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

Risk Tracker Small Caps
(77693051)

Created by: UserRemoved308 UserRemoved308
Started: 11/2012
Stocks
Last trade: 3,967 days ago

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.

0.6%
Cumul. Return

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 Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

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

All results are hypothetical.

(26.5%)
Max Drawdown
29
Num Trades
51.7%
Win Trades
1.3 : 1
Profit Factor
45.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2012                                                                      +3.4%(0.7%)+2.6%
2013(0.5%)(3%)(6.3%)(6.4%)(0.8%)+17.1%(2.3%)+2.1%(8%)(3.4%)+3.6%(1%)(10.6%)
2014+5.0%(5%)+1.4%(2.5%)(7.6%)(5.2%)+9.0%(2%)+11.3%(0.2%)+1.8%+3.5%+8.0%
2015+3.3%(5.5%)+3.8%(3.1%)+1.4%+2.6%+0.3%+6.9%+5.1%(6.5%)(0.1%)+1.1%+8.9%
2016+7.6%+2.4%(10.9%)(2.7%)+1.4%(5.1%)(5.7%)(3.5%)(1%)+1.6%+3.2%(4%)(16.7%)
2017(11.2%)(4.6%)(2.3%)(6.1%)(1.3%)+1.0%(11.1%)(2.2%)(9.3%)(5.3%)(1.9%)(7%)(47.2%)
2018(16.6%)+10.0%+11.9%+1.0%+12.5%+10.6%(8.3%)+4.0%+13.0%+4.5%+2.1%+14.8%+70.1%
2019(15.2%)(5%)+0.5%(6.1%)+4.9%(3.4%)(6.1%)+13.6%(2.9%)(10.2%)+0.2%(13.8%)(38.1%)
2020(2%)+14.7%+74.9%(14%)+3.9%(5.9%)(7.1%)(6.9%)+4.4%+7.4%(27.7%)(14.9%)(1.3%)
2021(4%)(6.3%)(5%)(19.8%)(7.1%)(6.7%)+17.1%(2.9%)+9.2%+8.0%+9.1%(6.4%)(18.5%)
2022+28.5%+8.6%(7.7%)+14.1%+11.8%+20.6%+2.4%(16%)+25.5%(4.9%)(9.3%)+3.8%+91.8%
2023(14.4%)+5.1%+11.0%(2.2%)(1%)(7.8%)(5.6%)+11.4%+6.5%+8.2%(7.4%)+38.1%+38.2%
2024+1.9%(0.1%)                                                            +1.8%

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

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
3/13/13 9:46 EWGS ISHARES MSCI GERMANY SMALL CAP LONG 140 32.93 4/16 15:13 32.29 1.05%
Trade id #79684115
Max drawdown($193)
Time4/5/13 11:20
Quant open140
Worst price31.55
Drawdown as % of equity-1.05%
($93)
Includes Typical Broker Commissions trade costs of $2.80
3/13/13 9:52 EWZS ISHARES MSCI BRAZIL SMALL CAP LONG 280 29.15 4/16 10:51 26.58 3.93%
Trade id #79684318
Max drawdown($720)
Time4/16/13 10:51
Quant open0
Worst price26.58
Drawdown as % of equity-3.93%
($724)
Includes Typical Broker Commissions trade costs of $4.20
3/13/13 9:31 RSXJ VANECK VECTORS RUSSIA SMALL-CA LONG 87 45.99 4/16 9:38 41.62 2.04%
Trade id #79683452
Max drawdown($390)
Time4/15/13 16:00
Quant open260
Worst price13.83
Drawdown as % of equity-2.04%
($382)
Includes Typical Broker Commissions trade costs of $1.74
3/13/13 9:30 SCIF VANECK VECTORS INDIA SMALL-CAP LONG 85 38.48 4/16 9:30 36.04 2.12%
Trade id #79683058
Max drawdown($397)
Time3/25/13 12:54
Quant open340
Worst price8.45
Drawdown as % of equity-2.12%
($209)
Includes Typical Broker Commissions trade costs of $1.70
3/13/13 9:31 VB VANGUARD SMALL CAP ETF LONG 48 89.87 4/16 9:30 88.65 0.6%
Trade id #79683334
Max drawdown($110)
Time4/5/13 9:31
Quant open48
Worst price87.56
Drawdown as % of equity-0.60%
($60)
Includes Typical Broker Commissions trade costs of $0.96
2/26/13 9:31 EWZS ISHARES MSCI BRAZIL SMALL CAP SHORT 140 28.49 3/13 9:51 29.15 0.56%
Trade id #79414959
Max drawdown($110)
Time3/8/13 16:00
Quant open-140
Worst price29.28
Drawdown as % of equity-0.56%
($95)
Includes Typical Broker Commissions trade costs of $2.80
2/26/13 9:31 EWGS ISHARES MSCI GERMANY SMALL CAP SHORT 140 32.89 3/13 9:45 32.93 0.43%
Trade id #79414965
Max drawdown($85)
Time3/7/13 15:16
Quant open-140
Worst price33.50
Drawdown as % of equity-0.43%
($9)
Includes Typical Broker Commissions trade costs of $2.80
2/26/13 9:32 VB VANGUARD SMALL CAP ETF SHORT 48 85.94 3/13 9:30 89.87 1.01%
Trade id #79414988
Max drawdown($199)
Time3/12/13 10:11
Quant open-48
Worst price90.09
Drawdown as % of equity-1.01%
($190)
Includes Typical Broker Commissions trade costs of $0.96
2/26/13 9:31 SCIF VANECK VECTORS INDIA SMALL-CAP SHORT 85 39.00 3/13 9:30 38.48 0.33%
Trade id #79414651
Max drawdown($66)
Time2/27/13 15:42
Quant open-340
Worst price9.95
Drawdown as % of equity-0.33%
$42
Includes Typical Broker Commissions trade costs of $1.70
2/26/13 9:47 RSXJ VANECK VECTORS RUSSIA SMALL-CA SHORT 87 46.38 3/13 9:30 45.99 0.18%
Trade id #79415815
Max drawdown($36)
Time3/7/13 11:46
Quant open-260
Worst price15.60
Drawdown as % of equity-0.18%
$32
Includes Typical Broker Commissions trade costs of $1.74
1/3/13 9:35 RSXJ VANECK VECTORS RUSSIA SMALL-CA LONG 87 46.35 2/26 9:46 46.38 0.05%
Trade id #78455681
Max drawdown($10)
Time2/25/13 14:00
Quant open260
Worst price15.41
Drawdown as % of equity-0.05%
$1
Includes Typical Broker Commissions trade costs of $1.74
1/3/13 9:35 VB VANGUARD SMALL CAP ETF LONG 48 83.19 2/26 9:31 85.94 0.04%
Trade id #78455665
Max drawdown($8)
Time1/8/13 11:27
Quant open48
Worst price83.01
Drawdown as % of equity-0.04%
$131
Includes Typical Broker Commissions trade costs of $0.96
1/3/13 9:35 EWZS ISHARES MSCI BRAZIL SMALL CAP LONG 140 27.97 2/26 9:30 28.49 0.12%
Trade id #78455649
Max drawdown($23)
Time1/22/13 11:22
Quant open140
Worst price27.80
Drawdown as % of equity-0.12%
$70
Includes Typical Broker Commissions trade costs of $2.80
1/3/13 9:36 SCIF VANECK VECTORS INDIA SMALL-CAP LONG 85 46.24 2/26 9:30 39.00 3.08%
Trade id #78455725
Max drawdown($615)
Time2/26/13 9:30
Quant open0
Worst price9.75
Drawdown as % of equity-3.08%
($617)
Includes Typical Broker Commissions trade costs of $1.70
1/3/13 9:39 EWGS ISHARES MSCI GERMANY SMALL CAP LONG 140 31.00 2/26 9:30 32.89 0.03%
Trade id #78455824
Max drawdown($5)
Time1/7/13 10:02
Quant open140
Worst price30.96
Drawdown as % of equity-0.03%
$262
Includes Typical Broker Commissions trade costs of $2.80
12/21/12 9:41 EWGS ISHARES MSCI GERMANY SMALL CAP SHORT 144 30.33 1/3/13 9:37 31.01 0.59%
Trade id #78279112
Max drawdown($123)
Time12/27/12 9:36
Quant open-144
Worst price31.19
Drawdown as % of equity-0.59%
($101)
Includes Typical Broker Commissions trade costs of $2.88
12/21/12 9:41 EWZS ISHARES MSCI BRAZIL SMALL CAP SHORT 155 26.32 1/3/13 9:32 27.74 1.22%
Trade id #78279102
Max drawdown($254)
Time12/31/12 14:59
Quant open-155
Worst price27.96
Drawdown as % of equity-1.22%
($223)
Includes Typical Broker Commissions trade costs of $3.10
12/21/12 9:34 SMIN ISHARES MSCI INDIA SMALL CAP SHORT 155 24.87 1/3/13 9:31 26.30 1.27%
Trade id #78278909
Max drawdown($260)
Time1/2/13 11:17
Quant open-155
Worst price26.55
Drawdown as % of equity-1.27%
($225)
Includes Typical Broker Commissions trade costs of $3.10
12/21/12 9:31 VB VANGUARD SMALL CAP ETF SHORT 52 81.64 1/3/13 9:30 83.32 0.43%
Trade id #78278720
Max drawdown($87)
Time1/3/13 9:30
Quant open0
Worst price83.32
Drawdown as % of equity-0.43%
($88)
Includes Typical Broker Commissions trade costs of $1.04
12/21/12 9:32 RSXJ VANECK VECTORS RUSSIA SMALL-CA SHORT 95 44.16 1/3/13 9:30 46.02 1.09%
Trade id #78278848
Max drawdown($222)
Time1/2/13 10:14
Quant open-285
Worst price15.50
Drawdown as % of equity-1.09%
($179)
Includes Typical Broker Commissions trade costs of $1.90
11/16/12 9:40 EWGS ISHARES MSCI GERMANY SMALL CAP LONG 144 27.88 12/21 9:41 30.33 0.03%
Trade id #77694612
Max drawdown($5)
Time11/19/12 9:42
Quant open144
Worst price27.84
Drawdown as % of equity-0.03%
$350
Includes Typical Broker Commissions trade costs of $2.88
11/16/12 9:39 EWZS ISHARES MSCI BRAZIL SMALL CAP LONG 155 25.31 12/21 9:41 26.32 0.27%
Trade id #77694562
Max drawdown($54)
Time11/21/12 12:04
Quant open155
Worst price24.96
Drawdown as % of equity-0.27%
$154
Includes Typical Broker Commissions trade costs of $3.10
11/16/12 9:40 SMIN ISHARES MSCI INDIA SMALL CAP LONG 155 24.79 12/21 9:33 24.87 0.58%
Trade id #77694599
Max drawdown($117)
Time11/21/12 9:31
Quant open155
Worst price24.03
Drawdown as % of equity-0.58%
$9
Includes Typical Broker Commissions trade costs of $3.10
11/16/12 9:40 RSXJ VANECK VECTORS RUSSIA SMALL-CA LONG 95 42.03 12/21 9:32 44.16 0.2%
Trade id #77694579
Max drawdown($39)
Time11/16/12 11:31
Quant open285
Worst price13.87
Drawdown as % of equity-0.20%
$200
Includes Typical Broker Commissions trade costs of $1.90
11/16/12 9:31 VB VANGUARD SMALL CAP ETF LONG 52 75.06 12/21 9:31 81.64 0.14%
Trade id #77694148
Max drawdown($28)
Time11/16/12 11:29
Quant open52
Worst price74.50
Drawdown as % of equity-0.14%
$341
Includes Typical Broker Commissions trade costs of $1.04

Statistics

  • Strategy began
    11/16/2012
  • Suggested Minimum Cap
    $20,000
  • Strategy Age (days)
    4116.07
  • Age
    137 months ago
  • What it trades
    Stocks
  • # Trades
    29
  • # Profitable
    15
  • % Profitable
    51.70%
  • Avg trade duration
    708.5 days
  • Max peak-to-valley drawdown
    26.55%
  • drawdown period
    Dec 20, 2012 - June 10, 2014
  • Cumul. Return
    0.2%
  • Avg win
    $1,092
  • Avg loss
    $612.36
  • Model Account Values (Raw)
  • Cash
    $36,081
  • Margin Used
    $34,354
  • Buying Power
    ($826)
  • Ratios
  • W:L ratio
    1.30:1
  • Sharpe Ratio
    0.12
  • Sortino Ratio
    0.21
  • Calmar Ratio
    0.05
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -29.81%
  • Correlation to SP500
    -0.58850
  • Return Percent SP500 (cumu) during strategy life
    274.21%
  • Return Statistics
  • Ann Return (w trading costs)
    0.6%
  • Slump
  • Current Slump as Pcnt Equity
    10.80%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.002%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.72%
  • Instruments
  • Percent Trades Stocks
    1.00%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    0.8%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    n/a
  • 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
  • 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
    n/a
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Win
    $1,093
  • Avg Loss
    $612
  • Sum Trade PL (losers)
    $8,573.000
  • # Winners
    15
  • Num Months Winners
    62
  • Age
  • Num Months filled monthly returns table
    136
  • Win / Loss
  • Sum Trade PL (winners)
    $16,392.000
  • Dividends
  • Dividends Received in Model Acct
    -5276
  • Win / Loss
  • # Losers
    14
  • % Winners
    51.7%
  • Frequency
  • Avg Position Time (mins)
    1020220.00
  • Avg Position Time (hrs)
    17003.70
  • Avg Trade Length
    708.5 days
  • Last Trade Ago
    3965
  • Regression
  • Alpha
    0.06
  • Beta
    -1.34
  • Treynor Index
    -0.01
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.09
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    25.08
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.51
  • Avg(MAE) / Avg(PL) - All trades
    -6.581
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    25.84
  • MAE:Equity, 95th Percentile Value for this strat
    0.93
  • MAE:Equity, average, winning trades
    0.03
  • MAE:Equity, average, losing trades
    0.14
  • Avg(MAE) / Avg(PL) - Winning trades
    0.478
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.542
  • Hold-and-Hope Ratio
    0.433
  • Analysis based on DAILY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to linear regression on benchmark
  • a (intercept, estimate of alpha)
    1.08600
  • Analysis based on DAILY values, last 6 months only
  • Ratio statistics of excess log return rates
  • VAR (95 Confidence Intrvl)
    0.07500
  • DRAW DOWN STATISTICS
  • Risk estimates based on draw downs (based on Extreme Value T
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • Max Equity Drawdown (num days)
    537
  • Last 4 Months - Pcnt Negative
    0.50%

Strategy Description

Summary Statistics

Strategy began
2012-11-16
Suggested Minimum Capital
$20,000
# Trades
29
# Profitable
15
% Profitable
51.7%
Net Dividends
Correlation S&P500
-0.589
Sharpe Ratio
0.12
Sortino Ratio
0.21
Beta
-1.34
Alpha
0.06

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.