Collective2 Collective2
Featured Strategy Quant AI pro Followed by live capital $115,000 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 04/04/2023
Most recent certification approved 4/4/23 9:32 ET
Trades at broker Interactive Brokers (Europe)
Scaling percentage used 100%
# trading signals issued by system since certification 99
# trading signals executed in manager's Interactive Brokers (Europe) account 99
Percent signals followed since 04/04/2023 100%
This information was last updated 12/26/24 15:40 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 04/04/2023, 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.

WS Value Investing
(144168570)

Powered by BrokerTransmit.
Read important disclosures.

Created by: WarStreet WarStreet
Started: 04/2023
Stocks
Last trade: 6 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 $50.00 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."
43.7%
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.

(21.9%)
Max Drawdown
66
Num Trades
72.7%
Win Trades
6.1 : 1
Profit Factor
71.4%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2023                     (1.1%)+6.0%+4.4%+9.8%(3.9%)(9.8%)(4.9%)+16.9%+10.9%+28.5%
2024+4.8%+7.2%+6.0%(8.1%)+4.6%+7.1%(0.5%)+3.3%+5.4%+3.3%+3.4%+0.6%+42.7%

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 63 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/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
4/4/23 9:46 DIS WALT DISNEY LONG 51 99.97 11/14/24 15:36 109.13 0.84%
Trade id #144172546
Max drawdown($872)
Time10/4/23 0:00
Quant open42
Worst price78.73
Drawdown as % of equity-0.84%
 $466
Includes Typical Broker Commissions trade costs of $1.02
4/4/23 9:55 SBUX STARBUCKS LONG 25 104.71 11/13/24 15:34 99.58 0.51%
Trade id #144172738
Max drawdown($829)
Time7/16/24 0:00
Quant open25
Worst price71.55
Drawdown as % of equity-0.51%
 ($129)
Includes Typical Broker Commissions trade costs of $0.50
5/2/23 10:23 BAC BANK OF AMERICA CORPORATION LONG 78 28.00 11/6/24 12:58 45.50 0.25%
Trade id #144500967
Max drawdown($237)
Time10/27/23 0:00
Quant open78
Worst price24.96
Drawdown as % of equity-0.25%
 $1,363
Includes Typical Broker Commissions trade costs of $1.56
5/3/23 11:00 WGO WINNEBAGO INDUSTRIES LONG 36 61.84 11/6/24 4:04 62.00 0.27%
Trade id #144513223
Max drawdown($437)
Time7/9/24 0:00
Quant open36
Worst price49.68
Drawdown as % of equity-0.27%
 $5
Includes Typical Broker Commissions trade costs of $0.72
7/18/23 13:53 VIRT VIRTU FINANCIAL INC. CLASS A LONG 123 18.05 10/7/24 11:22 32.00 0.18%
Trade id #145251090
Max drawdown($249)
Time2/7/24 0:00
Quant open123
Worst price16.02
Drawdown as % of equity-0.18%
 $1,714
Includes Typical Broker Commissions trade costs of $2.46
11/9/23 12:17 MKTX MARKETAXESS HOLDINGS LONG 10 225.94 9/30/24 10:09 256.00 0.22%
Trade id #146388081
Max drawdown($335)
Time6/25/24 0:00
Quant open10
Worst price192.42
Drawdown as % of equity-0.22%
 $301
Includes Typical Broker Commissions trade costs of $0.20
4/4/23 9:52 ICE INTERCONTINENTALEXCHANGE LONG 22 106.28 9/6/24 11:41 160.55 0.05%
Trade id #144172702
Max drawdown($54)
Time5/30/23 0:00
Quant open22
Worst price103.81
Drawdown as % of equity-0.05%
 $1,194
Includes Typical Broker Commissions trade costs of $0.44
5/1/24 11:33 OPRA OPERA LIMITED ADS LONG 177 12.46 8/23 12:22 15.90 0.28%
Trade id #148062831
Max drawdown($415)
Time8/5/24 0:00
Quant open177
Worst price10.11
Drawdown as % of equity-0.28%
 $605
Includes Typical Broker Commissions trade costs of $3.54
10/10/23 13:21 HSY HERSHEY COMPANY LONG 11 195.50 8/5/24 7:06 197.50 0.15%
Trade id #146091091
Max drawdown($183)
Time12/21/23 0:00
Quant open11
Worst price178.82
Drawdown as % of equity-0.15%
 $22
Includes Typical Broker Commissions trade costs of $0.22
4/4/23 9:48 CLX CLOROX LONG 16 157.13 8/5/24 6:38 143.00 0.69%
Trade id #144172589
Max drawdown($679)
Time11/1/23 0:00
Quant open16
Worst price114.69
Drawdown as % of equity-0.69%
 ($226)
Includes Typical Broker Commissions trade costs of $0.32
1/18/24 15:29 TSLA TESLA INC. LONG 16 211.55 7/22 10:20 249.00 0.85%
Trade id #147054580
Max drawdown($1,163)
Time4/22/24 0:00
Quant open16
Worst price138.80
Drawdown as % of equity-0.85%
 $599
Includes Typical Broker Commissions trade costs of $0.32
8/10/23 11:37 CFG CITIZENS FINANCIAL GROUP INC LONG 72 30.67 7/16/24 9:35 39.00 0.59%
Trade id #145495496
Max drawdown($568)
Time10/27/23 0:00
Quant open72
Worst price22.77
Drawdown as % of equity-0.59%
 $599
Includes Typical Broker Commissions trade costs of $1.44
4/4/23 9:41 TER TERADYNE LONG 25 105.85 6/6/24 10:02 143.50 0.63%
Trade id #144172358
Max drawdown($619)
Time11/1/23 0:00
Quant open25
Worst price81.08
Drawdown as % of equity-0.63%
 $941
Includes Typical Broker Commissions trade costs of $0.50
4/4/23 9:46 AQN ALGONQUIN POWER & ENERGY CORP LONG 320 8.35 7/10 11:08 7.70 0.19%
Trade id #144172542
Max drawdown($208)
Time7/10/23 11:08
Quant open320
Worst price7.70
Drawdown as % of equity-0.19%
 ($213)
Includes Typical Broker Commissions trade costs of $6.40
6/23/23 9:30 HBNC HORIZON BANCORP LONG 105 10.41 6/23 9:55 10.43 0%
Trade id #145013744
Max drawdown($3)
Time6/23/23 9:38
Quant open105
Worst price10.38
Drawdown as % of equity-0.00%
 $0
Includes Typical Broker Commissions trade costs of $2.10
6/23/23 9:30 PFC PREMIER FINANCIAL CORP LONG 139 15.72 6/23 9:55 16.11 n/a $51
Includes Typical Broker Commissions trade costs of $2.78
Next

Statistics

  • Strategy began
    4/4/2023
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    631.55
  • Age
    21 months ago
  • What it trades
    Stocks
  • # Trades
    66
  • # Profitable
    48
  • % Profitable
    72.70%
  • Avg trade duration
    424.7 days
  • Max peak-to-valley drawdown
    21.86%
  • drawdown period
    Aug 01, 2023 - Oct 11, 2023
  • Annual Return (Compounded)
    43.7%
  • Avg win
    $2,169
  • Avg loss
    $981.33
  • Model Account Values (Raw)
  • Cash
    $5,165
  • Margin Used
    $0
  • Buying Power
    $84,348
  • Ratios
  • W:L ratio
    6.08:1
  • Sharpe Ratio
    1.41
  • Sortino Ratio
    2.38
  • Calmar Ratio
    4.107
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    40.64%
  • Correlation to SP500
    0.76330
  • Return Percent SP500 (cumu) during strategy life
    47.16%
  • Return Statistics
  • Ann Return (w trading costs)
    43.7%
  • Slump
  • Current Slump as Pcnt Equity
    7.10%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.02%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.437%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    42.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    30.00%
  • Chance of 20% account loss
    9.50%
  • 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)
    900
  • Popularity (Last 6 weeks)
    931
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    992
  • Popularity (7 days, Percentile 1000 scale)
    896
  • Trades-Own-System Certification
  • Trades Own System?
    Yes
  • TOS percent
    100%
  • Win / Loss
  • Avg Loss
    $981
  • Avg Win
    $2,170
  • Sum Trade PL (losers)
    $17,664.000
  • Age
  • Num Months filled monthly returns table
    21
  • Win / Loss
  • Sum Trade PL (winners)
    $104,159.000
  • # Winners
    48
  • Num Months Winners
    15
  • Dividends
  • Dividends Received in Model Acct
    3231
  • AUM
  • AUM (AutoTrader live capital)
    189558
  • Win / Loss
  • # Losers
    18
  • % Winners
    72.7%
  • Frequency
  • Avg Position Time (mins)
    611568.00
  • Avg Position Time (hrs)
    10192.80
  • Avg Trade Length
    424.7 days
  • Last Trade Ago
    5
  • Leverage
  • Daily leverage (average)
    1.32
  • Daily leverage (max)
    1.79
  • Regression
  • Alpha
    0.02
  • Beta
    1.38
  • 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)
    1.15
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    0.537
  • 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
    0.163
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.423
  • Hold-and-Hope Ratio
    2.227
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.67764
  • SD
    0.29689
  • Sharpe ratio (Glass type estimate)
    2.28245
  • Sharpe ratio (Hedges UMVUE)
    2.12259
  • df
    11.00000
  • t
    2.28245
  • p
    0.02167
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.06622
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.41560
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.02872
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.27390
  • Statistics related to Sortino ratio
  • Sortino ratio
    10.55270
  • Upside Potential Ratio
    12.35480
  • Upside part of mean
    0.79337
  • Downside part of mean
    -0.11573
  • Upside SD
    0.33903
  • Downside SD
    0.06422
  • N nonnegative terms
    8.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    12.00000
  • Mean of predictor
    0.40003
  • Mean of criterion
    0.67764
  • SD of predictor
    0.14782
  • SD of criterion
    0.29689
  • Covariance
    0.04252
  • r
    0.96887
  • b (slope, estimate of beta)
    1.94597
  • a (intercept, estimate of alpha)
    -0.10081
  • Mean Square Error
    0.00594
  • DF error
    10.00000
  • t(b)
    12.37550
  • p(b)
    0.00000
  • t(a)
    -1.01321
  • p(a)
    0.83258
  • Lowerbound of 95% confidence interval for beta
    1.59561
  • Upperbound of 95% confidence interval for beta
    2.29633
  • Lowerbound of 95% confidence interval for alpha
    -0.32250
  • Upperbound of 95% confidence interval for alpha
    0.12088
  • Treynor index (mean / b)
    0.34823
  • Jensen alpha (a)
    -0.10081
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.62404
  • SD
    0.27504
  • Sharpe ratio (Glass type estimate)
    2.26892
  • Sharpe ratio (Hedges UMVUE)
    2.11001
  • df
    11.00000
  • t
    2.26892
  • p
    0.02220
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.05520
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.39981
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.03914
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.25916
  • Statistics related to Sortino ratio
  • Sortino ratio
    9.53388
  • Upside Potential Ratio
    11.33420
  • Upside part of mean
    0.74188
  • Downside part of mean
    -0.11784
  • Upside SD
    0.31227
  • Downside SD
    0.06545
  • N nonnegative terms
    8.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    12.00000
  • Mean of predictor
    0.38422
  • Mean of criterion
    0.62404
  • SD of predictor
    0.14200
  • SD of criterion
    0.27504
  • Covariance
    0.03781
  • r
    0.96825
  • b (slope, estimate of beta)
    1.87546
  • a (intercept, estimate of alpha)
    -0.09656
  • Mean Square Error
    0.00520
  • DF error
    10.00000
  • t(b)
    12.24910
  • p(b)
    0.00000
  • t(a)
    -1.03759
  • p(a)
    0.83805
  • Lowerbound of 95% confidence interval for beta
    1.53431
  • Upperbound of 95% confidence interval for beta
    2.21661
  • Lowerbound of 95% confidence interval for alpha
    -0.30391
  • Upperbound of 95% confidence interval for alpha
    0.11079
  • Treynor index (mean / b)
    0.33274
  • Jensen alpha (a)
    -0.09656
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07558
  • Expected Shortfall on VaR
    0.10537
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01715
  • Expected Shortfall on VaR
    0.03467
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    12.00000
  • Minimum
    0.95686
  • Quartile 1
    0.98762
  • Median
    1.05165
  • Quartile 3
    1.08210
  • Maximum
    1.21977
  • Mean of quarter 1
    0.96339
  • Mean of quarter 2
    1.01951
  • Mean of quarter 3
    1.06774
  • Mean of quarter 4
    1.17524
  • Inter Quartile Range
    0.09448
  • 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)
    -1.04166
  • VaR(95%) (moments method)
    0.04065
  • Expected Shortfall (moments method)
    0.04245
  • Extreme Value Index (regression method)
    0.43045
  • VaR(95%) (regression method)
    0.04296
  • Expected Shortfall (regression method)
    0.06044
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.00591
  • Quartile 1
    0.02453
  • Median
    0.04314
  • Quartile 3
    0.05435
  • Maximum
    0.06557
  • Mean of quarter 1
    0.00591
  • Mean of quarter 2
    0.04314
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.06557
  • Inter Quartile Range
    0.02983
  • 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)
    0.86645
  • Compounded annual return (geometric extrapolation)
    0.86645
  • Calmar ratio (compounded annual return / max draw down)
    13.21510
  • Compounded annual return / average of 25% largest draw downs
    13.21510
  • Compounded annual return / Expected Shortfall lognormal
    8.22330
  • 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
    0.63192
  • SD
    0.27726
  • Sharpe ratio (Glass type estimate)
    2.27916
  • Sharpe ratio (Hedges UMVUE)
    2.27289
  • df
    273.00000
  • t
    2.33077
  • p
    0.01025
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.35106
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.20321
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.34687
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.19892
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.00054
  • Upside Potential Ratio
    11.78210
  • Upside part of mean
    1.86107
  • Downside part of mean
    -1.22915
  • Upside SD
    0.23058
  • Downside SD
    0.15796
  • N nonnegative terms
    153.00000
  • N negative terms
    121.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    274.00000
  • Mean of predictor
    0.37158
  • Mean of criterion
    0.63192
  • SD of predictor
    0.15232
  • SD of criterion
    0.27726
  • Covariance
    0.03289
  • r
    0.77888
  • b (slope, estimate of beta)
    1.41776
  • a (intercept, estimate of alpha)
    0.10500
  • Mean Square Error
    0.03035
  • DF error
    272.00000
  • t(b)
    20.48180
  • p(b)
    0.00000
  • t(a)
    0.61005
  • p(a)
    0.27117
  • Lowerbound of 95% confidence interval for beta
    1.28148
  • Upperbound of 95% confidence interval for beta
    1.55403
  • Lowerbound of 95% confidence interval for alpha
    -0.23408
  • Upperbound of 95% confidence interval for alpha
    0.44427
  • Treynor index (mean / b)
    0.44571
  • Jensen alpha (a)
    0.10510
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.59337
  • SD
    0.27484
  • Sharpe ratio (Glass type estimate)
    2.15898
  • Sharpe ratio (Hedges UMVUE)
    2.15305
  • df
    273.00000
  • t
    2.20787
  • p
    0.01404
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.23197
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.08217
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.22799
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.07810
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.69688
  • Upside Potential Ratio
    11.43430
  • Upside part of mean
    1.83527
  • Downside part of mean
    -1.24190
  • Upside SD
    0.22548
  • Downside SD
    0.16051
  • N nonnegative terms
    153.00000
  • N negative terms
    121.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    274.00000
  • Mean of predictor
    0.35981
  • Mean of criterion
    0.59337
  • SD of predictor
    0.15192
  • SD of criterion
    0.27484
  • Covariance
    0.03256
  • r
    0.77995
  • b (slope, estimate of beta)
    1.41104
  • a (intercept, estimate of alpha)
    0.08566
  • Mean Square Error
    0.02969
  • DF error
    272.00000
  • t(b)
    20.55350
  • p(b)
    0.00000
  • t(a)
    0.50295
  • p(a)
    0.30770
  • Lowerbound of 95% confidence interval for beta
    1.27589
  • Upperbound of 95% confidence interval for beta
    1.54620
  • Lowerbound of 95% confidence interval for alpha
    -0.24963
  • Upperbound of 95% confidence interval for alpha
    0.42094
  • Treynor index (mean / b)
    0.42052
  • Jensen alpha (a)
    0.08566
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02534
  • Expected Shortfall on VaR
    0.03221
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00996
  • Expected Shortfall on VaR
    0.02001
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    274.00000
  • Minimum
    0.93243
  • Quartile 1
    0.99419
  • Median
    1.00178
  • Quartile 3
    1.00943
  • Maximum
    1.08847
  • Mean of quarter 1
    0.98355
  • Mean of quarter 2
    0.99801
  • Mean of quarter 3
    1.00506
  • Mean of quarter 4
    1.02300
  • Inter Quartile Range
    0.01524
  • Number outliers low
    6.00000
  • Percentage of outliers low
    0.02190
  • Mean of outliers low
    0.96031
  • Number of outliers high
    12.00000
  • Percentage of outliers high
    0.04380
  • Mean of outliers high
    1.05228
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.32100
  • VaR(95%) (moments method)
    0.01468
  • Expected Shortfall (moments method)
    0.01787
  • Extreme Value Index (regression method)
    -0.02398
  • VaR(95%) (regression method)
    0.01511
  • Expected Shortfall (regression method)
    0.02060
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    21.00000
  • Minimum
    0.00147
  • Quartile 1
    0.00546
  • Median
    0.01510
  • Quartile 3
    0.05093
  • Maximum
    0.19723
  • Mean of quarter 1
    0.00331
  • Mean of quarter 2
    0.01135
  • Mean of quarter 3
    0.03016
  • Mean of quarter 4
    0.10955
  • Inter Quartile Range
    0.04547
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.09524
  • Mean of outliers high
    0.16141
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.05035
  • VaR(95%) (moments method)
    0.10599
  • Expected Shortfall (moments method)
    0.14461
  • Extreme Value Index (regression method)
    0.64274
  • VaR(95%) (regression method)
    0.13898
  • Expected Shortfall (regression method)
    0.37757
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.82229
  • Compounded annual return (geometric extrapolation)
    0.81008
  • Calmar ratio (compounded annual return / max draw down)
    4.10727
  • Compounded annual return / average of 25% largest draw downs
    7.39438
  • Compounded annual return / Expected Shortfall lognormal
    25.15060
  • 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
    0.46258
  • SD
    0.24829
  • Sharpe ratio (Glass type estimate)
    1.86307
  • Sharpe ratio (Hedges UMVUE)
    1.85231
  • df
    130.00000
  • t
    1.31739
  • p
    0.44261
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.92148
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.64061
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.92863
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.63324
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.07795
  • Upside Potential Ratio
    10.42820
  • Upside part of mean
    1.56724
  • Downside part of mean
    -1.10466
  • Upside SD
    0.19851
  • Downside SD
    0.15029
  • N nonnegative terms
    74.00000
  • N negative terms
    57.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.29249
  • Mean of criterion
    0.46258
  • SD of predictor
    0.14229
  • SD of criterion
    0.24829
  • Covariance
    0.02602
  • r
    0.73650
  • b (slope, estimate of beta)
    1.28519
  • a (intercept, estimate of alpha)
    0.08668
  • Mean Square Error
    0.02843
  • DF error
    129.00000
  • t(b)
    12.36650
  • p(b)
    0.07789
  • t(a)
    0.36061
  • p(a)
    0.47980
  • Lowerbound of 95% confidence interval for beta
    1.07957
  • Upperbound of 95% confidence interval for beta
    1.49081
  • Lowerbound of 95% confidence interval for alpha
    -0.38889
  • Upperbound of 95% confidence interval for alpha
    0.56225
  • Treynor index (mean / b)
    0.35993
  • Jensen alpha (a)
    0.08668
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.43189
  • SD
    0.24669
  • Sharpe ratio (Glass type estimate)
    1.75072
  • Sharpe ratio (Hedges UMVUE)
    1.74060
  • df
    130.00000
  • t
    1.23795
  • p
    0.44603
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.03251
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.52742
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.03927
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.52047
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.83277
  • Upside Potential Ratio
    10.15380
  • Upside part of mean
    1.54805
  • Downside part of mean
    -1.11617
  • Upside SD
    0.19457
  • Downside SD
    0.15246
  • N nonnegative terms
    74.00000
  • N negative terms
    57.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.28228
  • Mean of criterion
    0.43189
  • SD of predictor
    0.14239
  • SD of criterion
    0.24669
  • Covariance
    0.02598
  • r
    0.73951
  • b (slope, estimate of beta)
    1.28122
  • a (intercept, estimate of alpha)
    0.07023
  • Mean Square Error
    0.02779
  • DF error
    129.00000
  • t(b)
    12.47750
  • p(b)
    0.07660
  • t(a)
    0.29566
  • p(a)
    0.48344
  • VAR (95 Confidence Intrvl)
    0.02500
  • Lowerbound of 95% confidence interval for beta
    1.07806
  • Upperbound of 95% confidence interval for beta
    1.48438
  • Lowerbound of 95% confidence interval for alpha
    -0.39972
  • Upperbound of 95% confidence interval for alpha
    0.54018
  • Treynor index (mean / b)
    0.33709
  • Jensen alpha (a)
    0.07023
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02315
  • Expected Shortfall on VaR
    0.02933
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00881
  • Expected Shortfall on VaR
    0.01820
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.95312
  • Quartile 1
    0.99518
  • Median
    1.00169
  • Quartile 3
    1.00778
  • Maximum
    1.06837
  • Mean of quarter 1
    0.98466
  • Mean of quarter 2
    0.99880
  • Mean of quarter 3
    1.00411
  • Mean of quarter 4
    1.01956
  • Inter Quartile Range
    0.01260
  • Number outliers low
    8.00000
  • Percentage of outliers low
    0.06107
  • Mean of outliers low
    0.96930
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.03817
  • Mean of outliers high
    1.04902
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.22423
  • VaR(95%) (moments method)
    0.01421
  • Expected Shortfall (moments method)
    0.02298
  • Extreme Value Index (regression method)
    0.01651
  • VaR(95%) (regression method)
    0.01675
  • Expected Shortfall (regression method)
    0.02419
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    14.00000
  • Minimum
    0.00147
  • Quartile 1
    0.00441
  • Median
    0.01058
  • Quartile 3
    0.02651
  • Maximum
    0.12559
  • Mean of quarter 1
    0.00260
  • Mean of quarter 2
    0.00654
  • Mean of quarter 3
    0.01657
  • Mean of quarter 4
    0.07046
  • Inter Quartile Range
    0.02210
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.14286
  • Mean of outliers high
    0.10017
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -2.79064
  • VaR(95%) (moments method)
    0.06715
  • Expected Shortfall (moments method)
    0.06765
  • Extreme Value Index (regression method)
    -0.29419
  • VaR(95%) (regression method)
    0.11950
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.15212
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -333399000
  • Max Equity Drawdown (num days)
    71
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.48206
  • Compounded annual return (geometric extrapolation)
    0.54016
  • Calmar ratio (compounded annual return / max draw down)
    4.30084
  • Compounded annual return / average of 25% largest draw downs
    7.66594
  • Compounded annual return / Expected Shortfall lognormal
    18.41430

Strategy Description

#Obbiettivo della strategia#

Investire in maniera sicura puntando a rendimenti annualizzati di oltre il 20%, comprando le azioni delle aziende più importanti della Borsa Americana…solo quando sono (ampiamente) sottovalutate del mercato.


##Come funziona nel dettaglio la strategia##

1. Seleziono il top 1% delle migliori aziende Americane.
Tramite il mio sistema di analisi fondamentale, composto da oltre 20 parametri seleziono le aziende più sane e profittevoli del mercato.

2. Calcolo il valore intrinseco di ognuna delle aziende attraverso il mio modello valutativo proprietario

3. Apro una posizione, con una frazione del capitale, SOLO e quando i titoli selezionati sono scontati di almeno il l 20-30% rispetto al loro valore intrinseco (durante i periodi di ribasso dei mercati).

4.Incremento ulteriormente la posizione, facendo uno o più altri ingressi se i titoli dovessero scendere ulteriormente, con sconti del 50-60% (durante i Bear Markets).

5. Tengo le azioni in portafoglio a lungo termine, puntando a rendimenti fino ad oltre il 100%, guadagnando:

- dalla ripresa delle loro quotazioni, durante le fasi rialziste

-dall’ulteriore incremento del prezzo delle azioni negli anni successivi, a seguito dell’incremento degli utili che avranno queste aziende in espansione

6. Vendo le azioni che ho in portafoglio solo in 2 casi.
Ovvero quando:

-il titolo raggiunge una quotazioni di oltre il 50% rispetto al mio valore intrinseco

-oppure l’azienda arriva a maturazione,e non riesce più a crescere


#Minimizzazione del Rischio#

Parto dal presupposto che non c’è niente di più sicuro al Mondo che investire e diventare soci delle migliori aziende del pianeta; per di più comprandone le azioni con degli sconti di almeno il 30%!

Detto ciò, applico una seri di precauzioni per ridurre il rischio quasi a zero.

-Apro solo posizioni long

-Non utilizzo alcuna leva finanziaria

-Diversifico il portafoglio con oltre 40 titoli, appartenenti a 5 settori differenti

-Ogni titolo in portafoglio ha lo stesso peso, e incide per il 2.5% del totale del capitale

-Entro su ogni azione a step, sfruttando a mio favore gli ulteriori ribassi


##Rendimenti#

Nonostante sia una strategia che ho deciso di condividere su Collective2 solo ad Aprile 2023, questa è la stessa strategia che utilizzo per investire il mio patrimonio, dal 2015.

Il rendimento cumulativo, negli ultimi 7 anni è stato del 158%.

Fino ad ora ha chiuso tutti gli anni in profitto, con picchi di guadagno del 41.2%, come nel 2020.

##Per chi è adatta la strategia?##

E’ adatta ad investitori di lungo termine, che hanno un orizzonte temporale di almeno 3-5 anni.

#Come si comporta la strategia durante i Bear Markets?##

I Bear Markets sono la cosa migliore che possa capitare alla mia strategia!
.
Più le azioni vengono svendute dagli investitori in panico durante i crolli di mercato, e più io accumulo titoli a prezzi stracciati!

I quali mi restituiranno rendimenti a tripla cifra durante il successivo Bull Market!








Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2023-04-04
Suggested Minimum Capital
$15,000
Rank at C2 %
Top 0.8%
Rank # 
#6
# Trades
66
# Profitable
48
% Profitable
72.7%
Net Dividends
$3,231
Correlation S&P500
0.763
Sharpe Ratio
1.41
Sortino Ratio
2.38
Beta
1.38
Alpha
0.02
Leverage
1.32 Average
1.79 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

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

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

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

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

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

Latest Activity

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subscribed on started simulation #SUBSCRIBEDDATE#

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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