. The idea is not to churn out many trades, but to keep a steady profile. Trades are not placed discretionarily based on gut feel, but follow signals that indicate when it is advantageous to be in the market or to take risk off the table. These signals are the output of systematic trading strategies that resulted from a range of research and tests on markets and risk management. It's the result of having experienced a good deal of time in these painful drawdown valleys myself and first-hand, working on investment processes for decades, studying markets, distilling best practices in the industry and developing trading systems and investment strategies. The strategy trades single stocks and ETFs, long-only, so can be implemented in almost any brokerage or retirement account. Happy compounding.

ADDITIONAL INFO

- Because the strategy has a relatively low risk-profile, I feel comfortable applying leverage to increase potential returns even further, as is currently done on the C2 implementation. You can obviously dial this up and down as per your preference, however, I would not recommend going above 2x. Please note, that the simulated performance does not include the cost of leverage, as these costs can vary from broker to broker or one’s individual situation and C2 is not able to estimate that in their calculations.

- I will send communications and notes to subscribers occasionally, whenever I believe that we are in a period in which more detailed communication on the strategy's current state or market environment is required. Otherwise I will not spam you with anything meaningless, as it would go against the principle of "relaxation".
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2023-04-12
Suggested Minimum Capital
$15,000
Rank at C2 %
Top 5.9%
Rank # 
#41
# Trades
29
# Profitable
16
% Profitable
55.2%
Net Dividends
$7,943
Correlation S&P500
0.368
Sharpe Ratio
0.85
Sortino Ratio
1.20
Beta
0.25
Alpha
0.02
Leverage
1.84 Average
2.21 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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