Welcome to Collective2

Follow these tips for a better experience

Ok, let's start

Close
Add to Watch List Create new Watch List
Add
Enter a name for your Watch List.
Watch List name must be less than 60 characters.
You have reached the maximum number of custom Watch Lists.
You have reached the maximum number of strategies in this Watch List.
Strategy added to Watch List. Go to Watch List

Sim is unavailable for this strategy, because you've recently "Simmed" it.

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

NYSE Champions
(124971634)

Created by: tradePilot tradePilot
Started: 08/2019
Stocks
Last trade: 4 days ago
Trading style: Equity 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 $135.00 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
Hedged Equity
Category: Equity

Hedged Equity

Core holding of long equities hedged at all times with short sales of stocks and/or stock index options.
24.0%
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.

(12.0%)
Max Drawdown
58
Num Trades
53.4%
Win Trades
1.3 : 1
Profit Factor
71.4%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019                                                 +0.9%+13.2%+5.5%+7.6%+2.6%+33.1%
2020(2.5%)(4.4%)                                                            (6.8%)

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.

System developer has asked us to delay this information by 48 hours.

Trading Record

This strategy has placed 5 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
2/18/20 9:49 VIVO MERIDIAN BIOSCIENCE LONG 4,220 7.95 2/24 9:41 7.53 2.92%
Trade id #127572554
Max drawdown($1,814)
Time2/24/20 9:31
Quant open4,220
Worst price7.52
Drawdown as % of equity-2.92%
($1,777)
Includes Typical Broker Commissions trade costs of $5.00
2/10/20 11:14 BHE BENCHMARK ELECTRONICS LONG 1,224 26.12 2/18 9:46 27.62 0.24%
Trade id #127438753
Max drawdown($146)
Time2/10/20 11:54
Quant open1,224
Worst price26.00
Drawdown as % of equity-0.24%
$1,831
Includes Typical Broker Commissions trade costs of $5.00
2/3/20 10:16 RHI ROBERT HALF INTERNATIONAL LONG 548 59.02 2/10 11:13 59.29 0.7%
Trade id #127335444
Max drawdown($443)
Time2/3/20 16:00
Quant open548
Worst price58.21
Drawdown as % of equity-0.70%
$143
Includes Typical Broker Commissions trade costs of $5.00
2/3/20 10:19 SANM SANMINA LONG 998 32.17 2/10 10:41 30.16 3.39%
Trade id #127335506
Max drawdown($2,115)
Time2/10/20 9:31
Quant open998
Worst price30.05
Drawdown as % of equity-3.39%
($2,011)
Includes Typical Broker Commissions trade costs of $5.00
1/27/20 10:31 EBF ENNIS LONG 1,480 21.49 2/3 10:18 20.95 1.53%
Trade id #127233009
Max drawdown($998)
Time1/31/20 0:00
Quant open1,480
Worst price20.82
Drawdown as % of equity-1.53%
($816)
Includes Typical Broker Commissions trade costs of $9.64
1/27/20 10:25 NXGN NEXTGEN HEALTHCARE INC LONG 2,242 14.55 2/3 10:13 14.07 3.06%
Trade id #127232870
Max drawdown($1,995)
Time1/31/20 0:00
Quant open2,242
Worst price13.66
Drawdown as % of equity-3.06%
($1,081)
Includes Typical Broker Commissions trade costs of $5.00
1/27/20 10:28 SCWX SECUREWORKS CORP. CLASS A COMMON STOCK LONG 1,480 15.49 1/27 13:23 15.44 0.58%
Trade id #127232910
Max drawdown($384)
Time1/27/20 11:19
Quant open1,480
Worst price15.23
Drawdown as % of equity-0.58%
($79)
Includes Typical Broker Commissions trade costs of $5.00
1/13/20 10:32 SCWX SECUREWORKS CORP. CLASS A COMMON STOCK LONG 2,040 15.61 1/27 10:26 15.48 2.96%
Trade id #126969614
Max drawdown($1,998)
Time1/27/20 9:36
Quant open1,940
Worst price14.58
Drawdown as % of equity-2.96%
($264)
Includes Typical Broker Commissions trade costs of $6.00
1/21/20 10:35 RECN RESOURCES CONNECTION LONG 1,988 16.09 1/27 10:13 15.73 2.91%
Trade id #127117350
Max drawdown($1,966)
Time1/27/20 9:31
Quant open1,988
Worst price15.10
Drawdown as % of equity-2.91%
($721)
Includes Typical Broker Commissions trade costs of $5.00
1/13/20 10:31 ANGO ANGIODYNAMICS LONG 2,184 14.61 1/21 10:24 15.51 0.4%
Trade id #126969582
Max drawdown($262)
Time1/13/20 11:32
Quant open2,184
Worst price14.49
Drawdown as % of equity-0.40%
$1,961
Includes Typical Broker Commissions trade costs of $5.00
1/6/20 12:37 DNOW NOW INC LONG 2,870 11.45 1/13 10:28 11.19 1.66%
Trade id #126884179
Max drawdown($1,090)
Time1/13/20 9:41
Quant open2,870
Worst price11.07
Drawdown as % of equity-1.66%
($751)
Includes Typical Broker Commissions trade costs of $5.00
1/6/20 12:34 VNDA VANDA PHARMACEUTICALS LONG 1,990 16.29 1/13 10:26 15.88 2.4%
Trade id #126884151
Max drawdown($1,572)
Time1/13/20 9:36
Quant open1,990
Worst price15.50
Drawdown as % of equity-2.40%
($821)
Includes Typical Broker Commissions trade costs of $5.00
12/30/19 10:11 CVLT COMMVAULT SYSTEMS LONG 720 44.42 1/6/20 12:33 45.49 0.73%
Trade id #126789329
Max drawdown($468)
Time12/31/19 0:00
Quant open720
Worst price43.77
Drawdown as % of equity-0.73%
$765
Includes Typical Broker Commissions trade costs of $5.00
12/30/19 10:10 TMST TIMKENSTEEL CORP LONG 4,280 7.43 1/2/20 15:20 7.70 0.69%
Trade id #126789321
Max drawdown($449)
Time12/30/19 10:45
Quant open4,280
Worst price7.33
Drawdown as % of equity-0.69%
$1,129
Includes Typical Broker Commissions trade costs of $5.00
12/20/19 16:16 @M2KH0 MICRO E-MINI RUSSELL 2000 SHORT 7 1673.30 1/2/20 13:16 1658.40 0.78%
Trade id #126709664
Max drawdown($507)
Time12/27/19 0:00
Quant open7
Worst price1687.80
Drawdown as % of equity-0.78%
$515
Includes Typical Broker Commissions trade costs of $6.58
12/23/19 9:58 VNDA VANDA PHARMACEUTICALS LONG 1,916 16.75 12/30 10:11 16.66 0.44%
Trade id #126723979
Max drawdown($287)
Time12/30/19 10:00
Quant open1,916
Worst price16.60
Drawdown as % of equity-0.44%
($177)
Includes Typical Broker Commissions trade costs of $5.00
12/9/19 10:54 FFIV F5 NETWORKS LONG 228 137.97 12/30 10:08 139.30 1.92%
Trade id #126543399
Max drawdown($1,247)
Time12/20/19 0:00
Quant open228
Worst price132.50
Drawdown as % of equity-1.92%
$298
Includes Typical Broker Commissions trade costs of $4.56
12/16/19 9:42 NXGN NEXTGEN HEALTHCARE INC LONG 2,234 14.39 12/23 9:54 15.65 0.3%
Trade id #126637965
Max drawdown($187)
Time12/16/19 10:02
Quant open2,234
Worst price14.31
Drawdown as % of equity-0.30%
$2,801
Includes Typical Broker Commissions trade costs of $5.00
11/11/19 10:02 @M2KZ9 MICRO E-MINI RUSSELL 2000 SHORT 15 1598.24 12/20 16:15 1633.10 4.41%
Trade id #126153455
Max drawdown($2,861)
Time12/20/19 9:26
Quant open7
Worst price1680.00
Drawdown as % of equity-4.41%
($2,629)
Includes Typical Broker Commissions trade costs of $14.10
12/9/19 11:01 NTUS NATUS MEDICAL INC LONG 952 31.50 12/16 9:40 31.00 1.41%
Trade id #126543561
Max drawdown($904)
Time12/13/19 0:00
Quant open952
Worst price30.55
Drawdown as % of equity-1.41%
($481)
Includes Typical Broker Commissions trade costs of $5.00
11/25/19 9:43 NVEE NV5 GLOBAL INC. COMMON STOC LONG 632 47.52 12/9 11:00 45.88 2.19%
Trade id #126352294
Max drawdown($1,396)
Time12/9/19 10:01
Quant open632
Worst price45.31
Drawdown as % of equity-2.19%
($1,041)
Includes Typical Broker Commissions trade costs of $5.00
11/25/19 9:40 DNOW NOW INC LONG 2,620 11.50 12/9 10:52 11.37 3.43%
Trade id #126352170
Max drawdown($2,240)
Time12/3/19 0:00
Quant open2,620
Worst price10.64
Drawdown as % of equity-3.43%
($346)
Includes Typical Broker Commissions trade costs of $5.00
11/18/19 11:30 SCWX SECUREWORKS CORP. CLASS A COMMON STOCK LONG 2,688 11.30 11/25 9:40 11.48 1.56%
Trade id #126254836
Max drawdown($1,021)
Time11/20/19 0:00
Quant open2,688
Worst price10.92
Drawdown as % of equity-1.56%
$479
Includes Typical Broker Commissions trade costs of $5.00
11/11/19 10:00 VIVO MERIDIAN BIOSCIENCE LONG 3,850 7.79 11/25 9:37 8.86 0.89%
Trade id #126153406
Max drawdown($539)
Time11/11/19 10:17
Quant open3,850
Worst price7.65
Drawdown as % of equity-0.89%
$4,115
Includes Typical Broker Commissions trade costs of $5.00
11/11/19 9:59 MMI MARCUS & MILLICHAP INC LONG 876 34.26 11/18 11:00 35.89 0.49%
Trade id #126153347
Max drawdown($297)
Time11/11/19 11:41
Quant open876
Worst price33.92
Drawdown as % of equity-0.49%
$1,423
Includes Typical Broker Commissions trade costs of $5.00
10/25/19 13:45 @M2KZ9 MICRO E-MINI RUSSELL 2000 SHORT 9 1574.87 11/11 9:56 1593.80 2.13%
Trade id #125955715
Max drawdown($1,272)
Time11/4/19 0:00
Quant open6
Worst price1605.90
Drawdown as % of equity-2.13%
($860)
Includes Typical Broker Commissions trade costs of $8.46
11/4/19 10:17 SCWX SECUREWORKS CORP. CLASS A COMMON STOCK LONG 2,178 12.35 11/11 9:55 11.89 2.7%
Trade id #126061092
Max drawdown($1,622)
Time11/8/19 0:00
Quant open2,178
Worst price11.61
Drawdown as % of equity-2.70%
($1,007)
Includes Typical Broker Commissions trade costs of $5.00
10/28/19 9:50 LOGM LOGMEIN LONG 404 66.95 11/11 9:53 69.67 1.12%
Trade id #125973163
Max drawdown($670)
Time11/1/19 0:00
Quant open404
Worst price65.29
Drawdown as % of equity-1.12%
$1,091
Includes Typical Broker Commissions trade costs of $8.08
10/28/19 10:00 MTRN MATERION LONG 476 57.20 11/4 10:11 57.71 0.84%
Trade id #125973385
Max drawdown($514)
Time10/31/19 0:00
Quant open476
Worst price56.12
Drawdown as % of equity-0.84%
$233
Includes Typical Broker Commissions trade costs of $9.52
10/25/19 13:43 ECHO ECHO GLOBAL LOGISTICS LONG 1,218 22.18 10/28 9:52 23.21 0.02%
Trade id #125955674
Max drawdown($12)
Time10/25/19 13:44
Quant open1,218
Worst price22.17
Drawdown as % of equity-0.02%
$1,250
Includes Typical Broker Commissions trade costs of $5.00

Statistics

  • Strategy began
    8/16/2019
  • Suggested Minimum Cap
    $60,000
  • Strategy Age (days)
    195.91
  • Age
    7 months ago
  • What it trades
    Stocks
  • # Trades
    58
  • # Profitable
    31
  • % Profitable
    53.40%
  • Avg trade duration
    9.9 days
  • Max peak-to-valley drawdown
    11.97%
  • drawdown period
    Jan 08, 2020 - Feb 26, 2020
  • Cumul. Return
    24.0%
  • Avg win
    $1,256
  • Avg loss
    $1,099
  • Model Account Values (Raw)
  • Cash
    $6,079
  • Margin Used
    $0
  • Buying Power
    $5,846
  • Ratios
  • W:L ratio
    1.31:1
  • Sharpe Ratio
    1.74
  • Sortino Ratio
    2.76
  • Calmar Ratio
    5.437
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    23.00%
  • Correlation to SP500
    0.24240
  • Return Percent SP500 (cumu) during strategy life
    3.12%
  • Return Statistics
  • Ann Return (w trading costs)
    48.5%
  • Slump
  • Current Slump as Pcnt Equity
    0.11%
  • Instruments
  • Percent Trades Futures
    0.19%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.26%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.240%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    0.81%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    54.8%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    3.50%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    683
  • Popularity (Last 6 weeks)
    925
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    320
  • Popularity (7 days, Percentile 1000 scale)
    647
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Strat abandoned?
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $1,091
  • Avg Win
    $1,379
  • Sum Trade PL (losers)
    $29,444.000
  • Age
  • Num Months filled monthly returns table
    7
  • Win / Loss
  • Sum Trade PL (winners)
    $42,742.000
  • # Winners
    31
  • Num Months Winners
    5
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    27
  • % Winners
    53.5%
  • Frequency
  • Avg Position Time (mins)
    14319.30
  • Avg Position Time (hrs)
    238.65
  • Avg Trade Length
    9.9 days
  • Last Trade Ago
    4
  • Leverage
  • Daily leverage (average)
    1.68
  • Daily leverage (max)
    2.50
  • Regression
  • Alpha
    0.09
  • Beta
    0.34
  • Treynor Index
    0.30
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.59
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.03
  • Avg(MAE) / Avg(PL) - All trades
    7.932
  • 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
    0.07
  • Avg(MAE) / Avg(PL) - Winning trades
    0.400
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.462
  • Hold-and-Hope Ratio
    0.186
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.53990
  • SD
    0.31284
  • Sharpe ratio (Glass type estimate)
    1.72579
  • Sharpe ratio (Hedges UMVUE)
    1.45096
  • df
    5.00000
  • t
    1.22032
  • p
    0.13838
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.30734
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.61388
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.46309
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.36500
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.15837
  • Upside Potential Ratio
    8.04182
  • Upside part of mean
    0.70502
  • Downside part of mean
    -0.16512
  • Upside SD
    0.31331
  • Downside SD
    0.08767
  • N nonnegative terms
    4.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    6.00000
  • Mean of predictor
    0.29570
  • Mean of criterion
    0.53990
  • SD of predictor
    0.06271
  • SD of criterion
    0.31284
  • Covariance
    0.01366
  • r
    0.69623
  • b (slope, estimate of beta)
    3.47324
  • a (intercept, estimate of alpha)
    -0.48714
  • Mean Square Error
    0.06304
  • DF error
    4.00000
  • t(b)
    1.93986
  • p(b)
    0.06220
  • t(a)
    -0.76416
  • p(a)
    0.75632
  • Lowerbound of 95% confidence interval for beta
    -1.49884
  • Upperbound of 95% confidence interval for beta
    8.44532
  • Lowerbound of 95% confidence interval for alpha
    -2.25741
  • Upperbound of 95% confidence interval for alpha
    1.28313
  • Treynor index (mean / b)
    0.15545
  • Jensen alpha (a)
    -0.48714
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.49039
  • SD
    0.29477
  • Sharpe ratio (Glass type estimate)
    1.66362
  • Sharpe ratio (Hedges UMVUE)
    1.39868
  • df
    5.00000
  • t
    1.17635
  • p
    0.14620
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.35467
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.54069
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.50552
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.30289
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.46346
  • Upside Potential Ratio
    7.34294
  • Upside part of mean
    0.65908
  • Downside part of mean
    -0.16870
  • Upside SD
    0.29050
  • Downside SD
    0.08976
  • N nonnegative terms
    4.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    6.00000
  • Mean of predictor
    0.28988
  • Mean of criterion
    0.49039
  • SD of predictor
    0.06139
  • SD of criterion
    0.29477
  • Covariance
    0.01257
  • r
    0.69489
  • b (slope, estimate of beta)
    3.33653
  • a (intercept, estimate of alpha)
    -0.47681
  • Mean Square Error
    0.05617
  • DF error
    4.00000
  • t(b)
    1.93260
  • p(b)
    0.06272
  • t(a)
    -0.79161
  • p(a)
    0.76356
  • Lowerbound of 95% confidence interval for beta
    -1.45778
  • Upperbound of 95% confidence interval for beta
    8.13084
  • Lowerbound of 95% confidence interval for alpha
    -2.14946
  • Upperbound of 95% confidence interval for alpha
    1.19585
  • Treynor index (mean / b)
    0.14697
  • Jensen alpha (a)
    -0.47681
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.09435
  • Expected Shortfall on VaR
    0.12555
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02471
  • Expected Shortfall on VaR
    0.04857
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    6.00000
  • Minimum
    0.94630
  • Quartile 1
    0.98280
  • Median
    1.03282
  • Quartile 3
    1.09724
  • Maximum
    1.18713
  • Mean of quarter 1
    0.96105
  • Mean of quarter 2
    1.00384
  • Mean of quarter 3
    1.06180
  • Mean of quarter 4
    1.14809
  • Inter Quartile Range
    0.11443
  • 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 for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.02421
  • Quartile 1
    0.03158
  • Median
    0.03895
  • Quartile 3
    0.04632
  • Maximum
    0.05370
  • Mean of quarter 1
    0.02421
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.05370
  • Inter Quartile Range
    0.01474
  • 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)
    0.59165
  • Compounded annual return (geometric extrapolation)
    0.67916
  • Calmar ratio (compounded annual return / max draw down)
    12.64800
  • Compounded annual return / average of 25% largest draw downs
    12.64800
  • Compounded annual return / Expected Shortfall lognormal
    5.40930
  • 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
    0.42366
  • SD
    0.17526
  • Sharpe ratio (Glass type estimate)
    2.41735
  • Sharpe ratio (Hedges UMVUE)
    2.40409
  • df
    137.00000
  • t
    1.75440
  • p
    0.40598
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.30263
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.12869
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.31146
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.11964
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.90989
  • Upside Potential Ratio
    11.71810
  • Upside part of mean
    1.26972
  • Downside part of mean
    -0.84606
  • Upside SD
    0.13942
  • Downside SD
    0.10836
  • N nonnegative terms
    76.00000
  • N negative terms
    62.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    138.00000
  • Mean of predictor
    0.00165
  • Mean of criterion
    0.42366
  • SD of predictor
    0.14133
  • SD of criterion
    0.17526
  • Covariance
    0.00442
  • r
    0.17833
  • b (slope, estimate of beta)
    0.22113
  • a (intercept, estimate of alpha)
    0.42300
  • Mean Square Error
    0.02996
  • DF error
    136.00000
  • t(b)
    2.11353
  • p(b)
    0.41084
  • t(a)
    1.77493
  • p(a)
    0.42477
  • Lowerbound of 95% confidence interval for beta
    0.01423
  • Upperbound of 95% confidence interval for beta
    0.42804
  • Lowerbound of 95% confidence interval for alpha
    -0.04833
  • Upperbound of 95% confidence interval for alpha
    0.89491
  • Treynor index (mean / b)
    1.91584
  • Jensen alpha (a)
    0.42329
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.40807
  • SD
    0.17503
  • Sharpe ratio (Glass type estimate)
    2.33136
  • Sharpe ratio (Hedges UMVUE)
    2.31858
  • df
    137.00000
  • t
    1.69199
  • p
    0.40923
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.38745
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.04188
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.39593
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.03309
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.72117
  • Upside Potential Ratio
    11.49000
  • Upside part of mean
    1.26000
  • Downside part of mean
    -0.85193
  • Upside SD
    0.13793
  • Downside SD
    0.10966
  • N nonnegative terms
    76.00000
  • N negative terms
    62.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    138.00000
  • Mean of predictor
    -0.00838
  • Mean of criterion
    0.40807
  • SD of predictor
    0.14255
  • SD of criterion
    0.17503
  • Covariance
    0.00447
  • r
    0.17920
  • b (slope, estimate of beta)
    0.22004
  • a (intercept, estimate of alpha)
    0.40991
  • Mean Square Error
    0.02987
  • DF error
    136.00000
  • t(b)
    2.12422
  • p(b)
    0.41040
  • t(a)
    1.72127
  • p(a)
    0.42699
  • Lowerbound of 95% confidence interval for beta
    0.01519
  • Upperbound of 95% confidence interval for beta
    0.42488
  • Lowerbound of 95% confidence interval for alpha
    -0.06103
  • Upperbound of 95% confidence interval for alpha
    0.88085
  • Treynor index (mean / b)
    1.85454
  • Jensen alpha (a)
    0.40991
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01610
  • Expected Shortfall on VaR
    0.02053
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00694
  • Expected Shortfall on VaR
    0.01388
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    138.00000
  • Minimum
    0.95469
  • Quartile 1
    0.99506
  • Median
    1.00221
  • Quartile 3
    1.00700
  • Maximum
    1.03830
  • Mean of quarter 1
    0.98923
  • Mean of quarter 2
    0.99842
  • Mean of quarter 3
    1.00429
  • Mean of quarter 4
    1.01494
  • Inter Quartile Range
    0.01194
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.00725
  • Mean of outliers low
    0.95469
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.03623
  • Mean of outliers high
    1.02969
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.25340
  • VaR(95%) (moments method)
    0.01132
  • Expected Shortfall (moments method)
    0.01783
  • Extreme Value Index (regression method)
    -0.16686
  • VaR(95%) (regression method)
    0.01026
  • Expected Shortfall (regression method)
    0.01272
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    11.00000
  • Minimum
    0.00033
  • Quartile 1
    0.00274
  • Median
    0.01107
  • Quartile 3
    0.02952
  • Maximum
    0.10051
  • Mean of quarter 1
    0.00136
  • Mean of quarter 2
    0.00772
  • Mean of quarter 3
    0.01538
  • Mean of quarter 4
    0.06897
  • Inter Quartile Range
    0.02677
  • 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
    0.09091
  • Mean of outliers high
    0.10051
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -2.36487
  • VaR(95%) (moments method)
    0.07907
  • Expected Shortfall (moments method)
    0.08032
  • Extreme Value Index (regression method)
    -0.09787
  • VaR(95%) (regression method)
    0.10511
  • Expected Shortfall (regression method)
    0.13745
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.49009
  • Compounded annual return (geometric extrapolation)
    0.54647
  • Calmar ratio (compounded annual return / max draw down)
    5.43676
  • Compounded annual return / average of 25% largest draw downs
    7.92320
  • Compounded annual return / Expected Shortfall lognormal
    26.62300
  • 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
    0.47703
  • SD
    0.17898
  • Sharpe ratio (Glass type estimate)
    2.66519
  • Sharpe ratio (Hedges UMVUE)
    2.64978
  • df
    130.00000
  • t
    1.88457
  • p
    0.41846
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.13047
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.45088
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.14067
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.44024
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.32095
  • Upside Potential Ratio
    12.08110
  • Upside part of mean
    1.33374
  • Downside part of mean
    -0.85671
  • Upside SD
    0.14308
  • Downside SD
    0.11040
  • N nonnegative terms
    74.00000
  • N negative terms
    57.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.01570
  • Mean of criterion
    0.47703
  • SD of predictor
    0.13736
  • SD of criterion
    0.17898
  • Covariance
    0.00438
  • r
    0.17833
  • b (slope, estimate of beta)
    0.23238
  • a (intercept, estimate of alpha)
    0.47338
  • Mean Square Error
    0.03126
  • DF error
    129.00000
  • t(b)
    2.05845
  • p(b)
    0.38708
  • t(a)
    1.89325
  • p(a)
    0.39580
  • Lowerbound of 95% confidence interval for beta
    0.00902
  • Upperbound of 95% confidence interval for beta
    0.45573
  • Lowerbound of 95% confidence interval for alpha
    -0.02132
  • Upperbound of 95% confidence interval for alpha
    0.96808
  • Treynor index (mean / b)
    2.05282
  • Jensen alpha (a)
    0.47338
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.46069
  • SD
    0.17877
  • Sharpe ratio (Glass type estimate)
    2.57703
  • Sharpe ratio (Hedges UMVUE)
    2.56214
  • df
    130.00000
  • t
    1.82224
  • p
    0.42109
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.21727
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.36163
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.22711
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.35139
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.12276
  • Upside Potential Ratio
    11.84410
  • Upside part of mean
    1.32351
  • Downside part of mean
    -0.86281
  • Upside SD
    0.14155
  • Downside SD
    0.11174
  • N nonnegative terms
    74.00000
  • N negative terms
    57.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.00623
  • Mean of criterion
    0.46069
  • SD of predictor
    0.13857
  • SD of criterion
    0.17877
  • Covariance
    0.00444
  • r
    0.17916
  • b (slope, estimate of beta)
    0.23112
  • a (intercept, estimate of alpha)
    0.45926
  • Mean Square Error
    0.03117
  • DF error
    129.00000
  • t(b)
    2.06828
  • p(b)
    0.38656
  • t(a)
    1.83930
  • p(a)
    0.39867
  • VAR (95 Confidence Intrvl)
    0.01600
  • Lowerbound of 95% confidence interval for beta
    0.01003
  • Upperbound of 95% confidence interval for beta
    0.45222
  • Lowerbound of 95% confidence interval for alpha
    -0.03476
  • Upperbound of 95% confidence interval for alpha
    0.95327
  • Treynor index (mean / b)
    1.99326
  • Jensen alpha (a)
    0.45926
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01627
  • Expected Shortfall on VaR
    0.02080
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00688
  • Expected Shortfall on VaR
    0.01386
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.95469
  • Quartile 1
    0.99503
  • Median
    1.00255
  • Quartile 3
    1.00746
  • Maximum
    1.03830
  • Mean of quarter 1
    0.98894
  • Mean of quarter 2
    0.99873
  • Mean of quarter 3
    1.00471
  • Mean of quarter 4
    1.01541
  • Inter Quartile Range
    0.01243
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.00763
  • Mean of outliers low
    0.95469
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.03053
  • Mean of outliers high
    1.03083
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.21356
  • VaR(95%) (moments method)
    0.01135
  • Expected Shortfall (moments method)
    0.01737
  • Extreme Value Index (regression method)
    -0.21480
  • VaR(95%) (regression method)
    0.01052
  • Expected Shortfall (regression method)
    0.01288
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    11.00000
  • Minimum
    0.00033
  • Quartile 1
    0.00188
  • Median
    0.00873
  • Quartile 3
    0.02907
  • Maximum
    0.10051
  • Mean of quarter 1
    0.00106
  • Mean of quarter 2
    0.00474
  • Mean of quarter 3
    0.01300
  • Mean of quarter 4
    0.06897
  • Inter Quartile Range
    0.02720
  • 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
    0.09091
  • Mean of outliers high
    0.10051
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -2.36487
  • VaR(95%) (moments method)
    0.07907
  • Expected Shortfall (moments method)
    0.08032
  • Extreme Value Index (regression method)
    -0.09787
  • VaR(95%) (regression method)
    0.10511
  • Last 4 Months - Pcnt Negative
    0.50%
  • Expected Shortfall (regression method)
    0.13745
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -301443000
  • Max Equity Drawdown (num days)
    49
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.55346
  • Compounded annual return (geometric extrapolation)
    0.63004
  • Calmar ratio (compounded annual return / max draw down)
    6.26814
  • Compounded annual return / average of 25% largest draw downs
    9.13481
  • Compounded annual return / Expected Shortfall lognormal
    30.29690

Strategy Description

Based on a multi-factor stock-selection method combining deep-value fundamentals (quality companies) with technical timing (price, volume, demand/supply), every NYSE/Nasdaq listed stock is continually monitored to identify deep-value trading opportunities in heavily oversold stocks.

Since August 2019, the strategy also incorporates a macro-timing (economic data) component which decides how many stocks to trade at any one time, and how much (between 75%-100%) of the portfolio to hedge (risk management).

More info on the stock selection process (liquid version) can be found at:
https://tradepilot.com

The strategy holds between 2-6 stocks, checked and refreshed every week before the Monday open. In case the market moves against me, I always hedge at least three-quaters of the dollar value of my long stocks, with a long position in the Russell 2000 inverse ETF (symbol: RWM).

There are NO SHORT POSITIONS - instead the RWM is traded LONG as it is an inverse ETF which moves opposite to the Russell 2000 index. So if the Russell drops, RWM rises, and vice versa.

RWM therefore provides a perfect way to hedge a percentage (75%-100%) of the total dollar-value of long stock positions, against economic downturns and market corrections, while never holding any short positions.

So for instance, if I am long $40,000 worth of stocks, I would buy 75%-100% ($30K-$40K) worth of RWM, dependent on market volatility and risk analytics, which I always pre-determine for the week ahead.

This is a systematic, highly disciplined method of trading which I have developed over nearly 20 years of investing experience, and application of highly intricate tools (and technology).

I have years of backtests backed by the highest quality CapitalIQ data sets. All very impressive. However, as C2 subs never tire of telling me, what really matters is the live (C2) performance. I will let the numbers speak for themselves.

Feel free to ask any questions via the C2 direct messaging system.

Summary Statistics

Strategy began
2019-08-16
Suggested Minimum Capital
$60,000
# Trades
58
# Profitable
31
% Profitable
53.4%
Correlation S&P500
0.242
Sharpe Ratio
1.74
Sortino Ratio
2.76
Beta
0.34
Alpha
0.09
Leverage
1.68 Average
2.50 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

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

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

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

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

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

Latest Activity

#PERSONNAME#
subscribed on started simulation #SUBSCRIBEDDATE#

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

Okay, gotcha.

Not available

This feature isn't available under your current Trade Leader Plan.

Want to see available plans and features?

Please hold...

Strategy is now visible

This strategy is now visible to the public. New subscribers will be able to follow it.

If you designate your strategy as Private, it will no longer be visible to the public.

No subscribers and simulations will be allowed. If you have subscribers, the strategy will still be visible to them.
If you have simulations, they will be stopped.

Continue to designate your strategy as Private?

Strategy is no longer visible

This strategy is no longer visible to anyone except current subscribers.

(Current subscribers will remain subscribed. You can see who is subscribed, and control their subscriptions, on your Subscriber Management screen.)

Finally, please note that you can restore public visibility at any time.

This strategy is no longer visible to the public. No subscribers will be allowed.

You can restore public visibility at any time.

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.