Collective2 Collective2
Featured Strategy Iberia Capital Strategy +15.0% Cumul. Return since Apr 15, 2026 Hypothetical

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KT2KM

By HugoFerrer

Stocks, Options · Started Sep 2010

hypothetical · Annual Return (Compounded)
-10.6%
Max Drawdown
89.7%
Trades
95
Win Trades
37.9%
Profit Factor
0.60
Win Months
4.7%

About this strategy









Hypothetical Monthly Returns (includes fees/commissions)

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
2010-3.48.52.420.729.6
2011-1.39.3-2.68.96.5-0.6-19.8-6.9-6.7-16.68.6-11.2-32.0
2012-4.1-0.24.2-25.0-17.50.00.00.00.0-0.00.03.8-36.0
20130.00.00.00.00.00.00.0-30.40.00.0-0.20.0-30.5
20140.00.00.00.00.00.00.00.00.00.00.00.00.0
20150.00.00.00.00.00.00.00.00.00.00.00.00.0
20160.00.00.00.00.0-0.00.0-57.60.00.00.00.0-57.6
20170.00.00.00.00.00.00.00.00.00.00.00.00.0
20180.00.00.00.00.00.00.00.00.00.00.00.00.0
20190.00.00.00.00.00.00.00.00.00.00.00.00.0
20200.00.00.00.00.00.00.00.00.00.00.00.00.0
20210.00.00.00.00.00.00.00.00.00.00.00.00.0
20220.00.00.00.00.00.00.00.00.00.00.00.00.0
20230.00.00.00.00.00.00.00.00.00.00.00.00.0
20240.00.00.00.00.00.00.00.00.00.00.00.00.0
20250.00.00.00.00.00.00.00.00.00.00.00.00.0
20260.00.00.00.00.00.00.00.00.00.0

Statistics

Overview

Strategy began9/18/2010
Suggested Minimum Capital$10,000
Age195 months
What it tradesStocks, Options, Futures
# Trades95
# Profitable36
% Profitable37.9%
Avg trade duration13.0 days
Max peak-to-valley drawdown89.7%
drawdown periodJuly 01, 2011 - Aug 09, 2016
Annual Return (Compounded)-10.6%
Avg win$244
Avg loss$244

Ratios

W:L ratio0.61
Sharpe Ratio-0.53
Sortino Ratio-0.58
Calmar Ratio-0.22

CORRELATION STATISTICS

Correlation to SP5000.06
Return Percent SP500 (cumu) during strategy life570.9%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)-657.9%

Return Statistics

Ann Return (w trading costs)-10.6%
Return Pcnt (Compound or Annual, age-based, NFA compliant)-0.1%
Return Pcnt Since TOS Status0.0%
Ann Return (Compnd, No Fees)-5.0%

Slump

Current Slump as Pcnt Equity866.9%
Current Slump, time of slump as pcnt of strategy life0.9%

Instruments

Percent Trades Forex0.1%
Percent Trades Futures0.2%
Percent Trades Options0.3%
Percent Trades Stocks0.3%

Risk of Ruin (Monte-Carlo)

Chance of 10% account loss100.0%
Chance of 20% account loss100.0%
Chance of 30% account loss100.0%
Chance of 40% account loss100.0%
Chance of 50% account loss100.0%
Chance of 60% account loss (Monte Carlo)100.0%
Chance of 70% account loss (Monte Carlo)100.0%
Chance of 80% account loss (Monte Carlo)100.0%
Chance of 90% account loss (Monte Carlo)0.0%
Chance of 100% account loss (Monte Carlo)0.0%

Automation

Percentage Signals Automated0.0%

Popularity

Popularity (Today)0
Popularity (Last 6 weeks)0
Popularity (7 days, Percentile 1000 scale)0

Trading Style

Any stock shorts? 0/11

Trades-Own-System Certification

Trades Own System?0
TOS percent0.0%

Win / Loss

Avg Loss$244
Avg Win$244
# Winners36
Sum Trade PL (losers)$14,374
Sum Trade PL (winners)$8,785
Num Months Winners9
# Losers59
% Winners37.9%

Dividends

Dividends Received in Model Acct0

Age

Num Months filled monthly returns table193

Frequency

Avg Position Time (mins)18698.28
Avg Position Time (hrs)311.64
Avg Trade Length13
Last Trade Ago5229

Regression

Alpha-0.03
Beta0.07
Treynor Index-0.43

Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.03
MAE:Equity, 95th Percentile Value for this strat0.51
MAE:Equity, average, losing trades0.04
MAE:Equity, losing trades only, 95th Percentile Value for this strat—
MAE:Equity, average, winning trades0.01
MAE:Equity, win trades only, 95th Percentile Value for this strat—
Avg(MAE) / Avg(PL) - All trades-2.83
MAE:PL (avg, all trades)-0.74
MAE:PL (avg, losing trades)—
MAE:PL - Losing Trades - this strat Percentile of All Strats23.56
MAE:PL - Winning Trades - this strat Percentile of All Strats21.72
MAE:PL (avg, winning trades)—
MAE:PL - worst single value for strategy—
Avg(MAE) / Avg(PL) - Winning trades0.67
Avg(MAE) / Avg(PL) - Losing trades-1.14
Hold-and-Hope Ratio-0.34

RATIO STATISTICS

Mean-0.14
SD0.27
Sharpe ratio (Glass type estimate)-0.52
Sharpe ratio (Hedges UMVUE)-0.51
df52
t-1.09
p0.86
Lowerbound of 95% confidence interval for Sharpe Ratio-1.45
Upperbound of 95% confidence interval for Sharpe Ratio0.42
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-1.45
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.43
Sortino ratio-0.60
Upside Potential Ratio0.64
Upside part of mean0.15
Downside part of mean-0.29
Upside SD0.13
Downside SD0.24
N nonnegative terms39
N negative terms14
N of observations53
Mean of predictor0.43
Mean of criterion-0.14
SD of predictor0.22
SD of criterion0.27
Covariance0.01
r0.14
b (slope, estimate of beta)0.18
a (intercept, estimate of alpha)-0.22
Mean Square Error0.07
DF error51
t(b)1.05
p(b)0.15
t(a)-1.47
p(a)0.93
Lowerbound of 95% confidence interval for beta-0.16
Upperbound of 95% confidence interval for beta0.52
Lowerbound of 95% confidence interval for alpha-0.52
Upperbound of 95% confidence interval for alpha0.08
Treynor index (mean / b)-0.79
Jensen alpha (a)-0.22
Mean-0.18
SD0.30
Sharpe ratio (Glass type estimate)-0.61
Sharpe ratio (Hedges UMVUE)-0.60
df52
t-1.29
p0.90
Lowerbound of 95% confidence interval for Sharpe Ratio-1.55
Upperbound of 95% confidence interval for Sharpe Ratio0.33
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-1.54
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.34
Sortino ratio-0.67
Upside Potential Ratio0.52
Upside part of mean0.14
Downside part of mean-0.33
Upside SD0.12
Downside SD0.27
N nonnegative terms39
N negative terms14
N of observations53
Mean of predictor0.40
Mean of criterion-0.18
SD of predictor0.22
SD of criterion0.30
Covariance0.01
r0.15
b (slope, estimate of beta)0.21
a (intercept, estimate of alpha)-0.27
Mean Square Error0.09
DF error51
t(b)1.10
p(b)0.14
t(a)-1.66
p(a)0.95
Lowerbound of 95% confidence interval for beta-0.18
Upperbound of 95% confidence interval for beta0.60
Lowerbound of 95% confidence interval for alpha-0.59
Upperbound of 95% confidence interval for alpha0.06
Treynor index (mean / b)-0.87
Jensen alpha (a)-0.27
VaR(95%)0.15
Expected Shortfall on VaR0.18
VaR(95%)0.03
Expected Shortfall on VaR0.08
Mean-0.15
SD0.24
Sharpe ratio (Glass type estimate)-0.63
Sharpe ratio (Hedges UMVUE)-0.63
df1171
t-1.34
p0.52
Lowerbound of 95% confidence interval for Sharpe Ratio-1.56
Upperbound of 95% confidence interval for Sharpe Ratio0.29
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-1.56
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.29
Sortino ratio-0.74
Upside Potential Ratio2.82
Upside part of mean0.57
Downside part of mean-0.72
Upside SD0.12
Downside SD0.20
N nonnegative terms969
N negative terms203
N of observations1172
Mean of predictor0.47
Mean of criterion-0.15
SD of predictor0.30
SD of criterion0.24
Covariance0.01
r0.11
b (slope, estimate of beta)0.08
a (intercept, estimate of alpha)-0.19
Mean Square Error0.06
DF error1170
t(b)3.62
p(b)0.45
t(a)-1.69
p(a)0.52
Lowerbound of 95% confidence interval for beta0.04
Upperbound of 95% confidence interval for beta0.13
Lowerbound of 95% confidence interval for alpha-0.41
Upperbound of 95% confidence interval for alpha0.03
Treynor index (mean / b)-1.82
Jensen alpha (a)-0.19
Mean-0.18
SD0.25
Sharpe ratio (Glass type estimate)-0.72
Sharpe ratio (Hedges UMVUE)-0.72
df1171
t-1.53
p0.53
Lowerbound of 95% confidence interval for Sharpe Ratio-1.65
Upperbound of 95% confidence interval for Sharpe Ratio0.20
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-1.65
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.20
Sortino ratio-0.83
Upside Potential Ratio2.59
Upside part of mean0.57
Downside part of mean-0.75
Upside SD0.12
Downside SD0.22
N nonnegative terms969
N negative terms203
N of observations1172
Mean of predictor0.42
Mean of criterion-0.18
SD of predictor0.30
SD of criterion0.25
Covariance0.01
r0.10
b (slope, estimate of beta)0.08
a (intercept, estimate of alpha)-0.22
Mean Square Error0.06
DF error1170
t(b)3.50
p(b)0.45
t(a)-1.83
p(a)0.53
Lowerbound of 95% confidence interval for beta0.04
Upperbound of 95% confidence interval for beta0.13
Lowerbound of 95% confidence interval for alpha-0.45
Upperbound of 95% confidence interval for alpha0.02
Treynor index (mean / b)-2.17
Jensen alpha (a)-0.22
VaR(95%)0.03
Expected Shortfall on VaR0.03
VaR(95%)0.00
Expected Shortfall on VaR0.01
Mean0
SD0
Sharpe ratio (Glass type estimate)0
Sharpe ratio (Hedges UMVUE)0
df0
t0
p0
Lowerbound of 95% confidence interval for Sharpe Ratio0
Upperbound of 95% confidence interval for Sharpe Ratio0
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0
Sortino ratio0
Upside Potential Ratio0
Upside part of mean0
Downside part of mean0
Upside SD0
Downside SD0
N nonnegative terms131
N negative terms0
N of observations131
Mean of predictor1.44
Mean of criterion0
SD of predictor0.39
SD of criterion0
Covariance0
r0
b (slope, estimate of beta)0
a (intercept, estimate of alpha)0
Mean Square Error0
DF error0
t(b)0
p(b)0
t(a)0
p(a)0
Lowerbound of 95% confidence interval for beta0
Upperbound of 95% confidence interval for beta0
Lowerbound of 95% confidence interval for alpha0
Upperbound of 95% confidence interval for alpha0
Treynor index (mean / b)0
Jensen alpha (a)0
Mean0
SD0
Sharpe ratio (Glass type estimate)0
Sharpe ratio (Hedges UMVUE)0
df0
t0
p0
Lowerbound of 95% confidence interval for Sharpe Ratio0
Upperbound of 95% confidence interval for Sharpe Ratio0
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0
Sortino ratio0
Upside Potential Ratio0
Upside part of mean0
Downside part of mean0
Upside SD0
Downside SD0
N nonnegative terms131
N negative terms0
N of observations131
Mean of predictor1.35
Mean of criterion0
SD of predictor0.40
SD of criterion0
Covariance0
r0
b (slope, estimate of beta)0
a (intercept, estimate of alpha)0
Mean Square Error0
DF error0
t(b)0
p(b)0
t(a)0
p(a)0
Lowerbound of 95% confidence interval for beta0
VAR (95 Confidence Intrvl)0.03
Upperbound of 95% confidence interval for beta0
Lowerbound of 95% confidence interval for alpha0
Upperbound of 95% confidence interval for alpha0
Treynor index (mean / b)0
Jensen alpha (a)0
VaR(95%)0
Expected Shortfall on VaR0
VaR(95%)0
Expected Shortfall on VaR0

ORDER STATISTICS

Number of observations53
Minimum0.66
Quartile 11.00
Median1
Quartile 31
Maximum1.21
Mean of quarter 10.91
Mean of quarter 21
Mean of quarter 31
Mean of quarter 41.05
Inter Quartile Range0.00
Number outliers low13
Percentage of outliers low0.25
Mean of outliers low0.90
Number of outliers high10
Percentage of outliers high0.19
Mean of outliers high1.07
Extreme Value Index (moments method)-5.80
VaR(95%) (moments method)0.01
Expected Shortfall (moments method)0.01
Extreme Value Index (regression method)0.12
VaR(95%) (regression method)0.13
Expected Shortfall (regression method)0.23
Number of observations1172
Minimum0.80
Quartile 11
Median1
Quartile 31
Maximum1.08
Mean of quarter 10.99
Mean of quarter 21
Mean of quarter 31
Mean of quarter 41.01
Inter Quartile Range0
Number outliers low203
Percentage of outliers low0.17
Mean of outliers low0.98
Number of outliers high184
Percentage of outliers high0.16
Mean of outliers high1.01
Extreme Value Index (moments method)0.58
VaR(95%) (moments method)0.00
Expected Shortfall (moments method)0.02
Extreme Value Index (regression method)0.13
VaR(95%) (regression method)0.01
Expected Shortfall (regression method)0.02
Number of observations131
Minimum1
Quartile 11
Median1
Quartile 31
Maximum1
Mean of quarter 11
Mean of quarter 21
Mean of quarter 31
Mean of quarter 41
Inter Quartile Range0
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high0
Percentage of outliers high0
Mean of outliers high0
Extreme Value Index (moments method)0
VaR(95%) (moments method)0
Expected Shortfall (moments method)0
Extreme Value Index (regression method)0
VaR(95%) (regression method)0
Expected Shortfall (regression method)0

DRAW DOWN STATISTICS

Number of observations2
Minimum0.02
Quartile 10.20
Median0.38
Quartile 30.56
Maximum0.74
Mean of quarter 10.02
Mean of quarter 20
Mean of quarter 30
Mean of quarter 40.74
Inter Quartile Range0.36
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high0
Percentage of outliers high0
Mean of outliers high0
Extreme Value Index (moments method)0
VaR(95%) (moments method)0
Expected Shortfall (moments method)0
Extreme Value Index (regression method)0
VaR(95%) (regression method)0
Expected Shortfall (regression method)0
Number of observations31
Minimum0.00
Quartile 10.00
Median0.02
Quartile 30.04
Maximum0.75
Mean of quarter 10.00
Mean of quarter 20.01
Mean of quarter 30.02
Mean of quarter 40.15
Inter Quartile Range0.03
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high3
Percentage of outliers high0.10
Mean of outliers high0.32
Extreme Value Index (moments method)0.86
VaR(95%) (moments method)0.15
Expected Shortfall (moments method)1.10
Extreme Value Index (regression method)0.94
VaR(95%) (regression method)0.15
Expected Shortfall (regression method)2.24
Number of observations0
Minimum0
Quartile 10
Median0
Quartile 30
Maximum0
Mean of quarter 10
Mean of quarter 20
Mean of quarter 30
Mean of quarter 40
Inter Quartile Range0
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high0
Percentage of outliers high0
Mean of outliers high0
Extreme Value Index (moments method)0
VaR(95%) (moments method)0
Expected Shortfall (moments method)0
Extreme Value Index (regression method)0
VaR(95%) (regression method)0
Expected Shortfall (regression method)0
Strat Max DD how much worse than SP500 max DD during strat life?-407561184
Max Equity Drawdown (num days)1866
Last 4 Months - Pcnt Negative0.0%

COMBINED STATISTICS

Annualized return (arithmetic extrapolation)-0.13
Compounded annual return (geometric extrapolation)-0.17
Calmar ratio (compounded annual return / max draw down)-0.23
Compounded annual return / average of 25% largest draw downs-0.23
Compounded annual return / Expected Shortfall lognormal-0.95
j156mfCOMBRisPar0
j157mfCOMBRisPar0
Annualized return (arithmetic extrapolation)-0.12
Compounded annual return (geometric extrapolation)-0.17
Calmar ratio (compounded annual return / max draw down)-0.22
Compounded annual return / average of 25% largest draw downs-1.08
Compounded annual return / Expected Shortfall lognormal-5.17
j313dfCOMBRisPar0
j314dfCOMBRisPar0
Annualized return (arithmetic extrapolation)0
Compounded annual return (geometric extrapolation)0
Calmar ratio (compounded annual return / max draw down)0
Compounded annual return / average of 25% largest draw downs0
Compounded annual return / Expected Shortfall lognormal0

Trading record

Placed 23 trades in real-life brokerage accounts.

SymbolSideQtyOpenedClosedP/L
DTYS long533Nov 14, 2011May 18, 2012($2,665)
EWP long78Mar 15, 2012May 18, 2012($546)
TLT1216R120 long1Mar 26, 2012May 18, 2012($806)
SH long109Nov 9, 2011Nov 11, 2011($80)
XVIX long1030Mar 14, 2011Oct 28, 2011($2,329)
XIV long73Aug 5, 2011Oct 25, 2011($477)
SPY long144Jul 19, 2011Aug 1, 2011($481)
SDS long220Jul 18, 2011Jul 19, 2011($352)
DTYS long167Jul 12, 2011Jul 18, 2011($142)
XIV long960Jun 20, 2011Jul 18, 2011$257
VM N1short3Jun 9, 2011Jun 16, 2011($1,169)
VM M1short3May 17, 2011Jun 10, 2011($24)
SLV long73May 18, 2011Jun 1, 2011$224
VM M1short3May 16, 2011May 16, 2011($84)
VM K1short2May 5, 2011May 13, 2011$104
SPY1113E137 long12May 3, 2011May 7, 2011($332)
SPY1113E138 short12May 3, 2011May 7, 2011$88
EWI long260Apr 21, 2011May 3, 2011$193
SPY long15Apr 12, 2011Apr 18, 2011($11)
VM J1short2Mar 15, 2011Apr 15, 2011$1,284
EUR/JPY long10Mar 18, 2011Mar 31, 2011$2
YCS long11Mar 17, 2011Mar 18, 2011$22
EUR/JPY long10Mar 18, 2011Mar 18, 2011($0)
VIX1116O20 long1Mar 11, 2011Mar 15, 2011($24)
VIX1116O19 long2Mar 11, 2011Mar 15, 2011($23)
VM H1short2Mar 14, 2011Mar 15, 2011$14
SPY1119C130 short2Mar 10, 2011Mar 14, 2011$103
SPY1119C134 long18Mar 10, 2011Mar 11, 2011($139)
SPY1119C132 short3Mar 9, 2011Mar 10, 2011$220
VM H1short3Mar 8, 2011Mar 10, 2011($404)

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.