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SUPER15H Hedged Stocks
(123231599)

Created by: CraigSchulenberg CraigSchulenberg
Started: 04/2019
Stocks
Last trade: 4 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.

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.

31.3%
Annual Return (Compounded)

Rate of Return Calculations

Overview

To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.

How Annualized (Compounded) Rate of Return is calculated

= ((Ending_equity / Starting_equity) ^ (1 / age_in_years)) - 1

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

All results are hypothetical.

(14.6%)
Max Drawdown
329
Num Trades
46.5%
Win Trades
2.5 : 1
Profit Factor
64.3%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019                     +1.0%(5%)+4.5%+3.0%+1.9%(1%)(0.1%)(0.2%)+1.5%+5.4%
2020(0.2%)(3.8%)+2.8%(0.2%)+1.0%+8.0%+8.3%+4.3%(1.3%)(0.8%)+10.2%+4.2%+36.5%
2021+3.7%+8.1%+4.6%+4.2%+2.7%+5.7%(1.6%)                              +30.4%

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 72 hours.

Trading Record

This strategy has placed 25 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
7/21/21 9:30 DLTR DOLLAR TREE STORES LONG 106 99.29 7/22 9:30 99.11 0.05%
Trade id #136607810
Max drawdown($87)
Time7/22/21 0:00
Quant open106
Worst price98.47
Drawdown as % of equity-0.05%
($21)
Includes Typical Broker Commissions trade costs of $2.12
7/20/21 9:30 SH PROSHARES SHORT S&P500 LONG 1,349 15.46 7/21 9:30 15.21 0.2%
Trade id #136585716
Max drawdown($377)
Time7/21/21 0:00
Quant open1,349
Worst price15.18
Drawdown as % of equity-0.20%
($342)
Includes Typical Broker Commissions trade costs of $5.00
5/14/21 9:30 FFIN FIRST FINANCIAL BANKSHS LONG 234 50.55 7/20 9:30 46.90 0.5%
Trade id #135618474
Max drawdown($943)
Time6/18/21 0:00
Quant open234
Worst price46.52
Drawdown as % of equity-0.50%
($860)
Includes Typical Broker Commissions trade costs of $4.68
5/26/21 9:30 AMAT APPLIED MATERIALS LONG 80 137.62 7/20 9:30 129.02 0.59%
Trade id #135780585
Max drawdown($1,099)
Time7/19/21 0:00
Quant open80
Worst price123.88
Drawdown as % of equity-0.59%
($690)
Includes Typical Broker Commissions trade costs of $1.60
5/19/21 9:30 ALV AUTOLIV LONG 112 99.62 7/16 9:30 91.10 0.54%
Trade id #135679157
Max drawdown($1,018)
Time7/16/21 9:30
Quant open112
Worst price90.53
Drawdown as % of equity-0.54%
($956)
Includes Typical Broker Commissions trade costs of $2.24
4/19/21 9:30 NEM NEWMONT CORP LONG 125 65.09 7/9 9:30 63.16 0.3%
Trade id #135208484
Max drawdown($530)
Time4/29/21 0:00
Quant open125
Worst price60.85
Drawdown as % of equity-0.30%
($244)
Includes Typical Broker Commissions trade costs of $2.50
7/2/21 9:30 SH PROSHARES SHORT S&P500 LONG 999 15.27 7/7 9:30 15.20 0.05%
Trade id #136303963
Max drawdown($86)
Time7/2/21 15:50
Quant open999
Worst price15.18
Drawdown as % of equity-0.05%
($71)
Includes Typical Broker Commissions trade costs of $5.00
5/19/21 9:30 NEE NEXTERA ENERGY LONG 160 71.59 7/2 9:30 74.33 0.04%
Trade id #135679148
Max drawdown($62)
Time5/19/21 10:15
Quant open160
Worst price71.20
Drawdown as % of equity-0.04%
$435
Includes Typical Broker Commissions trade costs of $3.20
5/19/21 9:30 DLTR DOLLAR TREE STORES LONG 103 109.28 6/21 9:30 100.70 0.69%
Trade id #135679107
Max drawdown($1,249)
Time5/28/21 0:00
Quant open103
Worst price97.15
Drawdown as % of equity-0.69%
($886)
Includes Typical Broker Commissions trade costs of $2.06
5/19/21 9:30 BHP BHP GROUP LTD LONG 151 74.89 5/26 9:30 71.91 0.27%
Trade id #135679160
Max drawdown($477)
Time5/25/21 0:00
Quant open151
Worst price71.73
Drawdown as % of equity-0.27%
($453)
Includes Typical Broker Commissions trade costs of $3.02
5/19/21 9:30 TSM TAIWAN SEMICONDUCTOR LONG 102 108.26 5/20 9:30 112.39 n/a $419
Includes Typical Broker Commissions trade costs of $2.04
5/17/21 9:30 SH PROSHARES SHORT S&P500 LONG 6,312 15.92 5/19 9:30 16.27 0.02%
Trade id #135644004
Max drawdown($30)
Time5/17/21 9:40
Quant open770
Worst price15.91
Drawdown as % of equity-0.02%
$2,179
Includes Typical Broker Commissions trade costs of $7.50
5/14/21 9:30 HRL HORMEL FOODS LONG 252 47.33 5/18 9:30 46.45 0.14%
Trade id #135618481
Max drawdown($244)
Time5/18/21 9:30
Quant open252
Worst price46.36
Drawdown as % of equity-0.14%
($227)
Includes Typical Broker Commissions trade costs of $5.04
5/14/21 9:30 VRSN VERISIGN LONG 50 220.29 5/18 9:30 219.63 0.06%
Trade id #135618477
Max drawdown($108)
Time5/17/21 0:00
Quant open50
Worst price218.13
Drawdown as % of equity-0.06%
($34)
Includes Typical Broker Commissions trade costs of $1.00
5/14/21 9:30 GRMN GARMIN LONG 85 139.59 5/18 9:30 140.79 0.01%
Trade id #135618483
Max drawdown($26)
Time5/14/21 9:41
Quant open85
Worst price139.28
Drawdown as % of equity-0.01%
$100
Includes Typical Broker Commissions trade costs of $1.70
5/14/21 9:30 AMT AMERICAN TOWER LONG 44 245.52 5/18 9:30 245.86 0.02%
Trade id #135618482
Max drawdown($39)
Time5/14/21 9:37
Quant open44
Worst price244.62
Drawdown as % of equity-0.02%
$14
Includes Typical Broker Commissions trade costs of $0.88
5/14/21 9:30 EQIX EQUINIX INC. COMMON STOCK REI LONG 15 719.81 5/18 9:30 714.07 0.07%
Trade id #135618461
Max drawdown($126)
Time5/17/21 0:00
Quant open15
Worst price711.39
Drawdown as % of equity-0.07%
($86)
Includes Typical Broker Commissions trade costs of $0.30
5/14/21 9:30 WEC WEC ENERGY GROUP LONG 115 96.41 5/18 9:30 95.29 0.08%
Trade id #135618456
Max drawdown($148)
Time5/18/21 9:30
Quant open115
Worst price95.12
Drawdown as % of equity-0.08%
($131)
Includes Typical Broker Commissions trade costs of $2.30
5/14/21 9:30 TSCO TRACTOR SUPPLY LONG 59 186.91 5/18 9:30 187.61 0.07%
Trade id #135618471
Max drawdown($115)
Time5/14/21 10:32
Quant open59
Worst price184.95
Drawdown as % of equity-0.07%
$41
Includes Typical Broker Commissions trade costs of $1.18
5/14/21 9:30 ORLY O'REILLY AUTOMOTIVE LONG 19 557.29 5/18 9:30 556.00 0.08%
Trade id #135618440
Max drawdown($144)
Time5/14/21 10:33
Quant open19
Worst price549.70
Drawdown as % of equity-0.08%
($25)
Includes Typical Broker Commissions trade costs of $0.38
5/14/21 9:30 TSM TAIWAN SEMICONDUCTOR LONG 101 110.57 5/17 9:30 109.07 0.09%
Trade id #135618463
Max drawdown($158)
Time5/17/21 9:30
Quant open101
Worst price109.00
Drawdown as % of equity-0.09%
($154)
Includes Typical Broker Commissions trade costs of $2.02
5/12/21 9:30 SH PROSHARES SHORT S&P500 LONG 8,816 16.13 5/14 9:30 16.03 0.6%
Trade id #135574684
Max drawdown($1,047)
Time5/14/21 9:30
Quant open8,816
Worst price16.01
Drawdown as % of equity-0.60%
($879)
Includes Typical Broker Commissions trade costs of $7.50
5/7/21 9:30 TSM TAIWAN SEMICONDUCTOR LONG 97 118.16 5/13 9:31 109.36 0.55%
Trade id #135504175
Max drawdown($979)
Time5/12/21 0:00
Quant open97
Worst price108.06
Drawdown as % of equity-0.55%
($856)
Includes Typical Broker Commissions trade costs of $1.94
9/22/20 9:30 ORCL ORACLE CORP LONG 135 60.38 5/12/21 9:31 77.57 0.56%
Trade id #131289587
Max drawdown($707)
Time10/29/20 0:00
Quant open135
Worst price55.14
Drawdown as % of equity-0.56%
$2,318
Includes Typical Broker Commissions trade costs of $2.70
9/25/20 9:30 GOOG ALPHABET INC CLASS C LONG 5 1431.11 5/12/21 9:30 2261.71 0.07%
Trade id #131361262
Max drawdown($88)
Time9/25/20 9:47
Quant open5
Worst price1413.34
Drawdown as % of equity-0.07%
$4,153
Includes Typical Broker Commissions trade costs of $0.10
3/29/21 9:30 AMAT APPLIED MATERIALS LONG 92 127.25 5/12 9:30 119.33 0.48%
Trade id #134906128
Max drawdown($885)
Time5/11/21 0:00
Quant open92
Worst price117.62
Drawdown as % of equity-0.48%
($731)
Includes Typical Broker Commissions trade costs of $1.84
3/25/21 9:30 VRSN VERISIGN LONG 35 196.00 5/12 9:30 217.35 0.09%
Trade id #134856625
Max drawdown($153)
Time3/26/21 0:00
Quant open35
Worst price191.62
Drawdown as % of equity-0.09%
$746
Includes Typical Broker Commissions trade costs of $0.70
9/22/20 9:30 DE DEERE LONG 38 215.14 5/12/21 9:30 384.78 0.12%
Trade id #131289627
Max drawdown($142)
Time9/24/20 0:00
Quant open38
Worst price211.38
Drawdown as % of equity-0.12%
$6,445
Includes Typical Broker Commissions trade costs of $0.76
3/23/21 9:30 WSM WILLIAMS-SONOMA LONG 52 179.91 5/12 9:30 180.63 0.52%
Trade id #134796966
Max drawdown($850)
Time3/24/21 0:00
Quant open52
Worst price163.54
Drawdown as % of equity-0.52%
$37
Includes Typical Broker Commissions trade costs of $1.04
11/10/20 9:30 VLO VALERO ENERGY LONG 190 51.00 5/12/21 9:30 78.21 0.58%
Trade id #132173641
Max drawdown($767)
Time11/12/20 0:00
Quant open190
Worst price46.96
Drawdown as % of equity-0.58%
$5,166
Includes Typical Broker Commissions trade costs of $3.80

Statistics

  • Strategy began
    4/7/2019
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    840.53
  • Age
    28 months ago
  • What it trades
    Stocks
  • # Trades
    329
  • # Profitable
    153
  • % Profitable
    46.50%
  • Avg trade duration
    36.2 days
  • Max peak-to-valley drawdown
    14.65%
  • drawdown period
    Feb 19, 2020 - March 13, 2020
  • Annual Return (Compounded)
    31.3%
  • Avg win
    $989.94
  • Avg loss
    $355.31
  • Model Account Values (Raw)
  • Cash
    $81,989
  • Margin Used
    $0
  • Buying Power
    $114,522
  • Ratios
  • W:L ratio
    2.52:1
  • Sharpe Ratio
    1.39
  • Sortino Ratio
    2.06
  • Calmar Ratio
    2.959
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    35.02%
  • Correlation to SP500
    0.27730
  • Return Percent SP500 (cumu) during strategy life
    52.51%
  • Return Statistics
  • Ann Return (w trading costs)
    31.3%
  • Slump
  • Current Slump as Pcnt Equity
    3.00%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.01%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.313%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    32.7%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    29.00%
  • Chance of 20% account loss
    8.50%
  • 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)
    927
  • Popularity (Last 6 weeks)
    984
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    909
  • Popularity (7 days, Percentile 1000 scale)
    967
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Strat abandoned?
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $355
  • Avg Win
    $990
  • Sum Trade PL (losers)
    $62,534.000
  • AUM
  • AUM (AutoTrader num accounts)
    7
  • Age
  • Num Months filled monthly returns table
    28
  • Win / Loss
  • Sum Trade PL (winners)
    $151,461.000
  • # Winners
    153
  • Num Months Winners
    18
  • Dividends
  • Dividends Received in Model Acct
    3213
  • AUM
  • AUM (AutoTrader live capital)
    590493
  • Win / Loss
  • # Losers
    176
  • % Winners
    46.5%
  • Frequency
  • Avg Position Time (mins)
    52095.20
  • Avg Position Time (hrs)
    868.25
  • Avg Trade Length
    36.2 days
  • Last Trade Ago
    4
  • Leverage
  • Daily leverage (average)
    0.90
  • Daily leverage (max)
    1.15
  • Regression
  • Alpha
    0.06
  • Beta
    0.18
  • Treynor Index
    0.41
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    39.05
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    49.07
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -1.61
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    1.448
  • 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
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    0.214
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.371
  • Hold-and-Hope Ratio
    0.706
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.27408
  • SD
    0.14192
  • Sharpe ratio (Glass type estimate)
    1.93126
  • Sharpe ratio (Hedges UMVUE)
    1.87492
  • df
    26.00000
  • t
    2.89689
  • p
    0.00377
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.50810
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.32245
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.47242
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.27742
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.90596
  • Upside Potential Ratio
    5.01809
  • Upside part of mean
    0.35211
  • Downside part of mean
    -0.07804
  • Upside SD
    0.14398
  • Downside SD
    0.07017
  • N nonnegative terms
    20.00000
  • N negative terms
    7.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    27.00000
  • Mean of predictor
    0.19638
  • Mean of criterion
    0.27408
  • SD of predictor
    0.25623
  • SD of criterion
    0.14192
  • Covariance
    0.02358
  • r
    0.64839
  • b (slope, estimate of beta)
    0.35912
  • a (intercept, estimate of alpha)
    0.20355
  • Mean Square Error
    0.01214
  • DF error
    25.00000
  • t(b)
    4.25843
  • p(b)
    0.00013
  • t(a)
    2.70332
  • p(a)
    0.00608
  • Lowerbound of 95% confidence interval for beta
    0.18544
  • Upperbound of 95% confidence interval for beta
    0.53281
  • Lowerbound of 95% confidence interval for alpha
    0.04848
  • Upperbound of 95% confidence interval for alpha
    0.35863
  • Treynor index (mean / b)
    0.76319
  • Jensen alpha (a)
    0.20355
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.26097
  • SD
    0.14042
  • Sharpe ratio (Glass type estimate)
    1.85857
  • Sharpe ratio (Hedges UMVUE)
    1.80435
  • df
    26.00000
  • t
    2.78786
  • p
    0.00489
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.44304
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.24304
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.40871
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.20000
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.56880
  • Upside Potential Ratio
    4.66900
  • Upside part of mean
    0.34142
  • Downside part of mean
    -0.08045
  • Upside SD
    0.13898
  • Downside SD
    0.07313
  • N nonnegative terms
    20.00000
  • N negative terms
    7.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    27.00000
  • Mean of predictor
    0.15922
  • Mean of criterion
    0.26097
  • SD of predictor
    0.28072
  • SD of criterion
    0.14042
  • Covariance
    0.02659
  • r
    0.67450
  • b (slope, estimate of beta)
    0.33739
  • a (intercept, estimate of alpha)
    0.20725
  • Mean Square Error
    0.01118
  • DF error
    25.00000
  • t(b)
    4.56809
  • p(b)
    0.00006
  • t(a)
    2.90057
  • p(a)
    0.00383
  • Lowerbound of 95% confidence interval for beta
    0.18527
  • Upperbound of 95% confidence interval for beta
    0.48950
  • Lowerbound of 95% confidence interval for alpha
    0.06009
  • Upperbound of 95% confidence interval for alpha
    0.35441
  • Treynor index (mean / b)
    0.77351
  • Jensen alpha (a)
    0.20725
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04393
  • Expected Shortfall on VaR
    0.05988
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00878
  • Expected Shortfall on VaR
    0.02225
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    27.00000
  • Minimum
    0.90746
  • Quartile 1
    1.00235
  • Median
    1.02695
  • Quartile 3
    1.05211
  • Maximum
    1.10009
  • Mean of quarter 1
    0.97725
  • Mean of quarter 2
    1.01264
  • Mean of quarter 3
    1.03932
  • Mean of quarter 4
    1.07349
  • Inter Quartile Range
    0.04976
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.03704
  • Mean of outliers low
    0.90746
  • 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)
    1.31392
  • VaR(95%) (regression method)
    0.02383
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00558
  • Quartile 1
    0.00580
  • Median
    0.00736
  • Quartile 3
    0.00993
  • Maximum
    0.09254
  • Mean of quarter 1
    0.00569
  • Mean of quarter 2
    0.00736
  • Mean of quarter 3
    0.00993
  • Mean of quarter 4
    0.09254
  • Inter Quartile Range
    0.00413
  • 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
    0.20000
  • Mean of outliers high
    0.09254
  • 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)
    0.40689
  • Compounded annual return (geometric extrapolation)
    0.33493
  • Calmar ratio (compounded annual return / max draw down)
    3.61928
  • Compounded annual return / average of 25% largest draw downs
    3.61928
  • Compounded annual return / Expected Shortfall lognormal
    5.59311
  • 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
    0.27383
  • SD
    0.15307
  • Sharpe ratio (Glass type estimate)
    1.78900
  • Sharpe ratio (Hedges UMVUE)
    1.78673
  • df
    590.00000
  • t
    2.68692
  • p
    0.00371
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.47928
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.09722
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.47777
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.09569
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.60334
  • Upside Potential Ratio
    9.65737
  • Upside part of mean
    1.01582
  • Downside part of mean
    -0.74198
  • Upside SD
    0.11230
  • Downside SD
    0.10519
  • N nonnegative terms
    343.00000
  • N negative terms
    248.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    591.00000
  • Mean of predictor
    0.19002
  • Mean of criterion
    0.27383
  • SD of predictor
    0.24899
  • SD of criterion
    0.15307
  • Covariance
    0.01273
  • r
    0.33398
  • b (slope, estimate of beta)
    0.20531
  • a (intercept, estimate of alpha)
    0.23500
  • Mean Square Error
    0.02085
  • DF error
    589.00000
  • t(b)
    8.59916
  • p(b)
    -0.00000
  • t(a)
    2.43969
  • p(a)
    0.00750
  • Lowerbound of 95% confidence interval for beta
    0.15842
  • Upperbound of 95% confidence interval for beta
    0.25220
  • Lowerbound of 95% confidence interval for alpha
    0.04578
  • Upperbound of 95% confidence interval for alpha
    0.42386
  • Treynor index (mean / b)
    1.33375
  • Jensen alpha (a)
    0.23482
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.26196
  • SD
    0.15321
  • Sharpe ratio (Glass type estimate)
    1.70986
  • Sharpe ratio (Hedges UMVUE)
    1.70768
  • df
    590.00000
  • t
    2.56805
  • p
    0.00524
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.40054
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.01779
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.39907
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.01630
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.46218
  • Upside Potential Ratio
    9.48810
  • Upside part of mean
    1.00948
  • Downside part of mean
    -0.74752
  • Upside SD
    0.11124
  • Downside SD
    0.10640
  • N nonnegative terms
    343.00000
  • N negative terms
    248.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    591.00000
  • Mean of predictor
    0.15874
  • Mean of criterion
    0.26196
  • SD of predictor
    0.25064
  • SD of criterion
    0.15321
  • Covariance
    0.01289
  • r
    0.33570
  • b (slope, estimate of beta)
    0.20521
  • a (intercept, estimate of alpha)
    0.22939
  • Mean Square Error
    0.02086
  • DF error
    589.00000
  • t(b)
    8.64921
  • p(b)
    -0.00000
  • t(a)
    2.38340
  • p(a)
    0.00873
  • Lowerbound of 95% confidence interval for beta
    0.15861
  • Upperbound of 95% confidence interval for beta
    0.25180
  • Lowerbound of 95% confidence interval for alpha
    0.04036
  • Upperbound of 95% confidence interval for alpha
    0.41841
  • Treynor index (mean / b)
    1.27658
  • Jensen alpha (a)
    0.22939
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01446
  • Expected Shortfall on VaR
    0.01835
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00574
  • Expected Shortfall on VaR
    0.01214
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    591.00000
  • Minimum
    0.95340
  • Quartile 1
    0.99699
  • Median
    1.00150
  • Quartile 3
    1.00595
  • Maximum
    1.05056
  • Mean of quarter 1
    0.98975
  • Mean of quarter 2
    0.99939
  • Mean of quarter 3
    1.00356
  • Mean of quarter 4
    1.01192
  • Inter Quartile Range
    0.00897
  • Number outliers low
    24.00000
  • Percentage of outliers low
    0.04061
  • Mean of outliers low
    0.97522
  • Number of outliers high
    15.00000
  • Percentage of outliers high
    0.02538
  • Mean of outliers high
    1.02586
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.28561
  • VaR(95%) (moments method)
    0.00924
  • Expected Shortfall (moments method)
    0.01597
  • Extreme Value Index (regression method)
    0.19340
  • VaR(95%) (regression method)
    0.00918
  • Expected Shortfall (regression method)
    0.01468
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    52.00000
  • Minimum
    0.00009
  • Quartile 1
    0.00396
  • Median
    0.01080
  • Quartile 3
    0.02456
  • Maximum
    0.11364
  • Mean of quarter 1
    0.00131
  • Mean of quarter 2
    0.00678
  • Mean of quarter 3
    0.01864
  • Mean of quarter 4
    0.04941
  • Inter Quartile Range
    0.02060
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.07692
  • Mean of outliers high
    0.07508
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.49592
  • VaR(95%) (moments method)
    0.05138
  • Expected Shortfall (moments method)
    0.05892
  • Extreme Value Index (regression method)
    -0.05664
  • VaR(95%) (regression method)
    0.05740
  • Expected Shortfall (regression method)
    0.07550
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.40916
  • Compounded annual return (geometric extrapolation)
    0.33625
  • Calmar ratio (compounded annual return / max draw down)
    2.95897
  • Compounded annual return / average of 25% largest draw downs
    6.80590
  • Compounded annual return / Expected Shortfall lognormal
    18.32690
  • 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
    0.41190
  • SD
    0.14530
  • Sharpe ratio (Glass type estimate)
    2.83478
  • Sharpe ratio (Hedges UMVUE)
    2.81839
  • df
    130.00000
  • t
    2.00449
  • p
    0.41342
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.03641
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.62257
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.02550
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.61129
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.36751
  • Upside Potential Ratio
    11.38070
  • Upside part of mean
    1.07330
  • Downside part of mean
    -0.66140
  • Upside SD
    0.11271
  • Downside SD
    0.09431
  • N nonnegative terms
    83.00000
  • N negative terms
    48.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.25827
  • Mean of criterion
    0.41190
  • SD of predictor
    0.13597
  • SD of criterion
    0.14530
  • Covariance
    0.01048
  • r
    0.53070
  • b (slope, estimate of beta)
    0.56712
  • a (intercept, estimate of alpha)
    0.26542
  • Mean Square Error
    0.01528
  • DF error
    129.00000
  • t(b)
    7.11177
  • p(b)
    0.17875
  • t(a)
    1.50770
  • p(a)
    0.41647
  • Lowerbound of 95% confidence interval for beta
    0.40935
  • Upperbound of 95% confidence interval for beta
    0.72490
  • Lowerbound of 95% confidence interval for alpha
    -0.08289
  • Upperbound of 95% confidence interval for alpha
    0.61373
  • Treynor index (mean / b)
    0.72629
  • Jensen alpha (a)
    0.26542
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.40107
  • SD
    0.14525
  • Sharpe ratio (Glass type estimate)
    2.76124
  • Sharpe ratio (Hedges UMVUE)
    2.74527
  • df
    130.00000
  • t
    1.95249
  • p
    0.41561
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.03592
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.54806
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.04655
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.53710
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.21528
  • Upside Potential Ratio
    11.21330
  • Upside part of mean
    1.06690
  • Downside part of mean
    -0.66583
  • Upside SD
    0.11179
  • Downside SD
    0.09515
  • N nonnegative terms
    83.00000
  • N negative terms
    48.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.24894
  • Mean of criterion
    0.40107
  • SD of predictor
    0.13606
  • SD of criterion
    0.14525
  • Covariance
    0.01049
  • r
    0.53084
  • b (slope, estimate of beta)
    0.56668
  • a (intercept, estimate of alpha)
    0.26000
  • Mean Square Error
    0.01527
  • DF error
    129.00000
  • t(b)
    7.11439
  • p(b)
    0.17868
  • t(a)
    1.47829
  • p(a)
    0.41806
  • VAR (95 Confidence Intrvl)
    0.01400
  • Lowerbound of 95% confidence interval for beta
    0.40908
  • Upperbound of 95% confidence interval for beta
    0.72427
  • Lowerbound of 95% confidence interval for alpha
    -0.08798
  • Upperbound of 95% confidence interval for alpha
    0.60798
  • Treynor index (mean / b)
    0.70776
  • Jensen alpha (a)
    0.26000
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01314
  • Expected Shortfall on VaR
    0.01683
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00465
  • Expected Shortfall on VaR
    0.01008
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97530
  • Quartile 1
    0.99795
  • Median
    1.00184
  • Quartile 3
    1.00643
  • Maximum
    1.02789
  • Mean of quarter 1
    0.99055
  • Mean of quarter 2
    1.00022
  • Mean of quarter 3
    1.00382
  • Mean of quarter 4
    1.01219
  • Inter Quartile Range
    0.00848
  • Number outliers low
    7.00000
  • Percentage of outliers low
    0.05344
  • Mean of outliers low
    0.97957
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.03053
  • Mean of outliers high
    1.02409
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.07485
  • VaR(95%) (moments method)
    0.00646
  • Expected Shortfall (moments method)
    0.00889
  • Extreme Value Index (regression method)
    -0.29826
  • VaR(95%) (regression method)
    0.00935
  • Expected Shortfall (regression method)
    0.01206
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    17.00000
  • Minimum
    0.00023
  • Quartile 1
    0.00605
  • Median
    0.01961
  • Quartile 3
    0.02422
  • Maximum
    0.05081
  • Mean of quarter 1
    0.00226
  • Mean of quarter 2
    0.01472
  • Mean of quarter 3
    0.02230
  • Mean of quarter 4
    0.03929
  • Inter Quartile Range
    0.01817
  • 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)
    -2.44837
  • VaR(95%) (moments method)
    0.03981
  • Expected Shortfall (moments method)
    0.04007
  • Extreme Value Index (regression method)
    -0.61347
  • VaR(95%) (regression method)
    0.04685
  • Last 4 Months - Pcnt Negative
    0.25%
  • Expected Shortfall (regression method)
    0.05147
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -327390000
  • Max Equity Drawdown (num days)
    23
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.47846
  • Compounded annual return (geometric extrapolation)
    0.53568
  • Calmar ratio (compounded annual return / max draw down)
    10.54360
  • Compounded annual return / average of 25% largest draw downs
    13.63270
  • Compounded annual return / Expected Shortfall lognormal
    31.82860

Strategy Description

This portfolio will hold a maximum of 15 stocks that are drawn from a total universe of 114 'reliable' companies, all of which have been in business since 2002 or earlier. The 114 companies were chosen based upon how accurately their stock behavior can be 'modeled' with Neural Networks (AI) and Expert Systems. If drawdown over design limits is occurring, or if most of the 114 Models go to a Cash or Short state, then the Portfolio will reduce its market exposure so as to maintain active control of the drawdown, and the newly available Cash will be used to purchase the necessary number of shares of SH (a 1x S&P Inverse ETF) to provide active hedging.

Trading frequency is also a primary design criterion, and this Grail System Portfolio has been developed to require as low a trading frequency as is compatible with the targeted annualized gain.

All trades will be made with Market orders at the Open.

Summary Statistics

Strategy began
2019-04-07
Suggested Minimum Capital
$15,000
Rank at C2 %
Top 9.1%
Rank # 
#67
# Trades
329
# Profitable
153
% Profitable
46.5%
Net Dividends
Correlation S&P500
0.277
Sharpe Ratio
1.39
Sortino Ratio
2.06
Beta
0.18
Alpha
0.06
Leverage
0.90 Average
1.15 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

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

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

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

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

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

Latest Activity

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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.