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Featured Strategy IC Algotrading +86.4% Annual Return (Compounded) since Mar 31, 2023 Hypothetical

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KiparisLowCap
(133218986)

Created by: KiparisWM KiparisWM
Started: 01/2021
Stocks
Last trade: 780 days ago
Trading style: Equity Trend-following

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 $85.00 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
Trend-following
Category: Equity

Trend-following

Tries to take advantage of long, medium or short-term moves that seem to play out in various markets. Typically, trend-following analysis is backward looking; that is, it attempts to recognize and profit from already-established trends.
17.8%
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.

(76.2%)
Max Drawdown
206
Num Trades
50.5%
Win Trades
1.6 : 1
Profit Factor
42.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2021+19.4%+16.2%(1.4%)(2.3%)+4.5%+7.2%(10.5%)+1.7%(2.7%)(4.9%)(10.5%)(4.9%)+7.5%
2022(9.7%)+50.7%+36.9%(1.3%)(10.7%)(3.1%)(0.2%)(0.7%)(11.2%)+1.3%(1.1%)(3.8%)+34.9%
2023+7.0%(2.5%)+4.0%+1.3%(6.3%)+1.8%(0.9%)(4.3%)(3.4%)(1%)+0.6%(0.9%)(5.1%)
2024+4.0%+6.9%+1.8%+9.9%                                                +24.4%

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.

System developer has asked us to delay this information by 168 hours.

Trading Record

This strategy has placed 29 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 972 days ago.

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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
1/4/22 13:51 TBLT TOUGHBUILT INDUSTRIES INC LONG 2,500 0.39 3/1 15:06 0.18 2%
Trade id #138815848
Max drawdown($630)
Time2/24/22 0:00
Quant open2,500
Worst price0.14
Drawdown as % of equity-2.00%
 ($532)
Includes Typical Broker Commissions trade costs of $5.00
1/4/22 13:52 TXMD THERAPEUTICSMD INC. LONG 2,200 0.47 3/1 15:06 0.23 1.99%
Trade id #138815864
Max drawdown($629)
Time2/24/22 0:00
Quant open2,200
Worst price0.18
Drawdown as % of equity-1.99%
 ($524)
Includes Typical Broker Commissions trade costs of $5.00
1/4/22 13:55 GLG TD HOLDINGS INC LONG 2,300 0.43 3/1 15:06 0.24 1.92%
Trade id #138815924
Max drawdown($607)
Time2/24/22 0:00
Quant open2,300
Worst price0.17
Drawdown as % of equity-1.92%
 ($462)
Includes Typical Broker Commissions trade costs of $5.00
1/4/22 13:54 TNXP TONIX PHARMACEUTICALS HOLDING LONG 2,500 0.37 3/1 15:06 0.19 1.77%
Trade id #138815904
Max drawdown($558)
Time2/24/22 0:00
Quant open2,500
Worst price0.15
Drawdown as % of equity-1.77%
 ($462)
Includes Typical Broker Commissions trade costs of $5.00
1/4/22 13:55 MOHO ECMOHO LIMITED ADS LONG 2,300 0.43 3/1 15:05 0.24 1.91%
Trade id #138815919
Max drawdown($601)
Time2/25/22 0:00
Quant open2,300
Worst price0.17
Drawdown as % of equity-1.91%
 ($453)
Includes Typical Broker Commissions trade costs of $5.00
1/4/22 14:01 NVIV INVIVO THERAPEUTICS HOLDINGS LONG 1,900 0.54 3/1 15:05 0.35 2.4%
Trade id #138816082
Max drawdown($550)
Time1/28/22 0:00
Quant open1,900
Worst price0.26
Drawdown as % of equity-2.40%
 ($366)
Includes Typical Broker Commissions trade costs of $5.00
1/4/22 14:00 QK Q&K INTERNATIONAL GROUP LIMITED ADS LONG 2,200 0.45 3/1 15:05 0.30 1.27%
Trade id #138816073
Max drawdown($401)
Time2/28/22 0:00
Quant open2,200
Worst price0.27
Drawdown as % of equity-1.27%
 ($341)
Includes Typical Broker Commissions trade costs of $5.00
1/4/22 13:56 BHAT BLUE HAT INTERACTIVE ENTERTAINMENT TECHNOLOGY LONG 2,300 0.45 3/1 15:05 0.30 1.28%
Trade id #138816005
Max drawdown($405)
Time2/24/22 0:00
Quant open2,300
Worst price0.27
Drawdown as % of equity-1.28%
 ($339)
Includes Typical Broker Commissions trade costs of $5.00
1/4/22 13:50 HSTO HISTOGEN INC LONG 3,000 0.35 3/1 15:05 0.25 1.87%
Trade id #138815835
Max drawdown($441)
Time2/4/22 0:00
Quant open3,000
Worst price0.20
Drawdown as % of equity-1.87%
 ($301)
Includes Typical Broker Commissions trade costs of $5.00
1/4/22 13:48 FAMI FARMMI INC. ORDINARY SHARES LONG 4,000 0.25 3/1 15:05 0.18 1.54%
Trade id #138815821
Max drawdown($485)
Time2/24/22 0:00
Quant open4,000
Worst price0.13
Drawdown as % of equity-1.54%
 ($297)
Includes Typical Broker Commissions trade costs of $5.00
1/4/22 13:49 METX METEN EDTECHX EDUCATION GROUP LTD LONG 4,000 0.26 3/1 15:05 0.20 1.8%
Trade id #138815828
Max drawdown($434)
Time1/24/22 0:00
Quant open4,000
Worst price0.15
Drawdown as % of equity-1.80%
 ($239)
Includes Typical Broker Commissions trade costs of $5.00
1/4/22 13:50 ABEO ABEONA THERAPEUTICS INC. COMMON STOCK LONG 3,000 0.35 3/1 15:05 0.28 1.82%
Trade id #138815837
Max drawdown($438)
Time1/24/22 0:00
Quant open3,000
Worst price0.21
Drawdown as % of equity-1.82%
 ($221)
Includes Typical Broker Commissions trade costs of $5.00
2/17/22 14:58 ZSAN ZOSANA PHARMA CORP LONG 3,000 0.23 3/1 15:05 0.17 1.07%
Trade id #139438947
Max drawdown($337)
Time2/24/22 0:00
Quant open3,000
Worst price0.11
Drawdown as % of equity-1.07%
 ($186)
Includes Typical Broker Commissions trade costs of $5.00
2/10/22 10:48 RGLS REGULUS THERAPEUTICS LONG 4,500 0.26 3/1 15:05 0.23 0.89%
Trade id #139337612
Max drawdown($281)
Time2/24/22 0:00
Quant open4,500
Worst price0.20
Drawdown as % of equity-0.89%
 ($149)
Includes Typical Broker Commissions trade costs of $5.00
1/10/22 13:42 SLRX SALARIUS PHARMACEUTICALS INC LONG 2,000 0.47 3/1 15:05 0.40 0.74%
Trade id #138892014
Max drawdown($233)
Time2/24/22 0:00
Quant open2,000
Worst price0.35
Drawdown as % of equity-0.74%
 ($142)
Includes Typical Broker Commissions trade costs of $5.00
1/4/22 13:57 SECO SECOO HOLDING LIMITED ADR LONG 2,300 0.44 3/1 15:05 0.40 1.12%
Trade id #138816015
Max drawdown($354)
Time2/24/22 0:00
Quant open2,300
Worst price0.29
Drawdown as % of equity-1.12%
 ($108)
Includes Typical Broker Commissions trade costs of $5.00
1/4/22 13:53 CJJD CHINA JO-JO DRUGSTORES LONG 2,500 0.40 3/1 15:04 0.34 0.73%
Trade id #138815894
Max drawdown($240)
Time2/22/22 0:00
Quant open2,000
Worst price0.28
Drawdown as % of equity-0.73%
 ($139)
Includes Typical Broker Commissions trade costs of $10.00
1/4/22 13:58 NVCN NEOVASC INC. COMMON SHARES LONG 2,000 0.49 3/1 15:04 0.43 0.8%
Trade id #138816036
Max drawdown($193)
Time1/24/22 0:00
Quant open2,000
Worst price0.39
Drawdown as % of equity-0.80%
 ($125)
Includes Typical Broker Commissions trade costs of $10.00
1/4/22 13:56 DUO FANGDD NETWORK GROUP LTD. ADS LONG 2,300 0.41 3/1 15:04 0.38 1.24%
Trade id #138816000
Max drawdown($299)
Time1/24/22 0:00
Quant open2,300
Worst price0.28
Drawdown as % of equity-1.24%
 ($74)
Includes Typical Broker Commissions trade costs of $5.00
1/24/22 10:24 SXTC CHINA SXT PHARMACEUTICALS INC. LONG 4,000 0.17 3/1 15:04 0.18 0.75%
Trade id #139072235
Max drawdown($237)
Time2/24/22 0:00
Quant open4,000
Worst price0.11
Drawdown as % of equity-0.75%
 $27
Includes Typical Broker Commissions trade costs of $5.00
1/4/22 13:59 PXS PYXIS TANKERS INC. COMMON STOCK LONG 2,000 0.52 3/1 15:04 0.57 1.36%
Trade id #138816046
Max drawdown($327)
Time1/24/22 0:00
Quant open2,000
Worst price0.35
Drawdown as % of equity-1.36%
 $101
Includes Typical Broker Commissions trade costs of $5.00
1/4/22 13:54 EVFM EVOFEM BIOSCIENCES INC LONG 2,500 0.39 3/1 15:03 0.48 0.33%
Trade id #138815909
Max drawdown($83)
Time1/10/22 0:00
Quant open2,500
Worst price0.36
Drawdown as % of equity-0.33%
 $208
Includes Typical Broker Commissions trade costs of $10.00
1/4/22 13:59 REDU RISE EDUCATION CAYMAN LTD LONG 2,000 0.51 3/1 15:03 0.69 0.59%
Trade id #138816051
Max drawdown($141)
Time2/9/22 0:00
Quant open1,500
Worst price0.42
Drawdown as % of equity-0.59%
 $356
Includes Typical Broker Commissions trade costs of $10.00
1/4/22 13:56 PULM PULMATRIX INC LONG 2,300 0.44 3/1 15:03 5.68 n/a $12,046
Includes Typical Broker Commissions trade costs of $5.00
1/4/22 13:58 TANH TANTECH HOLDINGS LTD. COMMON S LONG 2,300 0.47 2/28 11:01 2.05 1.88%
Trade id #138816025
Max drawdown($592)
Time2/24/22 0:00
Quant open2,300
Worst price0.21
Drawdown as % of equity-1.88%
 $3,639
Includes Typical Broker Commissions trade costs of $5.00
1/4/22 13:47 BXRX BAUDAX BIO INC LONG 114 9.41 2/17 14:57 4.91 1.74%
Trade id #138815817
Max drawdown($584)
Time2/16/22 0:00
Quant open114
Worst price4.28
Drawdown as % of equity-1.74%
 ($515)
Includes Typical Broker Commissions trade costs of $2.28
1/4/22 13:49 CYRN CYREN LTD. ORDINARY SHARES LONG 3,000 0.33 2/9 14:52 3.57 n/a $9,730
Includes Typical Broker Commissions trade costs of $5.00
1/4/22 13:57 PT PINTEC TECHNOLOGY HOLDINGS LTD ADS LONG 2,100 0.49 1/24 10:14 1.29 0.64%
Trade id #138816011
Max drawdown($167)
Time1/6/22 0:00
Quant open2,100
Worst price0.42
Drawdown as % of equity-0.64%
 $1,665
Includes Typical Broker Commissions trade costs of $5.00
1/4/22 13:47 ADXS AYALA PHARMACEUTICALS INC. LONG 6,000 0.18 1/10 13:41 0.15 0.7%
Trade id #138815813
Max drawdown($180)
Time1/10/22 9:37
Quant open6,000
Worst price0.15
Drawdown as % of equity-0.70%
 ($167)
Includes Typical Broker Commissions trade costs of $5.00
1/29/21 15:05 SREV SERVICESOURCE LONG 320 1.57 1/4/22 13:39 1.02 0.75%
Trade id #133721137
Max drawdown($204)
Time12/21/21 0:00
Quant open320
Worst price0.93
Drawdown as % of equity-0.75%
 ($182)
Includes Typical Broker Commissions trade costs of $6.40
Next

Statistics

  • Strategy began
    1/6/2021
  • Suggested Minimum Cap
    $25,000
  • Strategy Age (days)
    1193.66
  • Age
    40 months ago
  • What it trades
    Stocks
  • # Trades
    206
  • # Profitable
    104
  • % Profitable
    50.50%
  • Avg trade duration
    142.0 days
  • Max peak-to-valley drawdown
    76.17%
  • drawdown period
    May 10, 2022 - Nov 10, 2023
  • Annual Return (Compounded)
    17.8%
  • Avg win
    $497.88
  • Avg loss
    $310.17
  • Model Account Values (Raw)
  • Cash
    $29,127
  • Margin Used
    $0
  • Buying Power
    $25,473
  • Ratios
  • W:L ratio
    1.64:1
  • Sharpe Ratio
    0.44
  • Sortino Ratio
    0.82
  • Calmar Ratio
    0.627
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    34.52%
  • Correlation to SP500
    0.10240
  • Return Percent SP500 (cumu) during strategy life
    33.70%
  • Return Statistics
  • Ann Return (w trading costs)
    17.8%
  • Slump
  • Current Slump as Pcnt Equity
    235.30%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.59%
  • 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)
    0.178%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    19.7%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    55.00%
  • Chance of 20% account loss
    24.50%
  • Chance of 30% account loss
    6.50%
  • Chance of 40% account loss
    1.50%
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $310
  • Avg Win
    $498
  • Sum Trade PL (losers)
    $31,637.000
  • Age
  • Num Months filled monthly returns table
    40
  • Win / Loss
  • Sum Trade PL (winners)
    $51,779.000
  • # Winners
    104
  • Num Months Winners
    17
  • Dividends
  • Dividends Received in Model Acct
    33
  • Win / Loss
  • # Losers
    102
  • % Winners
    50.5%
  • Frequency
  • Avg Position Time (mins)
    204534.00
  • Avg Position Time (hrs)
    3408.90
  • Avg Trade Length
    142.0 days
  • Last Trade Ago
    774
  • Leverage
  • Daily leverage (average)
    0.79
  • Daily leverage (max)
    1.09
  • Regression
  • Alpha
    0.08
  • Beta
    0.37
  • Treynor Index
    0.23
  • 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)
    -0.28
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    -13.944
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.07
  • Avg(MAE) / Avg(PL) - Winning trades
    0.207
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.197
  • Hold-and-Hope Ratio
    -0.054
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.54813
  • SD
    0.95047
  • Sharpe ratio (Glass type estimate)
    0.57670
  • Sharpe ratio (Hedges UMVUE)
    0.55581
  • df
    21.00000
  • t
    0.78085
  • p
    0.39357
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.88788
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.02788
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.90144
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.01307
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.67339
  • Upside Potential Ratio
    3.46403
  • Upside part of mean
    1.13468
  • Downside part of mean
    -0.58654
  • Upside SD
    0.88322
  • Downside SD
    0.32756
  • N nonnegative terms
    7.00000
  • N negative terms
    15.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    22.00000
  • Mean of predictor
    0.15173
  • Mean of criterion
    0.54813
  • SD of predictor
    0.21533
  • SD of criterion
    0.95047
  • Covariance
    -0.04166
  • r
    -0.20357
  • b (slope, estimate of beta)
    -0.89853
  • a (intercept, estimate of alpha)
    0.68447
  • Mean Square Error
    0.90926
  • DF error
    20.00000
  • t(b)
    -0.92985
  • p(b)
    0.60178
  • t(a)
    0.95151
  • p(a)
    0.39595
  • Lowerbound of 95% confidence interval for beta
    -2.91423
  • Upperbound of 95% confidence interval for beta
    1.11718
  • Lowerbound of 95% confidence interval for alpha
    -0.81606
  • Upperbound of 95% confidence interval for alpha
    2.18499
  • Treynor index (mean / b)
    -0.61004
  • Jensen alpha (a)
    0.68447
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.22441
  • SD
    0.76930
  • Sharpe ratio (Glass type estimate)
    0.29170
  • Sharpe ratio (Hedges UMVUE)
    0.28114
  • df
    21.00000
  • t
    0.39497
  • p
    0.44540
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.16190
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.73845
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.16888
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.73116
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.56732
  • Upside Potential Ratio
    2.22036
  • Upside part of mean
    0.87828
  • Downside part of mean
    -0.65387
  • Upside SD
    0.64238
  • Downside SD
    0.39556
  • N nonnegative terms
    7.00000
  • N negative terms
    15.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    22.00000
  • Mean of predictor
    0.12935
  • Mean of criterion
    0.22441
  • SD of predictor
    0.20931
  • SD of criterion
    0.76930
  • Covariance
    -0.01808
  • r
    -0.11229
  • b (slope, estimate of beta)
    -0.41272
  • a (intercept, estimate of alpha)
    0.27780
  • Mean Square Error
    0.61358
  • DF error
    20.00000
  • t(b)
    -0.50538
  • p(b)
    0.55615
  • t(a)
    0.47237
  • p(a)
    0.44748
  • Lowerbound of 95% confidence interval for beta
    -2.11623
  • Upperbound of 95% confidence interval for beta
    1.29079
  • Lowerbound of 95% confidence interval for alpha
    -0.94892
  • Upperbound of 95% confidence interval for alpha
    1.50451
  • Treynor index (mean / b)
    -0.54373
  • Jensen alpha (a)
    0.27780
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.29290
  • Expected Shortfall on VaR
    0.35345
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.13578
  • Expected Shortfall on VaR
    0.24788
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    22.00000
  • Minimum
    0.61858
  • Quartile 1
    0.94194
  • Median
    0.98117
  • Quartile 3
    1.02724
  • Maximum
    2.03983
  • Mean of quarter 1
    0.86603
  • Mean of quarter 2
    0.96335
  • Mean of quarter 3
    0.99300
  • Mean of quarter 4
    1.34637
  • Inter Quartile Range
    0.08530
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.04545
  • Mean of outliers low
    0.61858
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.13636
  • Mean of outliers high
    1.61750
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.57871
  • VaR(95%) (moments method)
    0.15870
  • Expected Shortfall (moments method)
    0.39116
  • Extreme Value Index (regression method)
    0.91837
  • VaR(95%) (regression method)
    0.14416
  • Expected Shortfall (regression method)
    1.35823
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.03187
  • Quartile 1
    0.04165
  • Median
    0.18580
  • Quartile 3
    0.36115
  • Maximum
    0.46451
  • Mean of quarter 1
    0.03187
  • Mean of quarter 2
    0.04492
  • Mean of quarter 3
    0.32669
  • Mean of quarter 4
    0.46451
  • Inter Quartile Range
    0.31949
  • 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)
    0.32082
  • Compounded annual return (geometric extrapolation)
    0.28700
  • Calmar ratio (compounded annual return / max draw down)
    0.61786
  • Compounded annual return / average of 25% largest draw downs
    0.61786
  • Compounded annual return / Expected Shortfall lognormal
    0.81200
  • 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
    0.50135
  • SD
    0.73533
  • Sharpe ratio (Glass type estimate)
    0.68180
  • Sharpe ratio (Hedges UMVUE)
    0.68074
  • df
    482.00000
  • t
    0.92572
  • p
    0.17753
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.76270
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.12564
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.76343
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.12490
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.25219
  • Upside Potential Ratio
    5.82691
  • Upside part of mean
    2.33295
  • Downside part of mean
    -1.83160
  • Upside SD
    0.61664
  • Downside SD
    0.40037
  • N nonnegative terms
    229.00000
  • N negative terms
    254.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    483.00000
  • Mean of predictor
    0.16819
  • Mean of criterion
    0.50135
  • SD of predictor
    0.21781
  • SD of criterion
    0.73533
  • Covariance
    0.01604
  • r
    0.10016
  • b (slope, estimate of beta)
    0.33815
  • a (intercept, estimate of alpha)
    0.44400
  • Mean Square Error
    0.53640
  • DF error
    481.00000
  • t(b)
    2.20782
  • p(b)
    0.01386
  • t(a)
    0.82306
  • p(a)
    0.20544
  • Lowerbound of 95% confidence interval for beta
    0.03720
  • Upperbound of 95% confidence interval for beta
    0.63909
  • Lowerbound of 95% confidence interval for alpha
    -0.61663
  • Upperbound of 95% confidence interval for alpha
    1.50558
  • Treynor index (mean / b)
    1.48264
  • Jensen alpha (a)
    0.44447
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.24696
  • SD
    0.70961
  • Sharpe ratio (Glass type estimate)
    0.34803
  • Sharpe ratio (Hedges UMVUE)
    0.34749
  • df
    482.00000
  • t
    0.47254
  • p
    0.31838
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.09580
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.79159
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.09621
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.79118
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.52280
  • Upside Potential Ratio
    4.61071
  • Upside part of mean
    2.17805
  • Downside part of mean
    -1.93108
  • Upside SD
    0.52875
  • Downside SD
    0.47239
  • N nonnegative terms
    229.00000
  • N negative terms
    254.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    483.00000
  • Mean of predictor
    0.14439
  • Mean of criterion
    0.24696
  • SD of predictor
    0.21833
  • SD of criterion
    0.70961
  • Covariance
    0.01640
  • r
    0.10584
  • b (slope, estimate of beta)
    0.34400
  • a (intercept, estimate of alpha)
    0.19729
  • Mean Square Error
    0.49893
  • DF error
    481.00000
  • t(b)
    2.33437
  • p(b)
    0.00999
  • t(a)
    0.37893
  • p(a)
    0.35246
  • Lowerbound of 95% confidence interval for beta
    0.05444
  • Upperbound of 95% confidence interval for beta
    0.63356
  • Lowerbound of 95% confidence interval for alpha
    -0.82577
  • Upperbound of 95% confidence interval for alpha
    1.22036
  • Treynor index (mean / b)
    0.71791
  • Jensen alpha (a)
    0.19729
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06869
  • Expected Shortfall on VaR
    0.08548
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01604
  • Expected Shortfall on VaR
    0.03651
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    483.00000
  • Minimum
    0.63084
  • Quartile 1
    0.99204
  • Median
    0.99967
  • Quartile 3
    1.00811
  • Maximum
    1.48148
  • Mean of quarter 1
    0.97611
  • Mean of quarter 2
    0.99621
  • Mean of quarter 3
    1.00305
  • Mean of quarter 4
    1.03272
  • Inter Quartile Range
    0.01607
  • Number outliers low
    11.00000
  • Percentage of outliers low
    0.02277
  • Mean of outliers low
    0.89385
  • Number of outliers high
    18.00000
  • Percentage of outliers high
    0.03727
  • Mean of outliers high
    1.13058
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.53100
  • VaR(95%) (moments method)
    0.02314
  • Expected Shortfall (moments method)
    0.05310
  • Extreme Value Index (regression method)
    0.42985
  • VaR(95%) (regression method)
    0.01858
  • Expected Shortfall (regression method)
    0.03460
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.00033
  • Quartile 1
    0.00796
  • Median
    0.05298
  • Quartile 3
    0.17206
  • Maximum
    0.50448
  • Mean of quarter 1
    0.00318
  • Mean of quarter 2
    0.04345
  • Mean of quarter 3
    0.13175
  • Mean of quarter 4
    0.43518
  • Inter Quartile Range
    0.16410
  • 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
    0.11111
  • Mean of outliers high
    0.50448
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -14.82000
  • VaR(95%) (moments method)
    0.34013
  • Expected Shortfall (moments method)
    0.34013
  • Extreme Value Index (regression method)
    -1.48405
  • VaR(95%) (regression method)
    0.61548
  • Expected Shortfall (regression method)
    0.63542
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.35793
  • Compounded annual return (geometric extrapolation)
    0.31636
  • Calmar ratio (compounded annual return / max draw down)
    0.62710
  • Compounded annual return / average of 25% largest draw downs
    0.72695
  • Compounded annual return / Expected Shortfall lognormal
    3.70105
  • 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
    0.09629
  • SD
    0.84111
  • Sharpe ratio (Glass type estimate)
    0.11449
  • Sharpe ratio (Hedges UMVUE)
    0.11382
  • df
    130.00000
  • t
    0.08095
  • p
    0.49645
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.65748
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.88621
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.65802
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.88566
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.19004
  • Upside Potential Ratio
    5.00076
  • Upside part of mean
    2.53390
  • Downside part of mean
    -2.43761
  • Upside SD
    0.66735
  • Downside SD
    0.50670
  • N nonnegative terms
    57.00000
  • N negative terms
    74.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.51576
  • Mean of criterion
    0.09629
  • SD of predictor
    0.31649
  • SD of criterion
    0.84111
  • Covariance
    0.02650
  • r
    0.09954
  • b (slope, estimate of beta)
    0.26453
  • a (intercept, estimate of alpha)
    -0.04014
  • Mean Square Error
    0.70589
  • DF error
    129.00000
  • t(b)
    1.13615
  • p(b)
    0.43674
  • t(a)
    -0.03361
  • p(a)
    0.50188
  • Lowerbound of 95% confidence interval for beta
    -0.19613
  • Upperbound of 95% confidence interval for beta
    0.72520
  • Lowerbound of 95% confidence interval for alpha
    -2.40296
  • Upperbound of 95% confidence interval for alpha
    2.32268
  • Treynor index (mean / b)
    0.36402
  • Jensen alpha (a)
    -0.04014
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.23861
  • SD
    0.81806
  • Sharpe ratio (Glass type estimate)
    -0.29168
  • Sharpe ratio (Hedges UMVUE)
    -0.28999
  • df
    130.00000
  • t
    -0.20625
  • p
    0.50904
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.06323
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.48084
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.06202
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.48204
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.41221
  • Upside Potential Ratio
    4.06287
  • Upside part of mean
    2.35182
  • Downside part of mean
    -2.59043
  • Upside SD
    0.57381
  • Downside SD
    0.57886
  • N nonnegative terms
    57.00000
  • N negative terms
    74.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.46536
  • Mean of criterion
    -0.23861
  • SD of predictor
    0.31746
  • SD of criterion
    0.81806
  • Covariance
    0.02498
  • r
    0.09621
  • b (slope, estimate of beta)
    0.24791
  • a (intercept, estimate of alpha)
    -0.35398
  • Mean Square Error
    0.66817
  • DF error
    129.00000
  • t(b)
    1.09778
  • p(b)
    0.43885
  • t(a)
    -0.30495
  • p(a)
    0.51709
  • VAR (95 Confidence Intrvl)
    0.06900
  • Lowerbound of 95% confidence interval for beta
    -0.19890
  • Upperbound of 95% confidence interval for beta
    0.69472
  • Lowerbound of 95% confidence interval for alpha
    -2.65059
  • Upperbound of 95% confidence interval for alpha
    1.94263
  • Treynor index (mean / b)
    -0.96248
  • Jensen alpha (a)
    -0.35398
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.08061
  • Expected Shortfall on VaR
    0.09966
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02247
  • Expected Shortfall on VaR
    0.05028
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.70685
  • Quartile 1
    0.99264
  • Median
    0.99905
  • Quartile 3
    1.00555
  • Maximum
    1.41960
  • Mean of quarter 1
    0.96740
  • Mean of quarter 2
    0.99605
  • Mean of quarter 3
    1.00195
  • Mean of quarter 4
    1.03654
  • Inter Quartile Range
    0.01290
  • Number outliers low
    10.00000
  • Percentage of outliers low
    0.07634
  • Mean of outliers low
    0.92330
  • Number of outliers high
    9.00000
  • Percentage of outliers high
    0.06870
  • Mean of outliers high
    1.09630
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.79299
  • VaR(95%) (moments method)
    0.03095
  • Expected Shortfall (moments method)
    0.15683
  • Extreme Value Index (regression method)
    0.73938
  • VaR(95%) (regression method)
    0.02617
  • Expected Shortfall (regression method)
    0.10256
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00095
  • Quartile 1
    0.02501
  • Median
    0.07933
  • Quartile 3
    0.15243
  • Maximum
    0.40498
  • Mean of quarter 1
    0.00841
  • Mean of quarter 2
    0.05241
  • Mean of quarter 3
    0.10626
  • Mean of quarter 4
    0.28640
  • Inter Quartile Range
    0.12742
  • 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
    0.40498
  • 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
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -370130000
  • Max Equity Drawdown (num days)
    549
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.19998
  • Compounded annual return (geometric extrapolation)
    -0.18999
  • Calmar ratio (compounded annual return / max draw down)
    -0.46913
  • Compounded annual return / average of 25% largest draw downs
    -0.66336
  • Compounded annual return / Expected Shortfall lognormal
    -1.90630

Strategy Description

This is fund based on algo trading model. The selection process focused to combine most undervalued and with significant upside potential companies. Trading based on low liquid stocks and therefore I do allocate liquidity across all trading day. Only market orders applied. Dear followers and subscribers, it is very special fund with restriction for capital under management and I will apply limitation for accumulated capital and preliminary I targeting 5 000 000 USD and after this mark fund will be closed for extra capital under management.
Anticipated GAGR - 35%. From time-to-time i will buy VXX to protect portfolio. Portion of VXX in portfolio will not exceed 10%.
Total amount of stocks in portfolio in any time is 50 and hence the capital allocation among of the stocks in average is 2%.
* I do trade this strategy on my corporate account and can share with you by details upon request.

For first 3 months of 2021 subscribtion is free.
You can follow as well ValueInvestKWM with more broad liquidity.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2021-01-06
Suggested Minimum Capital
$15,000
# Trades
206
# Profitable
104
% Profitable
50.5%
Net Dividends
$32
Correlation S&P500
0.102
Sharpe Ratio
0.44
Sortino Ratio
0.82
Beta
0.37
Alpha
0.08
Leverage
0.79 Average
1.09 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

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

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

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

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

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

Latest Activity

#PERSONNAME#
subscribed on started simulation #SUBSCRIBEDDATE#

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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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.