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SUPER15 Hedged Stocks
(123231599)

Created by: CraigSchulenberg CraigSchulenberg
Started: 04/2019
Stocks
Last trade: 14 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 $125.00 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.

0.7%
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.

(6.5%)
Max Drawdown
34
Num Trades
58.8%
Win Trades
1.3 : 1
Profit Factor
66.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019                     +1.0%(5%)+4.9%                                    +0.7%

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 24 hours.

Trading Record

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
6/3/19 9:31 SH PROSHARES SHORT S&P500 LONG 442 28.55 6/5 9:31 27.81 0.35%
Trade id #123910861
Max drawdown($335)
Time6/5/19 6:18
Quant open442
Worst price27.79
Drawdown as % of equity-0.35%
($336)
Includes Typical Broker Commissions trade costs of $8.84
4/8/19 9:31 NFLX NETFLIX LONG 18 365.11 6/4 9:30 345.00 0.61%
Trade id #123237567
Max drawdown($584)
Time6/3/19 15:41
Quant open18
Worst price332.65
Drawdown as % of equity-0.61%
($362)
Includes Typical Broker Commissions trade costs of $0.36
5/31/19 9:30 BA BOEING LONG 18 345.85 6/3 9:31 338.20 0.17%
Trade id #123887141
Max drawdown($168)
Time6/3/19 8:19
Quant open18
Worst price336.50
Drawdown as % of equity-0.17%
($138)
Includes Typical Broker Commissions trade costs of $0.36
5/31/19 9:30 ADI ANALOG DEVICES LONG 62 96.99 6/3 9:31 97.31 0.03%
Trade id #123887146
Max drawdown($31)
Time5/31/19 9:36
Quant open62
Worst price96.48
Drawdown as % of equity-0.03%
$19
Includes Typical Broker Commissions trade costs of $1.24
5/29/19 9:30 SH PROSHARES SHORT S&P500 LONG 442 28.17 5/31 9:30 28.46 0.05%
Trade id #123858252
Max drawdown($48)
Time5/30/19 10:35
Quant open442
Worst price28.06
Drawdown as % of equity-0.05%
$119
Includes Typical Broker Commissions trade costs of $8.84
5/28/19 9:30 BA BOEING LONG 18 355.29 5/29 9:30 352.59 0.1%
Trade id #123842272
Max drawdown($95)
Time5/29/19 5:33
Quant open18
Worst price350.00
Drawdown as % of equity-0.10%
($49)
Includes Typical Broker Commissions trade costs of $0.36
5/28/19 9:31 ADI ANALOG DEVICES LONG 62 98.66 5/29 9:30 96.12 0.16%
Trade id #123842367
Max drawdown($157)
Time5/29/19 9:30
Quant open0
Worst price96.12
Drawdown as % of equity-0.16%
($158)
Includes Typical Broker Commissions trade costs of $1.24
5/24/19 9:30 SH PROSHARES SHORT S&P500 LONG 442 27.69 5/28 9:30 27.75 0.02%
Trade id #123809995
Max drawdown($24)
Time5/24/19 9:37
Quant open442
Worst price27.64
Drawdown as % of equity-0.02%
$18
Includes Typical Broker Commissions trade costs of $8.84
5/22/19 9:30 ADI ANALOG DEVICES LONG 64 98.84 5/24 9:30 99.57 0.08%
Trade id #123766787
Max drawdown($79)
Time5/23/19 10:11
Quant open64
Worst price97.60
Drawdown as % of equity-0.08%
$46
Includes Typical Broker Commissions trade costs of $1.28
5/21/19 9:30 BA BOEING LONG 17 358.03 5/24 9:30 355.00 0.3%
Trade id #123751243
Max drawdown($286)
Time5/23/19 9:47
Quant open17
Worst price341.15
Drawdown as % of equity-0.30%
($52)
Includes Typical Broker Commissions trade costs of $0.34
5/20/19 9:30 SH PROSHARES SHORT S&P500 LONG 465 27.64 5/22 9:30 27.50 0.14%
Trade id #123736171
Max drawdown($134)
Time5/21/19 10:58
Quant open465
Worst price27.35
Drawdown as % of equity-0.14%
($74)
Includes Typical Broker Commissions trade costs of $9.30
4/22/19 9:30 WY WEYERHAEUSER LONG 251 26.25 5/21 9:30 23.55 0.74%
Trade id #123384085
Max drawdown($707)
Time5/20/19 15:27
Quant open251
Worst price23.43
Drawdown as % of equity-0.74%
($683)
Includes Typical Broker Commissions trade costs of $5.02
5/15/19 9:30 BA BOEING LONG 19 339.80 5/20 9:30 353.00 0.04%
Trade id #123677741
Max drawdown($41)
Time5/15/19 10:08
Quant open19
Worst price337.64
Drawdown as % of equity-0.04%
$251
Includes Typical Broker Commissions trade costs of $0.38
4/8/19 9:31 ADI ANALOG DEVICES LONG 60 110.75 5/20 9:30 97.88 0.95%
Trade id #123237665
Max drawdown($931)
Time5/20/19 5:21
Quant open60
Worst price95.23
Drawdown as % of equity-0.95%
($773)
Includes Typical Broker Commissions trade costs of $1.20
5/14/19 9:31 SH PROSHARES SHORT S&P500 LONG 460 27.82 5/15 9:30 27.86 0.14%
Trade id #123660403
Max drawdown($138)
Time5/14/19 13:54
Quant open460
Worst price27.52
Drawdown as % of equity-0.14%
$9
Includes Typical Broker Commissions trade costs of $9.20
4/8/19 9:30 ORLY O'REILLY AUTOMOTIVE LONG 16 400.76 5/14 9:30 355.03 0.78%
Trade id #123237416
Max drawdown($749)
Time5/13/19 13:49
Quant open16
Worst price353.91
Drawdown as % of equity-0.78%
($732)
Includes Typical Broker Commissions trade costs of $0.32
4/8/19 9:30 BA BOEING LONG 17 376.20 5/14 9:30 339.90 0.71%
Trade id #123237453
Max drawdown($680)
Time5/13/19 16:46
Quant open17
Worst price336.18
Drawdown as % of equity-0.71%
($617)
Includes Typical Broker Commissions trade costs of $0.34
4/8/19 9:30 HRS HARRIS LONG 40 164.49 4/22 9:30 165.07 0.11%
Trade id #123237520
Max drawdown($104)
Time4/10/19 10:19
Quant open40
Worst price161.87
Drawdown as % of equity-0.11%
$22
Includes Typical Broker Commissions trade costs of $0.80
4/8/19 9:30 DLTR DOLLAR TREE STORES LONG 63 104.42 4/15 9:30 104.69 0.18%
Trade id #123237438
Max drawdown($184)
Time4/9/19 11:35
Quant open63
Worst price101.49
Drawdown as % of equity-0.18%
$16
Includes Typical Broker Commissions trade costs of $1.26

Statistics

  • Strategy began
    4/7/2019
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    72.68
  • Age
    73 days ago
  • What it trades
    Stocks
  • # Trades
    34
  • # Profitable
    20
  • % Profitable
    58.80%
  • Avg trade duration
    31.5 days
  • Max peak-to-valley drawdown
    6.51%
  • drawdown period
    April 24, 2019 - May 29, 2019
  • Cumul. Return
    0.7%
  • Avg win
    $279.15
  • Avg loss
    $326.36
  • Model Account Values (Raw)
  • Cash
    $47,883
  • Margin Used
    $0
  • Buying Power
    $52,306
  • Ratios
  • W:L ratio
    1.28:1
  • Sharpe Ratio
    0.17
  • Sortino Ratio
    0.23
  • Calmar Ratio
    1.039
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.65430
  • Return Statistics
  • Ann Return (w trading costs)
    3.5%
  • Ann Return (Compnd, No Fees)
    5.9%
  • 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)
    0
  • Popularity (Last 6 weeks)
    675
  • C2 Score
    43.8
  • 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
    $279
  • Avg Loss
    $324
  • # Winners
    20
  • # Losers
    14
  • % Winners
    58.8%
  • Frequency
  • Avg Position Time (mins)
    45353.60
  • Avg Position Time (hrs)
    755.89
  • Avg Trade Length
    31.5 days
  • Last Trade Ago
    14
  • Leverage
  • Daily leverage (average)
    1.01
  • Daily leverage (max)
    1.15
  • Unknown
  • Alpha
    0.00
  • Beta
    0.57
  • Treynor Index
    0.01
  • 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)
    0.02700

Strategy Description

This portfolio will hold a maximum of 15 stocks that are drawn from a total universe of 62 'reliable' companies, all of which have been in business since 2002 or earlier. The 62 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 62 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
# Trades
34
# Profitable
20
% Profitable
58.8%
Net Dividends
Correlation S&P500
0.654
Sharpe Ratio
0.17
Sortino Ratio
0.23
Beta
0.57
Alpha
0.00
Leverage
1.01 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

#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.