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These are hypothetical performance results that have certain inherent limitations. Learn more

International Value
(120610209)

Created by: NBTK NBTK
Started: 10/2018
Stocks
Last trade: 15 days ago
Trading style: Equity Non-hedged Equity

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

Subscription terms. Subscriptions to this system cost $100.00 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."
-20.1%
Annual Return (Compounded)

Rate of Return Calculations

Overview

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

How Annualized (Compounded) Rate of Return is calculated

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

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

All results are hypothetical.

(69.5%)
Max Drawdown
61
Num Trades
60.7%
Win Trades
1.0 : 1
Profit Factor
57.9%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2018                                                               (0.4%)+0.2%(6.9%)(7.1%)
2019+14.1%+10.7%+5.2%+0.5%(4.3%)+8.7%+7.6%(5.4%)+5.9%+8.7%+15.0%+8.7%+103.1%
2020(8.9%)(19.1%)(44.6%)(6%)                                                (61.6%)

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 120 hours.

Trading Record

This strategy has placed 130 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
2/20/20 10:45 TSEM TOWER SEMICONDUCTOR LONG 350 21.14 3/17 9:30 13.81 12.37%
Trade id #127618764
Max drawdown($2,927)
Time3/16/20 0:00
Quant open350
Worst price12.78
Drawdown as % of equity-12.37%
($2,574)
Includes Typical Broker Commissions trade costs of $7.00
12/4/19 9:30 QIWI QIWI PLC AMERICAN DEPOSITARY S LONG 850 18.59 3/12/20 10:04 15.43 12.44%
Trade id #126477329
Max drawdown($3,283)
Time3/12/20 9:51
Quant open550
Worst price12.62
Drawdown as % of equity-12.44%
($2,696)
Includes Typical Broker Commissions trade costs of $14.00
2/18/20 9:53 PRGO PERRIGO COMPANY PLC LONG 125 55.14 3/9 15:52 51.31 2.46%
Trade id #127572656
Max drawdown($671)
Time3/9/20 14:31
Quant open100
Worst price48.42
Drawdown as % of equity-2.46%
($482)
Includes Typical Broker Commissions trade costs of $2.50
2/7/20 15:09 STM STMICROELECTRONICS LONG 300 28.80 3/9 9:55 22.60 4.46%
Trade id #127418370
Max drawdown($1,491)
Time3/9/20 9:31
Quant open300
Worst price23.83
Drawdown as % of equity-4.46%
($1,865)
Includes Typical Broker Commissions trade costs of $6.00
2/24/20 10:03 IMAX IMAX LONG 350 16.30 3/9 9:49 14.04 2.32%
Trade id #127677857
Max drawdown($775)
Time3/9/20 9:32
Quant open350
Worst price14.08
Drawdown as % of equity-2.32%
($797)
Includes Typical Broker Commissions trade costs of $7.00
2/18/20 10:43 ST SENSATA TECHNOLOGIES LONG 100 47.90 3/6 9:30 37.17 3.09%
Trade id #127574024
Max drawdown($1,087)
Time3/6/20 9:30
Quant open100
Worst price37.03
Drawdown as % of equity-3.09%
($1,075)
Includes Typical Broker Commissions trade costs of $2.00
2/10/20 9:30 RYAAY RYANAIR HOLDINGS LONG 85 88.73 2/28 12:14 72.41 4.03%
Trade id #127435697
Max drawdown($1,375)
Time2/28/20 12:10
Quant open85
Worst price72.55
Drawdown as % of equity-4.03%
($1,389)
Includes Typical Broker Commissions trade costs of $1.70
2/24/20 10:39 STNE STONECO LTD. CLASS A COMMON SHARES LONG 100 41.82 2/28 9:34 41.91 0.42%
Trade id #127678739
Max drawdown($165)
Time2/25/20 0:00
Quant open100
Worst price40.16
Drawdown as % of equity-0.42%
$8
Includes Typical Broker Commissions trade costs of $2.00
10/1/19 14:14 SU SUNCOR ENERGY LONG 350 31.97 2/27/20 10:07 27.52 4.3%
Trade id #125578490
Max drawdown($1,620)
Time2/27/20 9:47
Quant open350
Worst price27.34
Drawdown as % of equity-4.30%
($1,565)
Includes Typical Broker Commissions trade costs of $7.00
11/19/19 13:51 IGT INTERNATIONAL GAME TECH LONG 750 15.28 2/24/20 13:56 12.99 4.32%
Trade id #126273444
Max drawdown($1,701)
Time2/24/20 13:47
Quant open750
Worst price13.01
Drawdown as % of equity-4.32%
($1,730)
Includes Typical Broker Commissions trade costs of $15.00
2/13/20 10:46 IGOV ISHARES INTERNATIONAL TREASURY LONG 150 49.72 2/24 10:12 49.84 0.11%
Trade id #127495605
Max drawdown($51)
Time2/20/20 0:00
Quant open150
Worst price49.38
Drawdown as % of equity-0.11%
$15
Includes Typical Broker Commissions trade costs of $3.00
2/6/20 11:54 MEOH METHANEX LONG 150 33.74 2/24 9:42 31.47 0.77%
Trade id #127396619
Max drawdown($333)
Time2/24/20 9:41
Quant open150
Worst price31.52
Drawdown as % of equity-0.77%
($343)
Includes Typical Broker Commissions trade costs of $3.00
1/27/20 15:02 JCI JOHNSON CONTROLS LONG 200 40.51 2/21 15:33 41.98 0.61%
Trade id #127238627
Max drawdown($259)
Time2/4/20 0:00
Quant open200
Worst price39.21
Drawdown as % of equity-0.61%
$291
Includes Typical Broker Commissions trade costs of $4.00
1/3/20 13:12 JAZZ JAZZ PHARMACEUTICALS LONG 100 145.87 2/18 10:44 138.20 1.78%
Trade id #126858590
Max drawdown($781)
Time2/18/20 10:00
Quant open100
Worst price138.05
Drawdown as % of equity-1.78%
($769)
Includes Typical Broker Commissions trade costs of $2.00
1/27/20 14:58 STX SEAGATE TECHNOLOGY LONG 150 60.73 2/5 9:33 54.93 1.77%
Trade id #127238558
Max drawdown($771)
Time2/5/20 9:32
Quant open150
Worst price55.58
Drawdown as % of equity-1.77%
($873)
Includes Typical Broker Commissions trade costs of $3.00
11/6/18 9:30 RDS.A ROYAL DUTCH SHELL LONG 230 59.40 1/31/20 11:40 53.13 3.14%
Trade id #120757027
Max drawdown($1,375)
Time1/31/20 10:18
Quant open200
Worst price52.52
Drawdown as % of equity-3.14%
($1,446)
Includes Typical Broker Commissions trade costs of $4.60
9/9/19 10:44 IVZ INVESCO LONG 300 16.89 1/27/20 10:05 17.65 0.47%
Trade id #125274677
Max drawdown($156)
Time10/10/19 0:00
Quant open150
Worst price15.24
Drawdown as % of equity-0.47%
$222
Includes Typical Broker Commissions trade costs of $6.00
8/22/19 14:00 LAZ LAZARD LONG 200 34.79 1/15/20 13:02 43.75 0.56%
Trade id #125046534
Max drawdown($175)
Time8/28/19 0:00
Quant open100
Worst price32.42
Drawdown as % of equity-0.56%
$1,788
Includes Typical Broker Commissions trade costs of $4.00
11/25/19 14:40 ZTO ZTO EXPRESS CAYMAN LONG 250 20.98 1/3/20 13:03 23.29 0.36%
Trade id #126358732
Max drawdown($154)
Time12/3/19 0:00
Quant open250
Worst price20.36
Drawdown as % of equity-0.36%
$572
Includes Typical Broker Commissions trade costs of $5.00
12/24/18 10:04 SNY SANOFI LONG 150 43.99 12/26/19 11:14 50.30 0.38%
Trade id #121642224
Max drawdown($132)
Time8/5/19 0:00
Quant open75
Worst price40.00
Drawdown as % of equity-0.38%
$944
Includes Typical Broker Commissions trade costs of $3.00
4/15/19 12:38 NXPI NXP SEMICONDUCTOR LONG 175 105.73 12/26 11:13 119.11 2%
Trade id #123316998
Max drawdown($619)
Time5/29/19 0:00
Quant open50
Worst price87.26
Drawdown as % of equity-2.00%
$2,337
Includes Typical Broker Commissions trade costs of $3.50
2/20/19 10:22 TSEM TOWER SEMICONDUCTOR LONG 300 18.12 12/11 10:55 22.42 1.68%
Trade id #122601357
Max drawdown($553)
Time6/25/19 0:00
Quant open150
Worst price14.46
Drawdown as % of equity-1.68%
$1,286
Includes Typical Broker Commissions trade costs of $6.00
8/22/19 13:58 NVT NVENT ELECTRIC PLC WHEN ISS LONG 250 19.98 11/27 11:57 24.83 0.71%
Trade id #125046522
Max drawdown($235)
Time10/9/19 0:00
Quant open250
Worst price19.04
Drawdown as % of equity-0.71%
$1,206
Includes Typical Broker Commissions trade costs of $5.00
12/10/18 11:03 NVS NOVARTIS LONG 125 85.98 11/26/19 10:00 91.08 1.49%
Trade id #121424661
Max drawdown($457)
Time4/22/19 0:00
Quant open50
Worst price74.97
Drawdown as % of equity-1.49%
$635
Includes Typical Broker Commissions trade costs of $2.50
8/8/19 14:30 LK LUCKIN COFFEE INC. AMERICAN DEPOSITARY SHARES LONG 425 21.37 11/25 14:46 28.62 3.16%
Trade id #124841210
Max drawdown($1,041)
Time8/19/19 0:00
Quant open200
Worst price18.25
Drawdown as % of equity-3.16%
$3,074
Includes Typical Broker Commissions trade costs of $8.50
10/1/19 14:20 ESNT ESSENT GROUP LTD LONG 150 47.69 11/25 14:34 54.04 0.41%
Trade id #125578694
Max drawdown($141)
Time10/8/19 0:00
Quant open150
Worst price46.75
Drawdown as % of equity-0.41%
$949
Includes Typical Broker Commissions trade costs of $3.00
11/27/18 9:37 GSK GLAXOSMITHKLINE LONG 100 40.53 11/25/19 14:33 44.48 0.85%
Trade id #121187856
Max drawdown($211)
Time12/6/18 0:00
Quant open65
Worst price36.41
Drawdown as % of equity-0.85%
$393
Includes Typical Broker Commissions trade costs of $2.00
2/19/19 12:52 VNM VANECK VECTORS VIETNAM ETF LONG 250 16.53 11/13 11:26 16.28 1.02%
Trade id #122588517
Max drawdown($351)
Time8/5/19 0:00
Quant open250
Worst price15.12
Drawdown as % of equity-1.02%
($67)
Includes Typical Broker Commissions trade costs of $5.00
6/25/19 9:30 DSPG DSP GROUP LONG 500 14.26 11/5 15:20 15.37 0.98%
Trade id #124218040
Max drawdown($339)
Time10/2/19 0:00
Quant open350
Worst price13.31
Drawdown as % of equity-0.98%
$543
Includes Typical Broker Commissions trade costs of $10.00
8/29/19 15:38 MEOH METHANEX LONG 100 34.04 11/4 10:57 40.00 0.05%
Trade id #125149526
Max drawdown($15)
Time9/3/19 0:00
Quant open50
Worst price31.48
Drawdown as % of equity-0.05%
$594
Includes Typical Broker Commissions trade costs of $2.00

Statistics

  • Strategy began
    10/29/2018
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    520.3
  • Age
    17 months ago
  • What it trades
    Stocks
  • # Trades
    61
  • # Profitable
    37
  • % Profitable
    60.70%
  • Avg trade duration
    118.0 days
  • Max peak-to-valley drawdown
    69.46%
  • drawdown period
    Jan 15, 2020 - March 18, 2020
  • Annual Return (Compounded)
    -20.1%
  • Avg win
    $696.84
  • Avg loss
    $1,215
  • Model Account Values (Raw)
  • Cash
    $15,724
  • Margin Used
    $0
  • Buying Power
    $3,429
  • Ratios
  • W:L ratio
    0.98:1
  • Sharpe Ratio
    -0.27
  • Sortino Ratio
    -0.32
  • Calmar Ratio
    -0.222
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -21.04%
  • Correlation to SP500
    0.66910
  • Return Percent SP500 (cumu) during strategy life
    -6.46%
  • Return Statistics
  • Ann Return (w trading costs)
    -20.1%
  • Slump
  • Current Slump as Pcnt Equity
    1.65%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.15%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.201%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -14.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    10.50%
  • Chance of 20% account loss
    0.50%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    692
  • Popularity (Last 6 weeks)
    949
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    855
  • Popularity (7 days, Percentile 1000 scale)
    831
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Strat abandoned?
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $1,336
  • Avg Win
    $697
  • Sum Trade PL (losers)
    $32,054.000
  • AUM
  • AUM (AutoTrader num accounts)
    2
  • Age
  • Num Months filled monthly returns table
    19
  • Win / Loss
  • Sum Trade PL (winners)
    $25,783.000
  • # Winners
    37
  • Num Months Winners
    11
  • Dividends
  • Dividends Received in Model Acct
    1397
  • AUM
  • AUM (AutoTrader live capital)
    52809
  • Win / Loss
  • # Losers
    24
  • % Winners
    60.7%
  • Frequency
  • Avg Position Time (mins)
    169987.00
  • Avg Position Time (hrs)
    2833.12
  • Avg Trade Length
    118.0 days
  • Last Trade Ago
    15
  • Leverage
  • Daily leverage (average)
    1.43
  • Daily leverage (max)
    2.26
  • Regression
  • Alpha
    -0.03
  • Beta
    0.94
  • Treynor Index
    -0.04
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.03
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    14.84
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    3.21
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.16
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.06
  • Avg(MAE) / Avg(PL) - All trades
    -14.106
  • 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
    0.37
  • Avg(MAE) / Avg(PL) - Winning trades
    0.320
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.271
  • Hold-and-Hope Ratio
    -0.143
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.19432
  • SD
    0.40325
  • Sharpe ratio (Glass type estimate)
    0.48188
  • Sharpe ratio (Hedges UMVUE)
    0.45731
  • df
    15.00000
  • t
    0.55642
  • p
    0.40977
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.23194
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.17997
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.24794
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.16255
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.63542
  • Upside Potential Ratio
    1.89770
  • Upside part of mean
    0.58034
  • Downside part of mean
    -0.38602
  • Upside SD
    0.24915
  • Downside SD
    0.30581
  • N nonnegative terms
    11.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    16.00000
  • Mean of predictor
    0.05585
  • Mean of criterion
    0.19432
  • SD of predictor
    0.19201
  • SD of criterion
    0.40325
  • Covariance
    0.06270
  • r
    0.80970
  • b (slope, estimate of beta)
    1.70045
  • a (intercept, estimate of alpha)
    0.09935
  • Mean Square Error
    0.06000
  • DF error
    14.00000
  • t(b)
    5.16263
  • p(b)
    0.09515
  • t(a)
    0.46659
  • p(a)
    0.43813
  • Lowerbound of 95% confidence interval for beta
    0.99401
  • Upperbound of 95% confidence interval for beta
    2.40689
  • Lowerbound of 95% confidence interval for alpha
    -0.35733
  • Upperbound of 95% confidence interval for alpha
    0.55603
  • Treynor index (mean / b)
    0.11427
  • Jensen alpha (a)
    0.09935
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.10610
  • SD
    0.44743
  • Sharpe ratio (Glass type estimate)
    0.23713
  • Sharpe ratio (Hedges UMVUE)
    0.22504
  • df
    15.00000
  • t
    0.27381
  • p
    0.45514
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.46623
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.93271
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.47425
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.92432
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.29050
  • Upside Potential Ratio
    1.50681
  • Upside part of mean
    0.55032
  • Downside part of mean
    -0.44422
  • Upside SD
    0.23502
  • Downside SD
    0.36522
  • N nonnegative terms
    11.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    16.00000
  • Mean of predictor
    0.03758
  • Mean of criterion
    0.10610
  • SD of predictor
    0.19881
  • SD of criterion
    0.44743
  • Covariance
    0.07311
  • r
    0.82191
  • b (slope, estimate of beta)
    1.84979
  • a (intercept, estimate of alpha)
    0.03659
  • Mean Square Error
    0.06959
  • DF error
    14.00000
  • t(b)
    5.39898
  • p(b)
    0.08904
  • t(a)
    0.15990
  • p(a)
    0.47865
  • Lowerbound of 95% confidence interval for beta
    1.11495
  • Upperbound of 95% confidence interval for beta
    2.58463
  • Lowerbound of 95% confidence interval for alpha
    -0.45419
  • Upperbound of 95% confidence interval for alpha
    0.52737
  • Treynor index (mean / b)
    0.05736
  • Jensen alpha (a)
    0.03659
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.18422
  • Expected Shortfall on VaR
    0.22621
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.05137
  • Expected Shortfall on VaR
    0.12126
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    16.00000
  • Minimum
    0.66993
  • Quartile 1
    0.99482
  • Median
    1.02577
  • Quartile 3
    1.10214
  • Maximum
    1.14785
  • Mean of quarter 1
    0.87488
  • Mean of quarter 2
    1.00700
  • Mean of quarter 3
    1.06325
  • Mean of quarter 4
    1.12895
  • Inter Quartile Range
    0.10732
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.06250
  • Mean of outliers low
    0.66993
  • 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)
    -2.06666
  • VaR(95%) (moments method)
    0.05390
  • Expected Shortfall (moments method)
    0.05582
  • Extreme Value Index (regression method)
    0.59356
  • VaR(95%) (regression method)
    0.23019
  • Expected Shortfall (regression method)
    0.75757
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.01308
  • Quartile 1
    0.03696
  • Median
    0.06084
  • Quartile 3
    0.22859
  • Maximum
    0.39633
  • Mean of quarter 1
    0.01308
  • Mean of quarter 2
    0.06084
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.39633
  • Inter Quartile Range
    0.19162
  • 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)
    0.14672
  • Compounded annual return (geometric extrapolation)
    0.14340
  • Calmar ratio (compounded annual return / max draw down)
    0.36181
  • Compounded annual return / average of 25% largest draw downs
    0.36181
  • Compounded annual return / Expected Shortfall lognormal
    0.63391
  • 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
    -0.11995
  • SD
    0.34758
  • Sharpe ratio (Glass type estimate)
    -0.34511
  • Sharpe ratio (Hedges UMVUE)
    -0.34440
  • df
    365.00000
  • t
    -0.40790
  • p
    0.65821
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.00337
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.31357
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.00287
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.31406
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.40614
  • Upside Potential Ratio
    5.12234
  • Upside part of mean
    1.51289
  • Downside part of mean
    -1.63284
  • Upside SD
    0.18249
  • Downside SD
    0.29535
  • N nonnegative terms
    199.00000
  • N negative terms
    167.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    366.00000
  • Mean of predictor
    -0.03706
  • Mean of criterion
    -0.11995
  • SD of predictor
    0.27706
  • SD of criterion
    0.34758
  • Covariance
    0.06324
  • r
    0.65665
  • b (slope, estimate of beta)
    0.82377
  • a (intercept, estimate of alpha)
    -0.08900
  • Mean Square Error
    0.06891
  • DF error
    364.00000
  • t(b)
    16.61100
  • p(b)
    0.00000
  • t(a)
    -0.40263
  • p(a)
    0.65627
  • Lowerbound of 95% confidence interval for beta
    0.72625
  • Upperbound of 95% confidence interval for beta
    0.92130
  • Lowerbound of 95% confidence interval for alpha
    -0.52620
  • Upperbound of 95% confidence interval for alpha
    0.34735
  • Treynor index (mean / b)
    -0.14561
  • Jensen alpha (a)
    -0.08943
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.18333
  • SD
    0.36112
  • Sharpe ratio (Glass type estimate)
    -0.50766
  • Sharpe ratio (Hedges UMVUE)
    -0.50662
  • df
    365.00000
  • t
    -0.60002
  • p
    0.72557
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.16601
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.15137
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.16531
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.15207
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.58549
  • Upside Potential Ratio
    4.77929
  • Upside part of mean
    1.49647
  • Downside part of mean
    -1.67980
  • Upside SD
    0.17927
  • Downside SD
    0.31312
  • N nonnegative terms
    199.00000
  • N negative terms
    167.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    366.00000
  • Mean of predictor
    -0.07575
  • Mean of criterion
    -0.18333
  • SD of predictor
    0.27942
  • SD of criterion
    0.36112
  • Covariance
    0.06719
  • r
    0.66591
  • b (slope, estimate of beta)
    0.86063
  • a (intercept, estimate of alpha)
    -0.11814
  • Mean Square Error
    0.07278
  • DF error
    364.00000
  • t(b)
    17.02990
  • p(b)
    0.00000
  • t(a)
    -0.51749
  • p(a)
    0.69744
  • Lowerbound of 95% confidence interval for beta
    0.76125
  • Upperbound of 95% confidence interval for beta
    0.96001
  • Lowerbound of 95% confidence interval for alpha
    -0.56705
  • Upperbound of 95% confidence interval for alpha
    0.33078
  • Treynor index (mean / b)
    -0.21301
  • Jensen alpha (a)
    -0.11814
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03671
  • Expected Shortfall on VaR
    0.04561
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01309
  • Expected Shortfall on VaR
    0.02936
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    366.00000
  • Minimum
    0.83572
  • Quartile 1
    0.99435
  • Median
    1.00122
  • Quartile 3
    1.00814
  • Maximum
    1.08197
  • Mean of quarter 1
    0.97725
  • Mean of quarter 2
    0.99826
  • Mean of quarter 3
    1.00443
  • Mean of quarter 4
    1.01869
  • Inter Quartile Range
    0.01380
  • Number outliers low
    18.00000
  • Percentage of outliers low
    0.04918
  • Mean of outliers low
    0.93679
  • Number of outliers high
    9.00000
  • Percentage of outliers high
    0.02459
  • Mean of outliers high
    1.04619
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.63043
  • VaR(95%) (moments method)
    0.02175
  • Expected Shortfall (moments method)
    0.06488
  • Extreme Value Index (regression method)
    0.50896
  • VaR(95%) (regression method)
    0.01854
  • Expected Shortfall (regression method)
    0.04239
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    34.00000
  • Minimum
    0.00015
  • Quartile 1
    0.00468
  • Median
    0.00813
  • Quartile 3
    0.02262
  • Maximum
    0.64736
  • Mean of quarter 1
    0.00209
  • Mean of quarter 2
    0.00691
  • Mean of quarter 3
    0.01417
  • Mean of quarter 4
    0.12499
  • Inter Quartile Range
    0.01795
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.14706
  • Mean of outliers high
    0.19913
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.88557
  • VaR(95%) (moments method)
    0.11615
  • Expected Shortfall (moments method)
    1.07844
  • Extreme Value Index (regression method)
    1.44380
  • VaR(95%) (regression method)
    0.12674
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.13970
  • Compounded annual return (geometric extrapolation)
    -0.14394
  • Calmar ratio (compounded annual return / max draw down)
    -0.22235
  • Compounded annual return / average of 25% largest draw downs
    -1.15161
  • Compounded annual return / Expected Shortfall lognormal
    -3.15585
  • 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
    -1.03594
  • SD
    0.51987
  • Sharpe ratio (Glass type estimate)
    -1.99270
  • Sharpe ratio (Hedges UMVUE)
    -1.98118
  • df
    130.00000
  • t
    -1.40905
  • p
    0.56132
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.77132
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.79343
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.76343
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.80107
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.21315
  • Upside Potential Ratio
    4.00841
  • Upside part of mean
    1.87628
  • Downside part of mean
    -2.91222
  • Upside SD
    0.23064
  • Downside SD
    0.46809
  • N nonnegative terms
    71.00000
  • N negative terms
    60.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.31625
  • Mean of criterion
    -1.03594
  • SD of predictor
    0.40938
  • SD of criterion
    0.51987
  • Covariance
    0.14139
  • r
    0.66433
  • b (slope, estimate of beta)
    0.84362
  • a (intercept, estimate of alpha)
    -0.76915
  • Mean Square Error
    0.15216
  • DF error
    129.00000
  • t(b)
    10.09490
  • p(b)
    0.11066
  • t(a)
    -1.39268
  • p(a)
    0.57729
  • Lowerbound of 95% confidence interval for beta
    0.67828
  • Upperbound of 95% confidence interval for beta
    1.00897
  • Lowerbound of 95% confidence interval for alpha
    -1.86185
  • Upperbound of 95% confidence interval for alpha
    0.32355
  • Treynor index (mean / b)
    -1.22797
  • Jensen alpha (a)
    -0.76915
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -1.18085
  • SD
    0.54464
  • Sharpe ratio (Glass type estimate)
    -2.16812
  • Sharpe ratio (Hedges UMVUE)
    -2.15558
  • df
    130.00000
  • t
    -1.53309
  • p
    0.56663
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.94830
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.62019
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.93975
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.62858
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.36738
  • Upside Potential Ratio
    3.70944
  • Upside part of mean
    1.85026
  • Downside part of mean
    -3.03111
  • Upside SD
    0.22559
  • Downside SD
    0.49880
  • N nonnegative terms
    71.00000
  • N negative terms
    60.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.40072
  • Mean of criterion
    -1.18085
  • SD of predictor
    0.41362
  • SD of criterion
    0.54464
  • Covariance
    0.15197
  • r
    0.67461
  • b (slope, estimate of beta)
    0.88831
  • a (intercept, estimate of alpha)
    -0.82488
  • Mean Square Error
    0.16289
  • DF error
    129.00000
  • t(b)
    10.37990
  • p(b)
    0.10580
  • t(a)
    -1.44261
  • p(a)
    0.58000
  • VAR (95 Confidence Intrvl)
    0.03700
  • Lowerbound of 95% confidence interval for beta
    0.71898
  • Upperbound of 95% confidence interval for beta
    1.05763
  • Lowerbound of 95% confidence interval for alpha
    -1.95620
  • Upperbound of 95% confidence interval for alpha
    0.30643
  • Treynor index (mean / b)
    -1.32933
  • Jensen alpha (a)
    -0.82488
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05810
  • Expected Shortfall on VaR
    0.07118
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02363
  • Expected Shortfall on VaR
    0.05140
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.83572
  • Quartile 1
    0.99140
  • Median
    1.00128
  • Quartile 3
    1.01006
  • Maximum
    1.08197
  • Mean of quarter 1
    0.95903
  • Mean of quarter 2
    0.99716
  • Mean of quarter 3
    1.00542
  • Mean of quarter 4
    1.02328
  • Inter Quartile Range
    0.01865
  • Number outliers low
    10.00000
  • Percentage of outliers low
    0.07634
  • Mean of outliers low
    0.91161
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.03053
  • Mean of outliers high
    1.05712
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.50952
  • VaR(95%) (moments method)
    0.03512
  • Expected Shortfall (moments method)
    0.08435
  • Extreme Value Index (regression method)
    0.39036
  • VaR(95%) (regression method)
    0.03926
  • Expected Shortfall (regression method)
    0.08100
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    13.00000
  • Minimum
    0.00015
  • Quartile 1
    0.00465
  • Median
    0.00791
  • Quartile 3
    0.01276
  • Maximum
    0.64736
  • Mean of quarter 1
    0.00251
  • Mean of quarter 2
    0.00740
  • Mean of quarter 3
    0.01003
  • Mean of quarter 4
    0.24446
  • Inter Quartile Range
    0.00811
  • 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
    0.23077
  • Mean of outliers high
    0.24446
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    1.24592
  • VaR(95%) (moments method)
    0.13694
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    2.32516
  • VaR(95%) (regression method)
    0.25639
  • Last 4 Months - Pcnt Negative
    1.00%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -251354000
  • Max Equity Drawdown (num days)
    63
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.87624
  • Compounded annual return (geometric extrapolation)
    -0.68429
  • Calmar ratio (compounded annual return / max draw down)
    -1.05704
  • Compounded annual return / average of 25% largest draw downs
    -2.79922
  • Compounded annual return / Expected Shortfall lognormal
    -9.61414

Strategy Description

PLEASE NOTE THERE IS A MINIMUM INVESTMENT PERIOD OF 90 DAYS ASSOCIATED WITH THIS STRATEGY. ANY INVESTOR THAT UNSUBSCRIBES FROM STRATEGY IN LESS THAN 90 DAYS WILL BE UNSUBBED IF THEY ATTEMPT TO RE-ENTER STRATEGY. THIS IS NOT A TRADING STRATEGY.

The Strategy invests in International stocks with perceived low valuations, stable business, or emerging growth opportunities.

The Strategy utilizes investments across all major market sectors with a focus on companies which have a market capitalization greater than ~$1.5B, with the majority of holdings significantly above $10B.

Margin is not required to emulate the International Value Strategy, however, we recommend investors consider enabling margin. From time to time we may incorporate small amounts of leverage in the strategy. The strategy DOES NOT sell securities short.

Trading stops are utilized to limit downside in each position. On average the strategy's total downside risk is targeted at 15-20% of the value of the total holdings, with some positions above and some positions below this average level.

While no system can guarantee risk-free or low-risk trading, and while unforeseen events can cause you to lose money, we do make an effort to control risk.

Summary Statistics

Strategy began
2018-10-29
Suggested Minimum Capital
$15,000
Rank at C2 
#90
# Trades
61
# Profitable
37
% Profitable
60.7%
Net Dividends
Correlation S&P500
0.669
Sharpe Ratio
-0.27
Sortino Ratio
-0.32
Beta
0.94
Alpha
-0.03
Leverage
1.43 Average
2.26 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

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

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

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

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

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

Latest Activity

#PERSONNAME#
subscribed on started simulation #SUBSCRIBEDDATE#

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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Suggested Minimum Capital

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