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

Trades-Own-Strategy Certification

This system has earned Trades-Own-Strategy (TOS) Certification. This means that the manager of this system trades his own strategy in a real-life, funded brokerage account.

Trades-Own-Strategy (TOS) Certification Details
Certification process started 12/18/2019
Most recent certification approved 12/18/19 13:45 ET
Trades at broker Interactive Brokers (Server 5)
Scaling percentage used 100%
# trading signals issued by system since certification 23
# trading signals executed in manager's Interactive Brokers (Server 5) account 23
Percent signals followed since 12/18/2019 100%
This information was last updated 8/13/20 4:59 ET

Warning: System trading results are still hypothetical.

Even though the system developer is currently trading his own system in a real-life brokerage account, the trading results presented on this Web site must still be regarded as purely hypothetical results. This is because (among other reasons) the system developer may not have traded all signals, particularly those that occurred before 12/18/2019, and the system developer's results may not match the system results presented here. In addition, not all subscribers have received the same trades or prices as the system manager has. For these reasons, and others, it is extremely important you remember the following:

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.

You may be interested to learn more technical details about how Collective2 calculates the hypothetical results you see on this web site.

The Kamishiro
(126434247)

Created by: InvestorZ InvestorZ
Started: 12/2019
Stocks
Last trade: 44 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 $27.00 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.

90.9%
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.

(50.1%)
Max Drawdown
7
Num Trades
100.0%
Win Trades
- : 1
Profit Factor
66.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019                                                                             +0.2%+0.2%
2020+15.1%(0.7%)(9.8%)+27.2%+9.3%+12.4%+18.4%(0.2%)                        +90.4%

Model Account Details

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

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

Trading Record

This strategy has placed 23 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
12/30/19 10:40 TQQQ PROSHARES ULTRAPRO QQQ LONG 23 85.63 12/30 13:15 86.56 0.06%
Trade id #126789909
Max drawdown($6)
Time12/30/19 11:08
Quant open23
Worst price85.33
Drawdown as % of equity-0.06%
$21
Includes Typical Broker Commissions trade costs of $0.46
12/24/19 10:15 TQQQ PROSHARES ULTRAPRO QQQ LONG 23 85.66 12/24 12:10 85.69 0.02%
Trade id #126735353
Max drawdown($2)
Time12/24/19 10:51
Quant open23
Worst price85.56
Drawdown as % of equity-0.02%
$1
Includes Typical Broker Commissions trade costs of $0.46
12/23/19 9:37 TQQQ PROSHARES ULTRAPRO QQQ LONG 56 85.99 12/23 11:55 86.05 0.06%
Trade id #126723553
Max drawdown($6)
Time12/23/19 10:07
Quant open23
Worst price85.69
Drawdown as % of equity-0.06%
$2
Includes Typical Broker Commissions trade costs of $1.12
12/18/19 13:45 TMF DIREXION DAILY 20+ YR TRSY BUL LONG 150 26.35 12/19 15:00 26.58 0.16%
Trade id #126673727
Max drawdown($18)
Time12/19/19 0:00
Quant open75
Worst price26.11
Drawdown as % of equity-0.16%
$32
Includes Typical Broker Commissions trade costs of $3.00
12/19/19 9:45 TQQQ PROSHARES ULTRAPRO QQQ LONG 24 83.01 12/19 12:30 83.63 0.04%
Trade id #126685314
Max drawdown($4)
Time12/19/19 10:20
Quant open24
Worst price82.81
Drawdown as % of equity-0.04%
$15
Includes Typical Broker Commissions trade costs of $0.48

Statistics

  • Strategy began
    12/2/2019
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    255.09
  • Age
    9 months ago
  • What it trades
    Stocks
  • # Trades
    7
  • # Profitable
    7
  • % Profitable
    100.00%
  • Avg trade duration
    64.8 days
  • Max peak-to-valley drawdown
    50.11%
  • drawdown period
    March 09, 2020 - March 18, 2020
  • Cumul. Return
    90.9%
  • Avg win
    $1,137
  • Avg loss
    $0.00
  • Model Account Values (Raw)
  • Cash
    $2,949
  • Margin Used
    $0
  • Buying Power
    $14,015
  • Ratios
  • W:L ratio
    -
  • Sharpe Ratio
    1.81
  • Sortino Ratio
    2.34
  • Calmar Ratio
    3.834
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    82.32%
  • Correlation to SP500
    0.28730
  • Return Percent SP500 (cumu) during strategy life
    8.56%
  • Return Statistics
  • Ann Return (w trading costs)
    149.0%
  • Slump
  • Current Slump as Pcnt Equity
    6.10%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.02%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.909%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    155.3%
  • Automation
  • Percentage Signals Automated
    n/a
  • Popularity
  • Popularity (Today)
    875
  • Popularity (Last 6 weeks)
    987
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    893
  • Popularity (7 days, Percentile 1000 scale)
    946
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Strat abandoned?
    0
  • Trades-Own-System Certification
  • Trades Own System?
    Yes
  • TOS percent
    100%
  • Win / Loss
  • Avg Loss
    $0
  • Avg Win
    $1,592
  • Sum Trade PL (losers)
    $0.000
  • AUM
  • AUM (AutoTrader num accounts)
    5
  • Age
  • Num Months filled monthly returns table
    9
  • Win / Loss
  • Sum Trade PL (winners)
    $11,141.000
  • # Winners
    7
  • Num Months Winners
    6
  • Dividends
  • Dividends Received in Model Acct
    21
  • AUM
  • AUM (AutoTrader live capital)
    113430
  • Win / Loss
  • # Losers
    0
  • % Winners
    100.0%
  • Frequency
  • Avg Position Time (mins)
    93296.50
  • Avg Position Time (hrs)
    1554.94
  • Avg Trade Length
    64.8 days
  • Last Trade Ago
    44
  • Leverage
  • Daily leverage (average)
    3.35
  • Daily leverage (max)
    3.90
  • Regression
  • Alpha
    0.26
  • Beta
    0.33
  • Treynor Index
    0.82
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.06
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.93
  • MAE:Equity, average, winning trades
    0.06
  • MAE:Equity, average, losing trades
    -
  • Avg(MAE) / Avg(PL) - All trades
    0.496
  • 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
    -
  • Avg(MAE) / Avg(PL) - Winning trades
    0.496
  • Avg(MAE) / Avg(PL) - Losing trades
    -
  • Hold-and-Hope Ratio
    2.599
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.14732
  • SD
    0.47265
  • Sharpe ratio (Glass type estimate)
    2.42742
  • Sharpe ratio (Hedges UMVUE)
    2.15604
  • df
    7.00000
  • t
    1.98198
  • p
    0.04396
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.34369
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.06633
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.49682
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.80890
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.21217
  • Upside Potential Ratio
    6.43691
  • Upside part of mean
    1.41692
  • Downside part of mean
    -0.26960
  • Upside SD
    0.50667
  • Downside SD
    0.22012
  • N nonnegative terms
    7.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    8.00000
  • Mean of predictor
    0.12820
  • Mean of criterion
    1.14732
  • SD of predictor
    0.35110
  • SD of criterion
    0.47265
  • Covariance
    0.14892
  • r
    0.89739
  • b (slope, estimate of beta)
    1.20806
  • a (intercept, estimate of alpha)
    0.99245
  • Mean Square Error
    0.05074
  • DF error
    6.00000
  • t(b)
    4.98170
  • p(b)
    0.00125
  • t(a)
    3.57463
  • p(a)
    0.00586
  • Lowerbound of 95% confidence interval for beta
    0.61468
  • Upperbound of 95% confidence interval for beta
    1.80144
  • Lowerbound of 95% confidence interval for alpha
    0.31309
  • Upperbound of 95% confidence interval for alpha
    1.67181
  • Treynor index (mean / b)
    0.94973
  • Jensen alpha (a)
    0.99245
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.00487
  • SD
    0.46009
  • Sharpe ratio (Glass type estimate)
    2.18406
  • Sharpe ratio (Hedges UMVUE)
    1.93989
  • df
    7.00000
  • t
    1.78328
  • p
    0.05886
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.52779
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.77165
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.66679
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.54656
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.15191
  • Upside Potential Ratio
    5.37665
  • Upside part of mean
    1.30129
  • Downside part of mean
    -0.29642
  • Upside SD
    0.45912
  • Downside SD
    0.24203
  • N nonnegative terms
    7.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    8.00000
  • Mean of predictor
    0.07175
  • Mean of criterion
    1.00487
  • SD of predictor
    0.36117
  • SD of criterion
    0.46009
  • Covariance
    0.15082
  • r
    0.90764
  • b (slope, estimate of beta)
    1.15624
  • a (intercept, estimate of alpha)
    0.92191
  • Mean Square Error
    0.04351
  • DF error
    6.00000
  • t(b)
    5.29649
  • p(b)
    0.00092
  • t(a)
    3.60173
  • p(a)
    0.00567
  • Lowerbound of 95% confidence interval for beta
    0.62206
  • Upperbound of 95% confidence interval for beta
    1.69041
  • Lowerbound of 95% confidence interval for alpha
    0.29558
  • Upperbound of 95% confidence interval for alpha
    1.54824
  • Treynor index (mean / b)
    0.86909
  • Jensen alpha (a)
    0.92191
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.12604
  • Expected Shortfall on VaR
    0.17224
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01441
  • Expected Shortfall on VaR
    0.04768
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    8.00000
  • Minimum
    0.82260
  • Quartile 1
    1.04769
  • Median
    1.12338
  • Quartile 3
    1.16144
  • Maximum
    1.28307
  • Mean of quarter 1
    0.92775
  • Mean of quarter 2
    1.08073
  • Mean of quarter 3
    1.14401
  • Mean of quarter 4
    1.23926
  • Inter Quartile Range
    0.11375
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.12500
  • Mean of outliers low
    0.82260
  • 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
    1.00000
  • Minimum
    0.17740
  • Quartile 1
    0.17740
  • Median
    0.17740
  • Quartile 3
    0.17740
  • Maximum
    0.17740
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • 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)
    1.48614
  • Compounded annual return (geometric extrapolation)
    1.80885
  • Calmar ratio (compounded annual return / max draw down)
    10.19630
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    10.50170
  • 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
    1.03541
  • SD
    0.46030
  • Sharpe ratio (Glass type estimate)
    2.24943
  • Sharpe ratio (Hedges UMVUE)
    2.24004
  • df
    180.00000
  • t
    1.86965
  • p
    0.43099
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.12315
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.61586
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.12937
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.60945
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.96551
  • Upside Potential Ratio
    8.20778
  • Upside part of mean
    2.86575
  • Downside part of mean
    -1.83034
  • Upside SD
    0.30478
  • Downside SD
    0.34915
  • N nonnegative terms
    116.00000
  • N negative terms
    65.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    181.00000
  • Mean of predictor
    0.16918
  • Mean of criterion
    1.03541
  • SD of predictor
    0.39461
  • SD of criterion
    0.46030
  • Covariance
    0.04586
  • r
    0.25247
  • b (slope, estimate of beta)
    0.29450
  • a (intercept, estimate of alpha)
    0.98600
  • Mean Square Error
    0.19948
  • DF error
    179.00000
  • t(b)
    3.49097
  • p(b)
    0.34099
  • t(a)
    1.83350
  • p(a)
    0.41383
  • Lowerbound of 95% confidence interval for beta
    0.12803
  • Upperbound of 95% confidence interval for beta
    0.46097
  • Lowerbound of 95% confidence interval for alpha
    -0.07515
  • Upperbound of 95% confidence interval for alpha
    2.04632
  • Treynor index (mean / b)
    3.51582
  • Jensen alpha (a)
    0.98558
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.92392
  • SD
    0.47462
  • Sharpe ratio (Glass type estimate)
    1.94667
  • Sharpe ratio (Hedges UMVUE)
    1.93855
  • df
    180.00000
  • t
    1.61801
  • p
    0.44013
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.42260
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.31068
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.42802
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.30512
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.48146
  • Upside Potential Ratio
    7.57506
  • Upside part of mean
    2.82043
  • Downside part of mean
    -1.89651
  • Upside SD
    0.29773
  • Downside SD
    0.37233
  • N nonnegative terms
    116.00000
  • N negative terms
    65.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    181.00000
  • Mean of predictor
    0.09095
  • Mean of criterion
    0.92392
  • SD of predictor
    0.39770
  • SD of criterion
    0.47462
  • Covariance
    0.04952
  • r
    0.26235
  • b (slope, estimate of beta)
    0.31310
  • a (intercept, estimate of alpha)
    0.89545
  • Mean Square Error
    0.21093
  • DF error
    179.00000
  • t(b)
    3.63746
  • p(b)
    0.33492
  • t(a)
    1.62038
  • p(a)
    0.42364
  • Lowerbound of 95% confidence interval for beta
    0.14324
  • Upperbound of 95% confidence interval for beta
    0.48295
  • Lowerbound of 95% confidence interval for alpha
    -0.19503
  • Upperbound of 95% confidence interval for alpha
    1.98593
  • Treynor index (mean / b)
    2.95091
  • Jensen alpha (a)
    0.89545
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04372
  • Expected Shortfall on VaR
    0.05531
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01227
  • Expected Shortfall on VaR
    0.02895
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    181.00000
  • Minimum
    0.80907
  • Quartile 1
    0.99845
  • Median
    1.00479
  • Quartile 3
    1.01632
  • Maximum
    1.08736
  • Mean of quarter 1
    0.97272
  • Mean of quarter 2
    1.00118
  • Mean of quarter 3
    1.01086
  • Mean of quarter 4
    1.03217
  • Inter Quartile Range
    0.01787
  • Number outliers low
    16.00000
  • Percentage of outliers low
    0.08840
  • Mean of outliers low
    0.94201
  • Number of outliers high
    8.00000
  • Percentage of outliers high
    0.04420
  • Mean of outliers high
    1.06107
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.78677
  • VaR(95%) (moments method)
    0.01305
  • Expected Shortfall (moments method)
    0.07222
  • Extreme Value Index (regression method)
    0.42163
  • VaR(95%) (regression method)
    0.02491
  • Expected Shortfall (regression method)
    0.05932
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    17.00000
  • Minimum
    0.00001
  • Quartile 1
    0.00215
  • Median
    0.01514
  • Quartile 3
    0.05342
  • Maximum
    0.41488
  • Mean of quarter 1
    0.00095
  • Mean of quarter 2
    0.00904
  • Mean of quarter 3
    0.04351
  • Mean of quarter 4
    0.17000
  • Inter Quartile Range
    0.05127
  • 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
    0.05882
  • Mean of outliers high
    0.41488
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.69375
  • VaR(95%) (moments method)
    0.18002
  • Expected Shortfall (moments method)
    0.61553
  • Extreme Value Index (regression method)
    1.72115
  • VaR(95%) (regression method)
    0.25619
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.34631
  • Compounded annual return (geometric extrapolation)
    1.59045
  • Calmar ratio (compounded annual return / max draw down)
    3.83352
  • Compounded annual return / average of 25% largest draw downs
    9.35550
  • Compounded annual return / Expected Shortfall lognormal
    28.75570
  • 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
    0.97893
  • SD
    0.53673
  • Sharpe ratio (Glass type estimate)
    1.82386
  • Sharpe ratio (Hedges UMVUE)
    1.81332
  • df
    130.00000
  • t
    1.28967
  • p
    0.44380
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.96019
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.60113
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.96723
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.59388
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.38880
  • Upside Potential Ratio
    8.44613
  • Upside part of mean
    3.46122
  • Downside part of mean
    -2.48229
  • Upside SD
    0.34872
  • Downside SD
    0.40980
  • N nonnegative terms
    85.00000
  • N negative terms
    46.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.07863
  • Mean of criterion
    0.97893
  • SD of predictor
    0.45996
  • SD of criterion
    0.53673
  • Covariance
    0.06245
  • r
    0.25296
  • b (slope, estimate of beta)
    0.29518
  • a (intercept, estimate of alpha)
    0.95572
  • Mean Square Error
    0.27174
  • DF error
    129.00000
  • t(b)
    2.96964
  • p(b)
    0.34070
  • t(a)
    1.29633
  • p(a)
    0.42796
  • Lowerbound of 95% confidence interval for beta
    0.09852
  • Upperbound of 95% confidence interval for beta
    0.49184
  • Lowerbound of 95% confidence interval for alpha
    -0.50295
  • Upperbound of 95% confidence interval for alpha
    2.41439
  • Treynor index (mean / b)
    3.31639
  • Jensen alpha (a)
    0.95572
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.82853
  • SD
    0.55373
  • Sharpe ratio (Glass type estimate)
    1.49628
  • Sharpe ratio (Hedges UMVUE)
    1.48763
  • df
    130.00000
  • t
    1.05803
  • p
    0.45380
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.28427
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.27127
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.29007
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.26533
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.89561
  • Upside Potential Ratio
    7.78349
  • Upside part of mean
    3.40199
  • Downside part of mean
    -2.57346
  • Upside SD
    0.34037
  • Downside SD
    0.43708
  • N nonnegative terms
    85.00000
  • N negative terms
    46.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.02737
  • Mean of criterion
    0.82853
  • SD of predictor
    0.46353
  • SD of criterion
    0.55373
  • Covariance
    0.06743
  • r
    0.26271
  • b (slope, estimate of beta)
    0.31383
  • a (intercept, estimate of alpha)
    0.83712
  • Mean Square Error
    0.28766
  • DF error
    129.00000
  • t(b)
    3.09238
  • p(b)
    0.33470
  • t(a)
    1.10364
  • p(a)
    0.43853
  • VAR (95 Confidence Intrvl)
    0.04400
  • Lowerbound of 95% confidence interval for beta
    0.11304
  • Upperbound of 95% confidence interval for beta
    0.51461
  • Lowerbound of 95% confidence interval for alpha
    -0.66361
  • Upperbound of 95% confidence interval for alpha
    2.33784
  • Treynor index (mean / b)
    2.64008
  • Jensen alpha (a)
    0.83712
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05172
  • Expected Shortfall on VaR
    0.06511
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01660
  • Expected Shortfall on VaR
    0.03802
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.80907
  • Quartile 1
    0.99278
  • Median
    1.00745
  • Quartile 3
    1.02166
  • Maximum
    1.08736
  • Mean of quarter 1
    0.96362
  • Mean of quarter 2
    1.00109
  • Mean of quarter 3
    1.01413
  • Mean of quarter 4
    1.03683
  • Inter Quartile Range
    0.02888
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.03817
  • Mean of outliers low
    0.90037
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.02290
  • Mean of outliers high
    1.08229
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.34069
  • VaR(95%) (moments method)
    0.02806
  • Expected Shortfall (moments method)
    0.05349
  • Extreme Value Index (regression method)
    0.33621
  • VaR(95%) (regression method)
    0.03602
  • Expected Shortfall (regression method)
    0.07056
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    11.00000
  • Minimum
    0.00188
  • Quartile 1
    0.02015
  • Median
    0.05080
  • Quartile 3
    0.06928
  • Maximum
    0.41488
  • Mean of quarter 1
    0.00653
  • Mean of quarter 2
    0.04021
  • Mean of quarter 3
    0.05623
  • Mean of quarter 4
    0.20699
  • Inter Quartile Range
    0.04913
  • 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
    0.41488
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.03176
  • VaR(95%) (moments method)
    0.18934
  • Expected Shortfall (moments method)
    0.27012
  • Extreme Value Index (regression method)
    1.61463
  • VaR(95%) (regression method)
    0.45657
  • Last 4 Months - Pcnt Negative
    0.25%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -251150000
  • Max Equity Drawdown (num days)
    9
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.06904
  • Compounded annual return (geometric extrapolation)
    1.35475
  • Calmar ratio (compounded annual return / max draw down)
    3.26540
  • Compounded annual return / average of 25% largest draw downs
    6.54512
  • Compounded annual return / Expected Shortfall lognormal
    20.80860

Strategy Description

Calm and Steady. IRA and TFSA Friendly.

When subscribed, ensure to join open trades as we normally keep them managed rather than re-entering (you must do this). If unsubscribed Collective2 will make it seem like the strategy does not have many closed trades because it only counts a complete trade if entire position is liquidated. In reality there will be 8-12 buy/sell signals a year with partial positions remaining open for more profits.

This strategy does not trade frequently, and does not take short positions. The goal is returns much greater than buy and hold "the market", while still maintaining reasonable drawdowns during period of economic hardship. This strategy is about steady and long lasting wealth creation. I calculated you could start with as little as 4K and still be profitable factoring in autorade fees and commissions.

Using a proprietary method, and mathematical formula's back tested against indexes all the way back to the 80's which included several stock market crashes, this strategy is great for those who wish to accumulate wealth greater than standard buy and hold, but also want to mitigate the risk that comes with that. I offer this for a low price due to the fact that it does not trade frequently. You will find pricing is VERY competitive against other collective2 strategies with lesser yearly returns, more exposure to margin, worse Sharpe ratios etc. It is true in this case that more trading does NOT equal better. This is a full mirror of one of my own tax free retirement accounts with my own real money. Please note Leverage calculation on C2 is WRONG. I am not using any account margin for these positions. It is a cash account.

Benefits:
- IRA/TFSA Friendly (tax free accounts).
- Low entry cost barrier (could be as small as 4K to still be profitable with autorade fees and commission factored in).
- Saves on commissions as strategy does not over trade.
- Not affected by PDT Rule as it only does a few trades a year.
- Supports Cash accounts (no chance of margin call).
- Calculated and backtested long term CAGR of around 40%. This is comparable to famed Renaissance Technologies "Medallion Fund", but without their extremely high 5/44 fee structure (backtesting data is hypothetical and it has not been verified by C2).

If you have a lower risk appetite, I would recommend this strategy over my other one "The Zaizen" and in fact, if I could only choose one of my strategies to follow, it would be this one though some will find this strategy extremely boring and may feel they are not getting their money's worth due to the infrequent trades. If what you care about is the bottom line (which you should), the end result is a small fee for a much higher CAGR than the SP500.

"Unless you can watch your stock holding decline by 50% without becoming panic stricken, you should not be in the market." - Warren Buffet

Summary Statistics

Strategy began
2019-12-02
Suggested Minimum Capital
$15,000
Rank at C2 
#70
# Trades
7
# Profitable
7
% Profitable
100.0%
Net Dividends
Correlation S&P500
0.287
Sharpe Ratio
1.81
Sortino Ratio
2.34
Beta
0.33
Alpha
0.26
Leverage
3.35 Average
3.90 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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