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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 06/22/2022
Most recent certification approved 6/22/22 9:33 ET
Trades at broker Israel Interactive Trading
Scaling percentage used 100%
# trading signals issued by system since certification 182
# trading signals executed in manager's Israel Interactive Trading account 182
Percent signals followed since 06/22/2022 100%
This information was last updated 4/24/24 2:12 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 06/22/2022, 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.

AVRA Opportunity
(140808945)

Created by: Rami-Shtain Rami-Shtain
Started: 06/2022
Stocks
Last trade: 51 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 $35.00 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."
18.2%
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.

(15.2%)
Max Drawdown
75
Num Trades
80.0%
Win Trades
6.2 : 1
Profit Factor
52.2%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022                                   (0.6%)+4.9%(3%)(7.2%)+3.0%+4.5%(5.9%)(5%)
2023+8.0%(2.4%)+9.1%(0.4%)+6.9%+2.6%+5.4%(5%)(3.6%)(2.8%)+12.2%+7.8%+42.5%
2024(1.1%)+4.1%+4.1%(6%)                                                +0.7%

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 182 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
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
11/20/23 9:30 ENVA ENOVA INTERNATIONAL INC LONG 18 40.17 1/18/24 11:23 53.98 0.02%
Trade id #146486743
Max drawdown($5)
Time11/20/23 9:35
Quant open18
Worst price39.87
Drawdown as % of equity-0.02%
 $249
Includes Typical Broker Commissions trade costs of $0.36
8/18/22 9:30 TSN TYSON FOODS LONG 17 68.63 1/18/24 11:23 53.28 1.43%
Trade id #141459501
Max drawdown($402)
Time10/23/23 0:00
Quant open17
Worst price44.94
Drawdown as % of equity-1.43%
 ($261)
Includes Typical Broker Commissions trade costs of $0.34
8/7/23 10:03 CL COLGATE-PALMOLIVE LONG 12 76.66 1/18/24 11:22 80.45 0.38%
Trade id #145458710
Max drawdown($108)
Time10/6/23 0:00
Quant open12
Worst price67.62
Drawdown as % of equity-0.38%
 $46
Includes Typical Broker Commissions trade costs of $0.24
5/30/23 9:47 LEVI LEVI STRAUSS & CO LONG 45 13.38 10/26 9:46 14.05 0.15%
Trade id #144778580
Max drawdown($43)
Time10/6/23 0:00
Quant open45
Worst price12.41
Drawdown as % of equity-0.15%
 $29
Includes Typical Broker Commissions trade costs of $0.90
5/30/23 9:46 BUD ANHEUSER-BUSCH INBEV LONG 11 55.61 9/20 9:30 57.42 0.1%
Trade id #144778564
Max drawdown($29)
Time5/31/23 0:00
Quant open11
Worst price52.93
Drawdown as % of equity-0.10%
 $20
Includes Typical Broker Commissions trade costs of $0.22
6/22/22 9:45 META META PLATFORMS INC. CLASS A LONG 4 161.28 9/6/23 9:42 282.82 1.25%
Trade id #140829990
Max drawdown($292)
Time11/4/22 0:00
Quant open4
Worst price88.09
Drawdown as % of equity-1.25%
 $486
Includes Typical Broker Commissions trade costs of $0.08
3/13/23 9:30 SCHW CHARLES SCHWAB LONG 11 52.20 8/16 9:30 60.58 0.32%
Trade id #143874625
Max drawdown($79)
Time3/13/23 9:44
Quant open11
Worst price45.00
Drawdown as % of equity-0.32%
 $92
Includes Typical Broker Commissions trade costs of $0.22
6/22/22 9:33 BAC BANK OF AMERICA CORPORATION LONG 33 30.32 8/16/23 9:30 29.75 0.5%
Trade id #140829644
Max drawdown($132)
Time3/24/23 0:00
Quant open33
Worst price26.32
Drawdown as % of equity-0.50%
 ($20)
Includes Typical Broker Commissions trade costs of $0.66
6/22/23 9:30 TD TORONTO-DOMINION BANK LONG 12 60.32 8/16 9:30 62.12 0.06%
Trade id #144996250
Max drawdown($17)
Time6/23/23 0:00
Quant open12
Worst price58.85
Drawdown as % of equity-0.06%
 $22
Includes Typical Broker Commissions trade costs of $0.24
8/18/22 9:30 ATVI ACTIVISION BLIZZARD LONG 10 80.71 7/17/23 14:18 93.44 0.41%
Trade id #141459541
Max drawdown($97)
Time11/7/22 0:00
Quant open10
Worst price70.94
Drawdown as % of equity-0.41%
 $127
Includes Typical Broker Commissions trade costs of $0.20
5/30/23 9:46 KO COCA-COLA LONG 10 59.98 6/22 9:30 61.91 0.02%
Trade id #144778555
Max drawdown($6)
Time5/31/23 0:00
Quant open10
Worst price59.37
Drawdown as % of equity-0.02%
 $19
Includes Typical Broker Commissions trade costs of $0.20
10/3/22 9:30 DDOG DATADOG INC. LONG 12 76.89 5/30/23 9:30 94.93 0.63%
Trade id #142009865
Max drawdown($171)
Time4/25/23 0:00
Quant open12
Worst price62.60
Drawdown as % of equity-0.63%
 $217
Includes Typical Broker Commissions trade costs of $0.24
1/31/23 9:30 K KELLOGG LONG 14 67.70 5/18 9:30 68.89 0.16%
Trade id #143397358
Max drawdown($41)
Time3/10/23 0:00
Quant open9
Worst price63.74
Drawdown as % of equity-0.16%
 $17
Includes Typical Broker Commissions trade costs of $0.28
6/22/22 9:38 VZ VERIZON COMMUNICATIONS LONG 9 43.88 5/18/23 9:30 36.01 0.39%
Trade id #140829780
Max drawdown($99)
Time1/24/23 0:00
Quant open9
Worst price32.79
Drawdown as % of equity-0.39%
 ($71)
Includes Typical Broker Commissions trade costs of $0.18
6/22/22 9:43 MCD MCDONALD'S LONG 2 239.57 5/1/23 9:58 297.04 0.08%
Trade id #140829913
Max drawdown($17)
Time9/30/22 0:00
Quant open2
Worst price230.58
Drawdown as % of equity-0.08%
 $115
Includes Typical Broker Commissions trade costs of $0.04
1/31/23 9:30 PG PROCTER & GAMBLE LONG 4 141.07 4/24 9:30 155.32 0.08%
Trade id #143397479
Max drawdown($20)
Time2/10/23 0:00
Quant open4
Worst price135.83
Drawdown as % of equity-0.08%
 $57
Includes Typical Broker Commissions trade costs of $0.08
11/22/22 9:30 CRWD CROWDSTRIKE HOLDINGS INC. CLASS A LONG 3 135.75 3/29/23 9:30 130.98 0.53%
Trade id #142643758
Max drawdown($130)
Time1/10/23 0:00
Quant open3
Worst price92.25
Drawdown as % of equity-0.53%
 ($14)
Includes Typical Broker Commissions trade costs of $0.06
10/3/22 9:30 AAPL APPLE LONG 3 138.25 3/29/23 9:30 159.41 0.18%
Trade id #142009857
Max drawdown($42)
Time1/3/23 0:00
Quant open3
Worst price124.17
Drawdown as % of equity-0.18%
 $63
Includes Typical Broker Commissions trade costs of $0.06
8/18/22 9:30 NVS NOVARTIS LONG 11 83.56 3/29/23 9:30 90.20 0.28%
Trade id #141459510
Max drawdown($67)
Time9/26/22 0:00
Quant open6
Worst price74.09
Drawdown as % of equity-0.28%
 $73
Includes Typical Broker Commissions trade costs of $0.22
6/22/22 9:40 CRM SALESFORCE INC LONG 3 165.37 3/29/23 9:30 193.19 0.48%
Trade id #140829844
Max drawdown($117)
Time12/22/22 0:00
Quant open3
Worst price126.34
Drawdown as % of equity-0.48%
 $83
Includes Typical Broker Commissions trade costs of $0.06
7/27/22 9:33 EBAY EBAY LONG 8 46.03 1/31/23 9:30 48.92 0.35%
Trade id #141197598
Max drawdown($80)
Time10/13/22 0:00
Quant open8
Worst price35.92
Drawdown as % of equity-0.35%
 $23
Includes Typical Broker Commissions trade costs of $0.16
8/18/22 9:30 NEM NEWMONT CORP LONG 11 45.14 1/31/23 9:30 52.49 0.36%
Trade id #141459506
Max drawdown($84)
Time11/3/22 0:00
Quant open11
Worst price37.45
Drawdown as % of equity-0.36%
 $81
Includes Typical Broker Commissions trade costs of $0.22
8/18/22 9:30 RIO RIO TINTO LONG 9 60.17 11/15 9:32 65.86 0.35%
Trade id #141459539
Max drawdown($83)
Time9/26/22 0:00
Quant open9
Worst price50.91
Drawdown as % of equity-0.35%
 $51
Includes Typical Broker Commissions trade costs of $0.18
6/22/22 9:52 WBA WALGREEN BOOTS ALLIANCE INC. LONG 21 39.00 11/15 9:30 41.00 0.74%
Trade id #140830171
Max drawdown($180)
Time10/7/22 0:00
Quant open21
Worst price30.39
Drawdown as % of equity-0.74%
 $42
Includes Typical Broker Commissions trade costs of $0.42
8/18/22 9:30 ABBV ABBVIE INC LONG 3 141.52 11/15 9:30 153.24 0.09%
Trade id #141459514
Max drawdown($22)
Time9/30/22 0:00
Quant open3
Worst price134.09
Drawdown as % of equity-0.09%
 $35
Includes Typical Broker Commissions trade costs of $0.06
6/22/22 9:47 JPM JPMORGAN CHASE LONG 4 110.25 11/15 9:30 134.91 0.15%
Trade id #140830040
Max drawdown($35)
Time10/12/22 0:00
Quant open4
Worst price101.28
Drawdown as % of equity-0.15%
 $99
Includes Typical Broker Commissions trade costs of $0.08
10/3/22 9:30 PM PHILIP MORRIS LONG 5 84.18 11/15 9:30 95.64 0.01%
Trade id #142009839
Max drawdown($1)
Time10/3/22 9:54
Quant open5
Worst price83.89
Drawdown as % of equity-0.01%
 $57
Includes Typical Broker Commissions trade costs of $0.10
6/22/22 9:50 EWY ISHARES MSCI SOUTH KOREA ETF LONG 10 57.60 10/3 9:30 47.66 0.43%
Trade id #140830102
Max drawdown($102)
Time9/30/22 0:00
Quant open10
Worst price47.32
Drawdown as % of equity-0.43%
 ($99)
Includes Typical Broker Commissions trade costs of $0.20
7/11/22 11:30 TGT TARGET LONG 3 147.12 9/12 9:30 175.13 0.06%
Trade id #141022095
Max drawdown($14)
Time7/13/22 0:00
Quant open3
Worst price142.23
Drawdown as % of equity-0.06%
 $84
Includes Typical Broker Commissions trade costs of $0.06
7/11/22 11:28 AMZN AMAZON.COM LONG 5 112.56 8/18 9:30 141.27 0.13%
Trade id #141022062
Max drawdown($32)
Time7/13/22 0:00
Quant open5
Worst price106.01
Drawdown as % of equity-0.13%
 $144
Includes Typical Broker Commissions trade costs of $0.10
Next

Statistics

  • Strategy began
    6/20/2022
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    673.81
  • Age
    22 months ago
  • What it trades
    Stocks
  • # Trades
    75
  • # Profitable
    60
  • % Profitable
    80.00%
  • Avg trade duration
    261.5 days
  • Max peak-to-valley drawdown
    15.19%
  • drawdown period
    Aug 16, 2022 - Oct 11, 2022
  • Annual Return (Compounded)
    18.2%
  • Avg win
    $202.07
  • Avg loss
    $136.73
  • Model Account Values (Raw)
  • Cash
    $14,769
  • Margin Used
    $0
  • Buying Power
    $22,407
  • Ratios
  • W:L ratio
    6.19:1
  • Sharpe Ratio
    0.92
  • Sortino Ratio
    1.41
  • Calmar Ratio
    1.582
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -1.72%
  • Correlation to SP500
    0.66920
  • Return Percent SP500 (cumu) during strategy life
    37.98%
  • Return Statistics
  • Ann Return (w trading costs)
    18.2%
  • Slump
  • Current Slump as Pcnt Equity
    6.80%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.03%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.182%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    21.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    n/a
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • 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)
    369
  • Popularity (Last 6 weeks)
    913
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    362
  • Popularity (7 days, Percentile 1000 scale)
    718
  • Trades-Own-System Certification
  • Trades Own System?
    Yes
  • TOS percent
    100%
  • Win / Loss
  • Avg Loss
    $137
  • Avg Win
    $202
  • Sum Trade PL (losers)
    $2,051.000
  • Age
  • Num Months filled monthly returns table
    23
  • Win / Loss
  • Sum Trade PL (winners)
    $12,124.000
  • # Winners
    60
  • Num Months Winners
    12
  • Dividends
  • Dividends Received in Model Acct
    567
  • AUM
  • AUM (AutoTrader live capital)
    478141
  • Win / Loss
  • # Losers
    15
  • % Winners
    80.0%
  • Frequency
  • Avg Position Time (mins)
    376503.00
  • Avg Position Time (hrs)
    6275.05
  • Avg Trade Length
    261.5 days
  • Last Trade Ago
    51
  • Leverage
  • Daily leverage (average)
    0.86
  • Daily leverage (max)
    1.05
  • Regression
  • Alpha
    0.02
  • Beta
    0.58
  • Treynor Index
    0.07
  • 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)
    0.50
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    1.111
  • 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
    0.512
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.674
  • Hold-and-Hope Ratio
    0.895
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.21122
  • SD
    0.13665
  • Sharpe ratio (Glass type estimate)
    1.54572
  • Sharpe ratio (Hedges UMVUE)
    1.48689
  • df
    20.00000
  • t
    2.04479
  • p
    0.29209
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.02785
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.08445
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.06470
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.03849
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.85380
  • Upside Potential Ratio
    4.48428
  • Upside part of mean
    0.33190
  • Downside part of mean
    -0.12068
  • Upside SD
    0.12658
  • Downside SD
    0.07401
  • N nonnegative terms
    15.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    21.00000
  • Mean of predictor
    0.18628
  • Mean of criterion
    0.21122
  • SD of predictor
    0.15977
  • SD of criterion
    0.13665
  • Covariance
    0.01860
  • r
    0.85199
  • b (slope, estimate of beta)
    0.72870
  • a (intercept, estimate of alpha)
    0.07547
  • Mean Square Error
    0.00539
  • DF error
    19.00000
  • t(b)
    7.09338
  • p(b)
    0.03341
  • t(a)
    1.28590
  • p(a)
    0.32230
  • Lowerbound of 95% confidence interval for beta
    0.51369
  • Upperbound of 95% confidence interval for beta
    0.94372
  • Lowerbound of 95% confidence interval for alpha
    -0.04737
  • Upperbound of 95% confidence interval for alpha
    0.19832
  • Treynor index (mean / b)
    0.28985
  • Jensen alpha (a)
    0.07547
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.20023
  • SD
    0.13545
  • Sharpe ratio (Glass type estimate)
    1.47823
  • Sharpe ratio (Hedges UMVUE)
    1.42197
  • df
    20.00000
  • t
    1.95551
  • p
    0.29968
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.08851
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.01136
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.12377
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.96771
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.63757
  • Upside Potential Ratio
    4.26080
  • Upside part of mean
    0.32345
  • Downside part of mean
    -0.12323
  • Upside SD
    0.12268
  • Downside SD
    0.07591
  • N nonnegative terms
    15.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    21.00000
  • Mean of predictor
    0.17246
  • Mean of criterion
    0.20023
  • SD of predictor
    0.15932
  • SD of criterion
    0.13545
  • Covariance
    0.01854
  • r
    0.85899
  • b (slope, estimate of beta)
    0.73028
  • a (intercept, estimate of alpha)
    0.07428
  • Mean Square Error
    0.00506
  • DF error
    19.00000
  • t(b)
    7.31304
  • p(b)
    0.03110
  • t(a)
    1.31533
  • p(a)
    0.31868
  • Lowerbound of 95% confidence interval for beta
    0.52127
  • Upperbound of 95% confidence interval for beta
    0.93929
  • Lowerbound of 95% confidence interval for alpha
    -0.04392
  • Upperbound of 95% confidence interval for alpha
    0.19249
  • Treynor index (mean / b)
    0.27418
  • Jensen alpha (a)
    0.07428
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04651
  • Expected Shortfall on VaR
    0.06187
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01563
  • Expected Shortfall on VaR
    0.03439
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    21.00000
  • Minimum
    0.93207
  • Quartile 1
    0.98846
  • Median
    1.02895
  • Quartile 3
    1.04037
  • Maximum
    1.09633
  • Mean of quarter 1
    0.96713
  • Mean of quarter 2
    1.02529
  • Mean of quarter 3
    1.03604
  • Mean of quarter 4
    1.06182
  • Inter Quartile Range
    0.05191
  • 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 for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.52780
  • VaR(95%) (moments method)
    0.03113
  • Expected Shortfall (moments method)
    0.03642
  • Extreme Value Index (regression method)
    0.04352
  • VaR(95%) (regression method)
    0.04964
  • Expected Shortfall (regression method)
    0.07400
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.06743
  • Quartile 1
    0.07520
  • Median
    0.08298
  • Quartile 3
    0.09075
  • Maximum
    0.09852
  • Mean of quarter 1
    0.06743
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.09852
  • Inter Quartile Range
    0.01555
  • 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)
    0.28039
  • Compounded annual return (geometric extrapolation)
    0.25625
  • Calmar ratio (compounded annual return / max draw down)
    2.60103
  • Compounded annual return / average of 25% largest draw downs
    2.60103
  • Compounded annual return / Expected Shortfall lognormal
    4.14196
  • 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
    0.17518
  • SD
    0.13743
  • Sharpe ratio (Glass type estimate)
    1.27469
  • Sharpe ratio (Hedges UMVUE)
    1.27269
  • df
    479.00000
  • t
    1.72534
  • p
    0.04256
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.17625
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.72431
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.17758
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.72297
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.94985
  • Upside Potential Ratio
    10.54430
  • Upside part of mean
    0.94733
  • Downside part of mean
    -0.77215
  • Upside SD
    0.10437
  • Downside SD
    0.08984
  • N nonnegative terms
    259.00000
  • N negative terms
    221.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    480.00000
  • Mean of predictor
    0.16155
  • Mean of criterion
    0.17518
  • SD of predictor
    0.16577
  • SD of criterion
    0.13743
  • Covariance
    0.01565
  • r
    0.68690
  • b (slope, estimate of beta)
    0.56947
  • a (intercept, estimate of alpha)
    0.08300
  • Mean Square Error
    0.01000
  • DF error
    478.00000
  • t(b)
    20.66460
  • p(b)
    0.00000
  • t(a)
    1.12404
  • p(a)
    0.13078
  • Lowerbound of 95% confidence interval for beta
    0.51532
  • Upperbound of 95% confidence interval for beta
    0.62362
  • Lowerbound of 95% confidence interval for alpha
    -0.06223
  • Upperbound of 95% confidence interval for alpha
    0.22859
  • Treynor index (mean / b)
    0.30762
  • Jensen alpha (a)
    0.08318
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.16570
  • SD
    0.13723
  • Sharpe ratio (Glass type estimate)
    1.20751
  • Sharpe ratio (Hedges UMVUE)
    1.20562
  • df
    479.00000
  • t
    1.63441
  • p
    0.05141
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.24313
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.65697
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.24442
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.65566
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.83194
  • Upside Potential Ratio
    10.41270
  • Upside part of mean
    0.94184
  • Downside part of mean
    -0.77614
  • Upside SD
    0.10351
  • Downside SD
    0.09045
  • N nonnegative terms
    259.00000
  • N negative terms
    221.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    480.00000
  • Mean of predictor
    0.14782
  • Mean of criterion
    0.16570
  • SD of predictor
    0.16545
  • SD of criterion
    0.13723
  • Covariance
    0.01562
  • r
    0.68809
  • b (slope, estimate of beta)
    0.57073
  • a (intercept, estimate of alpha)
    0.08134
  • Mean Square Error
    0.00994
  • DF error
    478.00000
  • t(b)
    20.73240
  • p(b)
    0.00000
  • t(a)
    1.10282
  • p(a)
    0.13533
  • Lowerbound of 95% confidence interval for beta
    0.51663
  • Upperbound of 95% confidence interval for beta
    0.62482
  • Lowerbound of 95% confidence interval for alpha
    -0.06359
  • Upperbound of 95% confidence interval for alpha
    0.22626
  • Treynor index (mean / b)
    0.29034
  • Jensen alpha (a)
    0.08134
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01322
  • Expected Shortfall on VaR
    0.01671
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00650
  • Expected Shortfall on VaR
    0.01229
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    480.00000
  • Minimum
    0.97635
  • Quartile 1
    0.99552
  • Median
    1.00111
  • Quartile 3
    1.00579
  • Maximum
    1.03627
  • Mean of quarter 1
    0.99026
  • Mean of quarter 2
    0.99826
  • Mean of quarter 3
    1.00333
  • Mean of quarter 4
    1.01125
  • Inter Quartile Range
    0.01027
  • Number outliers low
    6.00000
  • Percentage of outliers low
    0.01250
  • Mean of outliers low
    0.97821
  • Number of outliers high
    8.00000
  • Percentage of outliers high
    0.01667
  • Mean of outliers high
    1.02635
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.10345
  • VaR(95%) (moments method)
    0.00949
  • Expected Shortfall (moments method)
    0.01210
  • Extreme Value Index (regression method)
    -0.17934
  • VaR(95%) (regression method)
    0.00936
  • Expected Shortfall (regression method)
    0.01158
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    24.00000
  • Minimum
    0.00161
  • Quartile 1
    0.00616
  • Median
    0.01495
  • Quartile 3
    0.02770
  • Maximum
    0.13501
  • Mean of quarter 1
    0.00322
  • Mean of quarter 2
    0.01131
  • Mean of quarter 3
    0.02116
  • Mean of quarter 4
    0.06976
  • Inter Quartile Range
    0.02154
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.12500
  • Mean of outliers high
    0.10767
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.35417
  • VaR(95%) (moments method)
    0.07291
  • Expected Shortfall (moments method)
    0.13455
  • Extreme Value Index (regression method)
    1.82893
  • VaR(95%) (regression method)
    0.06187
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.23239
  • Compounded annual return (geometric extrapolation)
    0.21362
  • Calmar ratio (compounded annual return / max draw down)
    1.58232
  • Compounded annual return / average of 25% largest draw downs
    3.06216
  • Compounded annual return / Expected Shortfall lognormal
    12.78500
  • 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
    0.36054
  • SD
    0.12888
  • Sharpe ratio (Glass type estimate)
    2.79748
  • Sharpe ratio (Hedges UMVUE)
    2.78131
  • df
    130.00000
  • t
    1.97812
  • p
    0.41453
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.00033
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.58484
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.01103
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.57366
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.71958
  • Upside Potential Ratio
    12.82160
  • Upside part of mean
    0.97947
  • Downside part of mean
    -0.61893
  • Upside SD
    0.10556
  • Downside SD
    0.07639
  • N nonnegative terms
    73.00000
  • N negative terms
    58.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.34428
  • Mean of criterion
    0.36054
  • SD of predictor
    0.11604
  • SD of criterion
    0.12888
  • Covariance
    0.01038
  • r
    0.69388
  • b (slope, estimate of beta)
    0.77065
  • a (intercept, estimate of alpha)
    0.09522
  • Mean Square Error
    0.00868
  • DF error
    129.00000
  • t(b)
    10.94450
  • p(b)
    0.09685
  • t(a)
    0.71079
  • p(a)
    0.46026
  • Lowerbound of 95% confidence interval for beta
    0.63134
  • Upperbound of 95% confidence interval for beta
    0.90997
  • Lowerbound of 95% confidence interval for alpha
    -0.16983
  • Upperbound of 95% confidence interval for alpha
    0.36028
  • Treynor index (mean / b)
    0.46784
  • Jensen alpha (a)
    0.09522
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.35204
  • SD
    0.12858
  • Sharpe ratio (Glass type estimate)
    2.73794
  • Sharpe ratio (Hedges UMVUE)
    2.72212
  • df
    130.00000
  • t
    1.93602
  • p
    0.41630
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.05888
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.52443
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.06937
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.51360
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.57933
  • Upside Potential Ratio
    12.66770
  • Upside part of mean
    0.97385
  • Downside part of mean
    -0.62181
  • Upside SD
    0.10474
  • Downside SD
    0.07688
  • N nonnegative terms
    73.00000
  • N negative terms
    58.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.33735
  • Mean of criterion
    0.35204
  • SD of predictor
    0.11588
  • SD of criterion
    0.12858
  • Covariance
    0.01035
  • r
    0.69481
  • b (slope, estimate of beta)
    0.77099
  • a (intercept, estimate of alpha)
    0.09195
  • Mean Square Error
    0.00862
  • DF error
    129.00000
  • t(b)
    10.97260
  • p(b)
    0.09643
  • t(a)
    0.68925
  • p(a)
    0.46146
  • VAR (95 Confidence Intrvl)
    0.01300
  • Lowerbound of 95% confidence interval for beta
    0.63197
  • Upperbound of 95% confidence interval for beta
    0.91001
  • Lowerbound of 95% confidence interval for alpha
    -0.17200
  • Upperbound of 95% confidence interval for alpha
    0.35590
  • Treynor index (mean / b)
    0.45661
  • Jensen alpha (a)
    0.09195
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01165
  • Expected Shortfall on VaR
    0.01493
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00505
  • Expected Shortfall on VaR
    0.00993
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97764
  • Quartile 1
    0.99691
  • Median
    1.00138
  • Quartile 3
    1.00631
  • Maximum
    1.02722
  • Mean of quarter 1
    0.99197
  • Mean of quarter 2
    0.99904
  • Mean of quarter 3
    1.00353
  • Mean of quarter 4
    1.01146
  • Inter Quartile Range
    0.00941
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.00763
  • Mean of outliers low
    0.97764
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.01527
  • Mean of outliers high
    1.02617
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.03720
  • VaR(95%) (moments method)
    0.00739
  • Expected Shortfall (moments method)
    0.01024
  • Extreme Value Index (regression method)
    -0.12684
  • VaR(95%) (regression method)
    0.00816
  • Expected Shortfall (regression method)
    0.01064
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    16.00000
  • Minimum
    0.00161
  • Quartile 1
    0.00218
  • Median
    0.00602
  • Quartile 3
    0.02301
  • Maximum
    0.07541
  • Mean of quarter 1
    0.00187
  • Mean of quarter 2
    0.00404
  • Mean of quarter 3
    0.01410
  • Mean of quarter 4
    0.03899
  • Inter Quartile Range
    0.02083
  • 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
    0.06250
  • Mean of outliers high
    0.07541
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.46742
  • VaR(95%) (moments method)
    0.04532
  • Expected Shortfall (moments method)
    0.08501
  • Extreme Value Index (regression method)
    1.84222
  • VaR(95%) (regression method)
    0.04170
  • 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?
    -330628000
  • Max Equity Drawdown (num days)
    56
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.41844
  • Compounded annual return (geometric extrapolation)
    0.46221
  • Calmar ratio (compounded annual return / max draw down)
    6.12967
  • Compounded annual return / average of 25% largest draw downs
    11.85390
  • Compounded annual return / Expected Shortfall lognormal
    30.96900

Strategy Description

- The primary goal of this strategy is long-term growth and risk mitigation based on fundamental principles.

- Using this strategy, We are more inclined to buy and hold Equities, while maintaining high levels of diversification to cut back on risk and improve returns.

- We will continually rebalance the portfolio based on market conditions while making some tactical deviations from the strategy to capitalize on unusual or exceptional investment opportunities.

These are my general guidelines on how I use asset allocation.
Please mark: “Join trades in progress”.
Feel free to contact us via “Collective2”.

For more information you can visit our site: www.investBrix.com
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2022-06-20
Suggested Minimum Capital
$15,000
# Trades
75
# Profitable
60
% Profitable
80.0%
Net Dividends
$567
Correlation S&P500
0.669
Sharpe Ratio
0.92
Sortino Ratio
1.41
Beta
0.58
Alpha
0.02
Leverage
0.86 Average
1.05 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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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.