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Low Vol AllCap Equity
(101359777)

Created by: NTLLC-GDSingh NTLLC-GDSingh
Started: 03/2016
Stocks
Last trade: 21 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. Subscriptions to this system cost $29.00 per month.

9.8%
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.

(10.5%)
Max Drawdown
478
Num Trades
62.1%
Win Trades
1.8 : 1
Profit Factor
70.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016              +0.1%+2.0%+2.6%+0.3%+2.4%(0.7%)+3.0%(3.2%)+5.3%+3.7%+16.6%
2017+2.9%+1.3%+2.2%+0.5%(0.2%)+3.2%(0.9%)(2%)+3.2%+0.4%+0.5%+0.5%+12.1%
2018+5.4%(1.9%)(2.1%)+0.5%+4.1%(1.1%)+0.7%+3.3%+0.6%(8.4%)+0.7%(2.3%)(1.1%)

Model Account Details

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

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

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

Trading Record

This strategy has placed 250 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
2/15/18 9:35 UIS UNISYS LONG 35 11.25 11/1 14:04 17.13 n/a $205
Includes Typical Broker Commissions trade costs of $0.70
7/11/18 13:43 AMC AMC ENTERTAINMENT HOLDINGS INC LONG 12 17.33 10/9 13:28 19.61 n/a $27
Includes Typical Broker Commissions trade costs of $0.24
10/24/16 9:39 HABT HABIT RESTAURANTS INC LONG 135 14.04 9/17/18 14:56 15.24 0.7%
Trade id #106615937
Max drawdown($247)
Time5/7/18 9:52
Quant open45
Worst price8.55
Drawdown as % of equity-0.70%
$160
Includes Typical Broker Commissions trade costs of $2.70
11/7/17 15:53 KND KINDRED HEALTHCARE LONG 20 8.55 7/25/18 15:10 14.77 n/a $124
Includes Typical Broker Commissions trade costs of $0.40
11/13/17 9:35 CNAT CONATUS PHARMACEUTICALS INC LONG 65 4.18 7/11/18 13:44 4.50 0.12%
Trade id #114824766
Max drawdown($43)
Time5/7/18 10:03
Quant open65
Worst price3.52
Drawdown as % of equity-0.12%
$20
Includes Typical Broker Commissions trade costs of $1.30
4/3/18 11:36 BNFT BENEFITFOCUS INC. COMMON STOC LONG 6 23.75 7/11 13:44 34.55 n/a $65
Includes Typical Broker Commissions trade costs of $0.12
9/7/17 13:35 BEAT BIOTELEMETRY INC. COMMON STOC LONG 8 36.95 6/6/18 15:50 34.12 0.35%
Trade id #113585742
Max drawdown($114)
Time11/7/17 16:38
Quant open8
Worst price22.60
Drawdown as % of equity-0.35%
($23)
Includes Typical Broker Commissions trade costs of $0.16
3/16/18 15:08 CLF CLEVELAND-CLIFFS INC LONG 30 7.50 4/23 12:04 7.30 0.09%
Trade id #117101303
Max drawdown($29)
Time3/28/18 15:02
Quant open30
Worst price6.50
Drawdown as % of equity-0.09%
($7)
Includes Typical Broker Commissions trade costs of $0.60
12/20/16 9:40 IRDM IRIDIUM COMMUNICATIONS LONG 50 10.65 4/3/18 11:33 11.78 0.01%
Trade id #108075169
Max drawdown($3)
Time3/5/18 9:29
Quant open10
Worst price10.30
Drawdown as % of equity-0.01%
$56
Includes Typical Broker Commissions trade costs of $1.00
10/23/17 15:27 MULE MULESOFT INC LONG 12 23.75 3/21/18 11:30 44.34 n/a $247
Includes Typical Broker Commissions trade costs of $0.24
9/21/17 13:27 ILMN ILLUMINA LONG 2 200.86 3/12/18 9:35 247.49 n/a $93
Includes Typical Broker Commissions trade costs of $0.04
1/23/18 9:35 TIVO TIVO LONG 15 14.80 2/15 9:35 13.30 0.09%
Trade id #116046400
Max drawdown($30)
Time2/9/18 13:18
Quant open15
Worst price12.75
Drawdown as % of equity-0.09%
($23)
Includes Typical Broker Commissions trade costs of $0.30
9/18/17 9:35 CBAY CYMABAY THERAPEUTICS INC. COMM LONG 25 7.23 2/15/18 9:35 13.71 n/a $162
Includes Typical Broker Commissions trade costs of $0.50
11/29/17 9:37 CBIO CATALYST BIOSCIENCES INC. COMMON STOCK LONG 27 6.58 2/15/18 9:35 22.02 0.03%
Trade id #115095268
Max drawdown($8)
Time11/29/17 12:00
Quant open27
Worst price6.26
Drawdown as % of equity-0.03%
$416
Includes Typical Broker Commissions trade costs of $0.54
10/26/17 9:33 VXZ IPATH S&P 500 VIX MT FUTURES E LONG 20 19.70 2/8/18 9:35 21.14 0.19%
Trade id #114538319
Max drawdown($65)
Time1/12/18 13:36
Quant open20
Worst price16.42
Drawdown as % of equity-0.19%
$29
Includes Typical Broker Commissions trade costs of $0.40
5/12/17 15:08 ACET ACETO LONG 50 12.32 2/2/18 11:00 7.97 0.62%
Trade id #111579749
Max drawdown($220)
Time2/2/18 10:54
Quant open50
Worst price7.91
Drawdown as % of equity-0.62%
($219)
Includes Typical Broker Commissions trade costs of $1.00
10/6/17 9:36 CASC CASCADIAN THERAPEUTICS INC LONG 50 4.42 1/31/18 13:04 10.14 0.13%
Trade id #114063778
Max drawdown($45)
Time1/8/18 9:46
Quant open50
Worst price3.52
Drawdown as % of equity-0.13%
$285
Includes Typical Broker Commissions trade costs of $1.00
12/18/17 9:37 GLYC GLYCOMIMETICS INC. COMMON STO LONG 12 16.89 1/22/18 9:42 23.94 0.02%
Trade id #115405921
Max drawdown($7)
Time12/26/17 16:44
Quant open12
Worst price16.28
Drawdown as % of equity-0.02%
$85
Includes Typical Broker Commissions trade costs of $0.24
9/26/17 12:36 ATRA ATARA BIOTHERAPEUTICS INC LONG 19 16.35 1/22/18 9:42 25.68 0.18%
Trade id #113868796
Max drawdown($59)
Time12/6/17 13:07
Quant open19
Worst price13.20
Drawdown as % of equity-0.18%
$177
Includes Typical Broker Commissions trade costs of $0.38
12/6/17 15:27 FNJN FINJAN HOLDINGS INC. COMMON S LONG 80 2.25 12/26 10:41 2.25 0.06%
Trade id #115229037
Max drawdown($19)
Time12/13/17 12:21
Quant open80
Worst price2.00
Drawdown as % of equity-0.06%
($2)
Includes Typical Broker Commissions trade costs of $1.60
7/12/17 12:03 SIGM SIGMA DESIGNS LONG 35 6.05 12/8 12:06 6.90 0.13%
Trade id #112553960
Max drawdown($43)
Time12/7/17 16:23
Quant open35
Worst price4.80
Drawdown as % of equity-0.13%
$29
Includes Typical Broker Commissions trade costs of $0.70
9/21/17 10:39 INO INOVIO PHARMACEUTICALS INC. C LONG 35 6.16 12/5 12:26 4.47 0.21%
Trade id #113787364
Max drawdown($68)
Time11/14/17 14:41
Quant open35
Worst price4.20
Drawdown as % of equity-0.21%
($60)
Includes Typical Broker Commissions trade costs of $0.70
7/10/17 9:34 CYTK CYTOKINETICS INCORPORATED COM LONG 20 12.80 12/5 12:26 8.15 0.34%
Trade id #112493387
Max drawdown($116)
Time11/21/17 9:29
Quant open20
Worst price7.00
Drawdown as % of equity-0.34%
($93)
Includes Typical Broker Commissions trade costs of $0.40
10/17/17 12:59 CLDR CLOUDERA INC LONG 9 15.52 12/5 12:26 15.99 0.02%
Trade id #114331065
Max drawdown($5)
Time11/14/17 13:07
Quant open9
Worst price14.89
Drawdown as % of equity-0.02%
$4
Includes Typical Broker Commissions trade costs of $0.18
10/30/17 11:45 MMYT MAKEMYTRIP LONG 15 25.40 12/1 9:37 29.35 0.05%
Trade id #114595782
Max drawdown($16)
Time11/1/17 11:53
Quant open15
Worst price24.32
Drawdown as % of equity-0.05%
$59
Includes Typical Broker Commissions trade costs of $0.30
7/10/17 9:34 CBIO CATALYST BIOSCIENCES INC. COMMON STOCK LONG 55 4.54 11/29 9:37 6.26 0.02%
Trade id #112493454
Max drawdown($7)
Time11/2/17 11:45
Quant open55
Worst price4.40
Drawdown as % of equity-0.02%
$94
Includes Typical Broker Commissions trade costs of $1.10
10/17/17 12:56 PIRS PIERIS PHARMACEUTICALS INC. COMMON STOCK LONG 38 5.40 11/20 15:14 6.18 0.09%
Trade id #114331025
Max drawdown($31)
Time10/26/17 10:27
Quant open38
Worst price4.58
Drawdown as % of equity-0.09%
$29
Includes Typical Broker Commissions trade costs of $0.76
8/25/17 13:53 ADMS ADAMAS PHARMACEUTICALS INC. C LONG 17 20.64 11/20 15:13 29.19 0.15%
Trade id #113348552
Max drawdown($50)
Time10/24/17 10:55
Quant open17
Worst price17.68
Drawdown as % of equity-0.15%
$145
Includes Typical Broker Commissions trade costs of $0.34
11/13/17 14:11 COLL COLLEGIUM PHARMACEUTICAL INC. COMMON STOCK LONG 12 15.00 11/20 15:12 17.68 0.05%
Trade id #114830523
Max drawdown($15)
Time11/14/17 11:59
Quant open12
Worst price13.75
Drawdown as % of equity-0.05%
$32
Includes Typical Broker Commissions trade costs of $0.24
9/21/17 13:27 EXAS EXACT SCIENCES LONG 5 45.51 11/15 12:11 57.92 n/a $62
Includes Typical Broker Commissions trade costs of $0.10

Statistics

  • Strategy began
    3/20/2016
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    997.81
  • Age
    33 months ago
  • What it trades
    Stocks
  • # Trades
    478
  • # Profitable
    297
  • % Profitable
    62.10%
  • Avg trade duration
    103.8 days
  • Max peak-to-valley drawdown
    10.54%
  • drawdown period
    Sept 21, 2018 - Nov 21, 2018
  • Annual Return (Compounded)
    9.8%
  • Avg win
    $70.24
  • Avg loss
    $67.23
  • Model Account Values (Raw)
  • Cash
    $26,580
  • Margin Used
    $0
  • Buying Power
    $24,312
  • Ratios
  • W:L ratio
    1.75:1
  • Sharpe Ratio
    1.146
  • Sortino Ratio
    1.756
  • Calmar Ratio
    1.265
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.46600
  • Return Statistics
  • Ann Return (w trading costs)
    9.8%
  • Ann Return (Compnd, No Fees)
    12.0%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    2.00%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    505
  • Popularity (Last 6 weeks)
    866
  • C2 Score
    96.0
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Loss
    $70
  • Avg Win
    $73
  • # Winners
    297
  • # Losers
    181
  • % Winners
    62.1%
  • Frequency
  • Avg Position Time (mins)
    149416.00
  • Avg Position Time (hrs)
    2490.27
  • Avg Trade Length
    103.8 days
  • Last Trade Ago
    2
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.10088
  • SD
    0.10047
  • Sharpe ratio (Glass type estimate)
    1.00405
  • Sharpe ratio (Hedges UMVUE)
    0.97953
  • df
    31.00000
  • t
    1.63961
  • p
    0.05560
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.22943
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.22209
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.24521
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.20427
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.48524
  • Upside Potential Ratio
    2.77075
  • Upside part of mean
    0.18819
  • Downside part of mean
    -0.08731
  • Upside SD
    0.07755
  • Downside SD
    0.06792
  • N nonnegative terms
    22.00000
  • N negative terms
    10.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    32.00000
  • Mean of predictor
    0.08560
  • Mean of criterion
    0.10088
  • SD of predictor
    0.09954
  • SD of criterion
    0.10047
  • Covariance
    0.00871
  • r
    0.87138
  • b (slope, estimate of beta)
    0.87950
  • a (intercept, estimate of alpha)
    0.02560
  • Mean Square Error
    0.00251
  • DF error
    30.00000
  • t(b)
    9.72809
  • p(b)
    0.00000
  • t(a)
    0.80885
  • p(a)
    0.21249
  • Lowerbound of 95% confidence interval for beta
    0.69486
  • Upperbound of 95% confidence interval for beta
    1.06414
  • Lowerbound of 95% confidence interval for alpha
    -0.03903
  • Upperbound of 95% confidence interval for alpha
    0.09022
  • Treynor index (mean / b)
    0.11470
  • Jensen alpha (a)
    0.02560
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.09531
  • SD
    0.10135
  • Sharpe ratio (Glass type estimate)
    0.94042
  • Sharpe ratio (Hedges UMVUE)
    0.91745
  • df
    31.00000
  • t
    1.53569
  • p
    0.06738
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.28948
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.15583
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.30431
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.13921
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.35597
  • Upside Potential Ratio
    2.62951
  • Upside part of mean
    0.18483
  • Downside part of mean
    -0.08952
  • Upside SD
    0.07594
  • Downside SD
    0.07029
  • N nonnegative terms
    22.00000
  • N negative terms
    10.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    32.00000
  • Mean of predictor
    0.08029
  • Mean of criterion
    0.09531
  • SD of predictor
    0.10004
  • SD of criterion
    0.10135
  • Covariance
    0.00886
  • r
    0.87336
  • b (slope, estimate of beta)
    0.88482
  • a (intercept, estimate of alpha)
    0.02427
  • Mean Square Error
    0.00252
  • DF error
    30.00000
  • t(b)
    9.82100
  • p(b)
    0.00000
  • t(a)
    0.76868
  • p(a)
    0.22405
  • Lowerbound of 95% confidence interval for beta
    0.70082
  • Upperbound of 95% confidence interval for beta
    1.06881
  • Lowerbound of 95% confidence interval for alpha
    -0.04021
  • Upperbound of 95% confidence interval for alpha
    0.08874
  • Treynor index (mean / b)
    0.10772
  • Jensen alpha (a)
    0.02427
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03939
  • Expected Shortfall on VaR
    0.05100
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01164
  • Expected Shortfall on VaR
    0.02736
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    32.00000
  • Minimum
    0.91390
  • Quartile 1
    1.00048
  • Median
    1.01170
  • Quartile 3
    1.02961
  • Maximum
    1.06054
  • Mean of quarter 1
    0.97334
  • Mean of quarter 2
    1.00768
  • Mean of quarter 3
    1.02095
  • Mean of quarter 4
    1.04097
  • Inter Quartile Range
    0.02913
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.06250
  • Mean of outliers low
    0.93285
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.21760
  • VaR(95%) (moments method)
    0.01115
  • Expected Shortfall (moments method)
    0.01513
  • Extreme Value Index (regression method)
    0.40869
  • VaR(95%) (regression method)
    0.04122
  • Expected Shortfall (regression method)
    0.09722
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00270
  • Quartile 1
    0.00807
  • Median
    0.01331
  • Quartile 3
    0.04725
  • Maximum
    0.08610
  • Mean of quarter 1
    0.00422
  • Mean of quarter 2
    0.01185
  • Mean of quarter 3
    0.04630
  • Mean of quarter 4
    0.06715
  • Inter Quartile Range
    0.03918
  • 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)
    0.14588
  • Compounded annual return (geometric extrapolation)
    0.13113
  • Calmar ratio (compounded annual return / max draw down)
    1.52300
  • Compounded annual return / average of 25% largest draw downs
    1.95273
  • Compounded annual return / Expected Shortfall lognormal
    2.57113
  • 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
    0.08924
  • SD
    0.07782
  • Sharpe ratio (Glass type estimate)
    1.14675
  • Sharpe ratio (Hedges UMVUE)
    1.14554
  • df
    707.00000
  • t
    1.88511
  • p
    0.02991
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.04744
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.34014
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.04825
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.33932
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.75607
  • Upside Potential Ratio
    10.14030
  • Upside part of mean
    0.51533
  • Downside part of mean
    -0.42609
  • Upside SD
    0.05912
  • Downside SD
    0.05082
  • N nonnegative terms
    370.00000
  • N negative terms
    338.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    708.00000
  • Mean of predictor
    0.07392
  • Mean of criterion
    0.08924
  • SD of predictor
    0.11768
  • SD of criterion
    0.07782
  • Covariance
    0.00433
  • r
    0.47299
  • b (slope, estimate of beta)
    0.31280
  • a (intercept, estimate of alpha)
    0.06600
  • Mean Square Error
    0.00471
  • DF error
    706.00000
  • t(b)
    14.26430
  • p(b)
    0.00000
  • t(a)
    1.58292
  • p(a)
    0.05694
  • Lowerbound of 95% confidence interval for beta
    0.26975
  • Upperbound of 95% confidence interval for beta
    0.35586
  • Lowerbound of 95% confidence interval for alpha
    -0.01589
  • Upperbound of 95% confidence interval for alpha
    0.14813
  • Treynor index (mean / b)
    0.28530
  • Jensen alpha (a)
    0.06612
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.08620
  • SD
    0.07770
  • Sharpe ratio (Glass type estimate)
    1.10937
  • Sharpe ratio (Hedges UMVUE)
    1.10819
  • df
    707.00000
  • t
    1.82365
  • p
    0.03431
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.08468
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.30270
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.08550
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.30188
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.68934
  • Upside Potential Ratio
    10.06410
  • Upside part of mean
    0.51354
  • Downside part of mean
    -0.42734
  • Upside SD
    0.05877
  • Downside SD
    0.05103
  • N nonnegative terms
    370.00000
  • N negative terms
    338.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    708.00000
  • Mean of predictor
    0.06695
  • Mean of criterion
    0.08620
  • SD of predictor
    0.11811
  • SD of criterion
    0.07770
  • Covariance
    0.00436
  • r
    0.47465
  • b (slope, estimate of beta)
    0.31226
  • a (intercept, estimate of alpha)
    0.06529
  • Mean Square Error
    0.00468
  • DF error
    706.00000
  • t(b)
    14.32880
  • p(b)
    0.00000
  • t(a)
    1.56733
  • p(a)
    0.05874
  • Lowerbound of 95% confidence interval for beta
    0.26948
  • Upperbound of 95% confidence interval for beta
    0.35505
  • Lowerbound of 95% confidence interval for alpha
    -0.01650
  • Upperbound of 95% confidence interval for alpha
    0.14709
  • Treynor index (mean / b)
    0.27606
  • Jensen alpha (a)
    0.06529
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00754
  • Expected Shortfall on VaR
    0.00953
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00366
  • Expected Shortfall on VaR
    0.00698
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    708.00000
  • Minimum
    0.98375
  • Quartile 1
    0.99763
  • Median
    1.00042
  • Quartile 3
    1.00319
  • Maximum
    1.03542
  • Mean of quarter 1
    0.99467
  • Mean of quarter 2
    0.99906
  • Mean of quarter 3
    1.00184
  • Mean of quarter 4
    1.00623
  • Inter Quartile Range
    0.00556
  • Number outliers low
    15.00000
  • Percentage of outliers low
    0.02119
  • Mean of outliers low
    0.98799
  • Number of outliers high
    11.00000
  • Percentage of outliers high
    0.01554
  • Mean of outliers high
    1.01595
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.13706
  • VaR(95%) (moments method)
    0.00532
  • Expected Shortfall (moments method)
    0.00769
  • Extreme Value Index (regression method)
    -0.11112
  • VaR(95%) (regression method)
    0.00503
  • Expected Shortfall (regression method)
    0.00639
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    48.00000
  • Minimum
    0.00006
  • Quartile 1
    0.00282
  • Median
    0.00546
  • Quartile 3
    0.02283
  • Maximum
    0.09559
  • Mean of quarter 1
    0.00135
  • Mean of quarter 2
    0.00369
  • Mean of quarter 3
    0.01387
  • Mean of quarter 4
    0.04300
  • Inter Quartile Range
    0.02001
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.08333
  • Mean of outliers high
    0.07045
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.43356
  • VaR(95%) (moments method)
    0.05030
  • Expected Shortfall (moments method)
    0.09094
  • Extreme Value Index (regression method)
    0.80039
  • VaR(95%) (regression method)
    0.03925
  • Expected Shortfall (regression method)
    0.12065
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.13366
  • Compounded annual return (geometric extrapolation)
    0.12087
  • Calmar ratio (compounded annual return / max draw down)
    1.26450
  • Compounded annual return / average of 25% largest draw downs
    2.81120
  • Compounded annual return / Expected Shortfall lognormal
    12.68900
  • 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
    -0.16600
  • SD
    0.08043
  • Sharpe ratio (Glass type estimate)
    -2.06390
  • Sharpe ratio (Hedges UMVUE)
    -2.05197
  • df
    130.00000
  • t
    -1.45940
  • p
    0.56348
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.84316
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.72311
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.83498
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.73103
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.61065
  • Upside Potential Ratio
    6.69186
  • Upside part of mean
    0.42551
  • Downside part of mean
    -0.59152
  • Upside SD
    0.04982
  • Downside SD
    0.06359
  • N nonnegative terms
    61.00000
  • N negative terms
    70.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.11683
  • Mean of criterion
    -0.16600
  • SD of predictor
    0.14819
  • SD of criterion
    0.08043
  • Covariance
    0.00637
  • r
    0.53452
  • b (slope, estimate of beta)
    0.29011
  • a (intercept, estimate of alpha)
    -0.13211
  • Mean Square Error
    0.00466
  • DF error
    129.00000
  • t(b)
    7.18326
  • p(b)
    0.17669
  • t(a)
    -1.36730
  • p(a)
    0.57591
  • Lowerbound of 95% confidence interval for beta
    0.21020
  • Upperbound of 95% confidence interval for beta
    0.37001
  • Lowerbound of 95% confidence interval for alpha
    -0.32328
  • Upperbound of 95% confidence interval for alpha
    0.05906
  • Treynor index (mean / b)
    -0.57221
  • Jensen alpha (a)
    -0.13211
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.16925
  • SD
    0.08049
  • Sharpe ratio (Glass type estimate)
    -2.10287
  • Sharpe ratio (Hedges UMVUE)
    -2.09071
  • df
    130.00000
  • t
    -1.48695
  • p
    0.56466
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.88244
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.68458
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.87414
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.69272
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.65079
  • Upside Potential Ratio
    6.64429
  • Upside part of mean
    0.42423
  • Downside part of mean
    -0.59349
  • Upside SD
    0.04961
  • Downside SD
    0.06385
  • N nonnegative terms
    61.00000
  • N negative terms
    70.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.12780
  • Mean of criterion
    -0.16925
  • SD of predictor
    0.14884
  • SD of criterion
    0.08049
  • Covariance
    0.00643
  • r
    0.53684
  • b (slope, estimate of beta)
    0.29030
  • a (intercept, estimate of alpha)
    -0.13215
  • Mean Square Error
    0.00465
  • DF error
    129.00000
  • t(b)
    7.22704
  • p(b)
    0.17545
  • t(a)
    -1.36886
  • p(a)
    0.57599
  • Lowerbound of 95% confidence interval for beta
    0.21083
  • Upperbound of 95% confidence interval for beta
    0.36978
  • Lowerbound of 95% confidence interval for alpha
    -0.32316
  • Upperbound of 95% confidence interval for alpha
    0.05886
  • Treynor index (mean / b)
    -0.58302
  • Jensen alpha (a)
    -0.13215
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00879
  • Expected Shortfall on VaR
    0.01084
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00547
  • Expected Shortfall on VaR
    0.00959
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.98846
  • Quartile 1
    0.99663
  • Median
    0.99975
  • Quartile 3
    1.00274
  • Maximum
    1.01515
  • Mean of quarter 1
    0.99299
  • Mean of quarter 2
    0.99828
  • Mean of quarter 3
    1.00124
  • Mean of quarter 4
    1.00543
  • Inter Quartile Range
    0.00611
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.01527
  • Mean of outliers high
    1.01355
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.33546
  • VaR(95%) (moments method)
    0.00725
  • Expected Shortfall (moments method)
    0.00856
  • Extreme Value Index (regression method)
    -0.80431
  • VaR(95%) (regression method)
    0.00741
  • Expected Shortfall (regression method)
    0.00805
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00050
  • Quartile 1
    0.00229
  • Median
    0.02617
  • Quartile 3
    0.02722
  • Maximum
    0.09559
  • Mean of quarter 1
    0.00116
  • Mean of quarter 2
    0.01447
  • Mean of quarter 3
    0.02660
  • Mean of quarter 4
    0.06172
  • Inter Quartile Range
    0.02494
  • 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
    0.09559
  • 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)
    -0.13647
  • Compounded annual return (geometric extrapolation)
    -0.13181
  • Calmar ratio (compounded annual return / max draw down)
    -1.37891
  • Compounded annual return / average of 25% largest draw downs
    -2.13577
  • Compounded annual return / Expected Shortfall lognormal
    -12.15750

Strategy Description

Diversified US All Cap Equity portfolio with 40-65 holdings. Long Only. Low Volatility bias. Built for Money managers, RIAs, The portfolio seeks to invest in good value, high growth companies with leading technologies and reasonable competitive advantages. Aims to outperform the overall Equity market over the complete market cycle.

Summary Statistics

Strategy began
2016-03-20
Suggested Minimum Capital
$15,000
# Trades
478
# Profitable
297
% Profitable
62.1%
Net Dividends
Correlation S&P500
0.466
Sharpe Ratio
1.146

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

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