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

My Live Portfolio
(125486879)

Created by: greg_morris2 greg_morris2
Started: 09/2019
Options
Last trade: 5 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. You can subscribe to this system for free.

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."
8.5%
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.

(76.0%)
Max Drawdown
619
Num Trades
88.7%
Win Trades
1.6 : 1
Profit Factor
50.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019                                                        (0.2%)+0.7%+2.8%+2.1%+5.5%
2020+2.4%(5.7%)(23.5%)+28.6%+9.8%+8.8%+2.6%+9.3%(2.3%)+1.7%+28.8%+7.5%+75.3%
2021+9.5%+9.9%(3%)+3.9%(2.4%)+15.1%(3.2%)(1.1%)(1%)+10.7%(10%)(2.3%)+25.7%
2022(10.3%)(9.6%)(1.4%)(19.4%)(6.6%)(12.1%)+12.8%(2.3%)(17.5%)+6.4%+1.8%(16.3%)(56.4%)
2023+21.9%(3.1%)+2.3%  -  +3.2%+13.2%(10.8%)(10.6%)(11.3%)+30.6%+11.1%+42.3%
2024(2.3%)+2.6%(1.3%)                                                      (1.2%)

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.

Trading Record

This strategy has placed 56 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 1055 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
2/5/24 14:30 ASAN2422O14 ASAN Mar22'24 14 put SHORT 1 0.40 3/23 9:35 0.00 n/a $39
Includes Typical Broker Commissions trade costs of $1.00
1/24/24 15:43 FVRR2415O22.5 FVRR Mar15'24 22.5 put SHORT 1 0.75 3/16 9:35 0.00 0.13%
Trade id #147119393
Max drawdown($95)
Time3/15/24 0:00
Quant open1
Worst price1.70
Drawdown as % of equity-0.13%
$74
Includes Typical Broker Commissions trade costs of $1.00
1/24/24 15:39 BUG2415C32 BUG Mar15'24 32 call SHORT 1 0.35 3/16 9:35 0.00 0.05%
Trade id #147119348
Max drawdown($40)
Time2/9/24 0:00
Quant open1
Worst price0.75
Drawdown as % of equity-0.05%
$34
Includes Typical Broker Commissions trade costs of $1.00
1/24/24 15:36 MAIN2415C49.46 MAIN Mar15'24 49.46 call SHORT 1 0.05 3/16 9:35 0.00 0.01%
Trade id #147119318
Max drawdown($5)
Time1/26/24 0:00
Quant open1
Worst price0.10
Drawdown as % of equity-0.01%
$4
Includes Typical Broker Commissions trade costs of $1.00
1/24/24 15:33 UDMY2415C15 UDMY Mar15'24 15 call SHORT 1 0.85 3/16 9:35 0.00 0.03%
Trade id #147119279
Max drawdown($20)
Time2/12/24 0:00
Quant open1
Worst price1.05
Drawdown as % of equity-0.03%
$84
Includes Typical Broker Commissions trade costs of $1.00
2/16/24 12:31 FINX2415C28 FINX Mar15'24 28 call SHORT 1 0.10 3/16 9:35 0.00 n/a $9
Includes Typical Broker Commissions trade costs of $1.00
1/24/24 15:34 ARKF2415C28 ARKF Mar15'24 28 call SHORT 1 0.40 3/16 9:35 0.00 0.22%
Trade id #147119304
Max drawdown($164)
Time3/11/24 0:00
Quant open1
Worst price2.04
Drawdown as % of equity-0.22%
$39
Includes Typical Broker Commissions trade costs of $1.00
3/6/24 12:21 DOCN2415C50 DOCN Mar15'24 50 call SHORT 1 0.05 3/16 9:35 0.00 0.01%
Trade id #147555427
Max drawdown($5)
Time3/6/24 15:47
Quant open1
Worst price0.10
Drawdown as % of equity-0.01%
$4
Includes Typical Broker Commissions trade costs of $1.00
1/25/24 11:54 ASAN2401O17 ASAN Mar1'24 17 put SHORT 1 0.50 3/2 9:35 0.00 0.04%
Trade id #147126508
Max drawdown($30)
Time2/1/24 0:00
Quant open1
Worst price0.80
Drawdown as % of equity-0.04%
$49
Includes Typical Broker Commissions trade costs of $1.00
1/24/24 15:40 SHOP2401C105 SHOP Mar1'24 105 call SHORT 1 0.55 3/2 9:35 0.00 0.31%
Trade id #147119353
Max drawdown($236)
Time2/12/24 0:00
Quant open1
Worst price2.91
Drawdown as % of equity-0.31%
$54
Includes Typical Broker Commissions trade costs of $1.00
1/25/24 11:52 ASAN2423N16 ASAN Feb23'24 16 put SHORT 1 0.20 2/24 9:35 0.00 0.01%
Trade id #147126494
Max drawdown($10)
Time2/5/24 0:00
Quant open1
Worst price0.30
Drawdown as % of equity-0.01%
$19
Includes Typical Broker Commissions trade costs of $1.00
12/18/23 12:03 ARCC2416B20 ARCC Feb16'24 20 call SHORT 1 0.35 2/17/24 9:35 0.00 0.07%
Trade id #146731908
Max drawdown($50)
Time1/4/24 0:00
Quant open1
Worst price0.85
Drawdown as % of equity-0.07%
$34
Includes Typical Broker Commissions trade costs of $1.00
4/18/20 9:35 ARCC ARES CAPITAL LONG 200 15.00 2/17/24 9:35 20.00 1.77%
Trade id #128633477
Max drawdown($798)
Time4/23/20 0:00
Quant open200
Worst price11.01
Drawdown as % of equity-1.77%
$996
Includes Typical Broker Commissions trade costs of $4.00
1/3/24 15:22 FVRR2416N20 FVRR Feb16'24 20 put SHORT 1 0.30 2/17 9:35 0.00 0.01%
Trade id #146896385
Max drawdown($5)
Time1/4/24 0:00
Quant open1
Worst price0.35
Drawdown as % of equity-0.01%
$29
Includes Typical Broker Commissions trade costs of $1.00
12/18/23 11:59 UDMY2416B17.5 UDMY Feb16'24 17.5 call SHORT 1 0.50 2/17/24 9:35 0.00 0.01%
Trade id #146731866
Max drawdown($5)
Time12/20/23 0:00
Quant open1
Worst price0.55
Drawdown as % of equity-0.01%
$49
Includes Typical Broker Commissions trade costs of $1.00
1/22/24 9:59 ARKF2416B28 ARKF Feb16'24 28 call SHORT 1 0.30 2/17 9:35 0.00 0.06%
Trade id #147084695
Max drawdown($45)
Time2/16/24 0:00
Quant open1
Worst price0.75
Drawdown as % of equity-0.06%
$29
Includes Typical Broker Commissions trade costs of $1.00
1/3/24 15:19 ASAN2416N15 ASAN Feb16'24 15 put SHORT 1 0.40 2/17 9:35 0.00 n/a $39
Includes Typical Broker Commissions trade costs of $1.00
1/3/24 15:19 ASAN2409N14.5 ASAN Feb9'24 14.5 put SHORT 1 0.20 2/10 9:35 0.00 n/a $19
Includes Typical Broker Commissions trade costs of $1.00
1/5/24 11:46 MPW2402N2.5 MPW Feb2'24 2.5 put SHORT 1 0.15 2/3 9:35 0.00 0%
Trade id #146918440
Max drawdown($2)
Time1/5/24 12:09
Quant open1
Worst price0.17
Drawdown as % of equity-0.00%
$14
Includes Typical Broker Commissions trade costs of $1.00
1/2/24 9:50 ASAN2402N17.5 ASAN Feb2'24 17.5 put SHORT 1 0.65 2/3 9:35 0.00 0.08%
Trade id #146872575
Max drawdown($60)
Time1/5/24 0:00
Quant open1
Worst price1.25
Drawdown as % of equity-0.08%
$64
Includes Typical Broker Commissions trade costs of $1.00
1/2/24 9:45 FVRR2416N22.5 FVRR Feb16'24 22.5 put SHORT 1 0.55 2/2 11:55 0.15 0.04%
Trade id #146872434
Max drawdown($31)
Time1/3/24 0:00
Quant open1
Worst price0.86
Drawdown as % of equity-0.04%
$38
Includes Typical Broker Commissions trade costs of $2.00
12/1/23 15:34 HBAN2419A12 HBAN Jan19'24 12 call SHORT 1 0.25 1/20/24 9:35 0.00 0.15%
Trade id #146593256
Max drawdown($107)
Time12/15/23 0:00
Quant open1
Worst price1.32
Drawdown as % of equity-0.15%
$24
Includes Typical Broker Commissions trade costs of $1.00
2/22/20 9:35 HBAN HUNTINGTON BANCSHARES LONG 700 12.14 1/20/24 9:35 11.97 4.6%
Trade id #127660409
Max drawdown($2,246)
Time5/14/20 0:00
Quant open400
Worst price6.99
Drawdown as % of equity-4.60%
($132)
Includes Typical Broker Commissions trade costs of $14.00
12/8/23 11:10 ARKF2419A28 ARKF Jan19'24 28 call SHORT 1 0.20 1/20/24 9:35 0.00 0.15%
Trade id #146645613
Max drawdown($105)
Time12/28/23 0:00
Quant open1
Worst price1.25
Drawdown as % of equity-0.15%
$19
Includes Typical Broker Commissions trade costs of $1.00
11/8/23 15:37 ARCC2419A20 ARCC Jan19'24 20 call SHORT 1 0.20 1/20/24 9:35 0.00 0.06%
Trade id #146379257
Max drawdown($45)
Time1/4/24 0:00
Quant open1
Worst price0.65
Drawdown as % of equity-0.06%
$19
Includes Typical Broker Commissions trade costs of $1.00
12/18/23 12:00 UDMY2419A15 UDMY Jan19'24 15 call SHORT 1 0.80 1/20/24 9:35 0.00 n/a $79
Includes Typical Broker Commissions trade costs of $1.00
12/19/23 9:41 FINX2419A27 FINX Jan19'24 27 call SHORT 1 0.15 1/20/24 9:35 0.00 0.01%
Trade id #146743364
Max drawdown($10)
Time12/20/23 0:00
Quant open1
Worst price0.25
Drawdown as % of equity-0.01%
$14
Includes Typical Broker Commissions trade costs of $1.00
12/14/23 9:33 ARKF2419A30 ARKF Jan19'24 30 call SHORT 1 0.20 1/20/24 9:35 0.00 0.03%
Trade id #146698408
Max drawdown($20)
Time12/27/23 0:00
Quant open1
Worst price0.40
Drawdown as % of equity-0.03%
$19
Includes Typical Broker Commissions trade costs of $1.00
2/4/22 13:01 MOGO12419A2.5 MOGO1 Jan19'24 2.5 call LONG 3 1.20 1/20/24 9:35 0.00 0.62%
Trade id #139257405
Max drawdown($357)
Time3/15/23 0:00
Quant open3
Worst price0.01
Drawdown as % of equity-0.62%
($362)
Includes Typical Broker Commissions trade costs of $2.10
2/4/22 12:59 WISH12419A2.5 WISH1 Jan19'24 2.5 call LONG 3 1.18 1/20/24 9:35 0.00 0.59%
Trade id #139257300
Max drawdown($351)
Time4/12/23 0:00
Quant open3
Worst price0.01
Drawdown as % of equity-0.59%
($356)
Includes Typical Broker Commissions trade costs of $2.10

Statistics

  • Strategy began
    9/24/2019
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    1646.74
  • Age
    55 months ago
  • What it trades
    Stocks, Options
  • # Trades
    619
  • # Profitable
    549
  • % Profitable
    88.70%
  • Avg trade duration
    80.3 days
  • Max peak-to-valley drawdown
    76.03%
  • drawdown period
    Oct 26, 2021 - June 29, 2023
  • Annual Return (Compounded)
    8.5%
  • Avg win
    $152.60
  • Avg loss
    $927.79
  • Model Account Values (Raw)
  • Cash
    $31,133
  • Margin Used
    $1,220
  • Buying Power
    $24,493
  • Ratios
  • W:L ratio
    1.60:1
  • Sharpe Ratio
    0.29
  • Sortino Ratio
    0.43
  • Calmar Ratio
    0.163
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -32.49%
  • Correlation to SP500
    0.58310
  • Return Percent SP500 (cumu) during strategy life
    76.92%
  • Return Statistics
  • Ann Return (w trading costs)
    8.5%
  • Slump
  • Current Slump as Pcnt Equity
    91.90%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.53%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    38.10%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.085%
  • Instruments
  • Percent Trades Options
    0.72%
  • Percent Trades Stocks
    0.28%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    9.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    93.50%
  • Chance of 20% account loss
    89.50%
  • Chance of 30% account loss
    88.50%
  • Chance of 40% account loss
    77.00%
  • Chance of 60% account loss (Monte Carlo)
    53.50%
  • Chance of 70% account loss (Monte Carlo)
    31.00%
  • Chance of 80% account loss (Monte Carlo)
    20.00%
  • Chance of 90% account loss (Monte Carlo)
    4.00%
  • Chance of 100% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    68.50%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    698
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    19
  • Popularity (7 days, Percentile 1000 scale)
    329
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $1,013
  • Avg Win
    $156
  • Sum Trade PL (losers)
    $70,892.000
  • Age
  • Num Months filled monthly returns table
    55
  • Win / Loss
  • Sum Trade PL (winners)
    $85,782.000
  • # Winners
    549
  • Num Months Winners
    27
  • Dividends
  • Dividends Received in Model Acct
    9944
  • Win / Loss
  • # Losers
    70
  • % Winners
    88.7%
  • Frequency
  • Avg Position Time (mins)
    152545.00
  • Avg Position Time (hrs)
    2542.42
  • Avg Trade Length
    105.9 days
  • Last Trade Ago
    3
  • Leverage
  • Daily leverage (average)
    1.60
  • Daily leverage (max)
    3.12
  • Regression
  • Alpha
    0.00
  • Beta
    1.01
  • Treynor Index
    0.04
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.12
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    314.53
  • MAE:Equity, average, winning trades
    0.13
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    -4648.560
  • 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
    54.705
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.295
  • Hold-and-Hope Ratio
    0.000
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.15985
  • SD
    0.41007
  • Sharpe ratio (Glass type estimate)
    0.38982
  • Sharpe ratio (Hedges UMVUE)
    0.38356
  • df
    47.00000
  • t
    0.77963
  • p
    0.21976
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.59534
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.37091
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.59949
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.36660
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.58654
  • Upside Potential Ratio
    2.19017
  • Upside part of mean
    0.59690
  • Downside part of mean
    -0.43705
  • Upside SD
    0.30415
  • Downside SD
    0.27254
  • N nonnegative terms
    30.00000
  • N negative terms
    18.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    48.00000
  • Mean of predictor
    0.13069
  • Mean of criterion
    0.15985
  • SD of predictor
    0.20713
  • SD of criterion
    0.41007
  • Covariance
    0.07144
  • r
    0.84115
  • b (slope, estimate of beta)
    1.66531
  • a (intercept, estimate of alpha)
    -0.05778
  • Mean Square Error
    0.05025
  • DF error
    46.00000
  • t(b)
    10.54910
  • p(b)
    0.00000
  • t(a)
    -0.50703
  • p(a)
    0.69272
  • Lowerbound of 95% confidence interval for beta
    1.34755
  • Upperbound of 95% confidence interval for beta
    1.98308
  • Lowerbound of 95% confidence interval for alpha
    -0.28718
  • Upperbound of 95% confidence interval for alpha
    0.17162
  • Treynor index (mean / b)
    0.09599
  • Jensen alpha (a)
    -0.05778
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.07560
  • SD
    0.41615
  • Sharpe ratio (Glass type estimate)
    0.18166
  • Sharpe ratio (Hedges UMVUE)
    0.17875
  • df
    47.00000
  • t
    0.36333
  • p
    0.35899
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.79996
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.16138
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.80190
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.15939
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.24716
  • Upside Potential Ratio
    1.81402
  • Upside part of mean
    0.55485
  • Downside part of mean
    -0.47925
  • Upside SD
    0.27657
  • Downside SD
    0.30587
  • N nonnegative terms
    30.00000
  • N negative terms
    18.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    48.00000
  • Mean of predictor
    0.10843
  • Mean of criterion
    0.07560
  • SD of predictor
    0.21051
  • SD of criterion
    0.41615
  • Covariance
    0.07444
  • r
    0.84976
  • b (slope, estimate of beta)
    1.67983
  • a (intercept, estimate of alpha)
    -0.10654
  • Mean Square Error
    0.04917
  • DF error
    46.00000
  • t(b)
    10.93250
  • p(b)
    0.00000
  • t(a)
    -0.95021
  • p(a)
    0.82651
  • Lowerbound of 95% confidence interval for beta
    1.37054
  • Upperbound of 95% confidence interval for beta
    1.98911
  • Lowerbound of 95% confidence interval for alpha
    -0.33223
  • Upperbound of 95% confidence interval for alpha
    0.11915
  • Treynor index (mean / b)
    0.04500
  • Jensen alpha (a)
    -0.10654
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.17411
  • Expected Shortfall on VaR
    0.21378
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.06888
  • Expected Shortfall on VaR
    0.14466
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    48.00000
  • Minimum
    0.72962
  • Quartile 1
    0.96691
  • Median
    1.01651
  • Quartile 3
    1.06967
  • Maximum
    1.28221
  • Mean of quarter 1
    0.86553
  • Mean of quarter 2
    0.99813
  • Mean of quarter 3
    1.04215
  • Mean of quarter 4
    1.15680
  • Inter Quartile Range
    0.10276
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.06250
  • Mean of outliers low
    0.75019
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.04167
  • Mean of outliers high
    1.28028
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.33107
  • VaR(95%) (moments method)
    0.11144
  • Expected Shortfall (moments method)
    0.13860
  • Extreme Value Index (regression method)
    -0.30567
  • VaR(95%) (regression method)
    0.13723
  • Expected Shortfall (regression method)
    0.17369
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.01158
  • Quartile 1
    0.02464
  • Median
    0.03083
  • Quartile 3
    0.25552
  • Maximum
    0.58948
  • Mean of quarter 1
    0.01811
  • Mean of quarter 2
    0.03083
  • Mean of quarter 3
    0.25552
  • Mean of quarter 4
    0.58948
  • Inter Quartile Range
    0.23088
  • 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)
    0.12822
  • Compounded annual return (geometric extrapolation)
    0.10905
  • Calmar ratio (compounded annual return / max draw down)
    0.18500
  • Compounded annual return / average of 25% largest draw downs
    0.18500
  • Compounded annual return / Expected Shortfall lognormal
    0.51011
  • 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
    0.14556
  • SD
    0.39047
  • Sharpe ratio (Glass type estimate)
    0.37277
  • Sharpe ratio (Hedges UMVUE)
    0.37250
  • df
    1052.00000
  • t
    0.74731
  • p
    0.48848
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.60508
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.35046
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.60528
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.35028
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.54773
  • Upside Potential Ratio
    8.16138
  • Upside part of mean
    2.16886
  • Downside part of mean
    -2.02330
  • Upside SD
    0.28598
  • Downside SD
    0.26575
  • N nonnegative terms
    545.00000
  • N negative terms
    508.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1053.00000
  • Mean of predictor
    0.13591
  • Mean of criterion
    0.14556
  • SD of predictor
    0.23002
  • SD of criterion
    0.39047
  • Covariance
    0.05266
  • r
    0.58633
  • b (slope, estimate of beta)
    0.99533
  • a (intercept, estimate of alpha)
    0.01000
  • Mean Square Error
    0.10015
  • DF error
    1051.00000
  • t(b)
    23.46520
  • p(b)
    0.14938
  • t(a)
    0.06506
  • p(a)
    0.49872
  • Lowerbound of 95% confidence interval for beta
    0.91210
  • Upperbound of 95% confidence interval for beta
    1.07857
  • Lowerbound of 95% confidence interval for alpha
    -0.29968
  • Upperbound of 95% confidence interval for alpha
    0.32023
  • Treynor index (mean / b)
    0.14624
  • Jensen alpha (a)
    0.01028
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.06949
  • SD
    0.39024
  • Sharpe ratio (Glass type estimate)
    0.17807
  • Sharpe ratio (Hedges UMVUE)
    0.17794
  • df
    1052.00000
  • t
    0.35698
  • p
    0.49450
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.79965
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.15572
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.79974
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.15562
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.25242
  • Upside Potential Ratio
    7.73559
  • Upside part of mean
    2.12957
  • Downside part of mean
    -2.06008
  • Upside SD
    0.27636
  • Downside SD
    0.27530
  • N nonnegative terms
    545.00000
  • N negative terms
    508.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1053.00000
  • Mean of predictor
    0.10930
  • Mean of criterion
    0.06949
  • SD of predictor
    0.23098
  • SD of criterion
    0.39024
  • Covariance
    0.05278
  • r
    0.58556
  • b (slope, estimate of beta)
    0.98928
  • a (intercept, estimate of alpha)
    -0.03864
  • Mean Square Error
    0.10017
  • DF error
    1051.00000
  • t(b)
    23.41790
  • p(b)
    0.14978
  • t(a)
    -0.24469
  • p(a)
    0.50480
  • Lowerbound of 95% confidence interval for beta
    0.90639
  • Upperbound of 95% confidence interval for beta
    1.07218
  • Lowerbound of 95% confidence interval for alpha
    -0.34855
  • Upperbound of 95% confidence interval for alpha
    0.27126
  • Treynor index (mean / b)
    0.07024
  • Jensen alpha (a)
    -0.03864
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03862
  • Expected Shortfall on VaR
    0.04822
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01733
  • Expected Shortfall on VaR
    0.03471
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1053.00000
  • Minimum
    0.81955
  • Quartile 1
    0.98938
  • Median
    1.00080
  • Quartile 3
    1.01135
  • Maximum
    1.18841
  • Mean of quarter 1
    0.97379
  • Mean of quarter 2
    0.99564
  • Mean of quarter 3
    1.00575
  • Mean of quarter 4
    1.02757
  • Inter Quartile Range
    0.02197
  • Number outliers low
    28.00000
  • Percentage of outliers low
    0.02659
  • Mean of outliers low
    0.93373
  • Number of outliers high
    36.00000
  • Percentage of outliers high
    0.03419
  • Mean of outliers high
    1.06926
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.18509
  • VaR(95%) (moments method)
    0.02557
  • Expected Shortfall (moments method)
    0.03876
  • Extreme Value Index (regression method)
    0.11800
  • VaR(95%) (regression method)
    0.02443
  • Expected Shortfall (regression method)
    0.03510
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    44.00000
  • Minimum
    0.00001
  • Quartile 1
    0.00252
  • Median
    0.00794
  • Quartile 3
    0.02331
  • Maximum
    0.62853
  • Mean of quarter 1
    0.00140
  • Mean of quarter 2
    0.00469
  • Mean of quarter 3
    0.01546
  • Mean of quarter 4
    0.16711
  • Inter Quartile Range
    0.02080
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    8.00000
  • Percentage of outliers high
    0.18182
  • Mean of outliers high
    0.21789
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.74528
  • VaR(95%) (moments method)
    0.13708
  • Expected Shortfall (moments method)
    0.61020
  • Extreme Value Index (regression method)
    0.81680
  • VaR(95%) (regression method)
    0.13625
  • Expected Shortfall (regression method)
    0.80248
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.11921
  • Compounded annual return (geometric extrapolation)
    0.10230
  • Calmar ratio (compounded annual return / max draw down)
    0.16276
  • Compounded annual return / average of 25% largest draw downs
    0.61214
  • Compounded annual return / Expected Shortfall lognormal
    2.12131
  • 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
    0.26809
  • SD
    0.33495
  • Sharpe ratio (Glass type estimate)
    0.80037
  • Sharpe ratio (Hedges UMVUE)
    0.79575
  • df
    130.00000
  • t
    0.56595
  • p
    0.47521
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.97459
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.57244
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.97775
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.56924
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.20327
  • Upside Potential Ratio
    9.88724
  • Upside part of mean
    2.20287
  • Downside part of mean
    -1.93478
  • Upside SD
    0.24894
  • Downside SD
    0.22280
  • N nonnegative terms
    65.00000
  • N negative terms
    66.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.26351
  • Mean of criterion
    0.26809
  • SD of predictor
    0.12502
  • SD of criterion
    0.33495
  • Covariance
    0.01838
  • r
    0.43896
  • b (slope, estimate of beta)
    1.17604
  • a (intercept, estimate of alpha)
    -0.04181
  • Mean Square Error
    0.09128
  • DF error
    129.00000
  • t(b)
    5.54875
  • p(b)
    0.22981
  • t(a)
    -0.09703
  • p(a)
    0.50544
  • Lowerbound of 95% confidence interval for beta
    0.75670
  • Upperbound of 95% confidence interval for beta
    1.59538
  • Lowerbound of 95% confidence interval for alpha
    -0.89436
  • Upperbound of 95% confidence interval for alpha
    0.81073
  • Treynor index (mean / b)
    0.22796
  • Jensen alpha (a)
    -0.04181
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.21244
  • SD
    0.33434
  • Sharpe ratio (Glass type estimate)
    0.63539
  • Sharpe ratio (Hedges UMVUE)
    0.63172
  • df
    130.00000
  • t
    0.44929
  • p
    0.48031
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.13870
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.40707
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.14115
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.40459
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.93603
  • Upside Potential Ratio
    9.57210
  • Upside part of mean
    2.17245
  • Downside part of mean
    -1.96001
  • Upside SD
    0.24412
  • Downside SD
    0.22696
  • N nonnegative terms
    65.00000
  • N negative terms
    66.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.25561
  • Mean of criterion
    0.21244
  • SD of predictor
    0.12492
  • SD of criterion
    0.33434
  • Covariance
    0.01839
  • r
    0.44035
  • b (slope, estimate of beta)
    1.17857
  • a (intercept, estimate of alpha)
    -0.08881
  • Mean Square Error
    0.09081
  • DF error
    129.00000
  • t(b)
    5.57062
  • p(b)
    0.22901
  • t(a)
    -0.20675
  • p(a)
    0.51159
  • VAR (95 Confidence Intrvl)
    0.03900
  • Lowerbound of 95% confidence interval for beta
    0.75997
  • Upperbound of 95% confidence interval for beta
    1.59716
  • Lowerbound of 95% confidence interval for alpha
    -0.93874
  • Upperbound of 95% confidence interval for alpha
    0.76111
  • Treynor index (mean / b)
    0.18025
  • Jensen alpha (a)
    -0.08881
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03262
  • Expected Shortfall on VaR
    0.04091
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01723
  • Expected Shortfall on VaR
    0.03193
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.93198
  • Quartile 1
    0.98798
  • Median
    1.00007
  • Quartile 3
    1.01395
  • Maximum
    1.06878
  • Mean of quarter 1
    0.97644
  • Mean of quarter 2
    0.99446
  • Mean of quarter 3
    1.00753
  • Mean of quarter 4
    1.02628
  • Inter Quartile Range
    0.02598
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.01527
  • Mean of outliers low
    0.94030
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.02290
  • Mean of outliers high
    1.06042
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.16741
  • VaR(95%) (moments method)
    0.02485
  • Expected Shortfall (moments method)
    0.03586
  • Extreme Value Index (regression method)
    0.23318
  • VaR(95%) (regression method)
    0.02427
  • Expected Shortfall (regression method)
    0.03613
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00151
  • Quartile 1
    0.01893
  • Median
    0.03314
  • Quartile 3
    0.06408
  • Maximum
    0.22078
  • Mean of quarter 1
    0.00319
  • Mean of quarter 2
    0.03307
  • Mean of quarter 3
    0.04087
  • Mean of quarter 4
    0.15404
  • Inter Quartile Range
    0.04515
  • 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
    0.14286
  • Mean of outliers high
    0.22078
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    0.50%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -335823000
  • Max Equity Drawdown (num days)
    611
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.25538
  • Compounded annual return (geometric extrapolation)
    0.27169
  • Calmar ratio (compounded annual return / max draw down)
    1.23059
  • Compounded annual return / average of 25% largest draw downs
    1.76378
  • Compounded annual return / Expected Shortfall lognormal
    6.64171

Strategy Description

I'm a deep value investor with a long term horizon always on the hunt for new discounts. One thing that distinguishes me from the rest is that I don't trade, I invest. With my core focus on producing income, I search for companies with a strong dividend that’s well covered with growing fundamentals. If i'm not putting money into dividend payers, I allocate capital towards select tech(mostly software based) and a very small portion towards small startups.

Summary Statistics

Strategy began
2019-09-24
Suggested Minimum Capital
$35,000
# Trades
619
# Profitable
549
% Profitable
88.7%
Net Dividends
Correlation S&P500
0.583
Sharpe Ratio
0.29
Sortino Ratio
0.43
Beta
1.01
Alpha
0.00
Leverage
1.60 Average
3.12 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.