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

SPX Liquid Portfolio
(117860965)

Created by: tradeLab tradeLab
Started: 05/2018
Stocks
Last trade: 9 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.
9.5%
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.

5.1%
Max Drawdown
20
Num Trades
70.0%
Win Trades
2.5 : 1
Profit Factor
100.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2018                            +2.1%+3.2%+4.0%                              +9.6%

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.

Trading Record

This strategy has placed 2 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
6/13/18 15:24 INTU INTUIT LONG 135 208.47 7/13 14:29 211.04 1.62%
Trade id #118424680
Max drawdown($1,409)
Time6/27/18 15:53
Quant open135
Worst price198.03
Drawdown as % of equity-1.62%
$345
Includes Typical Broker Commissions trade costs of $2.70
6/13/18 15:22 CNC CENTENE LONG 224 124.72 7/2 11:03 122.22 1.14%
Trade id #118424584
Max drawdown($1,001)
Time6/28/18 9:49
Quant open224
Worst price120.25
Drawdown as % of equity-1.14%
($565)
Includes Typical Broker Commissions trade costs of $4.48
6/13/18 15:26 @ESU8 E-MINI S&P 500 SHORT 1 2790.75 7/2 11:02 2717.00 0.19%
Trade id #118424811
Max drawdown($162)
Time6/14/18 10:07
Quant open-1
Worst price2794.00
Drawdown as % of equity-0.19%
$3,680
Includes Typical Broker Commissions trade costs of $8.00
5/29/18 9:44 HUM HUMANA LONG 78.2 292.70 6/13 12:51 306.91 0.48%
Trade id #118144662
Max drawdown($397)
Time6/1/18 11:30
Quant open78
Worst price287.62
Drawdown as % of equity-0.48%
$1,109
Includes Typical Broker Commissions trade costs of $1.56
5/29/18 9:53 INTU INTUIT LONG 117.3 197.47 6/13 12:42 208.55 0.39%
Trade id #118145150
Max drawdown($310)
Time5/29/18 14:05
Quant open117
Worst price194.82
Drawdown as % of equity-0.39%
$1,298
Includes Typical Broker Commissions trade costs of $2.34
5/29/18 9:45 MCK MCKESSON LONG 156.4 142.81 6/13 12:42 149.95 0.52%
Trade id #118144709
Max drawdown($419)
Time5/29/18 12:14
Quant open156
Worst price140.13
Drawdown as % of equity-0.52%
$1,114
Includes Typical Broker Commissions trade costs of $3.12
5/29/18 9:46 CNC CENTENE LONG 193.2 117.35 6/13 12:41 124.84 0.48%
Trade id #118144778
Max drawdown($388)
Time5/29/18 10:49
Quant open193
Worst price115.34
Drawdown as % of equity-0.48%
$1,443
Includes Typical Broker Commissions trade costs of $3.86
5/29/18 9:43 EXPE EXPEDIA LONG 195.5 117.20 6/13 12:41 123.11 0.17%
Trade id #118144641
Max drawdown($136)
Time5/30/18 9:42
Quant open196
Worst price116.50
Drawdown as % of equity-0.17%
$1,151
Includes Typical Broker Commissions trade costs of $3.92
5/30/18 10:00 SPY1804R272 SPY Jun4'18 272 put LONG 2.3 2.24 6/5 8:05 0.00 1.44%
Trade id #118166906
Max drawdown($1,184)
Time6/5/18 8:05
Quant open0
Worst price0.00
Drawdown as % of equity-1.44%
($517)
Includes Typical Broker Commissions trade costs of $1.61
5/11/18 15:47 FCX FREEPORT-MCMORAN INC LONG 1,978 16.24 5/14 9:58 16.46 1.13%
Trade id #117902972
Max drawdown($909)
Time5/14/18 7:01
Quant open4,549
Worst price16.04
Drawdown as % of equity-1.13%
$428
Includes Typical Broker Commissions trade costs of $7.50
5/11/18 15:49 ESRX EXPRESS SCRIPTS LONG 437 72.62 5/14 9:58 73.24 0.44%
Trade id #117903038
Max drawdown($356)
Time5/11/18 15:58
Quant open1,005
Worst price72.26
Drawdown as % of equity-0.44%
$264
Includes Typical Broker Commissions trade costs of $8.75
5/11/18 15:51 CI CIGNA LONG 188.6 173.76 5/14 9:57 175.89 2.08%
Trade id #117903103
Max drawdown($1,674)
Time5/11/18 16:52
Quant open435
Worst price169.90
Drawdown as % of equity-2.08%
$398
Includes Typical Broker Commissions trade costs of $3.77
5/11/18 15:48 CAH CARDINAL HEALTH LONG 579.6 55.27 5/14 9:57 55.00 1.17%
Trade id #117903011
Max drawdown($946)
Time5/14/18 9:53
Quant open1,334
Worst price54.56
Drawdown as % of equity-1.17%
($164)
Includes Typical Broker Commissions trade costs of $8.30
5/11/18 15:47 BLL BALL CORP LONG 837.2 38.48 5/14 9:56 38.46 0.11%
Trade id #117902960
Max drawdown($86)
Time5/14/18 9:49
Quant open1,925
Worst price38.43
Drawdown as % of equity-0.11%
($24)
Includes Typical Broker Commissions trade costs of $10.88

Statistics

  • Strategy began
    5/9/2018
  • Suggested Minimum Cap
    $90,000
  • Strategy Age (days)
    74.4
  • Age
    74 days ago
  • What it trades
    Stocks
  • # Trades
    20
  • # Profitable
    14
  • % Profitable
    70.00%
  • Avg trade duration
    16.4 days
  • Max peak-to-valley drawdown
    5.12%
  • drawdown period
    June 19, 2018 - June 28, 2018
  • Cumul. Return
    9.6%
  • Avg win
    $994.21
  • Avg loss
    $954.83
  • Model Account Values (Raw)
  • Cash
    $90,588
  • Margin Used
    $84,102
  • Buying Power
    $4,541
  • Ratios
  • W:L ratio
    2.47:1
  • Sharpe Ratio
    4.797
  • Sortino Ratio
    8.943
  • Calmar Ratio
    17.08
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.17800
  • Return Statistics
  • Ann Return (w trading costs)
    53.5%
  • Ann Return (Compnd, No Fees)
    59.8%
  • 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)
    399
  • Popularity (Last 6 weeks)
    958
  • C2 Score
    82.2
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Win
    $1,016
  • Avg Loss
    $1,023
  • # Winners
    14
  • # Losers
    6
  • % Winners
    70.0%
  • Frequency
  • Avg Position Time (mins)
    23558.90
  • Avg Position Time (hrs)
    392.65
  • Avg Trade Length
    16.4 days
  • Last Trade Ago
    9
  • Analysis based on DAILY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to linear regression on benchmark
  • a (intercept, estimate of alpha)
    0.45900

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
$90,000
# Trades
20
# Profitable
14
% Profitable
70.0%
Net Dividends
Correlation S&P500
0.178
Sharpe Ratio
4.797

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.