Collective2 Collective2
Featured Strategy MT3 Algotrading +74.6% Annual Return (Compounded) since Mar 31, 2023 Hypothetical

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SK Small Caps
(147794805)

Created by: SKTrading SKTrading
Started: 04/2024
Stocks
Last trade: 12 days ago
Trading style: Equity 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 $20.00 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
Hedged Equity
Category: Equity

Hedged Equity

Core holding of long equities hedged at all times with short sales of stocks and/or stock index options.
41.1%
Cumul. Return

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 Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.

All results are hypothetical.

(13.0%)
Max Drawdown
47
Num Trades
57.4%
Win Trades
3.5 : 1
Profit Factor
60.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2024                     +0.1%+3.4%(2.6%)+11.3%+5.6%+20.5%(5.6%)+9.8%(4.1%)+42.0%
2025(0.6%)                                                                  (0.6%)

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

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
10/14/24 12:51 HTZ HERTZ GLOBAL HOLDINGS INC COMMON STOCK LONG 2,075 3.01 12/3 13:13 3.61 1.61%
Trade id #149654857
Max drawdown($233)
Time10/31/24 0:00
Quant open1,013
Worst price2.77
Drawdown as % of equity-1.61%
 $1,241
Includes Typical Broker Commissions trade costs of $17.46
8/30/24 9:53 TZA DIREXION DAILY SMALL CAP BEAR LONG 429 13.92 10/31 10:09 13.87 3.64%
Trade id #149133769
Max drawdown($481)
Time10/16/24 0:00
Quant open298
Worst price12.41
Drawdown as % of equity-3.64%
 ($28)
Includes Typical Broker Commissions trade costs of $8.58
8/7/24 10:16 DDD 3D SYSTEMS LONG 1,740 2.44 10/14 12:48 2.78 8.01%
Trade id #148855387
Max drawdown($979)
Time9/9/24 0:00
Quant open1,381
Worst price1.72
Drawdown as % of equity-8.01%
 $568
Includes Typical Broker Commissions trade costs of $24.57
8/7/24 10:30 CABO CABLE ONE INC SHORT 6 388.93 8/30 9:52 360.89 0.35%
Trade id #148855678
Max drawdown($43)
Time8/7/24 11:44
Quant open4
Worst price411.92
Drawdown as % of equity-0.35%
 $168
Includes Typical Broker Commissions trade costs of $0.12
8/7/24 10:32 CVCO CAVCO INDUSTRIES SHORT 6 381.71 8/30 9:52 408.54 1.96%
Trade id #148855786
Max drawdown($237)
Time8/30/24 9:32
Quant open6
Worst price421.27
Drawdown as % of equity-1.96%
 ($161)
Includes Typical Broker Commissions trade costs of $0.12
8/7/24 10:30 ABG ASBURY AUTOMOTIVE GROUP SHORT 9 233.15 8/30 9:46 243.44 0.86%
Trade id #148855747
Max drawdown($110)
Time8/26/24 0:00
Quant open8
Worst price245.95
Drawdown as % of equity-0.86%
 ($93)
Includes Typical Broker Commissions trade costs of $0.18
8/7/24 10:31 GPI GROUP 1 AUTOMOTIVE SHORT 7 349.42 8/30 9:46 373.67 1.57%
Trade id #148855770
Max drawdown($190)
Time8/29/24 0:00
Quant open7
Worst price376.65
Drawdown as % of equity-1.57%
 ($170)
Includes Typical Broker Commissions trade costs of $0.14
8/7/24 10:17 UNIT UNIT GROUP INC LONG 502 4.23 8/30 9:45 4.46 1.17%
Trade id #148855407
Max drawdown($143)
Time8/14/24 0:00
Quant open415
Worst price3.86
Drawdown as % of equity-1.17%
 $110
Includes Typical Broker Commissions trade costs of $7.52
8/7/24 10:14 HBI HANESBRANDS LONG 355 5.55 8/30 9:45 6.29 0.53%
Trade id #148855356
Max drawdown($66)
Time8/7/24 15:59
Quant open303
Worst price5.19
Drawdown as % of equity-0.53%
 $255
Includes Typical Broker Commissions trade costs of $7.10
8/7/24 10:10: Rescaled downward to 10% of previous Model Account size
8/5/24 10:56 CVCO CAVCO INDUSTRIES SHORT 4.600000000 363.83 8/7 10:08 375.36 0.48%
Trade id #148831137
Max drawdown($53)
Time8/5/24 12:31
Quant open4
Worst price377.38
Drawdown as % of equity-0.48%
 ($53)
Includes Typical Broker Commissions trade costs of $0.10
8/5/24 10:55 GPI GROUP 1 AUTOMOTIVE SHORT 5 335.56 8/7 10:08 347.70 0.46%
Trade id #148831120
Max drawdown($55)
Time8/7/24 9:50
Quant open5
Worst price346.66
Drawdown as % of equity-0.46%
 ($61)
Includes Typical Broker Commissions trade costs of $0.10
8/5/24 10:52 ABG ASBURY AUTOMOTIVE GROUP SHORT 7.200000000 231.35 8/7 10:08 237.16 0.41%
Trade id #148831062
Max drawdown($49)
Time8/7/24 9:46
Quant open7
Worst price238.22
Drawdown as % of equity-0.41%
 ($42)
Includes Typical Broker Commissions trade costs of $0.14
8/5/24 10:46 MSGS MADISON SQUARE GARDEN SPORTS CORP SHORT 8.900000000 187.42 8/7 10:08 193.40 0.38%
Trade id #148830994
Max drawdown($46)
Time8/7/24 10:01
Quant open9
Worst price192.60
Drawdown as % of equity-0.38%
 ($53)
Includes Typical Broker Commissions trade costs of $0.18
8/5/24 10:30 HBI HANESBRANDS LONG 308.100000000 5.25 8/7 10:08 5.46 0.11%
Trade id #148830648
Max drawdown($12)
Time8/5/24 11:00
Quant open255
Worst price5.16
Drawdown as % of equity-0.11%
 $59
Includes Typical Broker Commissions trade costs of $6.16
5/14/24 12:48 UNIT UNIT GROUP INC LONG 1,027.800000000 3.48 8/7 10:08 3.86 2.12%
Trade id #148165130
Max drawdown($206)
Time6/18/24 0:00
Quant open197
Worst price2.57
Drawdown as % of equity-2.12%
 $369
Includes Typical Broker Commissions trade costs of $20.57
4/23/24 10:22 DDD 3D SYSTEMS LONG 710.100000000 3.21 8/7 10:08 3.05 2.54%
Trade id #147986303
Max drawdown($280)
Time8/6/24 0:00
Quant open465
Worst price2.69
Drawdown as % of equity-2.54%
 ($119)
Includes Typical Broker Commissions trade costs of $10.77
4/3/24 11:12 LUMN LUMEN TECHNOLOGIES INC LONG 1,883.700000000 1.39 8/7 10:08 2.93 2.71%
Trade id #147794924
Max drawdown($269)
Time7/5/24 0:00
Quant open1,019
Worst price1.00
Drawdown as % of equity-2.71%
 $2,877
Includes Typical Broker Commissions trade costs of $28.04
4/23/24 10:30 TZA DIREXION DAILY SMALL CAP BEAR LONG 237 18.11 8/5 10:56 18.50 0.72%
Trade id #147986489
Max drawdown($79)
Time7/31/24 0:00
Quant open15
Worst price12.70
Drawdown as % of equity-0.72%
 $86
Includes Typical Broker Commissions trade costs of $4.75
4/3/24 11:07 SABR SABRE CORPORATION COMMON STOCK LONG 935.700000000 2.72 8/5 10:29 2.92 0.06%
Trade id #147794874
Max drawdown($6)
Time4/22/24 0:00
Quant open40
Worst price2.44
Drawdown as % of equity-0.06%
 $161
Includes Typical Broker Commissions trade costs of $18.72
4/23/24 10:24 SPWR SUNPOWER LONG 2,353.600000000 1.24 8/5 10:28 1.05 1.08%
Trade id #147986345
Max drawdown($107)
Time7/23/24 0:00
Quant open171
Worst price0.69
Drawdown as % of equity-1.08%
 ($470)
Includes Typical Broker Commissions trade costs of $26.43
4/23/24 10:25 BDN BRANDYWINE REALTY TRUST LONG 126.500000000 4.62 7/3 11:37 4.46 0.04%
Trade id #147986364
Max drawdown($3)
Time6/26/24 0:00
Quant open12
Worst price4.32
Drawdown as % of equity-0.04%
 ($23)
Includes Typical Broker Commissions trade costs of $2.51
4/23/24 10:30 CNSL CONSOLIDATED COMM HLDGS LONG 130.700000000 4.27 7/3 11:37 4.39 0.01%
Trade id #147986499
Max drawdown($0)
Time5/7/24 0:00
Quant open9
Worst price4.20
Drawdown as % of equity-0.01%
 $12
Includes Typical Broker Commissions trade costs of $2.62
5/14/24 12:45 SSP E.W. SCRIPPS LONG 282.700000000 3.12 7/3 11:37 2.97 0.31%
Trade id #148165078
Max drawdown($30)
Time6/17/24 0:00
Quant open25
Worst price1.96
Drawdown as % of equity-0.31%
 ($47)
Includes Typical Broker Commissions trade costs of $5.66
5/23/24 10:48 HOUS ANYWHERE REAL ESTATE INC LONG 173.300000000 4.29 7/3 11:36 3.32 0.22%
Trade id #148235291
Max drawdown($22)
Time6/17/24 0:00
Quant open17
Worst price3.01
Drawdown as % of equity-0.22%
 ($172)
Includes Typical Broker Commissions trade costs of $3.46
5/23/24 10:48 CRNC CERENCE INC LONG 253.700000000 3.47 7/3 11:36 3.11 0.18%
Trade id #148235292
Max drawdown($17)
Time6/27/24 0:00
Quant open19
Worst price2.55
Drawdown as % of equity-0.18%
 ($97)
Includes Typical Broker Commissions trade costs of $5.07
5/14/24 12:54 CFFN CAPITOL FEDERAL FINANCIAL LONG 105.200000000 5.10 5/23 10:45 5.14 0%
Trade id #148165174
Max drawdown($0)
Time5/14/24 13:25
Quant open10
Worst price5.09
Drawdown as % of equity-0.00%
 $2
Includes Typical Broker Commissions trade costs of $2.10
4/23/24 10:19 HBI HANESBRANDS LONG 103.700000000 4.67 5/23 10:44 4.97 0.02%
Trade id #147986263
Max drawdown($1)
Time5/9/24 0:00
Quant open9
Worst price4.42
Drawdown as % of equity-0.02%
 $30
Includes Typical Broker Commissions trade costs of $2.06
4/23/24 10:19 LESL LESLIES INC. COMMON STOCK LONG 99.400000000 4.59 5/14 12:48 5.52 0.07%
Trade id #147986268
Max drawdown($7)
Time4/30/24 0:00
Quant open9
Worst price3.79
Drawdown as % of equity-0.07%
 $90
Includes Typical Broker Commissions trade costs of $1.99
4/23/24 10:22 PBI PITNEY BOWES LONG 110.600000000 4.44 5/14 12:46 5.66 0.02%
Trade id #147986313
Max drawdown($1)
Time4/25/24 0:00
Quant open8
Worst price4.07
Drawdown as % of equity-0.02%
 $133
Includes Typical Broker Commissions trade costs of $2.22
4/23/24 10:26 MPW MEDICAL PROPERTIES TRUST LONG 105.800000000 4.74 5/14 12:44 5.83 0.05%
Trade id #147986384
Max drawdown($5)
Time5/8/24 0:00
Quant open10
Worst price4.17
Drawdown as % of equity-0.05%
 $114
Includes Typical Broker Commissions trade costs of $2.11
Next

Statistics

  • Strategy began
    4/3/2024
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    286.73
  • Age
    10 months ago
  • What it trades
    Stocks
  • # Trades
    47
  • # Profitable
    27
  • % Profitable
    57.40%
  • Avg trade duration
    41.7 days
  • Max peak-to-valley drawdown
    13.02%
  • drawdown period
    Nov 25, 2024 - Jan 09, 2025
  • Cumul. Return
    41.1%
  • Avg win
    $256.26
  • Avg loss
    $103.75
  • Model Account Values (Raw)
  • Cash
    $4,336
  • Margin Used
    $0
  • Buying Power
    $4,373
  • Ratios
  • W:L ratio
    3.48:1
  • Sharpe Ratio
    1.49
  • Sortino Ratio
    2.38
  • Calmar Ratio
    7.065
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    29.01%
  • Correlation to SP500
    0.08760
  • Return Percent SP500 (cumu) during strategy life
    12.12%
  • Return Statistics
  • Ann Return (w trading costs)
    54.4%
  • Slump
  • Current Slump as Pcnt Equity
    13.40%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.18%
  • 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)
    0.411%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    66.9%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    17.00%
  • Chance of 20% account loss
    0.50%
  • 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)
    575
  • Popularity (Last 6 weeks)
    931
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    931
  • Popularity (7 days, Percentile 1000 scale)
    827
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $116
  • Avg Win
    $266
  • Sum Trade PL (losers)
    $2,325.000
  • Age
  • Num Months filled monthly returns table
    10
  • Win / Loss
  • Sum Trade PL (winners)
    $7,192.000
  • # Winners
    27
  • Num Months Winners
    6
  • Dividends
  • Dividends Received in Model Acct
    110
  • Win / Loss
  • # Losers
    20
  • % Winners
    57.5%
  • Frequency
  • Avg Position Time (mins)
    60090.00
  • Avg Position Time (hrs)
    1001.50
  • Avg Trade Length
    41.7 days
  • Last Trade Ago
    2
  • Leverage
  • Daily leverage (average)
    1.35
  • Daily leverage (max)
    1.95
  • Regression
  • Alpha
    0.12
  • Beta
    0.17
  • Treynor Index
    0.74
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.53
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    1.932
  • 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
    0.06
  • Avg(MAE) / Avg(PL) - Winning trades
    0.516
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.278
  • Hold-and-Hope Ratio
    0.665
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.54477
  • SD
    0.23058
  • Sharpe ratio (Glass type estimate)
    2.36266
  • Sharpe ratio (Hedges UMVUE)
    2.13278
  • df
    8.00000
  • t
    2.04612
  • p
    0.03748
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.22808
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.83845
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.36002
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.62558
  • Statistics related to Sortino ratio
  • Sortino ratio
    13.15290
  • Upside Potential Ratio
    14.67680
  • Upside part of mean
    0.60789
  • Downside part of mean
    -0.06312
  • Upside SD
    0.26509
  • Downside SD
    0.04142
  • N nonnegative terms
    7.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    9.00000
  • Mean of predictor
    0.14729
  • Mean of criterion
    0.54477
  • SD of predictor
    0.12218
  • SD of criterion
    0.23058
  • Covariance
    -0.00462
  • r
    -0.16392
  • b (slope, estimate of beta)
    -0.30934
  • a (intercept, estimate of alpha)
    0.59034
  • Mean Square Error
    0.05913
  • DF error
    7.00000
  • t(b)
    -0.43963
  • p(b)
    0.66327
  • t(a)
    1.97241
  • p(a)
    0.04459
  • Lowerbound of 95% confidence interval for beta
    -1.97321
  • Upperbound of 95% confidence interval for beta
    1.35452
  • Lowerbound of 95% confidence interval for alpha
    -0.11739
  • Upperbound of 95% confidence interval for alpha
    1.29806
  • Treynor index (mean / b)
    -1.76105
  • Jensen alpha (a)
    0.59034
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.51067
  • SD
    0.21520
  • Sharpe ratio (Glass type estimate)
    2.37297
  • Sharpe ratio (Hedges UMVUE)
    2.14208
  • df
    8.00000
  • t
    2.05505
  • p
    0.03696
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.22012
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.85090
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.35263
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.63680
  • Statistics related to Sortino ratio
  • Sortino ratio
    12.17340
  • Upside Potential Ratio
    13.69530
  • Upside part of mean
    0.57451
  • Downside part of mean
    -0.06384
  • Upside SD
    0.24726
  • Downside SD
    0.04195
  • N nonnegative terms
    7.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    9.00000
  • Mean of predictor
    0.13958
  • Mean of criterion
    0.51067
  • SD of predictor
    0.12081
  • SD of criterion
    0.21520
  • Covariance
    -0.00425
  • r
    -0.16353
  • b (slope, estimate of beta)
    -0.29130
  • a (intercept, estimate of alpha)
    0.55133
  • Mean Square Error
    0.05151
  • DF error
    7.00000
  • t(b)
    -0.43857
  • p(b)
    0.66290
  • t(a)
    1.98326
  • p(a)
    0.04388
  • Lowerbound of 95% confidence interval for beta
    -1.86191
  • Upperbound of 95% confidence interval for beta
    1.27931
  • Lowerbound of 95% confidence interval for alpha
    -0.10602
  • Upperbound of 95% confidence interval for alpha
    1.20868
  • Treynor index (mean / b)
    -1.75306
  • Jensen alpha (a)
    0.55133
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05789
  • Expected Shortfall on VaR
    0.08179
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00655
  • Expected Shortfall on VaR
    0.01582
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    9.00000
  • Minimum
    0.96954
  • Quartile 1
    1.01624
  • Median
    1.02728
  • Quartile 3
    1.05463
  • Maximum
    1.16933
  • Mean of quarter 1
    0.99119
  • Mean of quarter 2
    1.02514
  • Mean of quarter 3
    1.04736
  • Mean of quarter 4
    1.15549
  • Inter Quartile Range
    0.03839
  • 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
    0.22222
  • Mean of outliers high
    1.15549
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -1.64325
  • VaR(95%) (regression method)
    0.04767
  • Expected Shortfall (regression method)
    0.04988
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.01223
  • Quartile 1
    0.01678
  • Median
    0.02134
  • Quartile 3
    0.02590
  • Maximum
    0.03046
  • Mean of quarter 1
    0.01223
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.03046
  • Inter Quartile Range
    0.00911
  • 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)
    0.66360
  • Compounded annual return (geometric extrapolation)
    0.71357
  • Calmar ratio (compounded annual return / max draw down)
    23.43000
  • Compounded annual return / average of 25% largest draw downs
    23.43000
  • Compounded annual return / Expected Shortfall lognormal
    8.72484
  • 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
    0.52229
  • SD
    0.25408
  • Sharpe ratio (Glass type estimate)
    2.05561
  • Sharpe ratio (Hedges UMVUE)
    2.04797
  • df
    202.00000
  • t
    1.80942
  • p
    0.03594
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.18254
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.28876
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.18761
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.28355
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.48761
  • Upside Potential Ratio
    11.13760
  • Upside part of mean
    1.66792
  • Downside part of mean
    -1.14563
  • Upside SD
    0.20701
  • Downside SD
    0.14975
  • N nonnegative terms
    105.00000
  • N negative terms
    98.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    203.00000
  • Mean of predictor
    0.12850
  • Mean of criterion
    0.52229
  • SD of predictor
    0.13253
  • SD of criterion
    0.25408
  • Covariance
    0.00284
  • r
    0.08422
  • b (slope, estimate of beta)
    0.16147
  • a (intercept, estimate of alpha)
    0.50200
  • Mean Square Error
    0.06442
  • DF error
    201.00000
  • t(b)
    1.19835
  • p(b)
    0.44644
  • t(a)
    1.73628
  • p(a)
    0.42280
  • Lowerbound of 95% confidence interval for beta
    -0.10422
  • Upperbound of 95% confidence interval for beta
    0.42717
  • Lowerbound of 95% confidence interval for alpha
    -0.06804
  • Upperbound of 95% confidence interval for alpha
    1.07112
  • Treynor index (mean / b)
    3.23449
  • Jensen alpha (a)
    0.50154
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.48991
  • SD
    0.25248
  • Sharpe ratio (Glass type estimate)
    1.94041
  • Sharpe ratio (Hedges UMVUE)
    1.93319
  • df
    202.00000
  • t
    1.70801
  • p
    0.04459
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.29661
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.17273
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.30141
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.16780
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.21847
  • Upside Potential Ratio
    10.81920
  • Upside part of mean
    1.64688
  • Downside part of mean
    -1.15697
  • Upside SD
    0.20292
  • Downside SD
    0.15222
  • N nonnegative terms
    105.00000
  • N negative terms
    98.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    203.00000
  • Mean of predictor
    0.11969
  • Mean of criterion
    0.48991
  • SD of predictor
    0.13279
  • SD of criterion
    0.25248
  • Covariance
    0.00287
  • r
    0.08570
  • b (slope, estimate of beta)
    0.16294
  • a (intercept, estimate of alpha)
    0.47041
  • Mean Square Error
    0.06359
  • DF error
    201.00000
  • t(b)
    1.21947
  • p(b)
    0.44551
  • t(a)
    1.63944
  • p(a)
    0.42703
  • Lowerbound of 95% confidence interval for beta
    -0.10053
  • Upperbound of 95% confidence interval for beta
    0.42641
  • Lowerbound of 95% confidence interval for alpha
    -0.09538
  • Upperbound of 95% confidence interval for alpha
    1.03619
  • Treynor index (mean / b)
    3.00669
  • Jensen alpha (a)
    0.47041
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02351
  • Expected Shortfall on VaR
    0.02983
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00982
  • Expected Shortfall on VaR
    0.01963
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    203.00000
  • Minimum
    0.94274
  • Quartile 1
    0.99404
  • Median
    1.00096
  • Quartile 3
    1.00902
  • Maximum
    1.07745
  • Mean of quarter 1
    0.98534
  • Mean of quarter 2
    0.99750
  • Mean of quarter 3
    1.00457
  • Mean of quarter 4
    1.02104
  • Inter Quartile Range
    0.01498
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.02463
  • Mean of outliers low
    0.95750
  • Number of outliers high
    9.00000
  • Percentage of outliers high
    0.04433
  • Mean of outliers high
    1.04594
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.29564
  • VaR(95%) (moments method)
    0.01503
  • Expected Shortfall (moments method)
    0.02504
  • Extreme Value Index (regression method)
    0.37471
  • VaR(95%) (regression method)
    0.01344
  • Expected Shortfall (regression method)
    0.02322
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    15.00000
  • Minimum
    0.00045
  • Quartile 1
    0.01175
  • Median
    0.02355
  • Quartile 3
    0.06055
  • Maximum
    0.09602
  • Mean of quarter 1
    0.00569
  • Mean of quarter 2
    0.01539
  • Mean of quarter 3
    0.04686
  • Mean of quarter 4
    0.08561
  • Inter Quartile Range
    0.04880
  • 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)
    -105.66400
  • VaR(95%) (moments method)
    0.08774
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -3.29635
  • VaR(95%) (regression method)
    0.10704
  • Expected Shortfall (regression method)
    0.10721
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.63710
  • Compounded annual return (geometric extrapolation)
    0.67836
  • Calmar ratio (compounded annual return / max draw down)
    7.06498
  • Compounded annual return / average of 25% largest draw downs
    7.92407
  • Compounded annual return / Expected Shortfall lognormal
    22.73800
  • 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
    0.71588
  • SD
    0.29281
  • Sharpe ratio (Glass type estimate)
    2.44484
  • Sharpe ratio (Hedges UMVUE)
    2.43071
  • df
    130.00000
  • t
    1.72877
  • p
    0.42505
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.34746
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.22793
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.35680
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.21822
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.14939
  • Upside Potential Ratio
    11.72410
  • Upside part of mean
    2.02272
  • Downside part of mean
    -1.30684
  • Upside SD
    0.23932
  • Downside SD
    0.17253
  • N nonnegative terms
    71.00000
  • N negative terms
    60.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.06219
  • Mean of criterion
    0.71588
  • SD of predictor
    0.14616
  • SD of criterion
    0.29281
  • Covariance
    0.00545
  • r
    0.12725
  • b (slope, estimate of beta)
    0.25493
  • a (intercept, estimate of alpha)
    0.70003
  • Mean Square Error
    0.08501
  • DF error
    129.00000
  • t(b)
    1.45709
  • p(b)
    0.41921
  • t(a)
    1.69718
  • p(a)
    0.40626
  • Lowerbound of 95% confidence interval for beta
    -0.09123
  • Upperbound of 95% confidence interval for beta
    0.60109
  • Lowerbound of 95% confidence interval for alpha
    -0.11605
  • Upperbound of 95% confidence interval for alpha
    1.51611
  • Treynor index (mean / b)
    2.80817
  • Jensen alpha (a)
    0.70003
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.67272
  • SD
    0.29103
  • Sharpe ratio (Glass type estimate)
    2.31156
  • Sharpe ratio (Hedges UMVUE)
    2.29819
  • df
    130.00000
  • t
    1.63452
  • p
    0.42905
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.47882
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.09320
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.48765
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.08404
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.83008
  • Upside Potential Ratio
    11.35640
  • Upside part of mean
    1.99466
  • Downside part of mean
    -1.32194
  • Upside SD
    0.23436
  • Downside SD
    0.17564
  • N nonnegative terms
    71.00000
  • N negative terms
    60.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.05154
  • Mean of criterion
    0.67272
  • SD of predictor
    0.14651
  • SD of criterion
    0.29103
  • Covariance
    0.00551
  • r
    0.12919
  • b (slope, estimate of beta)
    0.25663
  • a (intercept, estimate of alpha)
    0.65949
  • Mean Square Error
    0.08393
  • DF error
    129.00000
  • t(b)
    1.47977
  • p(b)
    0.41798
  • t(a)
    1.60931
  • p(a)
    0.41098
  • VAR (95 Confidence Intrvl)
    0.02400
  • Lowerbound of 95% confidence interval for beta
    -0.08650
  • Upperbound of 95% confidence interval for beta
    0.59976
  • Lowerbound of 95% confidence interval for alpha
    -0.15130
  • Upperbound of 95% confidence interval for alpha
    1.47029
  • Treynor index (mean / b)
    2.62137
  • Jensen alpha (a)
    0.65949
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02664
  • Expected Shortfall on VaR
    0.03391
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01082
  • Expected Shortfall on VaR
    0.02188
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.94274
  • Quartile 1
    0.99305
  • Median
    1.00153
  • Quartile 3
    1.01179
  • Maximum
    1.07745
  • Mean of quarter 1
    0.98301
  • Mean of quarter 2
    0.99758
  • Mean of quarter 3
    1.00606
  • Mean of quarter 4
    1.02481
  • Inter Quartile Range
    0.01875
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.03053
  • Mean of outliers low
    0.95456
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.03053
  • Mean of outliers high
    1.05695
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.35320
  • VaR(95%) (moments method)
    0.01794
  • Expected Shortfall (moments method)
    0.03167
  • Extreme Value Index (regression method)
    0.57512
  • VaR(95%) (regression method)
    0.01464
  • Expected Shortfall (regression method)
    0.03146
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    13.00000
  • Minimum
    0.00045
  • Quartile 1
    0.01167
  • Median
    0.03907
  • Quartile 3
    0.06239
  • Maximum
    0.09412
  • Mean of quarter 1
    0.00569
  • Mean of quarter 2
    0.02482
  • Mean of quarter 3
    0.05464
  • Mean of quarter 4
    0.08546
  • Inter Quartile Range
    0.05072
  • 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)
    -2.80767
  • VaR(95%) (moments method)
    0.08812
  • Expected Shortfall (moments method)
    0.08838
  • Extreme Value Index (regression method)
    -1.91951
  • VaR(95%) (regression method)
    0.09993
  • Last 4 Months - Pcnt Negative
    0.75%
  • Expected Shortfall (regression method)
    0.10083
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -367681000
  • Max Equity Drawdown (num days)
    45
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.83903
  • Compounded annual return (geometric extrapolation)
    1.01502
  • Calmar ratio (compounded annual return / max draw down)
    10.78430
  • Compounded annual return / average of 25% largest draw downs
    11.87680
  • Compounded annual return / Expected Shortfall lognormal
    29.93390

Strategy Description

The "SK Small Caps" strategy is a highly sophisticated, proprietary trading approach that navigates the complexities of the small cap stock market with precision and balance. This strategy takes long positions in individual small cap stocks while simultaneously holding a long position in the TZA ETF, a leveraged inverse bear ETF that is short small caps. This provides a robust framework for capturing market movements in either direction. At the core of this system is its 100% hedging technique, maintaining an equal dollar amount in long individual stocks and the long TZA position at all times.

This approach not only leverages growth opportunities within individual stocks but also offers substantial protection against broader market downturns through its leveraged inverse TZA hedge. The portfolio's meticulously balanced structure is designed to generate consistent returns regardless of overall market conditions, making it an ideal choice for investors seeking diversification and reduced risk exposure in the volatile small cap sector.

For those looking to dive deeper into the specific rules and methodologies behind the "SK Small Caps" strategy, comprehensive details are available through my newsletter, The Sean Kelly Trading Edge. Subscribers gain valuable insights into how the strategy is executed, offering guidance on confidently navigating the small cap market. You can access the newsletter at https://theseankellytradingedge.substack.com/.

Important note: The subscription fee for this strategy is $20/month and will remain at this rate until the one-year anniversary on April 3, 2025.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2024-04-03
Suggested Minimum Capital
$15,000
Rank at C2 %
Top 6.9%
Rank # 
#186
# Trades
47
# Profitable
27
% Profitable
57.4%
Net Dividends
$110
Correlation S&P500
0.088
Sharpe Ratio
1.49
Sortino Ratio
2.38
Beta
0.17
Alpha
0.12
Leverage
1.35 Average
1.95 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.

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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

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