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These are hypothetical performance results that have certain inherent limitations. Learn more

DIVERSE IRA
(113178999)

Created by: CharlesTines CharlesTines
Started: 08/2017
Stocks
Last trade: 11 days ago

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 $100.00 per month.

10.7%
Cumul. Return
6.7%
Max Drawdown
107
Num Trades
46.7%
Win Trades
1.7 : 1
Profit Factor
71.4%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2017                                                 +1.8%+1.8%+1.9%+3.9%+2.3%+12.2%
2018(0.5%)(0.8%)                                                            (1.3%)

Model Account Details

A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.

Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.

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

Trading Record

This strategy has placed 241 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
2/7/18 12:47 TBK TRIUMPH BANCORP INC. COMMON S LONG 210 37.60 2/7 13:18 37.40 0.02%
Trade id #116373201
Max drawdown($42)
Time2/7/18 13:08
Quant open210
Worst price37.40
Drawdown as % of equity-0.02%
($46)
Includes Typical Broker Commissions trade costs of $4.20
2/7/18 12:47 NTGR NETGEAR LONG 130 60.59 2/7 13:18 58.15 0.12%
Trade id #116373199
Max drawdown($343)
Time2/7/18 13:14
Quant open130
Worst price57.95
Drawdown as % of equity-0.12%
($321)
Includes Typical Broker Commissions trade costs of $2.60
2/7/18 12:46 ENVA ENOVA INTERNATIONAL INC LONG 393 20.15 2/7 13:18 19.85 0.04%
Trade id #116373189
Max drawdown($118)
Time2/7/18 13:18
Quant open0
Worst price19.85
Drawdown as % of equity-0.04%
($126)
Includes Typical Broker Commissions trade costs of $7.86
2/7/18 12:46 DPLO DIPLOMAT PHARMACY INC LONG 323 24.42 2/7 13:18 24.07 0.04%
Trade id #116373187
Max drawdown($122)
Time2/7/18 13:16
Quant open323
Worst price24.04
Drawdown as % of equity-0.04%
($119)
Includes Typical Broker Commissions trade costs of $6.46
2/7/18 12:46 CVGI COMMERCIAL VEHICLE GROUP LONG 702 11.28 2/7 13:18 11.04 0.08%
Trade id #116373177
Max drawdown($221)
Time2/7/18 13:08
Quant open702
Worst price10.96
Drawdown as % of equity-0.08%
($172)
Includes Typical Broker Commissions trade costs of $5.00
2/5/18 13:23 VXX IPATH S&P 500 VIX ST FUTURES E LONG 1,404 37.43 2/7 11:33 43.29 0.38%
Trade id #116303821
Max drawdown($1,039)
Time2/5/18 14:00
Quant open1,181
Worst price35.39
Drawdown as % of equity-0.38%
$8,213
Includes Typical Broker Commissions trade costs of $10.95
2/1/18 9:48 ICHR ICHOR HOLDINGS ORDINARY SHARES LONG 216 30.62 2/6 9:33 26.02 0.4%
Trade id #116221189
Max drawdown($1,105)
Time2/6/18 7:23
Quant open216
Worst price25.50
Drawdown as % of equity-0.40%
($997)
Includes Typical Broker Commissions trade costs of $4.32
2/1/18 9:48 IMKTA INGLES MARKETS LONG 194 34.00 2/6 9:33 28.10 0.41%
Trade id #116221196
Max drawdown($1,145)
Time2/6/18 9:33
Quant open0
Worst price28.10
Drawdown as % of equity-0.41%
($1,149)
Includes Typical Broker Commissions trade costs of $3.88
2/1/18 9:48 GOL GOL INTELLIGENT AIRLINES LONG 574 11.51 2/6 9:33 10.39 0.27%
Trade id #116221177
Max drawdown($728)
Time2/5/18 15:17
Quant open574
Worst price10.24
Drawdown as % of equity-0.27%
($648)
Includes Typical Broker Commissions trade costs of $5.00
1/22/18 9:31 DPLO DIPLOMAT PHARMACY INC LONG 282 25.48 2/6 9:33 23.06 0.24%
Trade id #116020294
Max drawdown($683)
Time2/6/18 9:33
Quant open0
Worst price23.06
Drawdown as % of equity-0.24%
($689)
Includes Typical Broker Commissions trade costs of $5.64
1/29/18 9:31 YRCW YRC WORLDWIDE LONG 416 17.18 2/6 9:33 10.66 0.99%
Trade id #116148775
Max drawdown($2,774)
Time2/6/18 9:30
Quant open416
Worst price10.51
Drawdown as % of equity-0.99%
($2,720)
Includes Typical Broker Commissions trade costs of $8.32
1/22/18 9:31 CVGI COMMERCIAL VEHICLE GROUP LONG 536 13.28 2/6 9:33 10.48 0.55%
Trade id #116020290
Max drawdown($1,551)
Time2/6/18 9:31
Quant open536
Worst price10.38
Drawdown as % of equity-0.55%
($1,504)
Includes Typical Broker Commissions trade costs of $5.00
2/1/18 12:03 XIV VELOCITYSHARES DAILY INVERSE V LONG 336 130.95 2/1 15:43 128.11 0.41%
Trade id #116227541
Max drawdown($1,149)
Time2/1/18 15:42
Quant open336
Worst price127.53
Drawdown as % of equity-0.41%
($963)
Includes Typical Broker Commissions trade costs of $6.72
1/29/18 9:31 TLRD TAILORED BRANDS INC LONG 282 25.43 2/1 9:33 23.94 0.19%
Trade id #116148767
Max drawdown($521)
Time2/1/18 9:32
Quant open282
Worst price23.58
Drawdown as % of equity-0.19%
($426)
Includes Typical Broker Commissions trade costs of $5.64
1/31/18 15:53 XIV VELOCITYSHARES DAILY INVERSE V LONG 364 125.83 2/1 9:33 124.64 0.3%
Trade id #116208162
Max drawdown($846)
Time2/1/18 9:16
Quant open364
Worst price123.50
Drawdown as % of equity-0.30%
($438)
Includes Typical Broker Commissions trade costs of $7.28
1/29/18 9:31 BIVV BIOVERATIV INC. COMMON STOCK LONG 69 102.98 2/1 9:33 103.12 0.01%
Trade id #116148759
Max drawdown($19)
Time1/30/18 7:51
Quant open69
Worst price102.70
Drawdown as % of equity-0.01%
$9
Includes Typical Broker Commissions trade costs of $1.38
1/29/18 9:31 DNR DENBURY RESOURCES LONG 2,778 2.51 2/1 9:33 2.46 0.18%
Trade id #116148753
Max drawdown($495)
Time1/30/18 9:53
Quant open2,778
Worst price2.33
Drawdown as % of equity-0.18%
($138)
Includes Typical Broker Commissions trade costs of $5.00
1/31/18 13:58 XIV VELOCITYSHARES DAILY INVERSE V LONG 362 126.47 1/31 14:18 126.66 0.06%
Trade id #116205251
Max drawdown($171)
Time1/31/18 14:16
Quant open362
Worst price126.00
Drawdown as % of equity-0.06%
$60
Includes Typical Broker Commissions trade costs of $7.24
1/31/18 12:53 XIV VELOCITYSHARES DAILY INVERSE V LONG 364 125.91 1/31 13:08 125.81 0.05%
Trade id #116203962
Max drawdown($136)
Time1/31/18 12:58
Quant open364
Worst price125.53
Drawdown as % of equity-0.05%
($42)
Includes Typical Broker Commissions trade costs of $7.28
1/31/18 9:31 XIV VELOCITYSHARES DAILY INVERSE V LONG 367 128.53 1/31 9:41 128.32 0.04%
Trade id #116197584
Max drawdown($124)
Time1/31/18 9:40
Quant open367
Worst price128.19
Drawdown as % of equity-0.04%
($85)
Includes Typical Broker Commissions trade costs of $7.34
1/17/18 10:17 XIV VELOCITYSHARES DAILY INVERSE V LONG 342 139.48 1/29 15:42 127.85 1.4%
Trade id #115927597
Max drawdown($3,978)
Time1/29/18 15:42
Quant open0
Worst price127.85
Drawdown as % of equity-1.40%
($3,985)
Includes Typical Broker Commissions trade costs of $6.84
1/22/18 9:31 ARCB ARCBEST CORPORATION COMMON STO LONG 187 38.75 1/29 9:31 38.35 0.09%
Trade id #116020288
Max drawdown($261)
Time1/25/18 10:12
Quant open187
Worst price37.35
Drawdown as % of equity-0.09%
($79)
Includes Typical Broker Commissions trade costs of $3.74
1/16/18 9:30 BRT BRT APARTMENTS CORP LONG 664 13.23 1/29 9:31 13.49 0.02%
Trade id #115899512
Max drawdown($46)
Time1/17/18 9:42
Quant open664
Worst price13.16
Drawdown as % of equity-0.02%
$167
Includes Typical Broker Commissions trade costs of $6.33
1/22/18 9:31 FCAU FIAT CHRYSLER AUTO NV LONG 296 24.05 1/29 9:31 24.58 0.05%
Trade id #116020301
Max drawdown($130)
Time1/25/18 7:07
Quant open296
Worst price23.61
Drawdown as % of equity-0.05%
$151
Includes Typical Broker Commissions trade costs of $5.92
12/11/17 9:35 IMKTA INGLES MARKETS LONG 1,035 34.52 1/29/18 9:30 35.30 0.14%
Trade id #115288709
Max drawdown($406)
Time1/10/18 9:31
Quant open244
Worst price32.85
Drawdown as % of equity-0.14%
$793
Includes Typical Broker Commissions trade costs of $17.66
1/8/18 9:31 CCS CENTURY COMMUNITIES INC LONG 241 34.97 1/22 9:31 34.40 0.09%
Trade id #115745636
Max drawdown($271)
Time1/16/18 14:35
Quant open241
Worst price33.85
Drawdown as % of equity-0.09%
($144)
Includes Typical Broker Commissions trade costs of $4.82
1/16/18 9:30 PES PIONEER ENERGY SERVICES LONG 2,169 4.15 1/22 9:31 3.70 0.49%
Trade id #115899540
Max drawdown($1,409)
Time1/19/18 9:45
Quant open2,169
Worst price3.50
Drawdown as % of equity-0.49%
($981)
Includes Typical Broker Commissions trade costs of $5.00
1/16/18 9:30 RM REGIONAL MANAGEMENT LONG 307 28.84 1/22 9:31 27.54 0.16%
Trade id #115899537
Max drawdown($465)
Time1/18/18 10:49
Quant open307
Worst price27.32
Drawdown as % of equity-0.16%
($405)
Includes Typical Broker Commissions trade costs of $6.14
12/1/17 15:55 XIV VELOCITYSHARES DAILY INVERSE V LONG 418 115.25 1/17/18 9:32 139.72 0.04%
Trade id #115152623
Max drawdown($113)
Time12/1/17 16:00
Quant open401
Worst price114.18
Drawdown as % of equity-0.04%
$10,220
Includes Typical Broker Commissions trade costs of $8.36
1/5/18 13:54 CPAH COUNTERPATH LONG 2,619 4.11 1/16 9:32 5.89 0.14%
Trade id #115725027
Max drawdown($387)
Time1/8/18 10:56
Quant open1,642
Worst price3.90
Drawdown as % of equity-0.14%
$4,641
Includes Typical Broker Commissions trade costs of $17.75

Statistics

  • Strategy began
    8/16/2017
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    185.39
  • Age
    6 months ago
  • What it trades
    Stocks
  • # Trades
    107
  • # Profitable
    50
  • % Profitable
    46.70%
  • Avg trade duration
    16.4 days
  • Max peak-to-valley drawdown
    6.71%
  • drawdown period
    Jan 12, 2018 - Feb 05, 2018
  • Cumul. Return
    10.7%
  • Avg win
    $1,306
  • Avg loss
    $696.21
  • Model Account Values (Raw)
  • Cash
    $164,184
  • Margin Used
    $0
  • Buying Power
    $161,863
  • Ratios
  • W:L ratio
    1.71:1
  • Sharpe Ratio
    1.971
  • Sortino Ratio
    3.022
  • Calmar Ratio
    4.166
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.31400
  • Return Statistics
  • Ann Return (w trading costs)
    21.6%
  • Ann Return (Compnd, No Fees)
    23.2%
  • 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 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    506
  • Popularity (Last 6 weeks)
    898
  • C2 Score
    75.0
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Loss
    $696
  • Avg Win
    $1,307
  • # Winners
    50
  • # Losers
    57
  • % Winners
    46.7%
  • Frequency
  • Avg Position Time (mins)
    23600.00
  • Avg Position Time (hrs)
    393.33
  • Avg Trade Length
    16.4 days
  • Last Trade Ago
    2
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.30075
  • SD
    0.04450
  • Sharpe ratio (Glass type estimate)
    6.75898
  • Sharpe ratio (Hedges UMVUE)
    5.39289
  • df
    4.00000
  • t
    4.36290
  • p
    0.00602
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.24127
  • Upperbound of 95% confidence interval for Sharpe Ratio
    12.09320
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.57783
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    10.20790
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.30075
  • Downside part of mean
    0.00000
  • Upside SD
    0.09551
  • Downside SD
    0.00000
  • N nonnegative terms
    5.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    5.00000
  • Mean of predictor
    0.27802
  • Mean of criterion
    0.30075
  • SD of predictor
    0.05156
  • SD of criterion
    0.04450
  • Covariance
    0.00151
  • r
    0.65943
  • b (slope, estimate of beta)
    0.56905
  • a (intercept, estimate of alpha)
    0.14255
  • Mean Square Error
    0.00149
  • DF error
    3.00000
  • t(b)
    1.51930
  • p(b)
    0.11300
  • t(a)
    1.18690
  • p(a)
    0.16034
  • Lowerbound of 95% confidence interval for beta
    -0.62293
  • Upperbound of 95% confidence interval for beta
    1.76104
  • Lowerbound of 95% confidence interval for alpha
    -0.23966
  • Upperbound of 95% confidence interval for alpha
    0.52476
  • Treynor index (mean / b)
    0.52851
  • Jensen alpha (a)
    0.14255
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.29561
  • SD
    0.04363
  • Sharpe ratio (Glass type estimate)
    6.77527
  • Sharpe ratio (Hedges UMVUE)
    5.40588
  • df
    4.00000
  • t
    4.37342
  • p
    0.00597
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.24897
  • Upperbound of 95% confidence interval for Sharpe Ratio
    12.11890
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.58384
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    10.22790
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.29561
  • Downside part of mean
    0.00000
  • Upside SD
    0.09383
  • Downside SD
    0.00000
  • N nonnegative terms
    5.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    5.00000
  • Mean of predictor
    0.27320
  • Mean of criterion
    0.29561
  • SD of predictor
    0.05019
  • SD of criterion
    0.04363
  • Covariance
    0.00145
  • r
    0.66134
  • b (slope, estimate of beta)
    0.57493
  • a (intercept, estimate of alpha)
    0.13853
  • Mean Square Error
    0.00143
  • DF error
    3.00000
  • t(b)
    1.52713
  • p(b)
    0.11209
  • t(a)
    1.17055
  • p(a)
    0.16315
  • Lowerbound of 95% confidence interval for beta
    -0.62319
  • Upperbound of 95% confidence interval for beta
    1.77304
  • Lowerbound of 95% confidence interval for alpha
    -0.23811
  • Upperbound of 95% confidence interval for alpha
    0.51517
  • Treynor index (mean / b)
    0.51416
  • Jensen alpha (a)
    0.13853
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    -0.00392
  • Expected Shortfall on VaR
    0.00133
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    5.00000
  • Minimum
    1.00508
  • Quartile 1
    1.02821
  • Median
    1.03252
  • Quartile 3
    1.03471
  • Maximum
    1.03643
  • Mean of quarter 1
    1.01665
  • Mean of quarter 2
    1.03252
  • Mean of quarter 3
    1.03471
  • Mean of quarter 4
    1.03643
  • Inter Quartile Range
    0.00650
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.20000
  • Mean of outliers low
    1.00508
  • 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)
    0.00000
  • 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
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.34633
  • Compounded annual return (geometric extrapolation)
    0.38197
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    286.31500
  • 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
    0.18591
  • SD
    0.09377
  • Sharpe ratio (Glass type estimate)
    1.98260
  • Sharpe ratio (Hedges UMVUE)
    1.97105
  • df
    129.00000
  • t
    1.39655
  • p
    0.42250
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.81413
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.77177
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.82177
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.76388
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.02201
  • Upside Potential Ratio
    10.11110
  • Upside part of mean
    0.62201
  • Downside part of mean
    -0.43610
  • Upside SD
    0.07122
  • Downside SD
    0.06152
  • N nonnegative terms
    74.00000
  • N negative terms
    56.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    130.00000
  • Mean of predictor
    0.18399
  • Mean of criterion
    0.18591
  • SD of predictor
    0.11749
  • SD of criterion
    0.09377
  • Covariance
    0.00340
  • r
    0.30898
  • b (slope, estimate of beta)
    0.24660
  • a (intercept, estimate of alpha)
    0.14100
  • Mean Square Error
    0.00802
  • DF error
    128.00000
  • t(b)
    3.67558
  • p(b)
    0.34551
  • t(a)
    1.10054
  • p(a)
    0.45159
  • Lowerbound of 95% confidence interval for beta
    0.11385
  • Upperbound of 95% confidence interval for beta
    0.37935
  • Lowerbound of 95% confidence interval for alpha
    -0.11213
  • Upperbound of 95% confidence interval for alpha
    0.39320
  • Treynor index (mean / b)
    0.75388
  • Jensen alpha (a)
    0.14053
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.18147
  • SD
    0.09367
  • Sharpe ratio (Glass type estimate)
    1.93725
  • Sharpe ratio (Hedges UMVUE)
    1.92596
  • df
    129.00000
  • t
    1.36460
  • p
    0.42424
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.85888
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.72606
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.86639
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.71832
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.93212
  • Upside Potential Ratio
    10.00870
  • Upside part of mean
    0.61943
  • Downside part of mean
    -0.43796
  • Upside SD
    0.07073
  • Downside SD
    0.06189
  • N nonnegative terms
    74.00000
  • N negative terms
    56.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    130.00000
  • Mean of predictor
    0.17698
  • Mean of criterion
    0.18147
  • SD of predictor
    0.11853
  • SD of criterion
    0.09367
  • Covariance
    0.00340
  • r
    0.30580
  • b (slope, estimate of beta)
    0.24166
  • a (intercept, estimate of alpha)
    0.13870
  • Mean Square Error
    0.00802
  • DF error
    128.00000
  • t(b)
    3.63376
  • p(b)
    0.34710
  • t(a)
    1.08655
  • p(a)
    0.45220
  • Lowerbound of 95% confidence interval for beta
    0.11007
  • Upperbound of 95% confidence interval for beta
    0.37326
  • Lowerbound of 95% confidence interval for alpha
    -0.11388
  • Upperbound of 95% confidence interval for alpha
    0.39127
  • Treynor index (mean / b)
    0.75090
  • Jensen alpha (a)
    0.13870
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00879
  • Expected Shortfall on VaR
    0.01118
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00344
  • Expected Shortfall on VaR
    0.00722
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    130.00000
  • Minimum
    0.98065
  • Quartile 1
    0.99849
  • Median
    1.00097
  • Quartile 3
    1.00374
  • Maximum
    1.02717
  • Mean of quarter 1
    0.99403
  • Mean of quarter 2
    0.99970
  • Mean of quarter 3
    1.00226
  • Mean of quarter 4
    1.00728
  • Inter Quartile Range
    0.00525
  • Number outliers low
    7.00000
  • Percentage of outliers low
    0.05385
  • Mean of outliers low
    0.98683
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.03077
  • Mean of outliers high
    1.01664
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.26370
  • VaR(95%) (moments method)
    0.00503
  • Expected Shortfall (moments method)
    0.00867
  • Extreme Value Index (regression method)
    0.18133
  • VaR(95%) (regression method)
    0.00595
  • Expected Shortfall (regression method)
    0.00979
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    15.00000
  • Minimum
    0.00002
  • Quartile 1
    0.00198
  • Median
    0.00308
  • Quartile 3
    0.01770
  • Maximum
    0.05591
  • Mean of quarter 1
    0.00074
  • Mean of quarter 2
    0.00281
  • Mean of quarter 3
    0.01022
  • Mean of quarter 4
    0.02972
  • Inter Quartile Range
    0.01572
  • 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
    0.06667
  • Mean of outliers high
    0.05591
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.54555
  • VaR(95%) (moments method)
    0.03579
  • Expected Shortfall (moments method)
    0.07062
  • Extreme Value Index (regression method)
    3.72393
  • VaR(95%) (regression method)
    0.04180
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.22064
  • Compounded annual return (geometric extrapolation)
    0.23291
  • Calmar ratio (compounded annual return / max draw down)
    4.16596
  • Compounded annual return / average of 25% largest draw downs
    7.83742
  • Compounded annual return / Expected Shortfall lognormal
    20.83380
  • 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
    0.18591
  • SD
    0.09377
  • Sharpe ratio (Glass type estimate)
    1.98260
  • Sharpe ratio (Hedges UMVUE)
    1.97105
  • df
    129.00000
  • t
    1.39655
  • p
    0.42250
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.81413
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.77177
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.82177
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.76388
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.02201
  • Upside Potential Ratio
    10.11110
  • Upside part of mean
    0.62201
  • Downside part of mean
    -0.43610
  • Upside SD
    0.07122
  • Downside SD
    0.06152
  • N nonnegative terms
    74.00000
  • N negative terms
    56.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    130.00000
  • Mean of predictor
    0.18399
  • Mean of criterion
    0.18591
  • SD of predictor
    0.11749
  • SD of criterion
    0.09377
  • Covariance
    0.00340
  • r
    0.30898
  • b (slope, estimate of beta)
    0.24660
  • a (intercept, estimate of alpha)
    0.14053
  • Mean Square Error
    0.00802
  • DF error
    128.00000
  • t(b)
    3.67558
  • p(b)
    0.34551
  • t(a)
    1.10054
  • p(a)
    0.45159
  • Lowerbound of 95% confidence interval for beta
    0.11385
  • Upperbound of 95% confidence interval for beta
    0.37935
  • Lowerbound of 95% confidence interval for alpha
    -0.11213
  • Upperbound of 95% confidence interval for alpha
    0.39320
  • Treynor index (mean / b)
    0.75388
  • Jensen alpha (a)
    0.14053
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.18147
  • SD
    0.09367
  • Sharpe ratio (Glass type estimate)
    1.93725
  • Sharpe ratio (Hedges UMVUE)
    1.92596
  • df
    129.00000
  • t
    1.36460
  • p
    0.42424
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.85888
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.72606
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.86639
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.71832
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.93212
  • Upside Potential Ratio
    10.00870
  • Upside part of mean
    0.61943
  • Downside part of mean
    -0.43796
  • Upside SD
    0.07073
  • Downside SD
    0.06189
  • N nonnegative terms
    74.00000
  • N negative terms
    56.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    130.00000
  • Mean of predictor
    0.17698
  • Mean of criterion
    0.18147
  • SD of predictor
    0.11853
  • SD of criterion
    0.09367
  • Covariance
    0.00340
  • r
    0.30580
  • b (slope, estimate of beta)
    0.24166
  • a (intercept, estimate of alpha)
    0.13870
  • Mean Square Error
    0.00802
  • DF error
    128.00000
  • t(b)
    3.63376
  • p(b)
    0.34710
  • t(a)
    1.08655
  • p(a)
    0.45220
  • Lowerbound of 95% confidence interval for beta
    0.11007
  • Upperbound of 95% confidence interval for beta
    0.37326
  • Lowerbound of 95% confidence interval for alpha
    -0.11388
  • Upperbound of 95% confidence interval for alpha
    0.39127
  • Treynor index (mean / b)
    0.75090
  • Jensen alpha (a)
    0.13870
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00879
  • Expected Shortfall on VaR
    0.01118
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00344
  • Expected Shortfall on VaR
    0.00722
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    130.00000
  • Minimum
    0.98065
  • Quartile 1
    0.99849
  • Median
    1.00097
  • Quartile 3
    1.00374
  • Maximum
    1.02717
  • Mean of quarter 1
    0.99403
  • Mean of quarter 2
    0.99970
  • Mean of quarter 3
    1.00226
  • Mean of quarter 4
    1.00728
  • Inter Quartile Range
    0.00525
  • Number outliers low
    7.00000
  • Percentage of outliers low
    0.05385
  • Mean of outliers low
    0.98683
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.03077
  • Mean of outliers high
    1.01664
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.26370
  • VaR(95%) (moments method)
    0.00503
  • Expected Shortfall (moments method)
    0.00867
  • Extreme Value Index (regression method)
    0.18133
  • VaR(95%) (regression method)
    0.00595
  • Expected Shortfall (regression method)
    0.00979
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    15.00000
  • Minimum
    0.00002
  • Quartile 1
    0.00198
  • Median
    0.00308
  • Quartile 3
    0.01770
  • Maximum
    0.05591
  • Mean of quarter 1
    0.00074
  • Mean of quarter 2
    0.00281
  • Mean of quarter 3
    0.01022
  • Mean of quarter 4
    0.02972
  • Inter Quartile Range
    0.01572
  • 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
    0.06667
  • Mean of outliers high
    0.05591
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.54555
  • VaR(95%) (moments method)
    0.03579
  • Expected Shortfall (moments method)
    0.07062
  • Extreme Value Index (regression method)
    3.72393
  • VaR(95%) (regression method)
    0.04180
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.22064
  • Compounded annual return (geometric extrapolation)
    0.23291
  • Calmar ratio (compounded annual return / max draw down)
    4.16596
  • Compounded annual return / average of 25% largest draw downs
    7.83742
  • Compounded annual return / Expected Shortfall lognormal
    20.83380

Strategy Description

Welcome! I hope you find DIVERSE helpful. My communication level with subscribers is closer to that of a mutual fund rather than a stock newsletter. In other words, I don't send out what I am thinking about each trade, but here is an overview. I trade in this strategy like I am trading in an IRA. So, no margin, no shorting, etc. Basically 40% of this strategy is always allocated to a Vanguard long term bond index fund. 15% is always allocated to a Vanguard intermediate term bond index fund. 15% is allocated to precious metals and commodities. This leaves 30% for me to actively manage. Of course these percentages are not exact and periodically get re-balanced back to the target. This allocation makes it easy for me to sleep at night and historically a broad diversified portfolio like this would have done very well. This strategy has a long term view and seeks to consistently beat the market over long time periods. Though I don't initiate much communication I encourage you to reach out to me via [email protected] with questions, comments, or if you just want to chat.

Summary Statistics

Strategy began
2017-08-16
Suggested Minimum Capital
$35,000
# Trades
107
# Profitable
50
% Profitable
46.7%
Net Dividends
Correlation S&P500
0.314
Sharpe Ratio
1.971

Latest Activity

#PERSONNAME#
subscribed on started simulation #SUBSCRIBEDDATE#

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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Suggested Minimum Capital

This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.