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

Low Volatilty
(130039880)

Created by: Collective2-il Collective2-il
Started: 07/2020
Stocks
Last trade: 169 days ago
Trading style: Equity Sector Rotation

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

Subscription terms. You can subscribe to this system for free.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

Trading Category: Equity
Sector Rotation
Category: Equity

Sector Rotation

Uses the proceeds from the sale of securities related to a particular investment sector for the purchase of securities in another sector. This strategy is used as a method for capturing returns from market cycles and diversifying holdings over a specified holding period.
4.6%
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.

(26.3%)
Max Drawdown
43
Num Trades
72.1%
Win Trades
3.7 : 1
Profit Factor
53.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020                                          +0.8%+6.2%+0.7%(3.7%)+8.7%+0.9%+13.7%
2021(2.9%)(2.1%)+5.9%+1.9%+2.1%+1.0%+1.2%+0.1%(3.1%)+4.1%(2%)+6.4%+13.0%
2022(0.2%)(1.2%)+1.1%(5.3%)(1.5%)(5.6%)+3.1%(1.7%)(8.4%)+4.7%+6.9%(1.2%)(9.8%)
2023+4.2%(3.1%)+1.1%+2.4%(4.7%)+3.4%+1.3%(2.5%)(3.8%)(0.9%)+6.3%+1.0%+4.3%
2024+1.2%+1.9%+0.6%(3.8%)+1.5%+1.1%(0.2%)(0.3%)(0.3%)(0.3%)(0.3%)  -  +1.0%

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 171 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 169 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
5/23/24 13:37 DIS WALT DISNEY LONG 15 100.80 6/25 9:39 102.76 0.19%
Trade id #148237927
Max drawdown($23)
Time6/14/24 0:00
Quant open15
Worst price99.25
Drawdown as % of equity-0.19%
$29
Includes Typical Broker Commissions trade costs of $0.30
5/14/24 9:30 LQD ISHARES IBOXX $ INVEST GRADE C LONG 20 106.63 6/25 9:39 108.17 0.18%
Trade id #148161359
Max drawdown($21)
Time5/29/24 0:00
Quant open20
Worst price105.55
Drawdown as % of equity-0.18%
$31
Includes Typical Broker Commissions trade costs of $0.40
2/7/24 11:13 CVS CVS HEALTH CORP LONG 20 70.16 6/25 9:39 61.90 2.91%
Trade id #147248481
Max drawdown($347)
Time5/29/24 0:00
Quant open20
Worst price52.77
Drawdown as % of equity-2.91%
($165)
Includes Typical Broker Commissions trade costs of $0.40
10/2/23 13:47 JNJ JOHNSON & JOHNSON LONG 11 152.16 6/25/24 9:39 148.66 0.78%
Trade id #145997598
Max drawdown($92)
Time5/29/24 0:00
Quant open11
Worst price143.71
Drawdown as % of equity-0.78%
($38)
Includes Typical Broker Commissions trade costs of $0.22
1/25/22 14:43 NKE NIKE LONG 16 128.18 6/25/24 9:39 105.75 4.98%
Trade id #139097121
Max drawdown($519)
Time10/3/22 0:00
Quant open8
Worst price82.22
Drawdown as % of equity-4.98%
($359)
Includes Typical Broker Commissions trade costs of $0.32
7/16/20 11:20 BRK.B BERKSHIRE HATHAWAY CL B LONG 5 191.66 6/25/24 9:39 341.06 0.13%
Trade id #130117131
Max drawdown($13)
Time7/16/20 14:59
Quant open5
Worst price189.04
Drawdown as % of equity-0.13%
$747
Includes Typical Broker Commissions trade costs of $0.10
7/16/20 11:18 PG PROCTER & GAMBLE LONG 38 139.29 6/25/24 9:39 152.79 0.99%
Trade id #130117094
Max drawdown($103)
Time10/10/22 0:00
Quant open8
Worst price122.18
Drawdown as % of equity-0.99%
$512
Includes Typical Broker Commissions trade costs of $0.76
2/7/24 11:15 NVS NOVARTIS LONG 15 102.92 6/4 15:56 104.90 1.43%
Trade id #147248519
Max drawdown($158)
Time4/18/24 0:00
Quant open15
Worst price92.35
Drawdown as % of equity-1.43%
$30
Includes Typical Broker Commissions trade costs of $0.30
4/24/24 15:24 KO COCA-COLA LONG 30 61.57 5/13 9:30 63.25 0.1%
Trade id #148001122
Max drawdown($10)
Time5/1/24 0:00
Quant open30
Worst price61.21
Drawdown as % of equity-0.10%
$49
Includes Typical Broker Commissions trade costs of $0.60
7/26/23 11:43 XLV HEALTH CARE SELECT SECTOR SPDR LONG 12 137.39 4/24/24 15:23 140.88 1.15%
Trade id #145329096
Max drawdown($119)
Time10/27/23 0:00
Quant open9
Worst price122.59
Drawdown as % of equity-1.15%
$42
Includes Typical Broker Commissions trade costs of $0.24
11/29/21 13:34 DIS WALT DISNEY LONG 17 133.76 4/8/24 10:43 116.40 7.4%
Trade id #138380436
Max drawdown($770)
Time10/4/23 0:00
Quant open14
Worst price78.73
Drawdown as % of equity-7.40%
($295)
Includes Typical Broker Commissions trade costs of $0.34
12/7/22 9:30 BND VANGUARD TOTAL BOND MARKET ETF LONG 37 73.49 3/6/24 9:45 72.64 1.93%
Trade id #142795450
Max drawdown($203)
Time10/23/23 0:00
Quant open37
Worst price67.99
Drawdown as % of equity-1.93%
($32)
Includes Typical Broker Commissions trade costs of $0.74
12/13/23 15:31 CVX CHEVRON LONG 6 143.99 12/19 13:18 151.01 n/a $42
Includes Typical Broker Commissions trade costs of $0.12
4/6/23 14:52 IYR ISHARES DOW JONES US REAL ESTA LONG 13 83.88 12/11 9:46 86.24 1.4%
Trade id #144215751
Max drawdown($142)
Time10/30/23 0:00
Quant open13
Worst price72.88
Drawdown as % of equity-1.40%
$31
Includes Typical Broker Commissions trade costs of $0.26
11/3/23 9:30 LQD ISHARES IBOXX $ INVEST GRADE C LONG 11 102.64 12/11 9:46 107.17 0.14%
Trade id #146324743
Max drawdown($15)
Time11/6/23 0:00
Quant open11
Worst price101.25
Drawdown as % of equity-0.14%
$50
Includes Typical Broker Commissions trade costs of $0.22
7/3/23 14:06 XLF FINANCIAL SELECT SECTOR SPDR LONG 70 33.68 11/3 9:30 34.58 0.79%
Trade id #145103666
Max drawdown($81)
Time10/27/23 0:00
Quant open35
Worst price31.36
Drawdown as % of equity-0.79%
$62
Includes Typical Broker Commissions trade costs of $1.40
4/17/23 9:45 INTC INTEL LONG 40 32.27 7/19 11:34 35.17 2.01%
Trade id #144322830
Max drawdown($216)
Time5/25/23 0:00
Quant open40
Worst price26.86
Drawdown as % of equity-2.01%
$115
Includes Typical Broker Commissions trade costs of $0.80
7/16/20 11:18 JNJ JOHNSON & JOHNSON LONG 35 159.60 7/3/23 14:06 169.14 1.46%
Trade id #130117085
Max drawdown($151)
Time10/30/20 0:00
Quant open10
Worst price133.65
Drawdown as % of equity-1.46%
$333
Includes Typical Broker Commissions trade costs of $0.70
4/6/23 15:37 HEINY HEINEKEN N V/S ADR LONG 28 55.50 4/10 9:30 56.19 0.01%
Trade id #144216317
Max drawdown($0)
Time4/6/23 15:46
Quant open28
Worst price55.47
Drawdown as % of equity-0.01%
$18
Includes Typical Broker Commissions trade costs of $0.56
12/20/22 10:59 PFF ISHARES S&P U.S. PREFERRED STO LONG 48 31.58 4/6/23 15:37 31.11 0.86%
Trade id #142940679
Max drawdown($93)
Time3/13/23 0:00
Quant open48
Worst price29.63
Drawdown as % of equity-0.86%
($23)
Includes Typical Broker Commissions trade costs of $0.96
9/9/22 9:43 VCLT VANGUARD LONG-TERM CORP BOND I LONG 75 77.31 4/6/23 14:51 80.30 6.28%
Trade id #141722422
Max drawdown($619)
Time10/21/22 0:00
Quant open65
Worst price68.68
Drawdown as % of equity-6.28%
$223
Includes Typical Broker Commissions trade costs of $1.50
12/13/22 10:55 SHY ISHARES BARCLAYS 1-3 YEAR TREA LONG 15 81.56 2/23/23 13:04 81.08 0.07%
Trade id #142861125
Max drawdown($8)
Time2/21/23 0:00
Quant open15
Worst price81.02
Drawdown as % of equity-0.07%
($7)
Includes Typical Broker Commissions trade costs of $0.30
12/21/21 11:40 T AT&T LONG 50 24.70 10/26/22 13:40 18.08 5.24%
Trade id #138653748
Max drawdown($512)
Time10/13/22 0:00
Quant open50
Worst price14.46
Drawdown as % of equity-5.24%
($332)
Includes Typical Broker Commissions trade costs of $1.00
4/14/22 14:18 LQD ISHARES IBOXX $ INVEST GRADE C LONG 28 113.50 9/9 9:42 108.56 1.7%
Trade id #140141449
Max drawdown($184)
Time9/6/22 0:00
Quant open28
Worst price106.92
Drawdown as % of equity-1.70%
($139)
Includes Typical Broker Commissions trade costs of $0.56
4/11/22 9:30 WBD WARNER BROS. DISCOVERY INC. SERIES A LONG 12 0.00 8/11 9:40 13.50 n/a $162
Includes Typical Broker Commissions trade costs of $0.24
7/16/20 11:17 WMT WALMART INC LONG 11 133.24 7/22/22 9:53 137.19 0.87%
Trade id #130117050
Max drawdown($95)
Time5/20/22 0:00
Quant open6
Worst price117.27
Drawdown as % of equity-0.87%
$43
Includes Typical Broker Commissions trade costs of $0.22
7/16/20 11:22 MCD MCDONALD'S LONG 5 191.38 4/25/22 9:30 242.22 0.06%
Trade id #130117178
Max drawdown($6)
Time7/17/20 0:00
Quant open5
Worst price190.13
Drawdown as % of equity-0.06%
$254
Includes Typical Broker Commissions trade costs of $0.10
7/16/20 11:21 VZ VERIZON COMMUNICATIONS LONG 24 54.44 4/14/22 14:19 56.29 0.24%
Trade id #130117163
Max drawdown($29)
Time12/13/21 0:00
Quant open6
Worst price49.69
Drawdown as % of equity-0.24%
$44
Includes Typical Broker Commissions trade costs of $0.48
1/6/22 10:12 CNC CENTENE LONG 13 78.99 2/8 10:34 83.70 0.48%
Trade id #138843248
Max drawdown($58)
Time1/26/22 0:00
Quant open13
Worst price74.47
Drawdown as % of equity-0.48%
$61
Includes Typical Broker Commissions trade costs of $0.26
1/25/21 9:49 SPLV INVESCO S&P 500 LOW VOLATI LONG 10 56.49 2/1/22 9:30 65.33 0.27%
Trade id #133570639
Max drawdown($28)
Time3/4/21 0:00
Quant open10
Worst price53.62
Drawdown as % of equity-0.27%
$88
Includes Typical Broker Commissions trade costs of $0.20

Statistics

  • Strategy began
    7/13/2020
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    1612.09
  • Age
    54 months ago
  • What it trades
    Stocks
  • # Trades
    43
  • # Profitable
    31
  • % Profitable
    72.10%
  • Avg trade duration
    301.1 days
  • Max peak-to-valley drawdown
    26.33%
  • drawdown period
    Jan 13, 2022 - June 20, 2022
  • Annual Return (Compounded)
    4.6%
  • Avg win
    $148.90
  • Avg loss
    $124.08
  • Model Account Values (Raw)
  • Cash
    $14,013
  • Margin Used
    $0
  • Buying Power
    $14,013
  • Ratios
  • W:L ratio
    3.70:1
  • Sharpe Ratio
    0.26
  • Sortino Ratio
    0.37
  • Calmar Ratio
    0.462
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -69.12%
  • Correlation to SP500
    0.46090
  • Return Percent SP500 (cumu) during strategy life
    91.27%
  • Return Statistics
  • Ann Return (w trading costs)
    4.6%
  • Slump
  • Current Slump as Pcnt Equity
    7.10%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.66%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.046%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    7.9%
  • Automation
  • Percentage Signals Automated
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    333
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    136
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $124
  • Avg Win
    $149
  • Sum Trade PL (losers)
    $1,489.000
  • Age
  • Num Months filled monthly returns table
    54
  • Win / Loss
  • Sum Trade PL (winners)
    $4,616.000
  • # Winners
    31
  • Num Months Winners
    29
  • Dividends
  • Dividends Received in Model Acct
    887
  • Win / Loss
  • # Losers
    12
  • % Winners
    72.1%
  • Frequency
  • Avg Position Time (mins)
    433516.00
  • Avg Position Time (hrs)
    7225.27
  • Avg Trade Length
    301.1 days
  • Last Trade Ago
    169
  • Leverage
  • Daily leverage (average)
    0.88
  • Daily leverage (max)
    1.27
  • Regression
  • Alpha
    -0.00
  • Beta
    0.29
  • Treynor Index
    0.03
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.04
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    1.883
  • 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
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    0.561
  • Avg(MAE) / Avg(PL) - Losing trades
    -2.024
  • Hold-and-Hope Ratio
    0.531
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.05778
  • SD
    0.11131
  • Sharpe ratio (Glass type estimate)
    0.51907
  • Sharpe ratio (Hedges UMVUE)
    0.51123
  • df
    50.00000
  • t
    1.07008
  • p
    0.14486
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.43959
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.47265
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.44475
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.46722
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.82852
  • Upside Potential Ratio
    2.50693
  • Upside part of mean
    0.17483
  • Downside part of mean
    -0.11705
  • Upside SD
    0.08696
  • Downside SD
    0.06974
  • N nonnegative terms
    28.00000
  • N negative terms
    23.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    51.00000
  • Mean of predictor
    0.13649
  • Mean of criterion
    0.05778
  • SD of predictor
    0.16566
  • SD of criterion
    0.11131
  • Covariance
    0.01520
  • r
    0.82434
  • b (slope, estimate of beta)
    0.55392
  • a (intercept, estimate of alpha)
    -0.01783
  • Mean Square Error
    0.00405
  • DF error
    49.00000
  • t(b)
    10.19350
  • p(b)
    -0.00000
  • t(a)
    -0.56135
  • p(a)
    0.71144
  • Lowerbound of 95% confidence interval for beta
    0.44472
  • Upperbound of 95% confidence interval for beta
    0.66312
  • Lowerbound of 95% confidence interval for alpha
    -0.08164
  • Upperbound of 95% confidence interval for alpha
    0.04599
  • Treynor index (mean / b)
    0.10431
  • Jensen alpha (a)
    -0.01783
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.05150
  • SD
    0.11083
  • Sharpe ratio (Glass type estimate)
    0.46467
  • Sharpe ratio (Hedges UMVUE)
    0.45765
  • df
    50.00000
  • t
    0.95793
  • p
    0.17135
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.49267
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.41744
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.49729
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.41260
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.71969
  • Upside Potential Ratio
    2.38674
  • Upside part of mean
    0.17079
  • Downside part of mean
    -0.11929
  • Upside SD
    0.08451
  • Downside SD
    0.07156
  • N nonnegative terms
    28.00000
  • N negative terms
    23.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    51.00000
  • Mean of predictor
    0.12211
  • Mean of criterion
    0.05150
  • SD of predictor
    0.16537
  • SD of criterion
    0.11083
  • Covariance
    0.01515
  • r
    0.82659
  • b (slope, estimate of beta)
    0.55396
  • a (intercept, estimate of alpha)
    -0.01615
  • Mean Square Error
    0.00397
  • DF error
    49.00000
  • t(b)
    10.28110
  • p(b)
    -0.00000
  • t(a)
    -0.51649
  • p(a)
    0.69608
  • Lowerbound of 95% confidence interval for beta
    0.44568
  • Upperbound of 95% confidence interval for beta
    0.66224
  • Lowerbound of 95% confidence interval for alpha
    -0.07897
  • Upperbound of 95% confidence interval for alpha
    0.04668
  • Treynor index (mean / b)
    0.09296
  • Jensen alpha (a)
    -0.01615
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04718
  • Expected Shortfall on VaR
    0.05977
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02102
  • Expected Shortfall on VaR
    0.04193
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    51.00000
  • Minimum
    0.92341
  • Quartile 1
    0.99168
  • Median
    1.00607
  • Quartile 3
    1.02478
  • Maximum
    1.08191
  • Mean of quarter 1
    0.96787
  • Mean of quarter 2
    0.99902
  • Mean of quarter 3
    1.01504
  • Mean of quarter 4
    1.04725
  • Inter Quartile Range
    0.03310
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.03922
  • Mean of outliers low
    0.93046
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.03922
  • Mean of outliers high
    1.07825
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.69552
  • VaR(95%) (moments method)
    0.02583
  • Expected Shortfall (moments method)
    0.02944
  • Extreme Value Index (regression method)
    -0.24015
  • VaR(95%) (regression method)
    0.04420
  • Expected Shortfall (regression method)
    0.05873
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00696
  • Quartile 1
    0.01254
  • Median
    0.02861
  • Quartile 3
    0.03239
  • Maximum
    0.16672
  • Mean of quarter 1
    0.00740
  • Mean of quarter 2
    0.02665
  • Mean of quarter 3
    0.03058
  • Mean of quarter 4
    0.09986
  • Inter Quartile Range
    0.01985
  • 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
    0.16667
  • Mean of outliers high
    0.16672
  • 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)
    0.09445
  • Compounded annual return (geometric extrapolation)
    0.08264
  • Calmar ratio (compounded annual return / max draw down)
    0.49570
  • Compounded annual return / average of 25% largest draw downs
    0.82759
  • Compounded annual return / Expected Shortfall lognormal
    1.38267
  • 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
    0.05431
  • SD
    0.08669
  • Sharpe ratio (Glass type estimate)
    0.62643
  • Sharpe ratio (Hedges UMVUE)
    0.62601
  • df
    1126.00000
  • t
    1.29922
  • p
    0.48065
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.31905
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.57168
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.31935
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.57138
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.92590
  • Upside Potential Ratio
    8.64765
  • Upside part of mean
    0.50722
  • Downside part of mean
    -0.45292
  • Upside SD
    0.06388
  • Downside SD
    0.05865
  • N nonnegative terms
    518.00000
  • N negative terms
    609.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1127.00000
  • Mean of predictor
    0.13691
  • Mean of criterion
    0.05431
  • SD of predictor
    0.16731
  • SD of criterion
    0.08669
  • Covariance
    0.00759
  • r
    0.52331
  • b (slope, estimate of beta)
    0.27116
  • a (intercept, estimate of alpha)
    0.01700
  • Mean Square Error
    0.00546
  • DF error
    1125.00000
  • t(b)
    20.59780
  • p(b)
    0.18275
  • t(a)
    0.48158
  • p(a)
    0.49086
  • Lowerbound of 95% confidence interval for beta
    0.24533
  • Upperbound of 95% confidence interval for beta
    0.29700
  • Lowerbound of 95% confidence interval for alpha
    -0.05283
  • Upperbound of 95% confidence interval for alpha
    0.08719
  • Treynor index (mean / b)
    0.20028
  • Jensen alpha (a)
    0.01718
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.05055
  • SD
    0.08662
  • Sharpe ratio (Glass type estimate)
    0.58353
  • Sharpe ratio (Hedges UMVUE)
    0.58314
  • df
    1126.00000
  • t
    1.21025
  • p
    0.48198
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.36190
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.52874
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.36218
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.52846
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.85691
  • Upside Potential Ratio
    8.56361
  • Upside part of mean
    0.50515
  • Downside part of mean
    -0.45460
  • Upside SD
    0.06346
  • Downside SD
    0.05899
  • N nonnegative terms
    518.00000
  • N negative terms
    609.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1127.00000
  • Mean of predictor
    0.12285
  • Mean of criterion
    0.05055
  • SD of predictor
    0.16755
  • SD of criterion
    0.08662
  • Covariance
    0.00759
  • r
    0.52290
  • b (slope, estimate of beta)
    0.27035
  • a (intercept, estimate of alpha)
    0.01733
  • Mean Square Error
    0.00546
  • DF error
    1125.00000
  • t(b)
    20.57590
  • p(b)
    0.18297
  • t(a)
    0.48618
  • p(a)
    0.49077
  • Lowerbound of 95% confidence interval for beta
    0.24457
  • Upperbound of 95% confidence interval for beta
    0.29613
  • Lowerbound of 95% confidence interval for alpha
    -0.05262
  • Upperbound of 95% confidence interval for alpha
    0.08729
  • Treynor index (mean / b)
    0.18697
  • Jensen alpha (a)
    0.01733
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00857
  • Expected Shortfall on VaR
    0.01079
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00417
  • Expected Shortfall on VaR
    0.00817
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1127.00000
  • Minimum
    0.97546
  • Quartile 1
    0.99775
  • Median
    1.00000
  • Quartile 3
    1.00305
  • Maximum
    1.03391
  • Mean of quarter 1
    0.99404
  • Mean of quarter 2
    0.99928
  • Mean of quarter 3
    1.00127
  • Mean of quarter 4
    1.00667
  • Inter Quartile Range
    0.00530
  • Number outliers low
    30.00000
  • Percentage of outliers low
    0.02662
  • Mean of outliers low
    0.98498
  • Number of outliers high
    31.00000
  • Percentage of outliers high
    0.02751
  • Mean of outliers high
    1.01560
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.07354
  • VaR(95%) (moments method)
    0.00542
  • Expected Shortfall (moments method)
    0.00768
  • Extreme Value Index (regression method)
    -0.02596
  • VaR(95%) (regression method)
    0.00535
  • Expected Shortfall (regression method)
    0.00718
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    36.00000
  • Minimum
    0.00007
  • Quartile 1
    0.00167
  • Median
    0.00531
  • Quartile 3
    0.01706
  • Maximum
    0.17675
  • Mean of quarter 1
    0.00080
  • Mean of quarter 2
    0.00347
  • Mean of quarter 3
    0.00896
  • Mean of quarter 4
    0.05113
  • Inter Quartile Range
    0.01538
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.13889
  • Mean of outliers high
    0.07568
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.61782
  • VaR(95%) (moments method)
    0.05606
  • Expected Shortfall (moments method)
    0.15566
  • Extreme Value Index (regression method)
    0.88684
  • VaR(95%) (regression method)
    0.04627
  • Expected Shortfall (regression method)
    0.33011
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.09332
  • Compounded annual return (geometric extrapolation)
    0.08161
  • Calmar ratio (compounded annual return / max draw down)
    0.46175
  • Compounded annual return / average of 25% largest draw downs
    1.59608
  • Compounded annual return / Expected Shortfall lognormal
    7.56713
  • 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
    -0.01750
  • SD
    0.01093
  • Sharpe ratio (Glass type estimate)
    -1.60106
  • Sharpe ratio (Hedges UMVUE)
    -1.59181
  • df
    130.00000
  • t
    -1.13212
  • p
    0.54940
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.37667
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.18059
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.37036
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.18674
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.61026
  • Upside Potential Ratio
    3.82923
  • Upside part of mean
    0.02567
  • Downside part of mean
    -0.04316
  • Upside SD
    0.00865
  • Downside SD
    0.00670
  • N nonnegative terms
    9.00000
  • N negative terms
    122.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.22345
  • Mean of criterion
    -0.01750
  • SD of predictor
    0.13597
  • SD of criterion
    0.01093
  • Covariance
    -0.00004
  • r
    -0.02483
  • b (slope, estimate of beta)
    -0.00200
  • a (intercept, estimate of alpha)
    -0.01705
  • Mean Square Error
    0.00012
  • DF error
    129.00000
  • t(b)
    -0.28208
  • p(b)
    0.51580
  • t(a)
    -1.09370
  • p(a)
    0.56093
  • Lowerbound of 95% confidence interval for beta
    -0.01599
  • Upperbound of 95% confidence interval for beta
    0.01200
  • Lowerbound of 95% confidence interval for alpha
    -0.04790
  • Upperbound of 95% confidence interval for alpha
    0.01379
  • Treynor index (mean / b)
    8.76825
  • Jensen alpha (a)
    -0.01705
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.01755
  • SD
    0.01092
  • Sharpe ratio (Glass type estimate)
    -1.60739
  • Sharpe ratio (Hedges UMVUE)
    -1.59810
  • df
    130.00000
  • t
    -1.13660
  • p
    0.54960
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.38305
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.17432
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.37670
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.18050
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.61576
  • Upside Potential Ratio
    3.81868
  • Upside part of mean
    0.02563
  • Downside part of mean
    -0.04318
  • Upside SD
    0.00863
  • Downside SD
    0.00671
  • N nonnegative terms
    9.00000
  • N negative terms
    122.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.21415
  • Mean of criterion
    -0.01755
  • SD of predictor
    0.13609
  • SD of criterion
    0.01092
  • Covariance
    -0.00004
  • r
    -0.02468
  • b (slope, estimate of beta)
    -0.00198
  • a (intercept, estimate of alpha)
    -0.01713
  • Mean Square Error
    0.00012
  • DF error
    129.00000
  • t(b)
    -0.28043
  • p(b)
    0.51571
  • t(a)
    -1.09997
  • p(a)
    0.56127
  • VAR (95 Confidence Intrvl)
    0.00900
  • Lowerbound of 95% confidence interval for beta
    -0.01596
  • Upperbound of 95% confidence interval for beta
    0.01199
  • Lowerbound of 95% confidence interval for alpha
    -0.04794
  • Upperbound of 95% confidence interval for alpha
    0.01368
  • Treynor index (mean / b)
    8.86272
  • Jensen alpha (a)
    -0.01713
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00118
  • Expected Shortfall on VaR
    0.00146
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00055
  • Expected Shortfall on VaR
    0.00109
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.99665
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00366
  • Mean of quarter 1
    0.99974
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00042
  • Inter Quartile Range
    0.00000
  • Number outliers low
    6.00000
  • Percentage of outliers low
    0.04580
  • Mean of outliers low
    0.99857
  • Number of outliers high
    9.00000
  • Percentage of outliers high
    0.06870
  • Mean of outliers high
    1.00153
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -7.88401
  • VaR(95%) (moments method)
    -0.43998
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -0.51502
  • VaR(95%) (regression method)
    -0.00031
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.00029
  • Quartile 1
    0.00217
  • Median
    0.00406
  • Quartile 3
    0.00595
  • Maximum
    0.00783
  • Mean of quarter 1
    0.00029
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00783
  • Inter Quartile Range
    0.00377
  • 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
    0.75%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -376855000
  • Max Equity Drawdown (num days)
    158
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.01038
  • Compounded annual return (geometric extrapolation)
    0.01041
  • Calmar ratio (compounded annual return / max draw down)
    1.32873
  • Compounded annual return / average of 25% largest draw downs
    1.32873
  • Compounded annual return / Expected Shortfall lognormal
    7.13876

Strategy Description

The system hold long position on low volatility stocks in US market.
The strategy is for long term investment and its recommended to join open position when you subscribe to the strategy.
Average stocks holding - 10 positions .
Most of our investments is in the US but we can hold different positions of 10 - 20 percent in other countries.
This trading strategy is managed by the investment managers of Interactive Israel Investment House

Summary Statistics

Strategy began
2020-07-13
Suggested Minimum Capital
$15,000
# Trades
43
# Profitable
31
% Profitable
72.1%
Net Dividends
Correlation S&P500
0.461
Sharpe Ratio
0.26
Sortino Ratio
0.37
Beta
0.29
Alpha
-0.00
Leverage
0.88 Average
1.27 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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subscribed on started simulation #SUBSCRIBEDDATE#

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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Suggested Minimum Capital

This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.