Collective2 Collective2
Featured Strategy Lazy Trading ES +43.4% Cumul. Return since Sep 25, 2024 Hypothetical

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These are hypothetical performance results that have certain inherent limitations. Learn more
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International Value
(120610209)

Created by: NBTK NBTK
Started: 10/2018
Stocks
Last trade: 21 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 $100.00 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."
19.9%
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.

(79.5%)
Max Drawdown
185
Num Trades
65.4%
Win Trades
1.7 : 1
Profit Factor
58.1%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2018                                                               (0.5%)+0.1%(7.1%)(7.5%)
2019+14.0%+10.6%+5.1%+0.4%(4.5%)+8.6%+7.5%(5.5%)+5.9%+8.7%+15.1%+8.7%+101.8%
2020(9%)(19.4%)(45.4%)+29.6%+13.5%+12.7%+11.1%+3.6%  -  (7.3%)+10.2%+18.5%(7.6%)
2021+47.1%(11.7%)+5.7%+9.6%+11.6%(9.9%)+9.4%(6.8%)(10%)+8.0%(4%)+2.9%+48.1%
2022+0.9%+23.6%(0.8%)(15.8%)(15.9%)(16.3%)+4.6%(6.6%)(3.1%)+0.3%+15.6%(2.9%)(21.9%)
2023+10.3%(7.1%)+10.2%+6.0%(12.2%)+1.0%+6.4%(7.1%)(6.1%)(2.9%)+6.5%+2.6%+4.4%
2024+4.2%+2.2%+17.7%(0.4%)(1.2%)(11.9%)+8.3%(2.7%)+5.0%+22.0%(1.6%)      +44.3%

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 891 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
9/24/24 10:23 BABA ALIBABA GROUP HOLDING LIMITED LONG 100 94.66 10/23 13:07 101.41 0.08%
Trade id #149492730
Max drawdown($45)
Time9/25/24 0:00
Quant open75
Worst price94.06
Drawdown as % of equity-0.08%
 $672
Includes Typical Broker Commissions trade costs of $2.00
7/6/22 11:29 LVHI LEGG MASON INTL LOW VLTY HI DVDND ETF LONG 400 25.48 9/19/24 9:52 28.95 1.71%
Trade id #140977650
Max drawdown($760)
Time10/13/22 0:00
Quant open400
Worst price23.58
Drawdown as % of equity-1.71%
 $1,379
Includes Typical Broker Commissions trade costs of $8.00
7/16/24 14:06 SMR NUSCALE POWER CORPORATION LONG 600 11.41 9/19 9:51 8.84 4.75%
Trade id #148663547
Max drawdown($2,719)
Time9/6/24 0:00
Quant open600
Worst price6.88
Drawdown as % of equity-4.75%
 ($1,559)
Includes Typical Broker Commissions trade costs of $12.00
4/11/24 11:12 JXI ISHARES S&P GLOBAL UTILITIES LONG 150 57.28 9/19 9:50 67.48 0.24%
Trade id #147872659
Max drawdown($148)
Time4/16/24 0:00
Quant open125
Worst price56.29
Drawdown as % of equity-0.24%
 $1,526
Includes Typical Broker Commissions trade costs of $3.00
3/2/23 10:53 KXI ISHARES S&P GLOBAL CONSUMER ST LONG 200 58.96 9/18/24 11:49 62.23 0.99%
Trade id #143752764
Max drawdown($453)
Time10/6/23 0:00
Quant open100
Worst price54.72
Drawdown as % of equity-0.99%
 $650
Includes Typical Broker Commissions trade costs of $4.00
7/5/24 12:06 CCJ CAMECO LONG 175 48.34 9/18 11:48 38.86 3.94%
Trade id #148578655
Max drawdown($2,259)
Time8/5/24 0:00
Quant open175
Worst price35.43
Drawdown as % of equity-3.94%
 ($1,663)
Includes Typical Broker Commissions trade costs of $3.50
2/8/24 12:04 MEOH METHANEX LONG 150 44.78 9/10 15:50 39.49 1.45%
Trade id #147260041
Max drawdown($800)
Time9/10/24 15:50
Quant open100
Worst price36.78
Drawdown as % of equity-1.45%
 ($798)
Includes Typical Broker Commissions trade costs of $3.00
4/25/24 11:11 NVDS AXS 1.25X NVDA BEAR DAILY ETF LONG 250 68.12 8/29 12:49 39.42 11.48%
Trade id #148009849
Max drawdown($7,055)
Time6/6/24 0:00
Quant open250
Worst price39.90
Drawdown as % of equity-11.48%
 ($7,180)
Includes Typical Broker Commissions trade costs of $5.00
2/10/23 10:54 EFV ISHARES MSCI EAFE VALUE ETF LONG 150 48.91 8/2/24 9:37 52.05 1.03%
Trade id #143541407
Max drawdown($535)
Time3/15/23 0:00
Quant open150
Worst price45.34
Drawdown as % of equity-1.03%
 $468
Includes Typical Broker Commissions trade costs of $3.00
2/10/23 10:53 IDV ISHARES INTERNATIONAL SELECT DIVIDEND ETF LONG 325 27.79 8/2/24 9:36 27.42 1.32%
Trade id #143541390
Max drawdown($657)
Time10/23/23 0:00
Quant open175
Worst price24.34
Drawdown as % of equity-1.32%
 ($126)
Includes Typical Broker Commissions trade costs of $6.50
3/28/24 13:55 CPER UNITED STATES COPPER LONG 150 25.11 8/2 9:36 25.80 0%
Trade id #147757127
Max drawdown($3)
Time3/28/24 15:04
Quant open150
Worst price25.09
Drawdown as % of equity-0.00%
 $101
Includes Typical Broker Commissions trade costs of $3.00
3/5/24 14:28 DJT TRUMP MEDIA & TECHNOLOGY GROUP CORP. LONG 350 39.22 7/15 9:37 47.68 4.27%
Trade id #147543125
Max drawdown($2,641)
Time4/16/24 0:00
Quant open125
Worst price22.55
Drawdown as % of equity-4.27%
 $2,954
Includes Typical Broker Commissions trade costs of $7.00
3/11/24 11:58 THLLY THALES ADR LONG 150 31.41 6/27 13:38 32.58 0.04%
Trade id #147593605
Max drawdown($24)
Time3/11/24 12:54
Quant open100
Worst price30.61
Drawdown as % of equity-0.04%
 $171
Includes Typical Broker Commissions trade costs of $3.00
1/11/24 13:05 XYLD GLOBAL X S&P 500 COVERED CALL ETF LONG 225 39.74 5/23 13:41 40.03 0.09%
Trade id #146977277
Max drawdown($56)
Time4/22/24 0:00
Quant open200
Worst price39.48
Drawdown as % of equity-0.09%
 $62
Includes Typical Broker Commissions trade costs of $4.50
4/29/24 10:32 TSLQ AXS TSLA BEAR DAILY ETF LONG 250 34.43 5/23 11:50 36.10 0.37%
Trade id #148038290
Max drawdown($235)
Time4/29/24 12:30
Quant open100
Worst price31.91
Drawdown as % of equity-0.37%
 $411
Includes Typical Broker Commissions trade costs of $5.00
3/18/24 14:25 MDT MEDTRONIC PLC LONG 95 83.21 4/29 13:15 82.30 0.55%
Trade id #147675648
Max drawdown($334)
Time4/18/24 0:00
Quant open70
Worst price78.43
Drawdown as % of equity-0.55%
 ($88)
Includes Typical Broker Commissions trade costs of $1.90
1/11/24 12:57 FMX FOMENTO ECONOMICO LONG 85 127.42 4/17 12:47 123.20 1.06%
Trade id #146977163
Max drawdown($590)
Time2/26/24 0:00
Quant open50
Worst price116.84
Drawdown as % of equity-1.06%
 ($360)
Includes Typical Broker Commissions trade costs of $1.70
12/12/23 15:00 INDA ISHARES MSCI INDIA ETF LONG 75 47.35 4/17/24 11:38 50.98 0%
Trade id #146674653
Max drawdown($0)
Time12/12/23 15:41
Quant open75
Worst price47.35
Drawdown as % of equity-0.00%
 $271
Includes Typical Broker Commissions trade costs of $1.50
12/14/23 13:21 EWP ISHARES MSCI SPAIN ETF LONG 150 30.18 4/16/24 13:46 30.62 0.4%
Trade id #146704009
Max drawdown($221)
Time2/13/24 0:00
Quant open150
Worst price28.71
Drawdown as % of equity-0.40%
 $63
Includes Typical Broker Commissions trade costs of $3.00
12/12/23 15:04 EWO ISHARES MSCI AUSTRIA ETF LONG 150 20.91 4/16/24 13:46 21.37 0.15%
Trade id #146674719
Max drawdown($80)
Time2/13/24 0:00
Quant open150
Worst price20.37
Drawdown as % of equity-0.15%
 $66
Includes Typical Broker Commissions trade costs of $3.00
12/12/23 14:58 VEU VANGUARD FTSE ALL-WORLD EX-US LONG 100 54.65 4/16/24 10:43 56.81 0.19%
Trade id #146674625
Max drawdown($96)
Time1/17/24 0:00
Quant open100
Worst price53.68
Drawdown as % of equity-0.19%
 $215
Includes Typical Broker Commissions trade costs of $2.00
12/14/23 13:34 PDBC POWERSHARES DB OPT YLD DIV COM LONG 200 13.91 4/15/24 9:56 14.23 0.34%
Trade id #146704160
Max drawdown($173)
Time1/8/24 0:00
Quant open200
Worst price13.05
Drawdown as % of equity-0.34%
 $60
Includes Typical Broker Commissions trade costs of $4.00
3/4/24 14:21 ECH ISHARES MSCI CHILE CAPPED ETF LONG 100 25.66 4/12 12:58 26.71 0.11%
Trade id #147531317
Max drawdown($60)
Time3/5/24 0:00
Quant open100
Worst price25.06
Drawdown as % of equity-0.11%
 $103
Includes Typical Broker Commissions trade costs of $2.00
12/12/23 15:03 ARGT GLOBAL X MSCI ARGENTINA 20 ETF LONG 50 51.35 4/12/24 12:55 56.34 0.29%
Trade id #146674707
Max drawdown($144)
Time1/17/24 0:00
Quant open50
Worst price48.47
Drawdown as % of equity-0.29%
 $248
Includes Typical Broker Commissions trade costs of $1.00
1/11/24 13:46 GXG FTSE COLOMBIA 20 ETF LONG 150 23.72 4/12 12:54 26.40 0.39%
Trade id #146977804
Max drawdown($202)
Time2/14/24 0:00
Quant open150
Worst price22.37
Drawdown as % of equity-0.39%
 $400
Includes Typical Broker Commissions trade costs of $3.00
8/11/23 10:51 AEM AGNICO EAGLE MINES LIMITED LONG 50 48.94 4/9/24 10:29 62.36 0.61%
Trade id #145505011
Max drawdown($285)
Time10/4/23 0:00
Quant open50
Worst price43.22
Drawdown as % of equity-0.61%
 $670
Includes Typical Broker Commissions trade costs of $1.00
12/14/23 13:17 JPMB JPMORGAN USD EMERGING MARKETS SOVEREIGN BOND ETF LONG 100 39.64 3/27/24 11:56 39.32 0.18%
Trade id #146703976
Max drawdown($97)
Time2/13/24 0:00
Quant open75
Worst price38.52
Drawdown as % of equity-0.18%
 ($34)
Includes Typical Broker Commissions trade costs of $2.00
8/11/23 10:49 SU SUNCOR ENERGY LONG 75 31.85 3/27/24 11:55 36.32 0.37%
Trade id #145504973
Max drawdown($180)
Time12/12/23 0:00
Quant open75
Worst price29.45
Drawdown as % of equity-0.37%
 $334
Includes Typical Broker Commissions trade costs of $1.50
8/11/23 10:55 ALLE ALLEGION PLC LONG 35 111.18 3/19/24 12:52 122.91 1.03%
Trade id #145505061
Max drawdown($517)
Time10/20/23 0:00
Quant open35
Worst price96.39
Drawdown as % of equity-1.03%
 $410
Includes Typical Broker Commissions trade costs of $0.70
2/5/24 11:43 DWAC DIGITAL WORLD ACQUISITION CORP. CLASS A LONG 100 43.50 2/15 10:08 53.17 0.57%
Trade id #147229003
Max drawdown($310)
Time2/13/24 0:00
Quant open100
Worst price40.40
Drawdown as % of equity-0.57%
 $965
Includes Typical Broker Commissions trade costs of $2.00
Next

Statistics

  • Strategy began
    10/29/2018
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    2212.45
  • Age
    74 months ago
  • What it trades
    Stocks
  • # Trades
    185
  • # Profitable
    121
  • % Profitable
    65.40%
  • Avg trade duration
    149.6 days
  • Max peak-to-valley drawdown
    79.49%
  • drawdown period
    March 08, 2022 - May 18, 2024
  • Annual Return (Compounded)
    19.9%
  • Avg win
    $1,028
  • Avg loss
    $1,379
  • Model Account Values (Raw)
  • Cash
    $10,118
  • Margin Used
    $0
  • Buying Power
    $32,536
  • Ratios
  • W:L ratio
    1.66:1
  • Sharpe Ratio
    0.51
  • Sortino Ratio
    0.73
  • Calmar Ratio
    0.354
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    77.88%
  • Correlation to SP500
    0.39130
  • Return Percent SP500 (cumu) during strategy life
    123.14%
  • Return Statistics
  • Ann Return (w trading costs)
    19.9%
  • Slump
  • Current Slump as Pcnt Equity
    22.90%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.45%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.199%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    22.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    84.50%
  • Chance of 20% account loss
    76.00%
  • Chance of 30% account loss
    69.50%
  • Chance of 40% account loss
    60.00%
  • Chance of 60% account loss (Monte Carlo)
    31.50%
  • Chance of 70% account loss (Monte Carlo)
    24.50%
  • Chance of 80% account loss (Monte Carlo)
    5.00%
  • Chance of 90% account loss (Monte Carlo)
    1.00%
  • 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
    48.00%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    587
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    471
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $1,418
  • Avg Win
    $1,143
  • Sum Trade PL (losers)
    $89,343.000
  • Age
  • Num Months filled monthly returns table
    74
  • Win / Loss
  • Sum Trade PL (winners)
    $139,468.000
  • # Winners
    122
  • Num Months Winners
    43
  • Dividends
  • Dividends Received in Model Acct
    10936
  • AUM
  • AUM (AutoTrader live capital)
    139818
  • Win / Loss
  • # Losers
    63
  • % Winners
    66.0%
  • Frequency
  • Avg Position Time (mins)
    215469.00
  • Avg Position Time (hrs)
    3591.15
  • Avg Trade Length
    149.6 days
  • Last Trade Ago
    6
  • Leverage
  • Daily leverage (average)
    1.62
  • Daily leverage (max)
    2.26
  • Regression
  • Alpha
    0.04
  • Beta
    0.74
  • Treynor Index
    0.09
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    14.84
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    3.21
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    1.96
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.04
  • Avg(MAE) / Avg(PL) - All trades
    3.446
  • 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
    0.04
  • Avg(MAE) / Avg(PL) - Winning trades
    0.335
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.169
  • Hold-and-Hope Ratio
    0.245
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.25040
  • SD
    0.36975
  • Sharpe ratio (Glass type estimate)
    0.67721
  • Sharpe ratio (Hedges UMVUE)
    0.66993
  • df
    70.00000
  • t
    1.64726
  • p
    0.05199
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.13866
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.48837
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.14344
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.48330
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.08094
  • Upside Potential Ratio
    2.55892
  • Upside part of mean
    0.59278
  • Downside part of mean
    -0.34237
  • Upside SD
    0.29386
  • Downside SD
    0.23165
  • N nonnegative terms
    42.00000
  • N negative terms
    29.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    71.00000
  • Mean of predictor
    0.11965
  • Mean of criterion
    0.25040
  • SD of predictor
    0.15717
  • SD of criterion
    0.36975
  • Covariance
    0.03314
  • r
    0.57036
  • b (slope, estimate of beta)
    1.34184
  • a (intercept, estimate of alpha)
    0.08984
  • Mean Square Error
    0.09358
  • DF error
    69.00000
  • t(b)
    5.76790
  • p(b)
    0.00000
  • t(a)
    0.69751
  • p(a)
    0.24391
  • Lowerbound of 95% confidence interval for beta
    0.87774
  • Upperbound of 95% confidence interval for beta
    1.80595
  • Lowerbound of 95% confidence interval for alpha
    -0.16712
  • Upperbound of 95% confidence interval for alpha
    0.34681
  • Treynor index (mean / b)
    0.18661
  • Jensen alpha (a)
    0.08984
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.17981
  • SD
    0.37553
  • Sharpe ratio (Glass type estimate)
    0.47883
  • Sharpe ratio (Hedges UMVUE)
    0.47368
  • df
    70.00000
  • t
    1.16471
  • p
    0.12404
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.33251
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.28679
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.33590
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.28326
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.68028
  • Upside Potential Ratio
    2.09321
  • Upside part of mean
    0.55329
  • Downside part of mean
    -0.37347
  • Upside SD
    0.26807
  • Downside SD
    0.26432
  • N nonnegative terms
    42.00000
  • N negative terms
    29.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    71.00000
  • Mean of predictor
    0.10653
  • Mean of criterion
    0.17981
  • SD of predictor
    0.15900
  • SD of criterion
    0.37553
  • Covariance
    0.03540
  • r
    0.59286
  • b (slope, estimate of beta)
    1.40021
  • a (intercept, estimate of alpha)
    0.03066
  • Mean Square Error
    0.09278
  • DF error
    69.00000
  • t(b)
    6.11523
  • p(b)
    0.00000
  • t(a)
    0.24029
  • p(a)
    0.40541
  • Lowerbound of 95% confidence interval for beta
    0.94342
  • Upperbound of 95% confidence interval for beta
    1.85699
  • Lowerbound of 95% confidence interval for alpha
    -0.22386
  • Upperbound of 95% confidence interval for alpha
    0.28517
  • Treynor index (mean / b)
    0.12842
  • Jensen alpha (a)
    0.03066
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.15069
  • Expected Shortfall on VaR
    0.18765
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.05664
  • Expected Shortfall on VaR
    0.12119
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    71.00000
  • Minimum
    0.66993
  • Quartile 1
    0.97194
  • Median
    1.01694
  • Quartile 3
    1.07961
  • Maximum
    1.34850
  • Mean of quarter 1
    0.89844
  • Mean of quarter 2
    0.99656
  • Mean of quarter 3
    1.05113
  • Mean of quarter 4
    1.14820
  • Inter Quartile Range
    0.10767
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.02817
  • Mean of outliers low
    0.70215
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.01408
  • Mean of outliers high
    1.34850
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.28022
  • VaR(95%) (moments method)
    0.08862
  • Expected Shortfall (moments method)
    0.15444
  • Extreme Value Index (regression method)
    0.50927
  • VaR(95%) (regression method)
    0.11049
  • Expected Shortfall (regression method)
    0.26248
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.01308
  • Quartile 1
    0.05724
  • Median
    0.09596
  • Quartile 3
    0.29707
  • Maximum
    0.47268
  • Mean of quarter 1
    0.03336
  • Mean of quarter 2
    0.07840
  • Mean of quarter 3
    0.18909
  • Mean of quarter 4
    0.43887
  • Inter Quartile Range
    0.23983
  • 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)
    0.40865
  • Compounded annual return (geometric extrapolation)
    0.23087
  • Calmar ratio (compounded annual return / max draw down)
    0.48843
  • Compounded annual return / average of 25% largest draw downs
    0.52606
  • Compounded annual return / Expected Shortfall lognormal
    1.23029
  • 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
    0.22161
  • SD
    0.29181
  • Sharpe ratio (Glass type estimate)
    0.75944
  • Sharpe ratio (Hedges UMVUE)
    0.75908
  • df
    1569.00000
  • t
    1.85906
  • p
    0.47016
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.04176
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.56042
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.04202
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.56018
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.04450
  • Upside Potential Ratio
    7.76184
  • Upside part of mean
    1.64685
  • Downside part of mean
    -1.42523
  • Upside SD
    0.20067
  • Downside SD
    0.21217
  • N nonnegative terms
    848.00000
  • N negative terms
    722.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1570.00000
  • Mean of predictor
    0.12712
  • Mean of criterion
    0.22161
  • SD of predictor
    0.20475
  • SD of criterion
    0.29181
  • Covariance
    0.02718
  • r
    0.45482
  • b (slope, estimate of beta)
    0.64820
  • a (intercept, estimate of alpha)
    0.13900
  • Mean Square Error
    0.06758
  • DF error
    1568.00000
  • t(b)
    20.22260
  • p(b)
    0.27259
  • t(a)
    1.30994
  • p(a)
    0.48347
  • Lowerbound of 95% confidence interval for beta
    0.58533
  • Upperbound of 95% confidence interval for beta
    0.71108
  • Lowerbound of 95% confidence interval for alpha
    -0.06924
  • Upperbound of 95% confidence interval for alpha
    0.34767
  • Treynor index (mean / b)
    0.34189
  • Jensen alpha (a)
    0.13922
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.17836
  • SD
    0.29507
  • Sharpe ratio (Glass type estimate)
    0.60447
  • Sharpe ratio (Hedges UMVUE)
    0.60418
  • df
    1569.00000
  • t
    1.47971
  • p
    0.47624
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.19655
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.40533
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.19676
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.40512
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.80947
  • Upside Potential Ratio
    7.38431
  • Upside part of mean
    1.62711
  • Downside part of mean
    -1.44874
  • Upside SD
    0.19642
  • Downside SD
    0.22035
  • N nonnegative terms
    848.00000
  • N negative terms
    722.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1570.00000
  • Mean of predictor
    0.10603
  • Mean of criterion
    0.17836
  • SD of predictor
    0.20553
  • SD of criterion
    0.29507
  • Covariance
    0.02807
  • r
    0.46280
  • b (slope, estimate of beta)
    0.66442
  • a (intercept, estimate of alpha)
    0.10791
  • Mean Square Error
    0.06846
  • DF error
    1568.00000
  • t(b)
    20.67310
  • p(b)
    0.26860
  • t(a)
    1.00908
  • p(a)
    0.48726
  • Lowerbound of 95% confidence interval for beta
    0.60138
  • Upperbound of 95% confidence interval for beta
    0.72746
  • Lowerbound of 95% confidence interval for alpha
    -0.10185
  • Upperbound of 95% confidence interval for alpha
    0.31768
  • Treynor index (mean / b)
    0.26845
  • Jensen alpha (a)
    0.10791
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02888
  • Expected Shortfall on VaR
    0.03623
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01168
  • Expected Shortfall on VaR
    0.02478
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1570.00000
  • Minimum
    0.83572
  • Quartile 1
    0.99351
  • Median
    1.00119
  • Quartile 3
    1.00930
  • Maximum
    1.14139
  • Mean of quarter 1
    0.98094
  • Mean of quarter 2
    0.99763
  • Mean of quarter 3
    1.00478
  • Mean of quarter 4
    1.02046
  • Inter Quartile Range
    0.01579
  • Number outliers low
    52.00000
  • Percentage of outliers low
    0.03312
  • Mean of outliers low
    0.94803
  • Number of outliers high
    48.00000
  • Percentage of outliers high
    0.03057
  • Mean of outliers high
    1.04672
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.32221
  • VaR(95%) (moments method)
    0.01826
  • Expected Shortfall (moments method)
    0.03210
  • Extreme Value Index (regression method)
    0.25587
  • VaR(95%) (regression method)
    0.01700
  • Expected Shortfall (regression method)
    0.02769
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    49.00000
  • Minimum
    0.00015
  • Quartile 1
    0.00465
  • Median
    0.01276
  • Quartile 3
    0.03803
  • Maximum
    0.64736
  • Mean of quarter 1
    0.00217
  • Mean of quarter 2
    0.00804
  • Mean of quarter 3
    0.02172
  • Mean of quarter 4
    0.17705
  • Inter Quartile Range
    0.03338
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.14286
  • Mean of outliers high
    0.26606
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.78658
  • VaR(95%) (moments method)
    0.17296
  • Expected Shortfall (moments method)
    0.87005
  • Extreme Value Index (regression method)
    0.65330
  • VaR(95%) (regression method)
    0.18586
  • Expected Shortfall (regression method)
    0.60832
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.40752
  • Compounded annual return (geometric extrapolation)
    0.22909
  • Calmar ratio (compounded annual return / max draw down)
    0.35388
  • Compounded annual return / average of 25% largest draw downs
    1.29388
  • Compounded annual return / Expected Shortfall lognormal
    6.32371
  • 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
    0.12907
  • SD
    0.22098
  • Sharpe ratio (Glass type estimate)
    0.58408
  • Sharpe ratio (Hedges UMVUE)
    0.58070
  • df
    130.00000
  • t
    0.41301
  • p
    0.48190
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.18972
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.35571
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.19200
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.35341
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.84971
  • Upside Potential Ratio
    9.67692
  • Upside part of mean
    1.46994
  • Downside part of mean
    -1.34087
  • Upside SD
    0.15953
  • Downside SD
    0.15190
  • N nonnegative terms
    63.00000
  • N negative terms
    68.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.19057
  • Mean of criterion
    0.12907
  • SD of predictor
    0.13555
  • SD of criterion
    0.22098
  • Covariance
    0.01046
  • r
    0.34927
  • b (slope, estimate of beta)
    0.56942
  • a (intercept, estimate of alpha)
    0.02056
  • Mean Square Error
    0.04321
  • DF error
    129.00000
  • t(b)
    4.23356
  • p(b)
    0.28225
  • t(a)
    0.06967
  • p(a)
    0.49610
  • Lowerbound of 95% confidence interval for beta
    0.30330
  • Upperbound of 95% confidence interval for beta
    0.83553
  • Lowerbound of 95% confidence interval for alpha
    -0.56327
  • Upperbound of 95% confidence interval for alpha
    0.60439
  • Treynor index (mean / b)
    0.22667
  • Jensen alpha (a)
    0.02056
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.10479
  • SD
    0.22107
  • Sharpe ratio (Glass type estimate)
    0.47402
  • Sharpe ratio (Hedges UMVUE)
    0.47128
  • df
    130.00000
  • t
    0.33518
  • p
    0.48531
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.29923
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.24558
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.30112
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.24368
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.68170
  • Upside Potential Ratio
    9.47959
  • Upside part of mean
    1.45724
  • Downside part of mean
    -1.35245
  • Upside SD
    0.15783
  • Downside SD
    0.15372
  • N nonnegative terms
    63.00000
  • N negative terms
    68.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.18135
  • Mean of criterion
    0.10479
  • SD of predictor
    0.13572
  • SD of criterion
    0.22107
  • Covariance
    0.01063
  • r
    0.35419
  • b (slope, estimate of beta)
    0.57693
  • a (intercept, estimate of alpha)
    0.00017
  • Mean Square Error
    0.04307
  • DF error
    129.00000
  • t(b)
    4.30172
  • p(b)
    0.27932
  • t(a)
    0.00056
  • p(a)
    0.49997
  • VAR (95 Confidence Intrvl)
    0.02900
  • Lowerbound of 95% confidence interval for beta
    0.31157
  • Upperbound of 95% confidence interval for beta
    0.84227
  • Lowerbound of 95% confidence interval for alpha
    -0.58254
  • Upperbound of 95% confidence interval for alpha
    0.58287
  • Treynor index (mean / b)
    0.18164
  • Jensen alpha (a)
    0.00017
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02182
  • Expected Shortfall on VaR
    0.02738
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01217
  • Expected Shortfall on VaR
    0.02222
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.95817
  • Quartile 1
    0.99150
  • Median
    0.99943
  • Quartile 3
    1.00989
  • Maximum
    1.03707
  • Mean of quarter 1
    0.98355
  • Mean of quarter 2
    0.99638
  • Mean of quarter 3
    1.00489
  • Mean of quarter 4
    1.01771
  • Inter Quartile Range
    0.01839
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.01527
  • Mean of outliers low
    0.96001
  • 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)
    -0.14070
  • VaR(95%) (moments method)
    0.01675
  • Expected Shortfall (moments method)
    0.02078
  • Extreme Value Index (regression method)
    0.27035
  • VaR(95%) (regression method)
    0.01524
  • Expected Shortfall (regression method)
    0.02222
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00526
  • Quartile 1
    0.01034
  • Median
    0.04594
  • Quartile 3
    0.10579
  • Maximum
    0.18365
  • Mean of quarter 1
    0.00526
  • Mean of quarter 2
    0.01203
  • Mean of quarter 3
    0.07984
  • Mean of quarter 4
    0.18365
  • Inter Quartile Range
    0.09546
  • 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
  • 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?
    -355979000
  • Max Equity Drawdown (num days)
    802
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.13720
  • Compounded annual return (geometric extrapolation)
    0.14191
  • Calmar ratio (compounded annual return / max draw down)
    0.77271
  • Compounded annual return / average of 25% largest draw downs
    0.77271
  • Compounded annual return / Expected Shortfall lognormal
    5.18330

Strategy Description

The Strategy invests in International stocks with perceived low valuations, stable business, or emerging growth opportunities.

The Strategy utilizes investments across all major market sectors with a focus on companies that have a market capitalization greater than ~$1.5B, with the majority of holdings significantly above $10B.

Margin is not required to emulate the International Value Strategy, however, we recommend investors consider enabling margin. From time to time we may incorporate small amounts of leverage in the strategy. The strategy DOES NOT sell securities short.

Trading stops are utilized to limit the downside in each position. On average the strategy's total downside risk is targeted at 15-20% of the value of the total holdings, with some positions above and some positions below this average level.

While no system can guarantee risk-free or low-risk trading, and while unforeseen events can cause you to lose money, we do make an effort to control risk.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2018-10-29
Suggested Minimum Capital
$15,000
# Trades
185
# Profitable
121
% Profitable
65.4%
Net Dividends
$10,936
Correlation S&P500
0.391
Sharpe Ratio
0.51
Sortino Ratio
0.73
Beta
0.74
Alpha
0.04
Leverage
1.62 Average
2.26 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.