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Bear Market Defence
(123765889)

Created by: Danny Danny
Started: 05/2019
Stocks
Last trade: Yesterday
Trading style: Equity Hedged Equity Trend-following

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 $25.00 per month.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

Trading Category: Equity
Hedged Equity
Category: Equity

Hedged Equity

Core holding of long equities hedged at all times with short sales of stocks and/or stock index options.
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.
14.5%
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.

(13.1%)
Max Drawdown
359
Num Trades
34.5%
Win Trades
1.5 : 1
Profit Factor
61.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019                            +2.5%+1.6%+3.8%+4.9%(4.4%)(0.2%)(4.5%)+2.0%+5.4%
2020+4.2%+2.5%+11.2%(4%)(4.3%)                                          +9.1%

Model Account Details

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

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

Trading Record

This strategy has placed 512 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
5/26/20 11:09 MRNA MODERNA INC. COMMON STOCK SHORT 57 62.42 5/27 9:34 50.70 0.04%
Trade id #129193051
Max drawdown($50)
Time5/26/20 11:22
Quant open57
Worst price63.30
Drawdown as % of equity-0.04%
$667
Includes Typical Broker Commissions trade costs of $1.14
4/16/20 9:36 ERJ EMBRAER SHORT 283 7.01 5/27 9:30 5.29 0.09%
Trade id #128595329
Max drawdown($107)
Time4/17/20 0:00
Quant open283
Worst price7.39
Drawdown as % of equity-0.09%
$481
Includes Typical Broker Commissions trade costs of $5.66
4/6/20 9:30 JDST DIREXION DAILY JR GOLD BEAR 2X SHORT 90 59.69 5/26 11:10 21.83 n/a $3,406
Includes Typical Broker Commissions trade costs of $1.80
5/12/20 10:05 LILA LIBERTY GLOBAL PLC LILAC CLASS A ORDINARY SHARES SHORT 319 9.53 5/26 11:10 10.02 0.14%
Trade id #128979799
Max drawdown($164)
Time5/26/20 11:08
Quant open319
Worst price10.05
Drawdown as % of equity-0.14%
($162)
Includes Typical Broker Commissions trade costs of $6.38
5/4/20 9:53 MRNA MODERNA INC. COMMON STOCK LONG 57 48.56 5/26 11:09 62.37 0.06%
Trade id #128854934
Max drawdown($75)
Time5/5/20 0:00
Quant open57
Worst price47.23
Drawdown as % of equity-0.06%
$786
Includes Typical Broker Commissions trade costs of $1.14
5/6/20 9:30 TSX.TGZ TERANGA GOLD CORP LONG 353 CAD 10.35 5/26 11:08 CAD 10.40 n/a $6
Includes Typical Broker Commissions trade costs of $7.32
5/12/20 10:01 CEF CENTRAL FUND OF CANADA LONG 822 15.64 5/26 11:08 16.18 0.08%
Trade id #128979664
Max drawdown($97)
Time5/12/20 14:50
Quant open822
Worst price15.52
Drawdown as % of equity-0.08%
$440
Includes Typical Broker Commissions trade costs of $5.00
5/11/20 11:02 WFC WELLS FARGO SHORT 136 24.67 5/26 11:01 25.76 0.13%
Trade id #128960707
Max drawdown($149)
Time5/26/20 11:01
Quant open136
Worst price25.77
Drawdown as % of equity-0.13%
($151)
Includes Typical Broker Commissions trade costs of $2.72
3/31/20 9:30 CORN TEUCRIUM CORN SHORT 854 13.12 5/26 11:01 12.05 n/a $905
Includes Typical Broker Commissions trade costs of $5.00
5/13/20 9:47 FNV FRANCO-NEVADA LONG 70 142.96 5/22 9:30 146.29 0.23%
Trade id #128999616
Max drawdown($273)
Time5/13/20 12:26
Quant open70
Worst price139.05
Drawdown as % of equity-0.23%
$232
Includes Typical Broker Commissions trade costs of $1.40
4/30/20 10:01 EOLS EVOLUS INC. COMMON STOCK SHORT 547 4.12 5/22 9:30 4.12 0.23%
Trade id #128804181
Max drawdown($272)
Time5/12/20 0:00
Quant open547
Worst price4.62
Drawdown as % of equity-0.23%
($4)
Includes Typical Broker Commissions trade costs of $5.00
4/20/20 10:49 NEM NEWMONT CORP LONG 72 59.12 5/21 10:13 63.08 0.09%
Trade id #128652152
Max drawdown($106)
Time4/21/20 0:00
Quant open72
Worst price57.64
Drawdown as % of equity-0.09%
$284
Includes Typical Broker Commissions trade costs of $1.44
4/20/20 10:44 DUST DIREXION DAILY GOLD MINERS BEAR 2X SHORT 78 44.00 5/21 10:06 27.78 n/a $1,263
Includes Typical Broker Commissions trade costs of $1.56
4/13/20 11:18 GLD SPDR GOLD SHARES LONG 71 160.66 5/21 10:01 162.66 0.21%
Trade id #128536178
Max drawdown($257)
Time4/21/20 0:00
Quant open71
Worst price157.04
Drawdown as % of equity-0.21%
$141
Includes Typical Broker Commissions trade costs of $1.42
4/6/20 9:30 NG NOVAGOLD RESOURCES LONG 129 8.90 5/21 10:01 11.26 0.03%
Trade id #128430451
Max drawdown($41)
Time4/6/20 10:29
Quant open129
Worst price8.58
Drawdown as % of equity-0.03%
$301
Includes Typical Broker Commissions trade costs of $2.58
4/3/20 9:30 GOLD BARRICK GOLD CORP LONG 76 19.83 5/21 9:30 26.87 0%
Trade id #128403501
Max drawdown($3)
Time4/3/20 15:30
Quant open76
Worst price19.78
Drawdown as % of equity-0.00%
$533
Includes Typical Broker Commissions trade costs of $1.52
5/6/20 10:03 JETS US GLOBAL JETS ETF SHORT 213 12.80 5/20 9:41 13.61 0.19%
Trade id #128889253
Max drawdown($223)
Time5/19/20 0:00
Quant open213
Worst price13.85
Drawdown as % of equity-0.19%
($176)
Includes Typical Broker Commissions trade costs of $4.26
5/13/20 9:43 TPOR DIREXION DAILY TRANSPORTATION BULL 3X SHORT 271 7.24 5/20 9:41 8.78 0.37%
Trade id #128999517
Max drawdown($429)
Time5/20/20 9:41
Quant open271
Worst price8.83
Drawdown as % of equity-0.37%
($421)
Includes Typical Broker Commissions trade costs of $5.42
5/6/20 10:02 ECOL US ECOLOGY SHORT 118 30.92 5/20 9:30 32.25 0.23%
Trade id #128889234
Max drawdown($274)
Time5/8/20 0:00
Quant open118
Worst price33.24
Drawdown as % of equity-0.23%
($159)
Includes Typical Broker Commissions trade costs of $2.36
5/6/20 9:58 BRZU DIREXION DAILY BRAZIL BULL 2X SHORT 102 47.45 5/19 9:30 51.52 0.37%
Trade id #128889147
Max drawdown($449)
Time5/18/20 0:00
Quant open102
Worst price51.86
Drawdown as % of equity-0.37%
($417)
Includes Typical Broker Commissions trade costs of $2.04
4/29/20 10:09 KGC KINROSS GOLD LONG 525 6.89 5/19 9:30 7.24 0.23%
Trade id #128787324
Max drawdown($275)
Time5/1/20 0:00
Quant open525
Worst price6.37
Drawdown as % of equity-0.23%
$176
Includes Typical Broker Commissions trade costs of $5.00
5/14/20 9:30 AIG AMERICAN INTERNATIONAL SHORT 122 24.36 5/19 9:30 28.18 0.46%
Trade id #129018589
Max drawdown($562)
Time5/18/20 0:00
Quant open122
Worst price28.97
Drawdown as % of equity-0.46%
($468)
Includes Typical Broker Commissions trade costs of $2.44
5/4/20 9:43 DFEN DIREXION DAILY AEROSPACE & DEFENSE BULL 3X SHORT 134 9.63 5/19 9:30 10.40 0.13%
Trade id #128854604
Max drawdown($159)
Time5/8/20 0:00
Quant open134
Worst price10.82
Drawdown as % of equity-0.13%
($106)
Includes Typical Broker Commissions trade costs of $2.68
5/13/20 9:51 CMCM CHEETAH MOBILE INC SHORT 2,227 1.93 5/19 9:30 2.16 0.47%
Trade id #128999733
Max drawdown($576)
Time5/18/20 0:00
Quant open2,227
Worst price2.19
Drawdown as % of equity-0.47%
($515)
Includes Typical Broker Commissions trade costs of $5.00
5/6/20 10:13 RUSL DIREXION DAILY RUSSIA BULL 2X SHORT 166 12.80 5/19 9:30 14.34 0.22%
Trade id #128889451
Max drawdown($265)
Time5/18/20 0:00
Quant open166
Worst price14.40
Drawdown as % of equity-0.22%
($259)
Includes Typical Broker Commissions trade costs of $3.32
4/22/20 9:30 VGIT VANGUARD INTERM-TM TREASURY ETF LONG 404 70.53 5/19 9:30 70.32 0.12%
Trade id #128688274
Max drawdown($141)
Time5/6/20 0:00
Quant open404
Worst price70.18
Drawdown as % of equity-0.12%
($93)
Includes Typical Broker Commissions trade costs of $8.08
5/14/20 9:47 NMRK NEWMARK GROUP INC SHORT 463 3.27 5/19 9:30 3.80 0.25%
Trade id #129019407
Max drawdown($308)
Time5/18/20 0:00
Quant open463
Worst price3.94
Drawdown as % of equity-0.25%
($253)
Includes Typical Broker Commissions trade costs of $9.26
5/12/20 10:04 CAR AVIS BUDGET GROUP SHORT 118 13.03 5/19 9:30 14.83 0.18%
Trade id #128979770
Max drawdown($214)
Time5/18/20 0:00
Quant open118
Worst price14.85
Drawdown as % of equity-0.18%
($214)
Includes Typical Broker Commissions trade costs of $2.36
4/30/20 11:01 EGO ELDORADO GOLD LONG 359 9.67 5/19 9:30 9.19 0.37%
Trade id #128805847
Max drawdown($433)
Time5/13/20 0:00
Quant open359
Worst price8.46
Drawdown as % of equity-0.37%
($179)
Includes Typical Broker Commissions trade costs of $7.18
5/4/20 10:29 AUY YAMANA GOLD LONG 787 4.89 5/19 9:30 5.11 0.1%
Trade id #128855928
Max drawdown($114)
Time5/5/20 0:00
Quant open787
Worst price4.75
Drawdown as % of equity-0.10%
$164
Includes Typical Broker Commissions trade costs of $5.00

Statistics

  • Strategy began
    5/22/2019
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    374.1
  • Age
    12 months ago
  • What it trades
    Stocks
  • # Trades
    359
  • # Profitable
    124
  • % Profitable
    34.50%
  • Avg trade duration
    19.4 days
  • Max peak-to-valley drawdown
    13.07%
  • drawdown period
    April 28, 2020 - May 26, 2020
  • Annual Return (Compounded)
    14.5%
  • Avg win
    $461.93
  • Avg loss
    $192.49
  • Model Account Values (Raw)
  • Cash
    $145,361
  • Margin Used
    $82,854
  • Buying Power
    $75,694
  • Ratios
  • W:L ratio
    1.50:1
  • Sharpe Ratio
    0.72
  • Sortino Ratio
    1.27
  • Calmar Ratio
    1.592
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    8.45%
  • Correlation to SP500
    -0.14830
  • Return Percent SP500 (cumu) during strategy life
    6.58%
  • Return Statistics
  • Ann Return (w trading costs)
    14.5%
  • Slump
  • Current Slump as Pcnt Equity
    0.10%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.08%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.145%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    16.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    1.50%
  • Chance of 20% account loss
    n/a
  • 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)
    395
  • Popularity (Last 6 weeks)
    912
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    166
  • Popularity (7 days, Percentile 1000 scale)
    758
  • 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
    $192
  • Avg Win
    $462
  • Sum Trade PL (losers)
    $45,236.000
  • AUM
  • AUM (AutoTrader num accounts)
    1
  • Age
  • Num Months filled monthly returns table
    13
  • Win / Loss
  • Sum Trade PL (winners)
    $57,279.000
  • # Winners
    124
  • Num Months Winners
    8
  • Dividends
  • Dividends Received in Model Acct
    4747
  • AUM
  • AUM (AutoTrader live capital)
    115385
  • Win / Loss
  • # Losers
    235
  • % Winners
    34.5%
  • Frequency
  • Avg Position Time (mins)
    27870.60
  • Avg Position Time (hrs)
    464.51
  • Avg Trade Length
    19.4 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    2.20
  • Daily leverage (max)
    6.98
  • Regression
  • Alpha
    0.04
  • Beta
    -0.07
  • Treynor Index
    -0.52
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    27.16
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    4.91
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.16
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    13.791
  • 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
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.188
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.242
  • Hold-and-Hope Ratio
    -0.112
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.20817
  • SD
    0.16178
  • Sharpe ratio (Glass type estimate)
    1.28680
  • Sharpe ratio (Hedges UMVUE)
    1.18739
  • df
    10.00000
  • t
    1.23202
  • p
    0.12306
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.86409
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.37876
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.92483
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.29961
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.59641
  • Upside Potential Ratio
    4.38694
  • Upside part of mean
    0.35174
  • Downside part of mean
    -0.14356
  • Upside SD
    0.14483
  • Downside SD
    0.08018
  • N nonnegative terms
    7.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    11.00000
  • Mean of predictor
    0.01700
  • Mean of criterion
    0.20817
  • SD of predictor
    0.22576
  • SD of criterion
    0.16178
  • Covariance
    -0.02618
  • r
    -0.71695
  • b (slope, estimate of beta)
    -0.51376
  • a (intercept, estimate of alpha)
    0.21691
  • Mean Square Error
    0.01413
  • DF error
    9.00000
  • t(b)
    -3.08529
  • p(b)
    0.99349
  • t(a)
    1.74646
  • p(a)
    0.05734
  • Lowerbound of 95% confidence interval for beta
    -0.89045
  • Upperbound of 95% confidence interval for beta
    -0.13707
  • Lowerbound of 95% confidence interval for alpha
    -0.06405
  • Upperbound of 95% confidence interval for alpha
    0.49786
  • Treynor index (mean / b)
    -0.40520
  • Jensen alpha (a)
    0.21691
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.19442
  • SD
    0.15923
  • Sharpe ratio (Glass type estimate)
    1.22095
  • Sharpe ratio (Hedges UMVUE)
    1.12663
  • df
    10.00000
  • t
    1.16897
  • p
    0.13476
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.92133
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.30689
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.97919
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.23245
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.36978
  • Upside Potential Ratio
    4.15592
  • Upside part of mean
    0.34095
  • Downside part of mean
    -0.14654
  • Upside SD
    0.13953
  • Downside SD
    0.08204
  • N nonnegative terms
    7.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    11.00000
  • Mean of predictor
    -0.00667
  • Mean of criterion
    0.19442
  • SD of predictor
    0.22948
  • SD of criterion
    0.15923
  • Covariance
    -0.02596
  • r
    -0.71033
  • b (slope, estimate of beta)
    -0.49289
  • a (intercept, estimate of alpha)
    0.19113
  • Mean Square Error
    0.01396
  • DF error
    9.00000
  • t(b)
    -3.02753
  • p(b)
    0.99285
  • t(a)
    1.54887
  • p(a)
    0.07791
  • Lowerbound of 95% confidence interval for beta
    -0.86118
  • Upperbound of 95% confidence interval for beta
    -0.12460
  • Lowerbound of 95% confidence interval for alpha
    -0.08802
  • Upperbound of 95% confidence interval for alpha
    0.47029
  • Treynor index (mean / b)
    -0.39444
  • Jensen alpha (a)
    0.19113
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05768
  • Expected Shortfall on VaR
    0.07547
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02257
  • Expected Shortfall on VaR
    0.04504
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    11.00000
  • Minimum
    0.94588
  • Quartile 1
    0.98800
  • Median
    1.03581
  • Quartile 3
    1.04340
  • Maximum
    1.10119
  • Mean of quarter 1
    0.96051
  • Mean of quarter 2
    1.01579
  • Mean of quarter 3
    1.03879
  • Mean of quarter 4
    1.06998
  • Inter Quartile Range
    0.05540
  • 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)
    -36.47260
  • VaR(95%) (moments method)
    0.03854
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -2.26825
  • VaR(95%) (regression method)
    0.07184
  • Expected Shortfall (regression method)
    0.07279
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.02020
  • Quartile 1
    0.03998
  • Median
    0.05976
  • Quartile 3
    0.07955
  • Maximum
    0.09933
  • Mean of quarter 1
    0.02020
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.09933
  • Inter Quartile Range
    0.03957
  • 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)
    0.24660
  • Compounded annual return (geometric extrapolation)
    0.24898
  • Calmar ratio (compounded annual return / max draw down)
    2.50649
  • Compounded annual return / average of 25% largest draw downs
    2.50649
  • Compounded annual return / Expected Shortfall lognormal
    3.29898
  • 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
    0.13608
  • SD
    0.14308
  • Sharpe ratio (Glass type estimate)
    0.95111
  • Sharpe ratio (Hedges UMVUE)
    0.94836
  • df
    260.00000
  • t
    0.94929
  • p
    0.17168
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.01522
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.91562
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.01704
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.91377
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.70768
  • Upside Potential Ratio
    9.33336
  • Upside part of mean
    0.74377
  • Downside part of mean
    -0.60768
  • Upside SD
    0.11880
  • Downside SD
    0.07969
  • N nonnegative terms
    140.00000
  • N negative terms
    121.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    261.00000
  • Mean of predictor
    0.09014
  • Mean of criterion
    0.13608
  • SD of predictor
    0.32792
  • SD of criterion
    0.14308
  • Covariance
    -0.00707
  • r
    -0.15069
  • b (slope, estimate of beta)
    -0.06575
  • a (intercept, estimate of alpha)
    0.14200
  • Mean Square Error
    0.02008
  • DF error
    259.00000
  • t(b)
    -2.45311
  • p(b)
    0.99259
  • t(a)
    1.00000
  • p(a)
    0.15912
  • Lowerbound of 95% confidence interval for beta
    -0.11853
  • Upperbound of 95% confidence interval for beta
    -0.01297
  • Lowerbound of 95% confidence interval for alpha
    -0.13763
  • Upperbound of 95% confidence interval for alpha
    0.42165
  • Treynor index (mean / b)
    -2.06977
  • Jensen alpha (a)
    0.14201
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.12608
  • SD
    0.14062
  • Sharpe ratio (Glass type estimate)
    0.89657
  • Sharpe ratio (Hedges UMVUE)
    0.89399
  • df
    260.00000
  • t
    0.89486
  • p
    0.18584
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.06950
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.86095
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.07123
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.85920
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.56961
  • Upside Potential Ratio
    9.17424
  • Upside part of mean
    0.73691
  • Downside part of mean
    -0.61083
  • Upside SD
    0.11536
  • Downside SD
    0.08032
  • N nonnegative terms
    140.00000
  • N negative terms
    121.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    261.00000
  • Mean of predictor
    0.03610
  • Mean of criterion
    0.12608
  • SD of predictor
    0.33022
  • SD of criterion
    0.14062
  • Covariance
    -0.00720
  • r
    -0.15507
  • b (slope, estimate of beta)
    -0.06604
  • a (intercept, estimate of alpha)
    0.12846
  • Mean Square Error
    0.01937
  • DF error
    259.00000
  • t(b)
    -2.52617
  • p(b)
    0.99394
  • t(a)
    0.92115
  • p(a)
    0.17892
  • Lowerbound of 95% confidence interval for beta
    -0.11751
  • Upperbound of 95% confidence interval for beta
    -0.01456
  • Lowerbound of 95% confidence interval for alpha
    -0.14615
  • Upperbound of 95% confidence interval for alpha
    0.40307
  • Treynor index (mean / b)
    -1.90923
  • Jensen alpha (a)
    0.12846
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01371
  • Expected Shortfall on VaR
    0.01728
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00507
  • Expected Shortfall on VaR
    0.01021
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    261.00000
  • Minimum
    0.96928
  • Quartile 1
    0.99716
  • Median
    1.00047
  • Quartile 3
    1.00390
  • Maximum
    1.09290
  • Mean of quarter 1
    0.99197
  • Mean of quarter 2
    0.99908
  • Mean of quarter 3
    1.00223
  • Mean of quarter 4
    1.00935
  • Inter Quartile Range
    0.00674
  • Number outliers low
    7.00000
  • Percentage of outliers low
    0.02682
  • Mean of outliers low
    0.97969
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.02682
  • Mean of outliers high
    1.02808
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.09812
  • VaR(95%) (moments method)
    0.00722
  • Expected Shortfall (moments method)
    0.01048
  • Extreme Value Index (regression method)
    0.17929
  • VaR(95%) (regression method)
    0.00689
  • Expected Shortfall (regression method)
    0.01039
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    12.00000
  • Minimum
    0.00152
  • Quartile 1
    0.00671
  • Median
    0.01050
  • Quartile 3
    0.02477
  • Maximum
    0.10459
  • Mean of quarter 1
    0.00331
  • Mean of quarter 2
    0.00745
  • Mean of quarter 3
    0.01749
  • Mean of quarter 4
    0.07624
  • Inter Quartile Range
    0.01807
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.16667
  • Mean of outliers high
    0.09743
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -100.91700
  • VaR(95%) (moments method)
    0.06992
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -2.97782
  • VaR(95%) (regression method)
    0.15923
  • Expected Shortfall (regression method)
    0.16023
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.16642
  • Compounded annual return (geometric extrapolation)
    0.16647
  • Calmar ratio (compounded annual return / max draw down)
    1.59170
  • Compounded annual return / average of 25% largest draw downs
    2.18342
  • Compounded annual return / Expected Shortfall lognormal
    9.63242
  • 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
    0.21335
  • SD
    0.17179
  • Sharpe ratio (Glass type estimate)
    1.24194
  • Sharpe ratio (Hedges UMVUE)
    1.23476
  • df
    130.00000
  • t
    0.87818
  • p
    0.46160
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.53627
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.01556
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.54110
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.01063
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.54093
  • Upside Potential Ratio
    9.79154
  • Upside part of mean
    0.82217
  • Downside part of mean
    -0.60882
  • Upside SD
    0.14970
  • Downside SD
    0.08397
  • N nonnegative terms
    74.00000
  • N negative terms
    57.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.01308
  • Mean of criterion
    0.21335
  • SD of predictor
    0.44430
  • SD of criterion
    0.17179
  • Covariance
    -0.00682
  • r
    -0.08936
  • b (slope, estimate of beta)
    -0.03455
  • a (intercept, estimate of alpha)
    0.21381
  • Mean Square Error
    0.02950
  • DF error
    129.00000
  • t(b)
    -1.01905
  • p(b)
    0.55681
  • t(a)
    0.88017
  • p(a)
    0.45086
  • Lowerbound of 95% confidence interval for beta
    -0.10164
  • Upperbound of 95% confidence interval for beta
    0.03253
  • Lowerbound of 95% confidence interval for alpha
    -0.26681
  • Upperbound of 95% confidence interval for alpha
    0.69442
  • Treynor index (mean / b)
    -6.17474
  • Jensen alpha (a)
    0.21381
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.19908
  • SD
    0.16765
  • Sharpe ratio (Glass type estimate)
    1.18752
  • Sharpe ratio (Hedges UMVUE)
    1.18066
  • df
    130.00000
  • t
    0.83971
  • p
    0.46328
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.59021
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.96091
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.59486
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.95618
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.35052
  • Upside Potential Ratio
    9.57997
  • Upside part of mean
    0.81140
  • Downside part of mean
    -0.61232
  • Upside SD
    0.14446
  • Downside SD
    0.08470
  • N nonnegative terms
    74.00000
  • N negative terms
    57.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.08575
  • Mean of criterion
    0.19908
  • SD of predictor
    0.44749
  • SD of criterion
    0.16765
  • Covariance
    -0.00704
  • r
    -0.09389
  • b (slope, estimate of beta)
    -0.03518
  • a (intercept, estimate of alpha)
    0.19607
  • Mean Square Error
    0.02807
  • DF error
    129.00000
  • t(b)
    -1.07114
  • p(b)
    0.55969
  • t(a)
    0.82739
  • p(a)
    0.45379
  • VAR (95 Confidence Intrvl)
    0.01400
  • Lowerbound of 95% confidence interval for beta
    -0.10015
  • Upperbound of 95% confidence interval for beta
    0.02980
  • Lowerbound of 95% confidence interval for alpha
    -0.27278
  • Upperbound of 95% confidence interval for alpha
    0.66492
  • Treynor index (mean / b)
    -5.65978
  • Jensen alpha (a)
    0.19607
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01614
  • Expected Shortfall on VaR
    0.02039
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00485
  • Expected Shortfall on VaR
    0.01007
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96928
  • Quartile 1
    0.99731
  • Median
    1.00090
  • Quartile 3
    1.00398
  • Maximum
    1.09290
  • Mean of quarter 1
    0.99160
  • Mean of quarter 2
    0.99950
  • Mean of quarter 3
    1.00238
  • Mean of quarter 4
    1.01025
  • Inter Quartile Range
    0.00668
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.03053
  • Mean of outliers low
    0.97924
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.02290
  • Mean of outliers high
    1.04517
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.09692
  • VaR(95%) (moments method)
    0.00722
  • Expected Shortfall (moments method)
    0.01062
  • Extreme Value Index (regression method)
    0.19244
  • VaR(95%) (regression method)
    0.00730
  • Expected Shortfall (regression method)
    0.01142
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.00001
  • Quartile 1
    0.00264
  • Median
    0.00679
  • Quartile 3
    0.01374
  • Maximum
    0.09027
  • Mean of quarter 1
    0.00075
  • Mean of quarter 2
    0.00622
  • Mean of quarter 3
    0.00743
  • Mean of quarter 4
    0.04258
  • Inter Quartile Range
    0.01110
  • 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
    0.10000
  • Mean of outliers high
    0.09027
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.47781
  • VaR(95%) (moments method)
    0.04776
  • Expected Shortfall (moments method)
    0.10825
  • Extreme Value Index (regression method)
    2.51255
  • VaR(95%) (regression method)
    0.13650
  • Last 4 Months - Pcnt Negative
    0.50%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -295052000
  • Max Equity Drawdown (num days)
    28
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.24037
  • Compounded annual return (geometric extrapolation)
    0.25482
  • Calmar ratio (compounded annual return / max draw down)
    2.82285
  • Compounded annual return / average of 25% largest draw downs
    5.98403
  • Compounded annual return / Expected Shortfall lognormal
    12.49960

Strategy Description

The system will short sell individual stocks that are in established downtrends and buy non-correlated assets, such as bonds or gold, that are in established uptrends.

The objective of the system is to hedge a long only portfolio. If the system is successful in meeting its objectives, it will perform well in bear markets and provide mediocre performance in bull markets.

Position sizing and risk management are based on my other system, "The Momentum of Now", which has a track record on Collective2 going back to the year 2012.

Summary Statistics

Strategy began
2019-05-22
Suggested Minimum Capital
$35,000
# Trades
359
# Profitable
124
% Profitable
34.5%
Net Dividends
Correlation S&P500
-0.148
Sharpe Ratio
0.72
Sortino Ratio
1.27
Beta
-0.07
Alpha
0.04
Leverage
2.20 Average
6.98 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

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

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

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

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

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

Latest Activity

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subscribed on started simulation #SUBSCRIBEDDATE#

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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Suggested Minimum Capital

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