Collective2 Collective2
Featured Strategy SILVER ETF TRADER +12.3% Annual Return (Compounded) since May 2, 2023 Hypothetical

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These are hypothetical performance results that have certain inherent limitations. Learn more
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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 03/25/2021
Most recent certification approved 3/25/21 9:31 ET
Trades at broker Interactive Brokers (Stocks, Options, Futures)
Scaling percentage used 100%
# trading signals issued by system since certification 123
# trading signals executed in manager's Interactive Brokers (Stocks, Options, Futures) account 123
Percent signals followed since 03/25/2021 100%
This information was last updated 11/19/24 10:27 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 03/25/2021, 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.

Kosher Value investing
(134800394)

Powered by BrokerTransmit.
Read important disclosures.

Created by: AEH2 AEH2
Started: 03/2021
Stocks
Last trade: 187 days ago
Trading style: Equity Non-hedged Equity Pairs Trading / Relative Value

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 $54.00 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."
Pairs Trading / Relative Value
Category: Equity

Pairs Trading / Relative Value

Seeks to exploit differences in the price or rate of the same or similar securities. The relative value fund trades on gaps, rather than the price of a specific security alone
18.8%
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.

(54.6%)
Max Drawdown
25
Num Trades
92.0%
Win Trades
6.5 : 1
Profit Factor
47.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2021              +4.8%+38.8%+3.5%+9.6%+26.9%(23.8%)(1.9%)+2.1%(5.4%)(1.7%)+48.5%
2022(19.4%)(10.2%)  -  +7.0%+20.6%(11.1%)+4.8%+6.0%(17.5%)(13.6%)
2023+2.6%+12.0%(3.9%)(2.6%)+5.8%+31.4%+4.2%+4.6%(0.2%)(0.2%)(0.2%)(0.2%)+61.9%
2024(0.2%)(0.2%)(0.1%)(0.6%)+1.6%(5.4%)(6.6%)+0.2%+3.5%(1.7%)(0.2%)      (9.5%)

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.

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

Trading Record

This strategy has placed 123 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Show AutoTrade data Hide AutoTrade data
Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
5/1/24 14:14 FOXF FOX FACTORY HOLDING CORP. COMM LONG 117 38.58 5/7 10:02 44.63 0.09%
Trade id #148065413
Max drawdown($44)
Time5/2/24 0:00
Quant open101
Worst price38.39
Drawdown as % of equity-0.09%
 $706
Includes Typical Broker Commissions trade costs of $2.34
6/16/21 9:50 XPEL XPEL INC LONG 2,242 74.03 8/30/23 9:31 76.71 106.61%
Trade id #136076854
Max drawdown($31,762)
Time5/10/22 0:00
Quant open928
Worst price39.80
Drawdown as % of equity-106.61%
 $5,971
Includes Typical Broker Commissions trade costs of $35.26
5/24/21 9:57 TPL TEXAS PACIFIC LAND CORP LONG 8 1370.69 8/30/23 9:31 1601.56 5.61%
Trade id #135746350
Max drawdown($1,697)
Time1/24/22 0:00
Quant open4
Worst price946.29
Drawdown as % of equity-5.61%
 $1,847
Includes Typical Broker Commissions trade costs of $0.16
12/20/21 12:48 TPX TEMPUR SEALY INTERNATIONAL LONG 101 44.16 12/23 9:39 46.61 n/a $245
Includes Typical Broker Commissions trade costs of $2.02
12/20/21 11:45 CWH CAMPING WORLD HOLDINGS INC LONG 101 36.17 12/21 13:26 38.31 n/a $214
Includes Typical Broker Commissions trade costs of $2.02
11/1/21 9:33 TPX TEMPUR SEALY INTERNATIONAL LONG 606 43.56 12/7 11:11 44.91 2.99%
Trade id #138026171
Max drawdown($1,121)
Time11/30/21 0:00
Quant open505
Worst price41.58
Drawdown as % of equity-2.99%
 $800
Includes Typical Broker Commissions trade costs of $12.12
11/16/21 9:41 MBUU MALIBU BOATS INC. CLASS A COM LONG 50 69.99 11/18 10:33 71.91 n/a $95
Includes Typical Broker Commissions trade costs of $1.00
10/26/21 10:36 CWH CAMPING WORLD HOLDINGS INC LONG 606 36.09 11/3 10:00 37.37 0.91%
Trade id #137959196
Max drawdown($331)
Time10/28/21 0:00
Quant open303
Worst price35.28
Drawdown as % of equity-0.91%
 $765
Includes Typical Broker Commissions trade costs of $12.12
8/4/21 14:57 WFG WEST FRASER TIMBER CO LTD LONG 2 71.20 8/17 11:43 71.95 0%
Trade id #136830229
Max drawdown($2)
Time8/9/21 0:00
Quant open1
Worst price68.99
Drawdown as % of equity-0.00%
 $2
Includes Typical Broker Commissions trade costs of $0.04
7/19/21 10:02 CWH CAMPING WORLD HOLDINGS INC LONG 2 35.94 7/21 10:01 40.02 0%
Trade id #136556001
Max drawdown($0)
Time7/19/21 10:20
Quant open2
Worst price35.75
Drawdown as % of equity-0.00%
 $8
Includes Typical Broker Commissions trade costs of $0.04
5/3/21 9:49 TPX TEMPUR SEALY INTERNATIONAL LONG 2,220 38.30 7/6 10:32 40.73 15%
Trade id #135419789
Max drawdown($5,113)
Time5/19/21 0:00
Quant open1,787
Worst price35.57
Drawdown as % of equity-15.00%
 $5,369
Includes Typical Broker Commissions trade costs of $26.21
6/8/21 10:16 AMZN AMAZON.COM LONG 5 3252.00 6/15 12:08 3371.45 0.13%
Trade id #135962877
Max drawdown($53)
Time6/8/21 11:21
Quant open5
Worst price3241.35
Drawdown as % of equity-0.13%
 $597
Includes Typical Broker Commissions trade costs of $0.10
6/1/21 12:05 XPEL XPEL INC LONG 229 83.48 6/8 10:01 91.13 1.21%
Trade id #135858963
Max drawdown($453)
Time6/3/21 0:00
Quant open229
Worst price81.50
Drawdown as % of equity-1.21%
 $1,747
Includes Typical Broker Commissions trade costs of $4.58
5/12/21 13:13 AMZN AMAZON.COM LONG 5 3170.34 5/27 9:58 3247.58 0.58%
Trade id #135581078
Max drawdown($186)
Time5/13/21 0:00
Quant open5
Worst price3133.00
Drawdown as % of equity-0.58%
 $386
Includes Typical Broker Commissions trade costs of $0.10
5/20/21 10:38 TPL TEXAS PACIFIC LAND CORP LONG 1 1538.42 5/20 12:01 1569.07 n/a $31
Includes Typical Broker Commissions trade costs of $0.02
5/11/21 10:00 TPL TEXAS PACIFIC LAND CORP LONG 10 1755.90 5/12 11:04 1758.91 1.64%
Trade id #135557043
Max drawdown($609)
Time5/11/21 10:50
Quant open10
Worst price1695.00
Drawdown as % of equity-1.64%
 $30
Includes Typical Broker Commissions trade costs of $0.20
4/20/21 10:21 TPL TEXAS PACIFIC LAND CORP LONG 30 1481.25 4/29 10:06 1660.00 3.89%
Trade id #135230256
Max drawdown($1,122)
Time4/21/21 0:00
Quant open20
Worst price1437.21
Drawdown as % of equity-3.89%
 $5,362
Includes Typical Broker Commissions trade costs of $0.60
3/23/21 10:10 XPEL XPEL INC LONG 626 52.71 4/21 15:27 60.70 4.35%
Trade id #134800488
Max drawdown($1,062)
Time3/30/21 0:00
Quant open426
Worst price49.11
Drawdown as % of equity-4.35%
 $4,988
Includes Typical Broker Commissions trade costs of $12.52
3/23/21 10:11 TPL TEXAS PACIFIC LAND CORP LONG 30 1451.34 4/15 10:03 1491.06 8.36%
Trade id #134800532
Max drawdown($1,979)
Time3/23/21 11:02
Quant open15
Worst price1380.26
Drawdown as % of equity-8.36%
 $1,191
Includes Typical Broker Commissions trade costs of $0.60
Next

Statistics

  • Strategy began
    3/23/2021
  • Suggested Minimum Cap
    $5,000
  • Strategy Age (days)
    1337.01
  • Age
    45 months ago
  • What it trades
    Stocks
  • # Trades
    25
  • # Profitable
    23
  • % Profitable
    92.00%
  • Avg trade duration
    101.5 days
  • Max peak-to-valley drawdown
    54.58%
  • drawdown period
    July 23, 2021 - Feb 10, 2022
  • Annual Return (Compounded)
    18.8%
  • Avg win
    $1,326
  • Avg loss
    $2,358
  • Model Account Values (Raw)
  • Cash
    $48,739
  • Margin Used
    $0
  • Buying Power
    $44,026
  • Ratios
  • W:L ratio
    6.53:1
  • Sharpe Ratio
    0.53
  • Sortino Ratio
    0.82
  • Calmar Ratio
    1.288
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    37.40%
  • Correlation to SP500
    0.19160
  • Return Percent SP500 (cumu) during strategy life
    50.71%
  • Return Statistics
  • Ann Return (w trading costs)
    18.8%
  • Slump
  • Current Slump as Pcnt Equity
    25.70%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.91%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.188%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    21.5%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    82.00%
  • Chance of 20% account loss
    59.00%
  • Chance of 30% account loss
    37.00%
  • Chance of 40% account loss
    21.00%
  • Chance of 60% account loss (Monte Carlo)
    1.50%
  • Chance of 70% account loss (Monte Carlo)
    0.50%
  • 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
    5.50%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    274
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    Yes
  • TOS percent
    100%
  • Win / Loss
  • Avg Loss
    $2,358
  • Avg Win
    $1,326
  • Sum Trade PL (losers)
    $4,716.000
  • Age
  • Num Months filled monthly returns table
    42
  • Win / Loss
  • Sum Trade PL (winners)
    $30,502.000
  • # Winners
    23
  • Num Months Winners
    20
  • Dividends
  • Dividends Received in Model Acct
    278
  • Win / Loss
  • # Losers
    2
  • % Winners
    92.0%
  • Frequency
  • Avg Position Time (mins)
    146113.00
  • Avg Position Time (hrs)
    2435.22
  • Avg Trade Length
    101.5 days
  • Last Trade Ago
    6
  • Leverage
  • Daily leverage (average)
    2.08
  • Daily leverage (max)
    4.43
  • Regression
  • Alpha
    0.06
  • Beta
    0.59
  • Treynor Index
    0.12
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.08
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    4.76
  • MAE:Equity, average, winning trades
    0.08
  • MAE:Equity, average, losing trades
    0.07
  • Avg(MAE) / Avg(PL) - All trades
    2.135
  • 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
    0.13
  • Avg(MAE) / Avg(PL) - Winning trades
    1.533
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.323
  • Hold-and-Hope Ratio
    0.478
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.74408
  • SD
    0.71418
  • Sharpe ratio (Glass type estimate)
    1.04187
  • Sharpe ratio (Hedges UMVUE)
    0.99212
  • df
    16.00000
  • t
    1.24007
  • p
    0.35194
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.65870
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.71163
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.69007
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.67432
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.16462
  • Upside Potential Ratio
    3.66722
  • Upside part of mean
    1.26060
  • Downside part of mean
    -0.51651
  • Upside SD
    0.63877
  • Downside SD
    0.34375
  • N nonnegative terms
    9.00000
  • N negative terms
    8.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    17.00000
  • Mean of predictor
    0.26521
  • Mean of criterion
    0.74408
  • SD of predictor
    0.21505
  • SD of criterion
    0.71418
  • Covariance
    0.06336
  • r
    0.41252
  • b (slope, estimate of beta)
    1.36995
  • a (intercept, estimate of alpha)
    0.38076
  • Mean Square Error
    0.45148
  • DF error
    15.00000
  • t(b)
    1.75386
  • p(b)
    0.24503
  • t(a)
    0.63319
  • p(a)
    0.39773
  • Lowerbound of 95% confidence interval for beta
    -0.29494
  • Upperbound of 95% confidence interval for beta
    3.03483
  • Lowerbound of 95% confidence interval for alpha
    -0.90095
  • Upperbound of 95% confidence interval for alpha
    1.66247
  • Treynor index (mean / b)
    0.54315
  • Jensen alpha (a)
    0.38076
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.50589
  • SD
    0.68044
  • Sharpe ratio (Glass type estimate)
    0.74348
  • Sharpe ratio (Hedges UMVUE)
    0.70798
  • df
    16.00000
  • t
    0.88491
  • p
    0.39200
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.93418
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.39867
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.95689
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.37285
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.24698
  • Upside Potential Ratio
    2.69830
  • Upside part of mean
    1.09467
  • Downside part of mean
    -0.58879
  • Upside SD
    0.54083
  • Downside SD
    0.40569
  • N nonnegative terms
    9.00000
  • N negative terms
    8.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    17.00000
  • Mean of predictor
    0.24036
  • Mean of criterion
    0.50589
  • SD of predictor
    0.21480
  • SD of criterion
    0.68044
  • Covariance
    0.05372
  • r
    0.36753
  • b (slope, estimate of beta)
    1.16425
  • a (intercept, estimate of alpha)
    0.22605
  • Mean Square Error
    0.42715
  • DF error
    15.00000
  • t(b)
    1.53057
  • p(b)
    0.27140
  • t(a)
    0.39058
  • p(a)
    0.43623
  • Lowerbound of 95% confidence interval for beta
    -0.45707
  • Upperbound of 95% confidence interval for beta
    2.78558
  • Lowerbound of 95% confidence interval for alpha
    -1.00752
  • Upperbound of 95% confidence interval for alpha
    1.45961
  • Treynor index (mean / b)
    0.43452
  • Jensen alpha (a)
    0.22605
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.24492
  • Expected Shortfall on VaR
    0.30263
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.09427
  • Expected Shortfall on VaR
    0.19611
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    17.00000
  • Minimum
    0.66019
  • Quartile 1
    0.96778
  • Median
    1.00649
  • Quartile 3
    1.18408
  • Maximum
    1.51035
  • Mean of quarter 1
    0.85802
  • Mean of quarter 2
    1.00082
  • Mean of quarter 3
    1.09916
  • Mean of quarter 4
    1.35092
  • Inter Quartile Range
    0.21630
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.05882
  • Mean of outliers high
    1.51035
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.50571
  • VaR(95%) (moments method)
    0.13653
  • Expected Shortfall (moments method)
    0.33303
  • Extreme Value Index (regression method)
    1.41325
  • VaR(95%) (regression method)
    0.18343
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.38574
  • Quartile 1
    0.38574
  • Median
    0.38574
  • Quartile 3
    0.38574
  • Maximum
    0.38574
  • 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)
    0.79778
  • Compounded annual return (geometric extrapolation)
    0.70539
  • Calmar ratio (compounded annual return / max draw down)
    1.82868
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    2.33087
  • 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
    0.68721
  • SD
    0.64097
  • Sharpe ratio (Glass type estimate)
    1.07214
  • Sharpe ratio (Hedges UMVUE)
    1.07002
  • df
    378.00000
  • t
    1.28950
  • p
    0.09901
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.55991
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.70286
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.56136
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.70139
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.70264
  • Upside Potential Ratio
    8.49843
  • Upside part of mean
    3.43010
  • Downside part of mean
    -2.74289
  • Upside SD
    0.49865
  • Downside SD
    0.40362
  • N nonnegative terms
    174.00000
  • N negative terms
    205.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    379.00000
  • Mean of predictor
    0.27893
  • Mean of criterion
    0.68721
  • SD of predictor
    0.21441
  • SD of criterion
    0.64097
  • Covariance
    0.02009
  • r
    0.14621
  • b (slope, estimate of beta)
    0.43707
  • a (intercept, estimate of alpha)
    0.56500
  • Mean Square Error
    0.40313
  • DF error
    377.00000
  • t(b)
    2.86962
  • p(b)
    0.00217
  • t(a)
    1.06740
  • p(a)
    0.14324
  • Lowerbound of 95% confidence interval for beta
    0.13759
  • Upperbound of 95% confidence interval for beta
    0.73656
  • Lowerbound of 95% confidence interval for alpha
    -0.47605
  • Upperbound of 95% confidence interval for alpha
    1.60665
  • Treynor index (mean / b)
    1.57230
  • Jensen alpha (a)
    0.56530
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.48496
  • SD
    0.63400
  • Sharpe ratio (Glass type estimate)
    0.76493
  • Sharpe ratio (Hedges UMVUE)
    0.76341
  • df
    378.00000
  • t
    0.92000
  • p
    0.17908
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.86608
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.39493
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.86709
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.39391
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.14468
  • Upside Potential Ratio
    7.82318
  • Upside part of mean
    3.31442
  • Downside part of mean
    -2.82945
  • Upside SD
    0.47149
  • Downside SD
    0.42367
  • N nonnegative terms
    174.00000
  • N negative terms
    205.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    379.00000
  • Mean of predictor
    0.25566
  • Mean of criterion
    0.48496
  • SD of predictor
    0.21571
  • SD of criterion
    0.63400
  • Covariance
    0.02189
  • r
    0.16009
  • b (slope, estimate of beta)
    0.47053
  • a (intercept, estimate of alpha)
    0.36467
  • Mean Square Error
    0.39269
  • DF error
    377.00000
  • t(b)
    3.14897
  • p(b)
    0.00088
  • t(a)
    0.69803
  • p(a)
    0.24279
  • Lowerbound of 95% confidence interval for beta
    0.17672
  • Upperbound of 95% confidence interval for beta
    0.76433
  • Lowerbound of 95% confidence interval for alpha
    -0.66256
  • Upperbound of 95% confidence interval for alpha
    1.39190
  • Treynor index (mean / b)
    1.03068
  • Jensen alpha (a)
    0.36467
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06066
  • Expected Shortfall on VaR
    0.07581
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02505
  • Expected Shortfall on VaR
    0.05174
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    379.00000
  • Minimum
    0.83185
  • Quartile 1
    0.99147
  • Median
    1.00000
  • Quartile 3
    1.01408
  • Maximum
    1.23083
  • Mean of quarter 1
    0.96059
  • Mean of quarter 2
    0.99787
  • Mean of quarter 3
    1.00413
  • Mean of quarter 4
    1.04834
  • Inter Quartile Range
    0.02261
  • Number outliers low
    37.00000
  • Percentage of outliers low
    0.09763
  • Mean of outliers low
    0.93317
  • Number of outliers high
    40.00000
  • Percentage of outliers high
    0.10554
  • Mean of outliers high
    1.07842
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.01810
  • VaR(95%) (moments method)
    0.02641
  • Expected Shortfall (moments method)
    0.03721
  • Extreme Value Index (regression method)
    0.00500
  • VaR(95%) (regression method)
    0.03580
  • Expected Shortfall (regression method)
    0.05289
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    13.00000
  • Minimum
    0.00080
  • Quartile 1
    0.00451
  • Median
    0.02898
  • Quartile 3
    0.05392
  • Maximum
    0.52025
  • Mean of quarter 1
    0.00289
  • Mean of quarter 2
    0.01857
  • Mean of quarter 3
    0.05012
  • Mean of quarter 4
    0.24343
  • Inter Quartile Range
    0.04942
  • 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
    0.07692
  • Mean of outliers high
    0.52025
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.49277
  • VaR(95%) (moments method)
    0.20067
  • Expected Shortfall (moments method)
    0.47000
  • Extreme Value Index (regression method)
    1.36507
  • VaR(95%) (regression method)
    0.39333
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.76037
  • Compounded annual return (geometric extrapolation)
    0.67008
  • Calmar ratio (compounded annual return / max draw down)
    1.28800
  • Compounded annual return / average of 25% largest draw downs
    2.75261
  • Compounded annual return / Expected Shortfall lognormal
    8.83893
  • 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
    0.43572
  • SD
    0.38887
  • Sharpe ratio (Glass type estimate)
    1.12045
  • Sharpe ratio (Hedges UMVUE)
    1.11398
  • df
    130.00000
  • t
    0.79228
  • p
    0.46534
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.65675
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.89355
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.66113
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.88909
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.09664
  • Upside Potential Ratio
    5.58196
  • Upside part of mean
    1.16002
  • Downside part of mean
    -0.72430
  • Upside SD
    0.32803
  • Downside SD
    0.20782
  • N nonnegative terms
    41.00000
  • N negative terms
    90.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.63731
  • Mean of criterion
    0.43572
  • SD of predictor
    0.20990
  • SD of criterion
    0.38887
  • Covariance
    -0.00106
  • r
    -0.01297
  • b (slope, estimate of beta)
    -0.02404
  • a (intercept, estimate of alpha)
    0.45104
  • Mean Square Error
    0.15237
  • DF error
    129.00000
  • t(b)
    -0.14738
  • p(b)
    0.50826
  • t(a)
    0.80293
  • p(a)
    0.45514
  • Lowerbound of 95% confidence interval for beta
    -0.34674
  • Upperbound of 95% confidence interval for beta
    0.29867
  • Lowerbound of 95% confidence interval for alpha
    -0.66037
  • Upperbound of 95% confidence interval for alpha
    1.56244
  • Treynor index (mean / b)
    -18.12660
  • Jensen alpha (a)
    0.45104
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.36334
  • SD
    0.37774
  • Sharpe ratio (Glass type estimate)
    0.96188
  • Sharpe ratio (Hedges UMVUE)
    0.95632
  • df
    130.00000
  • t
    0.68015
  • p
    0.47023
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.81420
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.73434
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.81792
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.73056
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.64835
  • Upside Potential Ratio
    5.03986
  • Upside part of mean
    1.11092
  • Downside part of mean
    -0.74758
  • Upside SD
    0.30580
  • Downside SD
    0.22043
  • N nonnegative terms
    41.00000
  • N negative terms
    90.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.61483
  • Mean of criterion
    0.36334
  • SD of predictor
    0.20854
  • SD of criterion
    0.37774
  • Covariance
    -0.00026
  • r
    -0.00329
  • b (slope, estimate of beta)
    -0.00596
  • a (intercept, estimate of alpha)
    0.36701
  • Mean Square Error
    0.14379
  • DF error
    129.00000
  • t(b)
    -0.03738
  • p(b)
    0.50209
  • t(a)
    0.67321
  • p(a)
    0.46235
  • VAR (95 Confidence Intrvl)
    0.06100
  • Lowerbound of 95% confidence interval for beta
    -0.32150
  • Upperbound of 95% confidence interval for beta
    0.30957
  • Lowerbound of 95% confidence interval for alpha
    -0.71161
  • Upperbound of 95% confidence interval for alpha
    1.44562
  • Treynor index (mean / b)
    -60.95650
  • Jensen alpha (a)
    0.36701
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03632
  • Expected Shortfall on VaR
    0.04564
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00755
  • Expected Shortfall on VaR
    0.01717
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.86981
  • Quartile 1
    0.99949
  • Median
    1.00000
  • Quartile 3
    1.00045
  • Maximum
    1.19392
  • Mean of quarter 1
    0.98942
  • Mean of quarter 2
    0.99989
  • Mean of quarter 3
    1.00005
  • Mean of quarter 4
    1.01766
  • Inter Quartile Range
    0.00095
  • Number outliers low
    23.00000
  • Percentage of outliers low
    0.17557
  • Mean of outliers low
    0.98535
  • Number of outliers high
    23.00000
  • Percentage of outliers high
    0.17557
  • Mean of outliers high
    1.02484
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.89451
  • VaR(95%) (moments method)
    0.00552
  • Expected Shortfall (moments method)
    0.05962
  • Extreme Value Index (regression method)
    0.76684
  • VaR(95%) (regression method)
    0.00777
  • Expected Shortfall (regression method)
    0.04088
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.01740
  • Quartile 1
    0.01837
  • Median
    0.06799
  • Quartile 3
    0.12052
  • Maximum
    0.13019
  • Mean of quarter 1
    0.01740
  • Mean of quarter 2
    0.01869
  • Mean of quarter 3
    0.11729
  • Mean of quarter 4
    0.13019
  • Inter Quartile Range
    0.10215
  • 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?
    -377825000
  • Max Equity Drawdown (num days)
    202
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.43214
  • Compounded annual return (geometric extrapolation)
    0.47883
  • Calmar ratio (compounded annual return / max draw down)
    3.67782
  • Compounded annual return / average of 25% largest draw downs
    3.67782
  • Compounded annual return / Expected Shortfall lognormal
    10.49160

Strategy Description

My strategy
**Designed for weeks to yeers**

Investing in businesses rather than stocks.

Purchase with margin of safety and wait until the full price is reached.

My Fundamentals:

-Investing in few quality businesses rather than in many medium-sized businesses
-In a good asset, volatility is not a disadvantage.
-I'm not trying to catch the highs nor the lows.
-I do not use leverage !!
- I do not use Stop Loss command !!!

So in the short term (days or weeks or months), there will be a decrease in the price at which the stock was purchased (paper loss), but in the long term (months or yeers) the profit will be tens of percent!

Finally, I would like to add

I invest in businesses that have passed a halachic kosher test !!
By doing so, I am confident that my investments will be successful and blessed by God.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2021-03-23
Suggested Minimum Capital
$5,000
# Trades
25
# Profitable
23
% Profitable
92.0%
Net Dividends
$278
Correlation S&P500
0.192
Sharpe Ratio
0.53
Sortino Ratio
0.82
Beta
0.59
Alpha
0.06
Leverage
2.08 Average
4.43 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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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.