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SPX Liquid Portfolio
(117860965)

Created by: tradeLab tradeLab
Started: 05/2018
Stocks
Last trade: 2 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 $139.00 per month.

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.
7.9%
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.

(5.5%)
Max Drawdown
31
Num Trades
64.5%
Win Trades
1.8 : 1
Profit Factor
100.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2018                            +1.8%+2.9%+2.8%+0.2%                        +7.9%

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 4 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
7/30/18 11:12 VRSN VERISIGN LONG 55.500000000 147.36 8/13 10:08 153.80 0.38%
Trade id #119185225
Max drawdown($123)
Time7/31/18 15:51
Quant open56
Worst price145.13
Drawdown as % of equity-0.38%
$356
Includes Typical Broker Commissions trade costs of $1.12
7/30/18 11:12 TRIP TRIPADVISOR LONG 140.600000000 58.15 8/13 10:05 54.34 4.45%
Trade id #119185229
Max drawdown($1,398)
Time8/2/18 12:25
Quant open141
Worst price48.20
Drawdown as % of equity-4.45%
($539)
Includes Typical Broker Commissions trade costs of $2.82
7/23/18 9:54 UAL UNITED CONTINENTAL LONG 100.640000000 80.53 8/13 10:04 81.61 0.56%
Trade id #119067660
Max drawdown($184)
Time8/2/18 9:32
Quant open101
Worst price78.70
Drawdown as % of equity-0.56%
$107
Includes Typical Broker Commissions trade costs of $2.02
7/2/18 11:05 SPY SPDR S&P 500 SHORT 76.590000000 270.86 8/13 10:03 283.63 3.4%
Trade id #118744592
Max drawdown($1,104)
Time8/7/18 10:40
Quant open-73
Worst price286.01
Drawdown as % of equity-3.40%
($980)
Includes Typical Broker Commissions trade costs of $1.54
8/6/18 9:57 INTU INTUIT LONG 39.960000000 206.96 8/13 10:03 212.19 0.11%
Trade id #119295353
Max drawdown($33)
Time8/6/18 10:36
Quant open40
Worst price206.11
Drawdown as % of equity-0.11%
$208
Includes Typical Broker Commissions trade costs of $0.80
7/30/18 11:16 PSX PHILLIPS 66 LONG 67.340000000 121.14 8/13 10:03 123.00 0.15%
Trade id #119185355
Max drawdown($49)
Time8/3/18 11:59
Quant open67
Worst price120.41
Drawdown as % of equity-0.15%
$124
Includes Typical Broker Commissions trade costs of $1.34
6/13/18 15:24 HUM HUMANA LONG 34.040000000 306.58 8/6 9:55 319.95 0.53%
Trade id #118424675
Max drawdown($170)
Time6/28/18 10:00
Quant open13
Worst price293.03
Drawdown as % of equity-0.53%
$454
Includes Typical Broker Commissions trade costs of $0.68
7/6/18 9:59 CNC CENTENE LONG 63.270000000 128.17 7/30 11:14 130.06 n/a $119
Includes Typical Broker Commissions trade costs of $1.26
6/13/18 15:25 MCK MCKESSON LONG 69.190000000 149.74 7/30 11:08 127.96 1.83%
Trade id #118424779
Max drawdown($594)
Time7/27/18 14:52
Quant open22
Worst price122.92
Drawdown as % of equity-1.83%
($1,508)
Includes Typical Broker Commissions trade costs of $1.38
6/13/18 15:26 EXPE EXPEDIA LONG 84.360000000 122.80 7/30 11:07 133.94 0.4%
Trade id #118424812
Max drawdown($124)
Time6/28/18 12:34
Quant open31
Worst price118.81
Drawdown as % of equity-0.40%
$938
Includes Typical Broker Commissions trade costs of $1.68
7/13/18 14:30 TRIP TRIPADVISOR LONG 138.010000000 59.00 7/23 9:54 59.30 0.08%
Trade id #118922749
Max drawdown($27)
Time7/17/18 9:31
Quant open51
Worst price58.46
Drawdown as % of equity-0.08%
$38
Includes Typical Broker Commissions trade costs of $2.76
6/13/18 15:24 INTU INTUIT LONG 49.950000000 208.47 7/13 14:29 211.04 0.6%
Trade id #118424680
Max drawdown($192)
Time6/27/18 15:53
Quant open18
Worst price198.03
Drawdown as % of equity-0.60%
$128
Includes Typical Broker Commissions trade costs of $1.00
6/13/18 15:22 CNC CENTENE LONG 82.880000000 124.72 7/2 11:03 122.22 0.42%
Trade id #118424584
Max drawdown($137)
Time6/28/18 9:49
Quant open31
Worst price120.25
Drawdown as % of equity-0.42%
($210)
Includes Typical Broker Commissions trade costs of $1.66
6/13/18 15:26 @ESU8 E-MINI S&P 500 SHORT 0.370000000 2790.75 7/2 11:02 2717.00 0.07%
Trade id #118424811
Max drawdown($22)
Time6/14/18 10:07
Quant open0
Worst price2794.00
Drawdown as % of equity-0.07%
$1,361
Includes Typical Broker Commissions trade costs of $2.96
5/29/18 9:44 HUM HUMANA LONG 28.934000000 292.70 6/13 12:51 306.91 0.18%
Trade id #118144662
Max drawdown($54)
Time6/1/18 11:30
Quant open11
Worst price287.62
Drawdown as % of equity-0.18%
$410
Includes Typical Broker Commissions trade costs of $0.58
5/29/18 9:53 INTU INTUIT LONG 43.401000000 197.47 6/13 12:42 208.55 0.14%
Trade id #118145150
Max drawdown($42)
Time5/29/18 14:05
Quant open16
Worst price194.82
Drawdown as % of equity-0.14%
$480
Includes Typical Broker Commissions trade costs of $0.86
5/29/18 9:45 MCK MCKESSON LONG 57.868000000 142.81 6/13 12:42 149.95 0.19%
Trade id #118144709
Max drawdown($57)
Time5/29/18 12:14
Quant open21
Worst price140.13
Drawdown as % of equity-0.19%
$412
Includes Typical Broker Commissions trade costs of $1.16
5/29/18 9:46 CNC CENTENE LONG 71.484000000 117.35 6/13 12:41 124.84 0.18%
Trade id #118144778
Max drawdown($53)
Time5/29/18 10:49
Quant open26
Worst price115.34
Drawdown as % of equity-0.18%
$534
Includes Typical Broker Commissions trade costs of $1.42
5/29/18 9:43 EXPE EXPEDIA LONG 72.335000000 117.20 6/13 12:41 123.11 0.06%
Trade id #118144641
Max drawdown($18)
Time5/30/18 9:42
Quant open27
Worst price116.50
Drawdown as % of equity-0.06%
$427
Includes Typical Broker Commissions trade costs of $1.44
5/30/18 10:00 SPY1804R272 SPY Jun4'18 272 put LONG 0.851000000 2.24 6/5 8:05 0.00 0.53%
Trade id #118166906
Max drawdown($162)
Time6/5/18 8:05
Quant open0
Worst price0.00
Drawdown as % of equity-0.53%
($192)
Includes Typical Broker Commissions trade costs of $1.00
5/11/18 15:47 FCX FREEPORT-MCMORAN INC LONG 731.860000000 16.24 5/14 9:58 16.46 0.42%
Trade id #117902972
Max drawdown($124)
Time5/14/18 7:01
Quant open623
Worst price16.04
Drawdown as % of equity-0.42%
$151
Includes Typical Broker Commissions trade costs of $9.82
5/11/18 15:49 ESRX EXPRESS SCRIPTS LONG 161.690000000 72.62 5/14 9:58 73.24 0.16%
Trade id #117903038
Max drawdown($48)
Time5/11/18 15:58
Quant open138
Worst price72.26
Drawdown as % of equity-0.16%
$98
Includes Typical Broker Commissions trade costs of $3.24
5/11/18 15:51 CI CIGNA LONG 69.782000000 173.76 5/14 9:57 175.89 0.77%
Trade id #117903103
Max drawdown($229)
Time5/11/18 16:52
Quant open60
Worst price169.90
Drawdown as % of equity-0.77%
$148
Includes Typical Broker Commissions trade costs of $1.40
5/11/18 15:48 CAH CARDINAL HEALTH LONG 214.452000000 55.27 5/14 9:57 55.00 0.43%
Trade id #117903011
Max drawdown($129)
Time5/14/18 9:53
Quant open183
Worst price54.56
Drawdown as % of equity-0.43%
($62)
Includes Typical Broker Commissions trade costs of $4.28
5/11/18 15:47 BLL BALL CORP LONG 309.764000000 38.48 5/14 9:56 38.46 0.04%
Trade id #117902960
Max drawdown($11)
Time5/14/18 9:49
Quant open263
Worst price38.43
Drawdown as % of equity-0.04%
($11)
Includes Typical Broker Commissions trade costs of $6.20

Statistics

  • Strategy began
    5/9/2018
  • Suggested Minimum Cap
    $30,000
  • Strategy Age (days)
    98.4
  • Age
    98 days ago
  • What it trades
    Stocks
  • # Trades
    31
  • # Profitable
    20
  • % Profitable
    64.50%
  • Avg trade duration
    15.2 days
  • Max peak-to-valley drawdown
    5.47%
  • drawdown period
    July 19, 2018 - Aug 02, 2018
  • Cumul. Return
    7.9%
  • Avg win
    $336.45
  • Avg loss
    $347.55
  • Model Account Values (Raw)
  • Cash
    $33,219
  • Margin Used
    $32,817
  • Buying Power
    $263
  • Ratios
  • W:L ratio
    1.79:1
  • Sharpe Ratio
    2.869
  • Sortino Ratio
    4.158
  • Calmar Ratio
    11.081
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.03600
  • Return Statistics
  • Ann Return (w trading costs)
    31.3%
  • Ann Return (Compnd, No Fees)
    41.7%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    0.50%
  • 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)
    547
  • Popularity (Last 6 weeks)
    936
  • C2 Score
    75.3
  • 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
    $348
  • Avg Win
    $336
  • # Winners
    20
  • # Losers
    11
  • % Winners
    64.5%
  • Frequency
  • Avg Position Time (mins)
    21882.50
  • Avg Position Time (hrs)
    364.71
  • Avg Trade Length
    15.2 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
    0.37461
  • SD
    0.07763
  • Sharpe ratio (Glass type estimate)
    4.82579
  • Sharpe ratio (Hedges UMVUE)
    2.72266
  • df
    2.00000
  • t
    2.41290
  • p
    0.06863
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.20589
  • Upperbound of 95% confidence interval for Sharpe Ratio
    10.52620
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.01916
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    7.46448
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.37461
  • Downside part of mean
    0.00000
  • Upside SD
    0.12535
  • Downside SD
    0.00000
  • N nonnegative terms
    3.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    3.00000
  • Mean of predictor
    0.19936
  • Mean of criterion
    0.37461
  • SD of predictor
    0.04355
  • SD of criterion
    0.07763
  • Covariance
    -0.00153
  • r
    -0.45391
  • b (slope, estimate of beta)
    -0.80912
  • a (intercept, estimate of alpha)
    0.53592
  • Mean Square Error
    0.00957
  • DF error
    1.00000
  • t(b)
    -0.50941
  • p(b)
    0.64997
  • t(a)
    1.43980
  • p(a)
    0.19323
  • Lowerbound of 95% confidence interval for beta
    -20.99080
  • Upperbound of 95% confidence interval for beta
    19.37260
  • Lowerbound of 95% confidence interval for alpha
    -4.19352
  • Upperbound of 95% confidence interval for alpha
    5.26535
  • Treynor index (mean / b)
    -0.46298
  • Jensen alpha (a)
    0.53592
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.36614
  • SD
    0.07541
  • Sharpe ratio (Glass type estimate)
    4.85544
  • Sharpe ratio (Hedges UMVUE)
    2.73939
  • df
    2.00000
  • t
    2.42772
  • p
    0.06796
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.19469
  • Upperbound of 95% confidence interval for Sharpe Ratio
    10.57680
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.01168
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    7.49046
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.36614
  • Downside part of mean
    0.00000
  • Upside SD
    0.12232
  • Downside SD
    0.00000
  • N nonnegative terms
    3.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    3.00000
  • Mean of predictor
    0.19666
  • Mean of criterion
    0.36614
  • SD of predictor
    0.04281
  • SD of criterion
    0.07541
  • Covariance
    -0.00146
  • r
    -0.45231
  • b (slope, estimate of beta)
    -0.79665
  • a (intercept, estimate of alpha)
    0.52281
  • Mean Square Error
    0.00905
  • DF error
    1.00000
  • t(b)
    -0.50715
  • p(b)
    0.64940
  • t(a)
    1.44109
  • p(a)
    0.19310
  • Lowerbound of 95% confidence interval for beta
    -20.75600
  • Upperbound of 95% confidence interval for beta
    19.16270
  • Lowerbound of 95% confidence interval for alpha
    -4.08686
  • Upperbound of 95% confidence interval for alpha
    5.13248
  • Treynor index (mean / b)
    -0.45961
  • Jensen alpha (a)
    0.52281
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00528
  • Expected Shortfall on VaR
    0.01426
  • 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
    3.00000
  • Minimum
    1.00884
  • Quartile 1
    1.02404
  • Median
    1.03923
  • Quartile 3
    1.04590
  • Maximum
    1.05257
  • Mean of quarter 1
    1.00884
  • Mean of quarter 2
    1.03923
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    1.05257
  • Inter Quartile Range
    0.02186
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • 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)
    0.41411
  • Compounded annual return (geometric extrapolation)
    0.48298
  • 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
    33.88020
  • 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
    0.33392
  • SD
    0.11511
  • Sharpe ratio (Glass type estimate)
    2.90094
  • Sharpe ratio (Hedges UMVUE)
    2.86929
  • df
    69.00000
  • t
    1.49947
  • p
    0.06916
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.93179
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.71318
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.95264
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.69123
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.15770
  • Upside Potential Ratio
    10.20260
  • Upside part of mean
    0.81941
  • Downside part of mean
    -0.48549
  • Upside SD
    0.08388
  • Downside SD
    0.08031
  • N nonnegative terms
    38.00000
  • N negative terms
    32.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    70.00000
  • Mean of predictor
    0.13968
  • Mean of criterion
    0.33392
  • SD of predictor
    0.08872
  • SD of criterion
    0.11511
  • Covariance
    0.00006
  • r
    0.00605
  • b (slope, estimate of beta)
    0.00784
  • a (intercept, estimate of alpha)
    0.33300
  • Mean Square Error
    0.01344
  • DF error
    68.00000
  • t(b)
    0.04986
  • p(b)
    0.48019
  • t(a)
    1.47663
  • p(a)
    0.07219
  • Lowerbound of 95% confidence interval for beta
    -0.30612
  • Upperbound of 95% confidence interval for beta
    0.32181
  • Lowerbound of 95% confidence interval for alpha
    -0.11694
  • Upperbound of 95% confidence interval for alpha
    0.78259
  • Treynor index (mean / b)
    42.56890
  • Jensen alpha (a)
    0.33283
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.32712
  • SD
    0.11548
  • Sharpe ratio (Glass type estimate)
    2.83275
  • Sharpe ratio (Hedges UMVUE)
    2.80184
  • df
    69.00000
  • t
    1.46422
  • p
    0.07384
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.99833
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.64380
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.01870
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.62239
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.02884
  • Upside Potential Ratio
    10.04790
  • Upside part of mean
    0.81583
  • Downside part of mean
    -0.48871
  • Upside SD
    0.08343
  • Downside SD
    0.08119
  • N nonnegative terms
    38.00000
  • N negative terms
    32.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    70.00000
  • Mean of predictor
    0.13575
  • Mean of criterion
    0.32712
  • SD of predictor
    0.08870
  • SD of criterion
    0.11548
  • Covariance
    0.00004
  • r
    0.00408
  • b (slope, estimate of beta)
    0.00531
  • a (intercept, estimate of alpha)
    0.32640
  • Mean Square Error
    0.01353
  • DF error
    68.00000
  • t(b)
    0.03363
  • p(b)
    0.48663
  • t(a)
    1.44385
  • p(a)
    0.07669
  • Lowerbound of 95% confidence interval for beta
    -0.30972
  • Upperbound of 95% confidence interval for beta
    0.32034
  • Lowerbound of 95% confidence interval for alpha
    -0.12470
  • Upperbound of 95% confidence interval for alpha
    0.77750
  • Treynor index (mean / b)
    61.61260
  • Jensen alpha (a)
    0.32640
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01043
  • Expected Shortfall on VaR
    0.01337
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00392
  • Expected Shortfall on VaR
    0.00861
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    70.00000
  • Minimum
    0.96913
  • Quartile 1
    0.99842
  • Median
    1.00076
  • Quartile 3
    1.00602
  • Maximum
    1.01609
  • Mean of quarter 1
    0.99312
  • Mean of quarter 2
    0.99994
  • Mean of quarter 3
    1.00322
  • Mean of quarter 4
    1.00926
  • Inter Quartile Range
    0.00760
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.02857
  • Mean of outliers low
    0.97754
  • 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)
    0.56426
  • VaR(95%) (moments method)
    0.00661
  • Expected Shortfall (moments method)
    0.01729
  • Extreme Value Index (regression method)
    0.76551
  • VaR(95%) (regression method)
    0.00645
  • Expected Shortfall (regression method)
    0.02806
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00180
  • Quartile 1
    0.00453
  • Median
    0.00552
  • Quartile 3
    0.02187
  • Maximum
    0.03846
  • Mean of quarter 1
    0.00305
  • Mean of quarter 2
    0.00514
  • Mean of quarter 3
    0.00590
  • Mean of quarter 4
    0.03816
  • Inter Quartile Range
    0.01734
  • 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)
    0.37241
  • Compounded annual return (geometric extrapolation)
    0.42622
  • Calmar ratio (compounded annual return / max draw down)
    11.08120
  • Compounded annual return / average of 25% largest draw downs
    11.17030
  • Compounded annual return / Expected Shortfall lognormal
    31.87010

Strategy Description

Precise (9 Rule) Stock Screener Focused 100% on High-Liquidity S&P500 Stocks.
Easy to Trade for C2 Investors (S&P Stocks are Liquid Hence Low Slippage).
Combines Fundamentals with Precise Technical Timing Method.
Top 'Five' Ranking Stocks are Bought (Holding Period Between 1-4 Weeks).
Very Low Margin Used - Rarely Above 2x Leverage.
During Bear Markets, Portfolio is 50% Hedged Using S&P500 ETF (Symbol: SPY).

Note: The SPX Liquid Portfolio strategy is completely independent from our other strategies (namely 'Cash Flow Matrix' and 'Five Squared'). For instance, the strategy trades only S&P500 stocks for maximum liquidity and zero/low slippage. The strategy also follows it's own specified screening rules, entry/exit timing indicators, and holding periods.

Summary Statistics

Strategy began
2018-05-09
Suggested Minimum Capital
$30,000
# Trades
31
# Profitable
20
% Profitable
64.5%
Net Dividends
Correlation S&P500
0.036
Sharpe Ratio
2.869

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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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.