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Sunbrick US Equity Value
(125082757)

Created by: YieldPilot YieldPilot
Started: 08/2019
Stocks
Last trade: 82 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 $125.00 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."
32.0%
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.

(42.7%)
Max Drawdown
57
Num Trades
73.7%
Win Trades
6.2 : 1
Profit Factor
79.2%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019                                                 +0.9%+3.3%+1.8%+2.1%+3.8%+12.3%
2020+1.4%(8.1%)(20.9%)+14.2%+8.2%(1%)+1.5%+9.0%(0.9%)(6.4%)+7.6%+7.1%+6.7%
2021+23.3%+1.1%+5.5%+4.7%+1.5%+1.1%+0.7%                              +42.2%

Model Account Details

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

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

System developer has asked us to delay this information by 168 hours.

Trading Record

This strategy has placed 2 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 537 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
2/1/21 10:19 GD GENERAL DYNAMICS LONG 10 147.52 5/3 15:03 192.10 0.01%
Trade id #133754305
Max drawdown($7)
Time2/1/21 10:38
Quant open10
Worst price146.77
Drawdown as % of equity-0.01%
$446
Includes Typical Broker Commissions trade costs of $0.20
2/1/21 10:16 HUM HUMANA LONG 4 383.02 5/3 15:02 450.67 0.07%
Trade id #133754186
Max drawdown($51)
Time2/16/21 0:00
Quant open4
Worst price370.22
Drawdown as % of equity-0.07%
$271
Includes Typical Broker Commissions trade costs of $0.08
8/27/20 12:49 NVR NVR LONG 2 4200.54 5/3/21 15:01 5125.00 1.4%
Trade id #130823200
Max drawdown($754)
Time9/24/20 0:00
Quant open2
Worst price3823.31
Drawdown as % of equity-1.40%
$1,849
Includes Typical Broker Commissions trade costs of $0.04
8/27/20 12:44 HRL HORMEL FOODS LONG 33 48.80 5/3/21 14:59 47.05 0.19%
Trade id #130823036
Max drawdown($123)
Time1/14/21 0:00
Quant open15
Worst price43.45
Drawdown as % of equity-0.19%
($59)
Includes Typical Broker Commissions trade costs of $0.66
8/27/20 12:44 FLT FLEETCOR TECHNOLOGIES LONG 6 245.36 5/3/21 14:59 293.57 0.17%
Trade id #130823016
Max drawdown($86)
Time10/29/20 0:00
Quant open3
Worst price214.88
Drawdown as % of equity-0.17%
$289
Includes Typical Broker Commissions trade costs of $0.12
8/27/20 12:42 CTXS CITRIX SYSTEMS LONG 11 136.05 5/3/21 14:58 123.51 0.2%
Trade id #130822984
Max drawdown($161)
Time5/3/21 9:55
Quant open11
Worst price121.39
Drawdown as % of equity-0.20%
($138)
Includes Typical Broker Commissions trade costs of $0.22
8/26/19 9:31 PSA PUBLIC STORAGE LONG 56 248.00 5/3/21 14:55 265.08 12.05%
Trade id #125084585
Max drawdown($4,362)
Time3/23/20 0:00
Quant open43
Worst price155.37
Drawdown as % of equity-12.05%
$956
Includes Typical Broker Commissions trade costs of $1.12
8/26/19 9:31 HII HUNTINGTON INGALLS LONG 12 186.38 5/3/21 14:55 214.16 0.98%
Trade id #125084570
Max drawdown($354)
Time3/23/20 0:00
Quant open6
Worst price147.14
Drawdown as % of equity-0.98%
$333
Includes Typical Broker Commissions trade costs of $0.24
2/1/21 10:15 AAPL APPLE LONG 12 132.50 5/3 14:54 132.86 0.26%
Trade id #133754162
Max drawdown($195)
Time3/8/21 0:00
Quant open12
Worst price116.21
Drawdown as % of equity-0.26%
$4
Includes Typical Broker Commissions trade costs of $0.24
11/1/19 11:05 ULTA ULTA BEAUTY INC LONG 38 235.31 2/1/21 10:01 234.51 10.32%
Trade id #126039502
Max drawdown($4,005)
Time3/18/20 0:00
Quant open36
Worst price124.05
Drawdown as % of equity-10.32%
($31)
Includes Typical Broker Commissions trade costs of $0.76
6/1/20 9:31 SNA SNAP-ON LONG 9 129.97 2/1/21 10:00 167.41 0.03%
Trade id #129286276
Max drawdown($16)
Time6/25/20 0:00
Quant open9
Worst price128.10
Drawdown as % of equity-0.03%
$337
Includes Typical Broker Commissions trade costs of $0.18
8/27/20 12:48 OMC OMNICOM GROUP LONG 14 55.26 2/1/21 10:00 61.80 0.29%
Trade id #130823148
Max drawdown($150)
Time10/29/20 0:00
Quant open14
Worst price44.50
Drawdown as % of equity-0.29%
$92
Includes Typical Broker Commissions trade costs of $0.28
8/27/20 12:47 NTAP NETAPP LONG 16 43.99 2/1/21 10:00 67.08 0.1%
Trade id #130823131
Max drawdown($56)
Time9/24/20 0:00
Quant open16
Worst price40.46
Drawdown as % of equity-0.10%
$369
Includes Typical Broker Commissions trade costs of $0.32
8/27/20 12:45 LLY ELI LILLY LONG 5 149.49 2/1/21 10:00 208.00 0.19%
Trade id #130823060
Max drawdown($101)
Time10/30/20 0:00
Quant open5
Worst price129.21
Drawdown as % of equity-0.19%
$293
Includes Typical Broker Commissions trade costs of $0.10
8/27/20 12:45 KO COCA-COLA LONG 16 48.28 2/1/21 10:00 48.32 0.03%
Trade id #130823052
Max drawdown($15)
Time10/29/20 0:00
Quant open16
Worst price47.30
Drawdown as % of equity-0.03%
$1
Includes Typical Broker Commissions trade costs of $0.32
8/26/19 9:31 FFIV F5 NETWORKS LONG 14 125.06 2/1/21 9:59 165.50 1.4%
Trade id #125084575
Max drawdown($543)
Time3/18/20 0:00
Quant open12
Worst price79.78
Drawdown as % of equity-1.40%
$566
Includes Typical Broker Commissions trade costs of $0.28
8/27/20 12:43 EBAY EBAY LONG 13 56.67 2/1/21 9:59 57.54 0.27%
Trade id #130823011
Max drawdown($147)
Time11/10/20 0:00
Quant open13
Worst price45.36
Drawdown as % of equity-0.27%
$11
Includes Typical Broker Commissions trade costs of $0.26
8/27/20 12:43 DG DOLLAR GENERAL LONG 4 201.51 2/1/21 9:59 192.50 0.08%
Trade id #130822995
Max drawdown($43)
Time9/8/20 0:00
Quant open4
Worst price190.76
Drawdown as % of equity-0.08%
($36)
Includes Typical Broker Commissions trade costs of $0.08
6/1/20 9:31 CTSH COGNIZANT TECH SOLUTION LONG 21 53.00 2/1/21 9:59 73.54 0.02%
Trade id #129286274
Max drawdown($10)
Time6/1/20 11:52
Quant open21
Worst price52.48
Drawdown as % of equity-0.02%
$431
Includes Typical Broker Commissions trade costs of $0.42
8/27/20 12:39 CHD CHURCH & DWIGHT COMPANY LONG 8 96.49 2/1/21 9:58 83.59 0.21%
Trade id #130822885
Max drawdown($111)
Time10/29/20 0:00
Quant open8
Worst price82.52
Drawdown as % of equity-0.21%
($103)
Includes Typical Broker Commissions trade costs of $0.16
8/26/19 9:31 LYB LYONDELLBASELL INDUSTRIES LONG 24 71.66 8/27/20 9:30 74.33 1.64%
Trade id #125084577
Max drawdown($721)
Time3/16/20 0:00
Quant open19
Worst price33.71
Drawdown as % of equity-1.64%
$64
Includes Typical Broker Commissions trade costs of $0.48
8/26/19 9:31 FL FOOT LOCKER LONG 51 34.08 8/27/20 9:30 32.28 1.79%
Trade id #125084582
Max drawdown($646)
Time3/23/20 0:00
Quant open38
Worst price17.46
Drawdown as % of equity-1.79%
($93)
Includes Typical Broker Commissions trade costs of $1.02
8/26/19 9:31 CPRI CAPRI HOLDINGS LTD LONG 83 23.23 8/27/20 9:30 17.64 2.69%
Trade id #125084563
Max drawdown($1,043)
Time3/18/20 0:00
Quant open48
Worst price5.42
Drawdown as % of equity-2.69%
($466)
Includes Typical Broker Commissions trade costs of $1.66
2/3/20 9:30 BWA BORGWARNER LONG 42 34.62 8/27 9:30 40.30 1.91%
Trade id #127333716
Max drawdown($740)
Time3/18/20 0:00
Quant open42
Worst price17.00
Drawdown as % of equity-1.91%
$237
Includes Typical Broker Commissions trade costs of $0.84
8/26/19 9:31 AVGO BROADCOM LIMITED ORDINARY SHARES LONG 5 276.95 8/27/20 9:30 340.49 1.56%
Trade id #125084593
Max drawdown($606)
Time3/18/20 0:00
Quant open5
Worst price155.67
Drawdown as % of equity-1.56%
$318
Includes Typical Broker Commissions trade costs of $0.10
8/26/19 9:31 SWKS SKYWORKS SOLUTIONS LONG 19 74.39 8/27/20 9:30 126.44 0.19%
Trade id #125084561
Max drawdown($84)
Time3/16/20 0:00
Quant open13
Worst price67.90
Drawdown as % of equity-0.19%
$989
Includes Typical Broker Commissions trade costs of $0.38
8/26/19 9:31 BIDU BAIDU LONG 13 102.80 8/27/20 9:30 127.45 0.64%
Trade id #125084600
Max drawdown($249)
Time3/18/20 0:00
Quant open12
Worst price82.00
Drawdown as % of equity-0.64%
$320
Includes Typical Broker Commissions trade costs of $0.26
2/3/20 9:30 PSX PHILLIPS 66 LONG 16 91.29 8/27 9:30 62.41 2.11%
Trade id #127333739
Max drawdown($820)
Time3/18/20 0:00
Quant open16
Worst price40.04
Drawdown as % of equity-2.11%
($462)
Includes Typical Broker Commissions trade costs of $0.32
8/26/19 9:31 CCL CARNIVAL LONG 72 28.65 8/27/20 9:30 15.67 2.98%
Trade id #125084611
Max drawdown($1,182)
Time4/2/20 0:00
Quant open33
Worst price7.80
Drawdown as % of equity-2.98%
($936)
Includes Typical Broker Commissions trade costs of $1.44
6/1/20 9:31 LUV SOUTHWEST AIRLINES LONG 215 32.30 8/27 9:30 37.54 0.86%
Trade id #129286283
Max drawdown($442)
Time7/31/20 0:00
Quant open215
Worst price30.24
Drawdown as % of equity-0.86%
$1,123
Includes Typical Broker Commissions trade costs of $4.30

Statistics

  • Strategy began
    8/26/2019
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    698.47
  • Age
    23 months ago
  • What it trades
    Stocks
  • # Trades
    57
  • # Profitable
    42
  • % Profitable
    73.70%
  • Avg trade duration
    257.2 days
  • Max peak-to-valley drawdown
    42.74%
  • drawdown period
    Feb 12, 2020 - March 23, 2020
  • Annual Return (Compounded)
    32.0%
  • Avg win
    $503.88
  • Avg loss
    $271.40
  • Model Account Values (Raw)
  • Cash
    $31,992
  • Margin Used
    $0
  • Buying Power
    $59,073
  • Ratios
  • W:L ratio
    6.21:1
  • Sharpe Ratio
    0.97
  • Sortino Ratio
    1.44
  • Calmar Ratio
    0.879
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    17.28%
  • Correlation to SP500
    0.58030
  • Return Percent SP500 (cumu) during strategy life
    53.27%
  • Return Statistics
  • Ann Return (w trading costs)
    32.0%
  • Slump
  • Current Slump as Pcnt Equity
    1.30%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.03%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.320%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    35.2%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    35.00%
  • Chance of 20% account loss
    15.50%
  • Chance of 30% account loss
    4.00%
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    520
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    333
  • Popularity (7 days, Percentile 1000 scale)
    0
  • 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
    $271
  • Avg Win
    $979
  • Sum Trade PL (losers)
    $4,071.000
  • Age
  • Num Months filled monthly returns table
    24
  • Win / Loss
  • Sum Trade PL (winners)
    $41,133.000
  • # Winners
    42
  • Num Months Winners
    19
  • Dividends
  • Dividends Received in Model Acct
    2052
  • Win / Loss
  • # Losers
    15
  • % Winners
    73.7%
  • Frequency
  • Avg Position Time (mins)
    370412.00
  • Avg Position Time (hrs)
    6173.53
  • Avg Trade Length
    257.2 days
  • Last Trade Ago
    82
  • Leverage
  • Daily leverage (average)
    1.00
  • Daily leverage (max)
    1.35
  • Regression
  • Alpha
    0.04
  • Beta
    0.54
  • Treynor Index
    0.15
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.88
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    1.591
  • 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
    0.862
  • Avg(MAE) / Avg(PL) - Losing trades
    -3.349
  • Hold-and-Hope Ratio
    1.323
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.33299
  • SD
    0.28901
  • Sharpe ratio (Glass type estimate)
    1.15218
  • Sharpe ratio (Hedges UMVUE)
    1.11045
  • df
    21.00000
  • t
    1.56005
  • p
    0.29845
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.34908
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.62769
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.37553
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.59642
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.84344
  • Upside Potential Ratio
    2.89891
  • Upside part of mean
    0.52364
  • Downside part of mean
    -0.19065
  • Upside SD
    0.23736
  • Downside SD
    0.18063
  • N nonnegative terms
    17.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    22.00000
  • Mean of predictor
    0.21795
  • Mean of criterion
    0.33299
  • SD of predictor
    0.18157
  • SD of criterion
    0.28901
  • Covariance
    0.04134
  • r
    0.78774
  • b (slope, estimate of beta)
    1.25387
  • a (intercept, estimate of alpha)
    0.05970
  • Mean Square Error
    0.03328
  • DF error
    20.00000
  • t(b)
    5.71889
  • p(b)
    0.10613
  • t(a)
    0.41763
  • p(a)
    0.45351
  • Lowerbound of 95% confidence interval for beta
    0.79652
  • Upperbound of 95% confidence interval for beta
    1.71122
  • Lowerbound of 95% confidence interval for alpha
    -0.23850
  • Upperbound of 95% confidence interval for alpha
    0.35790
  • Treynor index (mean / b)
    0.26557
  • Jensen alpha (a)
    0.05970
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.28751
  • SD
    0.29577
  • Sharpe ratio (Glass type estimate)
    0.97205
  • Sharpe ratio (Hedges UMVUE)
    0.93684
  • df
    21.00000
  • t
    1.31616
  • p
    0.32652
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.51570
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.43775
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.53816
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.41184
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.41539
  • Upside Potential Ratio
    2.44554
  • Upside part of mean
    0.49676
  • Downside part of mean
    -0.20925
  • Upside SD
    0.22166
  • Downside SD
    0.20313
  • N nonnegative terms
    17.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    22.00000
  • Mean of predictor
    0.19978
  • Mean of criterion
    0.28751
  • SD of predictor
    0.18334
  • SD of criterion
    0.29577
  • Covariance
    0.04376
  • r
    0.80691
  • b (slope, estimate of beta)
    1.30173
  • a (intercept, estimate of alpha)
    0.02744
  • Mean Square Error
    0.03205
  • DF error
    20.00000
  • t(b)
    6.10925
  • p(b)
    0.09655
  • t(a)
    0.19756
  • p(a)
    0.47793
  • Lowerbound of 95% confidence interval for beta
    0.85726
  • Upperbound of 95% confidence interval for beta
    1.74620
  • Lowerbound of 95% confidence interval for alpha
    -0.26230
  • Upperbound of 95% confidence interval for alpha
    0.31718
  • Treynor index (mean / b)
    0.22086
  • Jensen alpha (a)
    0.02744
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.10995
  • Expected Shortfall on VaR
    0.14072
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01898
  • Expected Shortfall on VaR
    0.05033
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    22.00000
  • Minimum
    0.77047
  • Quartile 1
    1.00478
  • Median
    1.02982
  • Quartile 3
    1.05312
  • Maximum
    1.16943
  • Mean of quarter 1
    0.94422
  • Mean of quarter 2
    1.01857
  • Mean of quarter 3
    1.04050
  • Mean of quarter 4
    1.11684
  • Inter Quartile Range
    0.04834
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.09091
  • Mean of outliers low
    0.85105
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.13636
  • Mean of outliers high
    1.16696
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    1.12858
  • VaR(95%) (regression method)
    0.08510
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.28221
  • Quartile 1
    0.28221
  • Median
    0.28221
  • Quartile 3
    0.28221
  • Maximum
    0.28221
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • 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)
    0.42705
  • Compounded annual return (geometric extrapolation)
    0.37082
  • Calmar ratio (compounded annual return / max draw down)
    1.31398
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    2.63512
  • 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
    0.30539
  • SD
    0.23363
  • Sharpe ratio (Glass type estimate)
    1.30714
  • Sharpe ratio (Hedges UMVUE)
    1.30514
  • df
    489.00000
  • t
    1.78760
  • p
    0.03723
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.12902
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.74202
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.13037
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.74065
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.95663
  • Upside Potential Ratio
    8.62035
  • Upside part of mean
    1.34547
  • Downside part of mean
    -1.04008
  • Upside SD
    0.17455
  • Downside SD
    0.15608
  • N nonnegative terms
    278.00000
  • N negative terms
    212.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    490.00000
  • Mean of predictor
    0.23574
  • Mean of criterion
    0.30539
  • SD of predictor
    0.26443
  • SD of criterion
    0.23363
  • Covariance
    0.03515
  • r
    0.56890
  • b (slope, estimate of beta)
    0.50264
  • a (intercept, estimate of alpha)
    0.18700
  • Mean Square Error
    0.03699
  • DF error
    488.00000
  • t(b)
    15.28130
  • p(b)
    0.00000
  • t(a)
    1.32688
  • p(a)
    0.09258
  • Lowerbound of 95% confidence interval for beta
    0.43801
  • Upperbound of 95% confidence interval for beta
    0.56727
  • Lowerbound of 95% confidence interval for alpha
    -0.08986
  • Upperbound of 95% confidence interval for alpha
    0.46366
  • Treynor index (mean / b)
    0.60758
  • Jensen alpha (a)
    0.18690
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.27798
  • SD
    0.23358
  • Sharpe ratio (Glass type estimate)
    1.19009
  • Sharpe ratio (Hedges UMVUE)
    1.18826
  • df
    489.00000
  • t
    1.62752
  • p
    0.05214
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.24561
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.62463
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.24685
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.62338
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.74346
  • Upside Potential Ratio
    8.34458
  • Upside part of mean
    1.33048
  • Downside part of mean
    -1.05250
  • Upside SD
    0.17123
  • Downside SD
    0.15944
  • N nonnegative terms
    278.00000
  • N negative terms
    212.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    490.00000
  • Mean of predictor
    0.20044
  • Mean of criterion
    0.27798
  • SD of predictor
    0.26626
  • SD of criterion
    0.23358
  • Covariance
    0.03586
  • r
    0.57659
  • b (slope, estimate of beta)
    0.50582
  • a (intercept, estimate of alpha)
    0.17660
  • Mean Square Error
    0.03650
  • DF error
    488.00000
  • t(b)
    15.58970
  • p(b)
    0.00000
  • t(a)
    1.26283
  • p(a)
    0.10363
  • Lowerbound of 95% confidence interval for beta
    0.44207
  • Upperbound of 95% confidence interval for beta
    0.56957
  • Lowerbound of 95% confidence interval for alpha
    -0.09817
  • Upperbound of 95% confidence interval for alpha
    0.45137
  • Treynor index (mean / b)
    0.54957
  • Jensen alpha (a)
    0.17660
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02242
  • Expected Shortfall on VaR
    0.02828
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00817
  • Expected Shortfall on VaR
    0.01754
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    490.00000
  • Minimum
    0.91522
  • Quartile 1
    0.99603
  • Median
    1.00151
  • Quartile 3
    1.00630
  • Maximum
    1.07351
  • Mean of quarter 1
    0.98578
  • Mean of quarter 2
    0.99880
  • Mean of quarter 3
    1.00365
  • Mean of quarter 4
    1.01685
  • Inter Quartile Range
    0.01027
  • Number outliers low
    21.00000
  • Percentage of outliers low
    0.04286
  • Mean of outliers low
    0.96335
  • Number of outliers high
    30.00000
  • Percentage of outliers high
    0.06122
  • Mean of outliers high
    1.03460
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.35706
  • VaR(95%) (moments method)
    0.01279
  • Expected Shortfall (moments method)
    0.02402
  • Extreme Value Index (regression method)
    0.20935
  • VaR(95%) (regression method)
    0.01210
  • Expected Shortfall (regression method)
    0.01962
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    33.00000
  • Minimum
    0.00020
  • Quartile 1
    0.00138
  • Median
    0.00547
  • Quartile 3
    0.02396
  • Maximum
    0.40713
  • Mean of quarter 1
    0.00086
  • Mean of quarter 2
    0.00317
  • Mean of quarter 3
    0.01166
  • Mean of quarter 4
    0.08513
  • Inter Quartile Range
    0.02258
  • 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
    0.09091
  • Mean of outliers high
    0.17893
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.88634
  • VaR(95%) (moments method)
    0.08264
  • Expected Shortfall (moments method)
    0.69017
  • Extreme Value Index (regression method)
    1.92111
  • VaR(95%) (regression method)
    0.06287
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.41276
  • Compounded annual return (geometric extrapolation)
    0.35783
  • Calmar ratio (compounded annual return / max draw down)
    0.87892
  • Compounded annual return / average of 25% largest draw downs
    4.20323
  • Compounded annual return / Expected Shortfall lognormal
    12.65170
  • 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
    0.35713
  • SD
    0.12426
  • Sharpe ratio (Glass type estimate)
    2.87407
  • Sharpe ratio (Hedges UMVUE)
    2.85746
  • df
    130.00000
  • t
    2.03227
  • p
    0.41226
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.07498
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.66233
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.06397
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.65094
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.00547
  • Upside Potential Ratio
    12.74520
  • Upside part of mean
    0.90933
  • Downside part of mean
    -0.55221
  • Upside SD
    0.10353
  • Downside SD
    0.07135
  • N nonnegative terms
    81.00000
  • N negative terms
    50.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.25225
  • Mean of criterion
    0.35713
  • SD of predictor
    0.13609
  • SD of criterion
    0.12426
  • Covariance
    0.00991
  • r
    0.58622
  • b (slope, estimate of beta)
    0.53527
  • a (intercept, estimate of alpha)
    0.22210
  • Mean Square Error
    0.01021
  • DF error
    129.00000
  • t(b)
    8.21834
  • p(b)
    0.14944
  • t(a)
    1.54390
  • p(a)
    0.41451
  • Lowerbound of 95% confidence interval for beta
    0.40641
  • Upperbound of 95% confidence interval for beta
    0.66413
  • Lowerbound of 95% confidence interval for alpha
    -0.06252
  • Upperbound of 95% confidence interval for alpha
    0.50673
  • Treynor index (mean / b)
    0.66719
  • Jensen alpha (a)
    0.22210
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.34924
  • SD
    0.12369
  • Sharpe ratio (Glass type estimate)
    2.82345
  • Sharpe ratio (Hedges UMVUE)
    2.80712
  • df
    130.00000
  • t
    1.99648
  • p
    0.41376
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.02524
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.61107
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.01440
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.59985
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.86599
  • Upside Potential Ratio
    12.59490
  • Upside part of mean
    0.90395
  • Downside part of mean
    -0.55471
  • Upside SD
    0.10246
  • Downside SD
    0.07177
  • N nonnegative terms
    81.00000
  • N negative terms
    50.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.24291
  • Mean of criterion
    0.34924
  • SD of predictor
    0.13618
  • SD of criterion
    0.12369
  • Covariance
    0.00993
  • r
    0.58923
  • b (slope, estimate of beta)
    0.53520
  • a (intercept, estimate of alpha)
    0.21923
  • Mean Square Error
    0.01007
  • DF error
    129.00000
  • t(b)
    8.28291
  • p(b)
    0.14789
  • t(a)
    1.53579
  • p(a)
    0.41495
  • VAR (95 Confidence Intrvl)
    0.02200
  • Lowerbound of 95% confidence interval for beta
    0.40736
  • Upperbound of 95% confidence interval for beta
    0.66304
  • Lowerbound of 95% confidence interval for alpha
    -0.06320
  • Upperbound of 95% confidence interval for alpha
    0.50166
  • Treynor index (mean / b)
    0.65254
  • Jensen alpha (a)
    0.21923
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01117
  • Expected Shortfall on VaR
    0.01432
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00406
  • Expected Shortfall on VaR
    0.00836
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.98075
  • Quartile 1
    0.99751
  • Median
    1.00176
  • Quartile 3
    1.00513
  • Maximum
    1.04088
  • Mean of quarter 1
    0.99241
  • Mean of quarter 2
    0.99985
  • Mean of quarter 3
    1.00324
  • Mean of quarter 4
    1.01044
  • Inter Quartile Range
    0.00762
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.03053
  • Mean of outliers low
    0.98381
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.02290
  • Mean of outliers high
    1.02660
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.66016
  • VaR(95%) (moments method)
    0.00662
  • Expected Shortfall (moments method)
    0.00751
  • Extreme Value Index (regression method)
    0.05530
  • VaR(95%) (regression method)
    0.00696
  • Expected Shortfall (regression method)
    0.01003
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    12.00000
  • Minimum
    0.00020
  • Quartile 1
    0.00159
  • Median
    0.00455
  • Quartile 3
    0.01734
  • Maximum
    0.06133
  • Mean of quarter 1
    0.00055
  • Mean of quarter 2
    0.00263
  • Mean of quarter 3
    0.00904
  • Mean of quarter 4
    0.03864
  • Inter Quartile Range
    0.01575
  • 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
    0.08333
  • Mean of outliers high
    0.06133
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -1.66397
  • VaR(95%) (moments method)
    0.04352
  • Expected Shortfall (moments method)
    0.04567
  • Extreme Value Index (regression method)
    0.27220
  • VaR(95%) (regression method)
    0.06112
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.10468
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -334538000
  • Max Equity Drawdown (num days)
    40
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.41505
  • Compounded annual return (geometric extrapolation)
    0.45812
  • Calmar ratio (compounded annual return / max draw down)
    7.47007
  • Compounded annual return / average of 25% largest draw downs
    11.85570
  • Compounded annual return / Expected Shortfall lognormal
    31.98650

Strategy Description

A universe of stocks from S&P 500 and Nasdaq 100, except for companies in the financial sector, is screened for quality, using a proprietary factor model. The resulting list of stocks is then subjected to a valuation based on future earnings estimates, anchored on book value, and discounted using a company specific cost of equity.

This produces a list of Tier 1 stocks and a list of Tier 2 stocks. 66% of the capital is allocated equally to the Tier 1 stocks and the rest is allocated to Tier 2 stocks. The portfolio is then re-weighted every quarter, and re-constructed once a year, meaning it is only traded in total 4 times a year. The goal is to outperform the S&P 500 with similar volatility.

As a subscriber, it is important to understand that if you enter into the strategy and select to only enter into new positions, then very little will happen until the beginning of May, when the selection process is done. Throughout the year we typically only make 3-4 new trades. Message me if you want this explained in further detail.

Summary Statistics

Strategy began
2019-08-26
Suggested Minimum Capital
$15,000
# Trades
57
# Profitable
42
% Profitable
73.7%
Net Dividends
Correlation S&P500
0.580
Sharpe Ratio
0.97
Sortino Ratio
1.44
Beta
0.54
Alpha
0.04
Leverage
1.00 Average
1.35 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

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

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

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

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

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

Latest Activity

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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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.