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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 09/08/2020
Most recent certification approved 9/8/20 11:50 ET
Trades at broker Israel Interactive Trading
Scaling percentage used 100%
# trading signals issued by system since certification 305
# trading signals executed in manager's Israel Interactive Trading account 305
Percent signals followed since 09/08/2020 100%
This information was last updated 5/16/22 2:16 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 09/08/2020, 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. Hypothetical performance results have many inherent limitations, some of which are described below. No representation is being made that any account will or is likely to achieve profits or losses similar to those shown. In fact, there are frequently sharp differences between hypothetical performance results and the actual results subsequently achieved by any particular trading program.

One of the limitations of hypothetical performance results is that they are generally prepared with the benefit of hindsight. 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.

Yoav Zelikovic
(130961820)

Created by: ZelikovicInvestmen ZelikovicInvestmen
Started: 09/2020
Stocks
Last trade: 14 days ago
Trading style: Equity Non-hedged Equity

Subscriptions not available

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

Subscription terms. Subscriptions to this system cost $120.00 per month.

C2Star

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

You can read more about C2Star certification requirements here.

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

Trading Category: Equity
Non-hedged Equity
Category: Equity

Non-hedged Equity

Predominantly long equities, although some hedging with short sales of stocks and/or stock index options. Commonly known as "stock-pickers."
62.6%
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.

(32.6%)
Max Drawdown
163
Num Trades
56.4%
Win Trades
2.6 : 1
Profit Factor
61.9%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020                                                        (1.4%)+7.1%+29.5%+15.1%+57.2%
2021+5.2%+16.6%+6.4%+10.7%+15.8%(1.2%)(7.2%)+2.8%(3.7%)+0.9%(2.2%)+6.2%+59.2%
2022(7.8%)+3.8%+1.3%(1.1%)(4.6%)                                          (8.5%)

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

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
3/1/22 9:30 UTI UNIVERSAL TECHNICAL INST LONG 280 8.86 5/2 10:04 10.01 0.45%
Trade id #139587656
Max drawdown($314)
Time3/15/22 0:00
Quant open280
Worst price7.74
Drawdown as % of equity-0.45%
$315
Includes Typical Broker Commissions trade costs of $5.60
9/27/21 9:41 TGA TRANSGLOBE ENERGY LONG 1,000 2.14 5/2/22 9:45 4.30 0.23%
Trade id #137541466
Max drawdown($164)
Time9/30/21 0:00
Quant open1,000
Worst price1.98
Drawdown as % of equity-0.23%
$2,153
Includes Typical Broker Commissions trade costs of $5.00
3/28/22 9:30 VWTR VIDLER WATER RESOURCES INC LONG 175 13.70 5/2 9:44 15.69 0.02%
Trade id #139938012
Max drawdown($17)
Time3/28/22 11:05
Quant open175
Worst price13.60
Drawdown as % of equity-0.02%
$345
Includes Typical Broker Commissions trade costs of $3.50
1/31/22 9:32 BKEP BLUEKNIGHT ENERGY LONG 550 3.59 5/2 9:43 4.55 0.33%
Trade id #139169950
Max drawdown($226)
Time3/15/22 0:00
Quant open550
Worst price3.18
Drawdown as % of equity-0.33%
$523
Includes Typical Broker Commissions trade costs of $5.00
3/1/22 9:30 USAK USA TRUCK LONG 100 24.87 5/2 9:43 16.81 1.41%
Trade id #139587746
Max drawdown($1,064)
Time4/18/22 0:00
Quant open100
Worst price14.22
Drawdown as % of equity-1.41%
($808)
Includes Typical Broker Commissions trade costs of $2.00
1/31/22 9:30 EGY VAALCO ENERGY LONG 440 4.27 4/4 9:30 7.07 0.09%
Trade id #139169619
Max drawdown($62)
Time1/31/22 9:58
Quant open440
Worst price4.13
Drawdown as % of equity-0.09%
$1,222
Includes Typical Broker Commissions trade costs of $8.80
10/25/21 9:30 SYNL SYNALLOY LONG 105 11.12 3/28/22 10:32 17.35 0.05%
Trade id #137938851
Max drawdown($32)
Time10/28/21 0:00
Quant open105
Worst price10.81
Drawdown as % of equity-0.05%
$652
Includes Typical Broker Commissions trade costs of $2.10
1/31/22 9:30 WSTG WAYSIDE TECHNOLOGY GROUP LONG 70 31.06 3/28 10:05 31.63 0.25%
Trade id #139169632
Max drawdown($172)
Time2/4/22 0:00
Quant open70
Worst price28.60
Drawdown as % of equity-0.25%
$38
Includes Typical Broker Commissions trade costs of $1.40
3/1/22 9:34 SD SANDRIDGE ENERGY INC LONG 180 13.82 3/28 9:37 16.82 0.15%
Trade id #139588225
Max drawdown($107)
Time3/16/22 0:00
Quant open180
Worst price13.22
Drawdown as % of equity-0.15%
$536
Includes Typical Broker Commissions trade costs of $3.60
1/31/22 9:30 YELL YELLOW CORP LONG 200 9.76 3/28 9:30 7.86 0.78%
Trade id #139169624
Max drawdown($561)
Time3/14/22 0:00
Quant open200
Worst price6.95
Drawdown as % of equity-0.78%
($384)
Includes Typical Broker Commissions trade costs of $4.00
12/20/21 13:53 HBP HUTTIG BUILDING PRODUCTS INC. LONG 140 8.91 3/28/22 9:30 10.64 0.16%
Trade id #138643286
Max drawdown($106)
Time1/28/22 0:00
Quant open140
Worst price8.15
Drawdown as % of equity-0.16%
$238
Includes Typical Broker Commissions trade costs of $2.80
12/20/21 13:53 RELL RICHARDSON ELECTRONICS LONG 125 11.36 3/28/22 9:30 12.08 0.06%
Trade id #138643311
Max drawdown($44)
Time3/7/22 0:00
Quant open125
Worst price11.01
Drawdown as % of equity-0.06%
$87
Includes Typical Broker Commissions trade costs of $2.50
12/20/21 14:01 CDRE CADRE HOLDINGS INC LONG 100 21.27 3/1/22 10:30 22.06 0.32%
Trade id #138643486
Max drawdown($220)
Time1/24/22 0:00
Quant open100
Worst price19.07
Drawdown as % of equity-0.32%
$76
Includes Typical Broker Commissions trade costs of $2.00
8/30/21 11:47 SNEX STONEX GROUP INC LONG 22 68.31 3/1/22 10:29 73.84 0.48%
Trade id #137177864
Max drawdown($351)
Time11/30/21 0:00
Quant open22
Worst price52.31
Drawdown as % of equity-0.48%
$122
Includes Typical Broker Commissions trade costs of $0.44
9/8/20 12:54 APG API GROUP CORP LONG 100 13.56 3/1/22 10:28 20.79 0.18%
Trade id #131069309
Max drawdown($55)
Time9/21/20 0:00
Quant open100
Worst price13.00
Drawdown as % of equity-0.18%
$721
Includes Typical Broker Commissions trade costs of $2.00
10/25/21 10:25 CATO CATO LONG 100 17.71 3/1/22 10:27 17.34 0.34%
Trade id #137941775
Max drawdown($255)
Time11/19/21 0:00
Quant open100
Worst price15.16
Drawdown as % of equity-0.34%
($39)
Includes Typical Broker Commissions trade costs of $2.00
11/22/21 11:05 SBOW SILVERBOW RESOURCES INC LONG 120 27.85 3/1/22 10:25 26.66 1.56%
Trade id #138294535
Max drawdown($1,061)
Time1/24/22 0:00
Quant open120
Worst price19.00
Drawdown as % of equity-1.56%
($145)
Includes Typical Broker Commissions trade costs of $2.40
1/31/22 10:08 SJ SCIENJOY HOLDING CORP LONG 300 6.62 3/1 9:30 4.20 1.06%
Trade id #139171674
Max drawdown($765)
Time3/1/22 9:30
Quant open300
Worst price4.07
Drawdown as % of equity-1.06%
($732)
Includes Typical Broker Commissions trade costs of $6.00
8/2/21 9:51 AXR AMREP LONG 155 14.80 3/1/22 9:30 11.48 0.85%
Trade id #136783716
Max drawdown($573)
Time1/28/22 0:00
Quant open155
Worst price11.10
Drawdown as % of equity-0.85%
($517)
Includes Typical Broker Commissions trade costs of $3.10
10/25/21 12:24 BBW BUILD-A-BEAR WORKSHOP LONG 150 16.19 3/1/22 9:30 20.29 0.28%
Trade id #137946278
Max drawdown($204)
Time10/27/21 0:00
Quant open150
Worst price14.83
Drawdown as % of equity-0.28%
$612
Includes Typical Broker Commissions trade costs of $3.00
9/27/21 10:40 SCX L.S. STARRETT COMPANY LONG 157 12.76 2/1/22 15:48 8.98 0.89%
Trade id #137543946
Max drawdown($624)
Time12/6/21 0:00
Quant open157
Worst price8.78
Drawdown as % of equity-0.89%
($596)
Includes Typical Broker Commissions trade costs of $3.14
8/2/21 9:30 CMLS CUMULUS MEDIA INC. CLASS A COMMON STOCK LONG 175 11.98 1/31/22 15:58 10.25 0.57%
Trade id #136781915
Max drawdown($414)
Time9/20/21 0:00
Quant open175
Worst price9.61
Drawdown as % of equity-0.57%
($305)
Includes Typical Broker Commissions trade costs of $3.50
1/4/21 11:16 TITN TITAN MACHINERY LONG 75 19.06 1/31/22 12:25 29.44 0.07%
Trade id #133159353
Max drawdown($30)
Time1/4/21 12:47
Quant open75
Worst price18.65
Drawdown as % of equity-0.07%
$778
Includes Typical Broker Commissions trade costs of $1.50
1/8/21 12:42 LAZY LAZYDAYS HOLDINGS INC. COMMON STOCK LONG 80 18.15 1/31/22 10:15 16.10 0.32%
Trade id #133277576
Max drawdown($215)
Time1/28/22 0:00
Quant open80
Worst price15.45
Drawdown as % of equity-0.32%
($166)
Includes Typical Broker Commissions trade costs of $1.60
12/21/20 9:30 BXC BLUELINX HOLDINGS LONG 60 28.27 1/31/22 9:41 70.19 0.1%
Trade id #132936842
Max drawdown($48)
Time1/4/21 0:00
Quant open35
Worst price27.13
Drawdown as % of equity-0.10%
$2,514
Includes Typical Broker Commissions trade costs of $1.20
12/20/21 13:55 CPIX CUMBERLAND LONG 350 4.34 1/31/22 9:38 3.31 0.64%
Trade id #138643385
Max drawdown($439)
Time1/25/22 0:00
Quant open350
Worst price3.08
Drawdown as % of equity-0.64%
($367)
Includes Typical Broker Commissions trade costs of $7.00
12/20/21 13:54 MTEX MANNATECH LONG 45 37.32 1/31/22 9:30 34.11 0.21%
Trade id #138643343
Max drawdown($147)
Time1/26/22 0:00
Quant open45
Worst price34.04
Drawdown as % of equity-0.21%
($146)
Includes Typical Broker Commissions trade costs of $0.90
8/30/21 11:50 GTIM GOOD TIMES RESTAURANTS LONG 250 5.15 1/31/22 9:30 4.20 0.35%
Trade id #137178017
Max drawdown($249)
Time12/20/21 0:00
Quant open250
Worst price4.15
Drawdown as % of equity-0.35%
($241)
Includes Typical Broker Commissions trade costs of $5.00
12/20/21 13:59 USAK USA TRUCK LONG 100 18.32 1/31/22 9:30 17.73 0.17%
Trade id #138643434
Max drawdown($114)
Time1/24/22 0:00
Quant open100
Worst price17.18
Drawdown as % of equity-0.17%
($61)
Includes Typical Broker Commissions trade costs of $2.00
11/22/21 10:09 SD SANDRIDGE ENERGY INC LONG 169 11.89 1/31/22 9:30 11.03 0.7%
Trade id #138293071
Max drawdown($476)
Time1/24/22 0:00
Quant open169
Worst price9.07
Drawdown as % of equity-0.70%
($147)
Includes Typical Broker Commissions trade costs of $3.38

Statistics

  • Strategy began
    9/3/2020
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    619.77
  • Age
    21 months ago
  • What it trades
    Stocks
  • # Trades
    163
  • # Profitable
    92
  • % Profitable
    56.40%
  • Avg trade duration
    139.3 days
  • Max peak-to-valley drawdown
    32.58%
  • drawdown period
    March 29, 2022 - May 12, 2022
  • Annual Return (Compounded)
    62.6%
  • Avg win
    $725.28
  • Avg loss
    $366.58
  • Model Account Values (Raw)
  • Cash
    $27,238
  • Margin Used
    $0
  • Buying Power
    $29,828
  • Ratios
  • W:L ratio
    2.63:1
  • Sharpe Ratio
    1.51
  • Sortino Ratio
    2.24
  • Calmar Ratio
    3.868
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    112.70%
  • Correlation to SP500
    0.40240
  • Return Percent SP500 (cumu) during strategy life
    16.46%
  • Return Statistics
  • Ann Return (w trading costs)
    62.6%
  • Slump
  • Current Slump as Pcnt Equity
    21.30%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.08%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.626%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    67.9%
  • Automation
  • Percentage Signals Automated
    n/a
  • Popularity
  • Popularity (Today)
    960
  • Popularity (Last 6 weeks)
    986
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    964
  • Popularity (7 days, Percentile 1000 scale)
    963
  • Trades-Own-System Certification
  • Trades Own System?
    Yes
  • TOS percent
    100%
  • Win / Loss
  • Avg Loss
    $367
  • Avg Win
    $725
  • Sum Trade PL (losers)
    $26,027.000
  • Age
  • Num Months filled monthly returns table
    21
  • Win / Loss
  • Sum Trade PL (winners)
    $66,726.000
  • # Winners
    92
  • Num Months Winners
    13
  • Dividends
  • Dividends Received in Model Acct
    1729
  • AUM
  • AUM (AutoTrader live capital)
    1808470
  • Win / Loss
  • # Losers
    71
  • % Winners
    56.4%
  • Frequency
  • Avg Position Time (mins)
    200661.00
  • Avg Position Time (hrs)
    3344.35
  • Avg Trade Length
    139.3 days
  • Last Trade Ago
    14
  • Leverage
  • Daily leverage (average)
    0.90
  • Daily leverage (max)
    1.30
  • Regression
  • Alpha
    0.12
  • Beta
    0.67
  • Treynor Index
    0.21
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.94
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    1.290
  • 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
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.180
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.345
  • Hold-and-Hope Ratio
    1.122
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.51859
  • SD
    0.29118
  • Sharpe ratio (Glass type estimate)
    1.78099
  • Sharpe ratio (Hedges UMVUE)
    1.70959
  • df
    19.00000
  • t
    2.29924
  • p
    0.21414
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.14150
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.37949
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.09703
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.32214
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.82008
  • Upside Potential Ratio
    7.32004
  • Upside part of mean
    0.65224
  • Downside part of mean
    -0.13365
  • Upside SD
    0.30825
  • Downside SD
    0.08910
  • N nonnegative terms
    14.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    20.00000
  • Mean of predictor
    0.06067
  • Mean of criterion
    0.51859
  • SD of predictor
    0.15051
  • SD of criterion
    0.29118
  • Covariance
    0.02004
  • r
    0.45729
  • b (slope, estimate of beta)
    0.88469
  • a (intercept, estimate of alpha)
    0.46492
  • Mean Square Error
    0.07078
  • DF error
    18.00000
  • t(b)
    2.18159
  • p(b)
    0.27135
  • t(a)
    2.24009
  • p(a)
    0.26655
  • Lowerbound of 95% confidence interval for beta
    0.03271
  • Upperbound of 95% confidence interval for beta
    1.73666
  • Lowerbound of 95% confidence interval for alpha
    0.02888
  • Upperbound of 95% confidence interval for alpha
    0.90095
  • Treynor index (mean / b)
    0.58619
  • Jensen alpha (a)
    0.46492
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.47101
  • SD
    0.27123
  • Sharpe ratio (Glass type estimate)
    1.73658
  • Sharpe ratio (Hedges UMVUE)
    1.66696
  • df
    19.00000
  • t
    2.24192
  • p
    0.21932
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.10230
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.33068
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.05893
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.27500
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.10117
  • Upside Potential Ratio
    6.59031
  • Upside part of mean
    0.60851
  • Downside part of mean
    -0.13750
  • Upside SD
    0.28257
  • Downside SD
    0.09233
  • N nonnegative terms
    14.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    20.00000
  • Mean of predictor
    0.04938
  • Mean of criterion
    0.47101
  • SD of predictor
    0.15352
  • SD of criterion
    0.27123
  • Covariance
    0.01958
  • r
    0.47033
  • b (slope, estimate of beta)
    0.83096
  • a (intercept, estimate of alpha)
    0.42997
  • Mean Square Error
    0.06047
  • DF error
    18.00000
  • t(b)
    2.26117
  • p(b)
    0.26483
  • t(a)
    2.24708
  • p(a)
    0.26598
  • Lowerbound of 95% confidence interval for beta
    0.05889
  • Upperbound of 95% confidence interval for beta
    1.60303
  • Lowerbound of 95% confidence interval for alpha
    0.02797
  • Upperbound of 95% confidence interval for alpha
    0.83198
  • Treynor index (mean / b)
    0.56682
  • Jensen alpha (a)
    0.42997
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.08564
  • Expected Shortfall on VaR
    0.11471
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01768
  • Expected Shortfall on VaR
    0.03986
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    20.00000
  • Minimum
    0.91011
  • Quartile 1
    0.99796
  • Median
    1.02155
  • Quartile 3
    1.10018
  • Maximum
    1.26134
  • Mean of quarter 1
    0.95822
  • Mean of quarter 2
    1.00557
  • Mean of quarter 3
    1.06363
  • Mean of quarter 4
    1.15475
  • Inter Quartile Range
    0.10222
  • 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
    0.05000
  • Mean of outliers high
    1.26134
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -7.31584
  • VaR(95%) (moments method)
    0.02481
  • Expected Shortfall (moments method)
    0.02481
  • Extreme Value Index (regression method)
    0.23285
  • VaR(95%) (regression method)
    0.03217
  • Expected Shortfall (regression method)
    0.05576
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.14384
  • Quartile 1
    0.14384
  • Median
    0.14384
  • Quartile 3
    0.14384
  • Maximum
    0.14384
  • 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)
    0.77809
  • Compounded annual return (geometric extrapolation)
    0.64693
  • Calmar ratio (compounded annual return / max draw down)
    4.49761
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    5.63993
  • 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
    0.53376
  • SD
    0.26518
  • Sharpe ratio (Glass type estimate)
    2.01279
  • Sharpe ratio (Hedges UMVUE)
    2.00934
  • df
    438.00000
  • t
    2.60543
  • p
    0.00474
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.49171
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.53170
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.48937
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.52932
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.01324
  • Upside Potential Ratio
    11.04100
  • Upside part of mean
    1.95577
  • Downside part of mean
    -1.42201
  • Upside SD
    0.19968
  • Downside SD
    0.17714
  • N nonnegative terms
    253.00000
  • N negative terms
    186.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    439.00000
  • Mean of predictor
    0.07748
  • Mean of criterion
    0.53376
  • SD of predictor
    0.16976
  • SD of criterion
    0.26518
  • Covariance
    0.01820
  • r
    0.40419
  • b (slope, estimate of beta)
    0.63137
  • a (intercept, estimate of alpha)
    0.48500
  • Mean Square Error
    0.05897
  • DF error
    437.00000
  • t(b)
    9.23747
  • p(b)
    -0.00000
  • t(a)
    2.58343
  • p(a)
    0.00505
  • Lowerbound of 95% confidence interval for beta
    0.49704
  • Upperbound of 95% confidence interval for beta
    0.76571
  • Lowerbound of 95% confidence interval for alpha
    0.11599
  • Upperbound of 95% confidence interval for alpha
    0.85369
  • Treynor index (mean / b)
    0.84539
  • Jensen alpha (a)
    0.48484
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.49810
  • SD
    0.26533
  • Sharpe ratio (Glass type estimate)
    1.87729
  • Sharpe ratio (Hedges UMVUE)
    1.87407
  • df
    438.00000
  • t
    2.43004
  • p
    0.00775
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.35704
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.39551
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.35485
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.39329
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.77053
  • Upside Potential Ratio
    10.76820
  • Upside part of mean
    1.93596
  • Downside part of mean
    -1.43786
  • Upside SD
    0.19714
  • Downside SD
    0.17979
  • N nonnegative terms
    253.00000
  • N negative terms
    186.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    439.00000
  • Mean of predictor
    0.06305
  • Mean of criterion
    0.49810
  • SD of predictor
    0.17007
  • SD of criterion
    0.26533
  • Covariance
    0.01822
  • r
    0.40381
  • b (slope, estimate of beta)
    0.62998
  • a (intercept, estimate of alpha)
    0.45838
  • Mean Square Error
    0.05906
  • DF error
    437.00000
  • t(b)
    9.22725
  • p(b)
    -0.00000
  • t(a)
    2.44098
  • p(a)
    0.00752
  • Lowerbound of 95% confidence interval for beta
    0.49579
  • Upperbound of 95% confidence interval for beta
    0.76417
  • Lowerbound of 95% confidence interval for alpha
    0.08931
  • Upperbound of 95% confidence interval for alpha
    0.82746
  • Treynor index (mean / b)
    0.79066
  • Jensen alpha (a)
    0.45838
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02475
  • Expected Shortfall on VaR
    0.03139
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01126
  • Expected Shortfall on VaR
    0.02241
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    439.00000
  • Minimum
    0.94751
  • Quartile 1
    0.99183
  • Median
    1.00253
  • Quartile 3
    1.01286
  • Maximum
    1.04574
  • Mean of quarter 1
    0.98102
  • Mean of quarter 2
    0.99795
  • Mean of quarter 3
    1.00758
  • Mean of quarter 4
    1.02207
  • Inter Quartile Range
    0.02104
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.01139
  • Mean of outliers low
    0.95319
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.00228
  • Mean of outliers high
    1.04574
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.08226
  • VaR(95%) (moments method)
    0.01847
  • Expected Shortfall (moments method)
    0.02583
  • Extreme Value Index (regression method)
    -0.08357
  • VaR(95%) (regression method)
    0.01891
  • Expected Shortfall (regression method)
    0.02457
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    23.00000
  • Minimum
    0.00039
  • Quartile 1
    0.00520
  • Median
    0.00916
  • Quartile 3
    0.04882
  • Maximum
    0.17896
  • Mean of quarter 1
    0.00268
  • Mean of quarter 2
    0.00670
  • Mean of quarter 3
    0.02662
  • Mean of quarter 4
    0.09673
  • Inter Quartile Range
    0.04362
  • 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
    0.04348
  • Mean of outliers high
    0.17896
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -1.32424
  • VaR(95%) (moments method)
    0.10353
  • Expected Shortfall (moments method)
    0.10844
  • Extreme Value Index (regression method)
    0.04714
  • VaR(95%) (regression method)
    0.10043
  • Expected Shortfall (regression method)
    0.13335
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.84401
  • Compounded annual return (geometric extrapolation)
    0.69217
  • Calmar ratio (compounded annual return / max draw down)
    3.86777
  • Compounded annual return / average of 25% largest draw downs
    7.15550
  • Compounded annual return / Expected Shortfall lognormal
    22.05090
  • 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
    -0.15918
  • SD
    0.29112
  • Sharpe ratio (Glass type estimate)
    -0.54678
  • Sharpe ratio (Hedges UMVUE)
    -0.54362
  • df
    130.00000
  • t
    -0.38663
  • p
    0.51694
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.31842
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.22679
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.31621
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.22897
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.72230
  • Upside Potential Ratio
    7.87325
  • Upside part of mean
    1.73509
  • Downside part of mean
    -1.89427
  • Upside SD
    0.18877
  • Downside SD
    0.22038
  • N nonnegative terms
    66.00000
  • N negative terms
    65.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.30725
  • Mean of criterion
    -0.15918
  • SD of predictor
    0.21868
  • SD of criterion
    0.29112
  • Covariance
    0.02692
  • r
    0.42285
  • b (slope, estimate of beta)
    0.56293
  • a (intercept, estimate of alpha)
    0.01378
  • Mean Square Error
    0.07014
  • DF error
    129.00000
  • t(b)
    5.29985
  • p(b)
    0.23905
  • t(a)
    0.03666
  • p(a)
    0.49795
  • Lowerbound of 95% confidence interval for beta
    0.35278
  • Upperbound of 95% confidence interval for beta
    0.77308
  • Lowerbound of 95% confidence interval for alpha
    -0.73004
  • Upperbound of 95% confidence interval for alpha
    0.75760
  • Treynor index (mean / b)
    -0.28277
  • Jensen alpha (a)
    0.01378
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.20152
  • SD
    0.29240
  • Sharpe ratio (Glass type estimate)
    -0.68920
  • Sharpe ratio (Hedges UMVUE)
    -0.68521
  • df
    130.00000
  • t
    -0.48733
  • p
    0.52135
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.46094
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.08509
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.45827
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.08785
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.89885
  • Upside Potential Ratio
    7.66012
  • Upside part of mean
    1.71739
  • Downside part of mean
    -1.91891
  • Upside SD
    0.18637
  • Downside SD
    0.22420
  • N nonnegative terms
    66.00000
  • N negative terms
    65.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.33122
  • Mean of criterion
    -0.20152
  • SD of predictor
    0.21921
  • SD of criterion
    0.29240
  • Covariance
    0.02704
  • r
    0.42178
  • b (slope, estimate of beta)
    0.56259
  • a (intercept, estimate of alpha)
    -0.01518
  • Mean Square Error
    0.07083
  • DF error
    129.00000
  • t(b)
    5.28344
  • p(b)
    0.23968
  • t(a)
    -0.04015
  • p(a)
    0.50225
  • VAR (95 Confidence Intrvl)
    0.02500
  • Lowerbound of 95% confidence interval for beta
    0.35191
  • Upperbound of 95% confidence interval for beta
    0.77327
  • Lowerbound of 95% confidence interval for alpha
    -0.76313
  • Upperbound of 95% confidence interval for alpha
    0.73277
  • Treynor index (mean / b)
    -0.35820
  • Jensen alpha (a)
    -0.01518
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03002
  • Expected Shortfall on VaR
    0.03730
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01670
  • Expected Shortfall on VaR
    0.03122
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.94751
  • Quartile 1
    0.98914
  • Median
    1.00023
  • Quartile 3
    1.01123
  • Maximum
    1.04303
  • Mean of quarter 1
    0.97635
  • Mean of quarter 2
    0.99516
  • Mean of quarter 3
    1.00569
  • Mean of quarter 4
    1.02098
  • Inter Quartile Range
    0.02209
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.01527
  • Mean of outliers low
    0.94898
  • 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)
    0.16582
  • VaR(95%) (moments method)
    0.02466
  • Expected Shortfall (moments method)
    0.03594
  • Extreme Value Index (regression method)
    0.02897
  • VaR(95%) (regression method)
    0.02550
  • Expected Shortfall (regression method)
    0.03465
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.11066
  • Quartile 1
    0.12837
  • Median
    0.14608
  • Quartile 3
    0.14999
  • Maximum
    0.15390
  • Mean of quarter 1
    0.11066
  • Mean of quarter 2
    0.14608
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.15390
  • Inter Quartile Range
    0.02162
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    0.50%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -322298000
  • Max Equity Drawdown (num days)
    44
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.16629
  • Compounded annual return (geometric extrapolation)
    -0.15938
  • Calmar ratio (compounded annual return / max draw down)
    -1.03557
  • Compounded annual return / average of 25% largest draw downs
    -1.03557
  • Compounded annual return / Expected Shortfall lognormal
    -4.27341

Strategy Description


1. Micro-Cap Value Stocks
This investment strategy is based on one of the best strategies in the book "What Works on Wall Street" by James P. O'Shaughnessy. This strategy selects a basket of 25 stocks the market cap of which is under $ 300 million (stocks which are excluded from the major indexes in the U.S.A.). These stocks are selected only if they fulfill a number of criteria (including value, quality, momentum, and financial stability) which have been proven by empirical studies to be a source of alpha.
As we have witnessed in the past three years, some of these stocks and this strategy do not outperform the market every year. Nevertheless, this instability per se (which may cause other investors to abandon the strategy at exactly the wrong time) is the key for its success over time as it involves "going against the herd". As Prof. Joel Greenblatt, the author of the book "The Little Book that Beats the Market"), once stated:
"If I wrote a book about a strategy that worked every month, or even every year, everyone would start using it, and it would stop working."
In addition, our implementation of this strategy within our Individual Retirement Accounts (I.R.A.) at a low cost broker is an especially fruitful way to use this strategy. Within the I.R.A. accounts we can implement this strategy with all of its benefits and also enjoy a tax exemption/deferral.

2. Compounders
Our Compounder stocks are usually stocks of holding companies (led by Outsider CEO/Owner Operators) and stocks of public insurance companies around the world. During the past three years (in particular, during the December 2018 fall in the stock market and this year’s Coronavirus meltdown) we were able to increase our stakes in these companies at very attractive prices.

Summary Statistics

Strategy began
2020-09-03
Suggested Minimum Capital
$15,000
Rank at C2 %
Top 3.6%
Rank # 
#27
# Trades
163
# Profitable
92
% Profitable
56.4%
Net Dividends
Correlation S&P500
0.402
Sharpe Ratio
1.51
Sortino Ratio
2.24
Beta
0.67
Alpha
0.12
Leverage
0.90 Average
1.30 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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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.