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Bear Market Defence
(123765889)

Created by: Danny Danny
Started: 05/2019
Stocks
Last trade: 4 days ago
Trading style: Equity Hedged Equity Trend-following

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 $25.00 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.

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.
Trend-following
Category: Equity

Trend-following

Tries to take advantage of long, medium or short-term moves that seem to play out in various markets. Typically, trend-following analysis is backward looking; that is, it attempts to recognize and profit from already-established trends.
13.5%
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.

(18.1%)
Max Drawdown
422
Num Trades
33.9%
Win Trades
1.4 : 1
Profit Factor
52.9%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019                            +2.5%+1.5%+3.8%+4.8%(4.4%)(0.2%)(4.5%)+2.0%+5.2%
2020+4.2%+2.5%+11.2%(4.1%)(4.3%)(6.4%)+16.2%(3.6%)(1.1%)                  +13.0%

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 556 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 31 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
9/17/20 12:17 QQQ POWERSHARES QQQ SHORT 38 267.69 9/21 10:21 262.74 0.15%
Trade id #131225277
Max drawdown($167)
Time9/18/20 0:00
Quant open38
Worst price272.09
Drawdown as % of equity-0.15%
$187
Includes Typical Broker Commissions trade costs of $0.76
9/17/20 10:31 FSLY FASTLY INC SHORT 39 80.14 9/21 10:20 90.99 0.4%
Trade id #131221859
Max drawdown($457)
Time9/21/20 9:47
Quant open39
Worst price91.87
Drawdown as % of equity-0.40%
($424)
Includes Typical Broker Commissions trade costs of $0.78
8/13/20 9:30 PGF INVESCO FINANCIAL PFD LONG 2,848 18.75 9/21 10:20 18.57 0.43%
Trade id #130600231
Max drawdown($512)
Time9/8/20 0:00
Quant open2,848
Worst price18.57
Drawdown as % of equity-0.43%
($518)
Includes Typical Broker Commissions trade costs of $5.00
8/26/20 9:30 DUST DIREXION DAILY GOLD MINERS BEAR 2X SHORT 796 17.86 9/17 10:37 17.02 0.19%
Trade id #130793777
Max drawdown($222)
Time9/8/20 0:00
Quant open373
Worst price19.41
Drawdown as % of equity-0.19%
$661
Includes Typical Broker Commissions trade costs of $10.46
8/31/20 12:19 JDST DIREXION DAILY JR GOLD BEAR 2X SHORT 1,551 9.95 9/17 10:37 9.80 0.62%
Trade id #130897673
Max drawdown($732)
Time9/11/20 0:00
Quant open1,200
Worst price10.74
Drawdown as % of equity-0.62%
$216
Includes Typical Broker Commissions trade costs of $14.51
9/15/20 15:21 GLD SPDR GOLD SHARES LONG 96 183.49 9/17 10:31 182.56 0.16%
Trade id #131187427
Max drawdown($192)
Time9/17/20 9:43
Quant open96
Worst price181.48
Drawdown as % of equity-0.16%
($91)
Includes Typical Broker Commissions trade costs of $1.92
8/26/20 10:34 AEM AGNICO EAGLE MINES LIMITED LONG 102 79.88 9/17 10:31 83.44 0.36%
Trade id #130796215
Max drawdown($428)
Time9/8/20 0:00
Quant open102
Worst price75.68
Drawdown as % of equity-0.36%
$361
Includes Typical Broker Commissions trade costs of $2.04
9/9/20 10:11 ARLP ALLIANCE RESOURCE PARTNER SHORT 1,703 3.03 9/15 15:20 3.32 0.46%
Trade id #131086332
Max drawdown($544)
Time9/15/20 14:50
Quant open1,703
Worst price3.35
Drawdown as % of equity-0.46%
($499)
Includes Typical Broker Commissions trade costs of $5.00
9/8/20 9:30 SVXY PROSHARES SHORT VIX SHORT-TERM SHORT 231 31.73 9/15 9:30 35.61 0.78%
Trade id #131057680
Max drawdown($917)
Time9/14/20 0:00
Quant open231
Worst price35.70
Drawdown as % of equity-0.78%
($901)
Includes Typical Broker Commissions trade costs of $4.62
9/9/20 10:19 SPR SPIRIT AEROSYSTEMS HLDNGS SHORT 234 19.68 9/15 9:30 20.80 0.23%
Trade id #131086574
Max drawdown($271)
Time9/14/20 0:00
Quant open234
Worst price20.84
Drawdown as % of equity-0.23%
($267)
Includes Typical Broker Commissions trade costs of $4.68
8/26/20 9:59 SLV ISHARES SILVER TRUST LONG 383 25.05 9/4 9:30 24.85 0.13%
Trade id #130795221
Max drawdown($155)
Time9/3/20 0:00
Quant open383
Worst price24.64
Drawdown as % of equity-0.13%
($85)
Includes Typical Broker Commissions trade costs of $7.66
7/22/20 12:36 MMT MFS MULTI-MARKET INCOME COMMON LONG 4,086 5.62 9/3 15:04 5.95 0.1%
Trade id #130220949
Max drawdown($122)
Time7/22/20 14:23
Quant open4,086
Worst price5.59
Drawdown as % of equity-0.10%
$1,343
Includes Typical Broker Commissions trade costs of $5.00
8/10/20 10:20 PFF ISHARES S&P U.S. PREFERRED STO LONG 1,302 36.13 9/3 15:04 36.26 0%
Trade id #130538347
Max drawdown($4)
Time8/11/20 0:00
Quant open902
Worst price36.12
Drawdown as % of equity-0.00%
$159
Includes Typical Broker Commissions trade costs of $9.00
6/17/20 9:30 AOK ISHARES CORE CONSERVATIVE ALLO LONG 1,448 36.49 9/3 15:03 37.55 0.23%
Trade id #129601941
Max drawdown($246)
Time6/24/20 0:00
Quant open724
Worst price36.04
Drawdown as % of equity-0.23%
$1,521
Includes Typical Broker Commissions trade costs of $7.50
8/21/20 9:49 BTU PEABODY ENERGY CORP SHORT 1,052 2.48 8/31 9:30 2.55 0.1%
Trade id #130728334
Max drawdown($125)
Time8/28/20 0:00
Quant open1,052
Worst price2.60
Drawdown as % of equity-0.10%
($77)
Includes Typical Broker Commissions trade costs of $5.00
8/17/20 9:30 VGM INVESCO TRUST FOR INVESTMENT GRADE MUNI LONG 1,974 12.88 8/26 9:58 12.61 0.42%
Trade id #130647227
Max drawdown($507)
Time8/26/20 9:58
Quant open1,974
Worst price12.62
Drawdown as % of equity-0.42%
($523)
Includes Typical Broker Commissions trade costs of $5.00
8/17/20 9:30 IMRN IMMURON LTD ADR LONG 783 10.97 8/21 9:30 10.03 0.61%
Trade id #130647240
Max drawdown($760)
Time8/21/20 9:30
Quant open783
Worst price10.00
Drawdown as % of equity-0.61%
($744)
Includes Typical Broker Commissions trade costs of $5.00
7/27/20 11:10 CORN TEUCRIUM CORN SHORT 470 11.88 8/13 12:10 12.12 0.1%
Trade id #130293027
Max drawdown($122)
Time8/13/20 11:57
Quant open470
Worst price12.14
Drawdown as % of equity-0.10%
($119)
Includes Typical Broker Commissions trade costs of $9.40
7/6/20 9:30 SWAN AMPLIFY BLACKSWAN GROWTH & TREASURY CORE ETF LONG 971 31.02 8/11 11:59 31.98 0.17%
Trade id #129922227
Max drawdown($175)
Time7/6/20 10:08
Quant open971
Worst price30.84
Drawdown as % of equity-0.17%
$927
Includes Typical Broker Commissions trade costs of $5.00
7/27/20 15:58 SLV ISHARES SILVER TRUST LONG 1,218 22.75 8/11 11:59 25.11 0.88%
Trade id #130300981
Max drawdown($1,090)
Time7/30/20 0:00
Quant open768
Worst price21.40
Drawdown as % of equity-0.88%
$2,867
Includes Typical Broker Commissions trade costs of $9.50
6/17/20 10:37 DUST DIREXION DAILY GOLD MINERS BEAR 2X SHORT 270 29.72 8/11 11:33 19.79 0.18%
Trade id #129603755
Max drawdown($194)
Time6/18/20 0:00
Quant open135
Worst price32.39
Drawdown as % of equity-0.18%
$2,676
Includes Typical Broker Commissions trade costs of $5.40
6/8/20 9:30 JDST DIREXION DAILY JR GOLD BEAR 2X SHORT 524 15.60 8/11 11:33 11.93 0.22%
Trade id #129408560
Max drawdown($248)
Time6/15/20 0:00
Quant open106
Worst price24.21
Drawdown as % of equity-0.22%
$1,917
Includes Typical Broker Commissions trade costs of $7.74
8/4/20 9:58 ARLP ALLIANCE RESOURCE PARTNER SHORT 1,576 3.20 8/10 10:20 3.28 0.17%
Trade id #130444456
Max drawdown($220)
Time8/5/20 0:00
Quant open1,576
Worst price3.34
Drawdown as % of equity-0.17%
($125)
Includes Typical Broker Commissions trade costs of $5.00
8/3/20 13:55 EOLS EVOLUS INC. COMMON STOCK SHORT 802 3.15 8/10 10:19 3.62 0.29%
Trade id #130427839
Max drawdown($375)
Time8/10/20 10:19
Quant open802
Worst price3.62
Drawdown as % of equity-0.29%
($381)
Includes Typical Broker Commissions trade costs of $5.00
7/20/20 9:49 REV REVLON SHORT 442 8.60 8/7 9:30 7.32 n/a $557
Includes Typical Broker Commissions trade costs of $8.84
6/15/20 9:53 CATO CATO SHORT 330 8.29 8/5 9:30 7.80 0.24%
Trade id #129556124
Max drawdown($260)
Time6/16/20 0:00
Quant open330
Worst price9.08
Drawdown as % of equity-0.24%
$155
Includes Typical Broker Commissions trade costs of $6.60
7/20/20 9:51 BOIL PROSHARES ULTRA BLOOMBERG NATU SHORT 107 24.64 8/5 9:30 41.00 1.4%
Trade id #130165627
Max drawdown($1,764)
Time8/5/20 9:30
Quant open107
Worst price41.13
Drawdown as % of equity-1.40%
($1,753)
Includes Typical Broker Commissions trade costs of $2.14
6/18/20 15:54 TBT PROSHARES ULTRASHORT 20+ YEAR SHORT 2,094 16.09 8/3 13:42 14.83 0.23%
Trade id #129646787
Max drawdown($255)
Time6/19/20 0:00
Quant open947
Worst price16.51
Drawdown as % of equity-0.23%
$2,623
Includes Typical Broker Commissions trade costs of $18.00
6/26/20 12:26 ADAP ADAPTIMMUNE THERAPEUTICS PLC AMERICAN DEPOSITARY S LONG 484 9.80 7/27 9:30 8.87 0.6%
Trade id #129778049
Max drawdown($711)
Time7/16/20 0:00
Quant open484
Worst price8.33
Drawdown as % of equity-0.60%
($460)
Includes Typical Broker Commissions trade costs of $9.68
7/20/20 9:49 KRNY KEARNY FINANCIAL SHORT 650 7.45 7/23 10:22 7.52 0.09%
Trade id #130165519
Max drawdown($113)
Time7/21/20 0:00
Quant open650
Worst price7.62
Drawdown as % of equity-0.09%
($51)
Includes Typical Broker Commissions trade costs of $5.00

Statistics

  • Strategy began
    5/22/2019
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    493.22
  • Age
    16 months ago
  • What it trades
    Stocks
  • # Trades
    422
  • # Profitable
    143
  • % Profitable
    33.90%
  • Avg trade duration
    19.8 days
  • Max peak-to-valley drawdown
    18.1%
  • drawdown period
    April 28, 2020 - July 06, 2020
  • Annual Return (Compounded)
    13.5%
  • Avg win
    $581.46
  • Avg loss
    $239.99
  • Model Account Values (Raw)
  • Cash
    $116,986
  • Margin Used
    $129,013
  • Buying Power
    $1,274
  • Ratios
  • W:L ratio
    1.42:1
  • Sharpe Ratio
    0.69
  • Sortino Ratio
    1.14
  • Calmar Ratio
    1.015
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    3.34%
  • Correlation to SP500
    -0.13220
  • Return Percent SP500 (cumu) during strategy life
    15.48%
  • Return Statistics
  • Ann Return (w trading costs)
    13.5%
  • Slump
  • Current Slump as Pcnt Equity
    6.10%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.10%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.135%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    15.5%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    1.50%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    493
  • Popularity (Last 6 weeks)
    850
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    196
  • Popularity (7 days, Percentile 1000 scale)
    677
  • 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
    $240
  • Avg Win
    $581
  • Sum Trade PL (losers)
    $66,956.000
  • Age
  • Num Months filled monthly returns table
    17
  • Win / Loss
  • Sum Trade PL (winners)
    $83,149.000
  • # Winners
    143
  • Num Months Winners
    10
  • Dividends
  • Dividends Received in Model Acct
    5405
  • Win / Loss
  • # Losers
    279
  • % Winners
    33.9%
  • Frequency
  • Avg Position Time (mins)
    28455.10
  • Avg Position Time (hrs)
    474.25
  • Avg Trade Length
    19.8 days
  • Last Trade Ago
    4
  • Leverage
  • Daily leverage (average)
    2.24
  • Daily leverage (max)
    6.98
  • Regression
  • Alpha
    0.04
  • Beta
    -0.07
  • Treynor Index
    -0.51
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    27.16
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    4.91
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.04
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    59.953
  • 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
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.240
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.211
  • Hold-and-Hope Ratio
    -0.034
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.15847
  • SD
    0.22564
  • Sharpe ratio (Glass type estimate)
    0.70231
  • Sharpe ratio (Hedges UMVUE)
    0.66388
  • df
    14.00000
  • t
    0.78520
  • p
    0.39731
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.08173
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.46207
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.10632
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.43409
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.43601
  • Upside Potential Ratio
    3.54099
  • Upside part of mean
    0.39076
  • Downside part of mean
    -0.23229
  • Upside SD
    0.19348
  • Downside SD
    0.11035
  • N nonnegative terms
    8.00000
  • N negative terms
    7.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    15.00000
  • Mean of predictor
    0.16248
  • Mean of criterion
    0.15847
  • SD of predictor
    0.20752
  • SD of criterion
    0.22564
  • Covariance
    -0.01929
  • r
    -0.41190
  • b (slope, estimate of beta)
    -0.44786
  • a (intercept, estimate of alpha)
    0.23123
  • Mean Square Error
    0.04553
  • DF error
    13.00000
  • t(b)
    -1.62982
  • p(b)
    0.75461
  • t(a)
    1.17979
  • p(a)
    0.30526
  • Lowerbound of 95% confidence interval for beta
    -1.04152
  • Upperbound of 95% confidence interval for beta
    0.14579
  • Lowerbound of 95% confidence interval for alpha
    -0.19219
  • Upperbound of 95% confidence interval for alpha
    0.65466
  • Treynor index (mean / b)
    -0.35383
  • Jensen alpha (a)
    0.23123
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.13459
  • SD
    0.21818
  • Sharpe ratio (Glass type estimate)
    0.61687
  • Sharpe ratio (Hedges UMVUE)
    0.58312
  • df
    14.00000
  • t
    0.68968
  • p
    0.40936
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.16147
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.37377
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.18318
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.34942
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.18644
  • Upside Potential Ratio
    3.28499
  • Upside part of mean
    0.37265
  • Downside part of mean
    -0.23806
  • Upside SD
    0.18185
  • Downside SD
    0.11344
  • N nonnegative terms
    8.00000
  • N negative terms
    7.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    15.00000
  • Mean of predictor
    0.14076
  • Mean of criterion
    0.13459
  • SD of predictor
    0.21044
  • SD of criterion
    0.21818
  • Covariance
    -0.01948
  • r
    -0.42436
  • b (slope, estimate of beta)
    -0.43998
  • a (intercept, estimate of alpha)
    0.19652
  • Mean Square Error
    0.04203
  • DF error
    13.00000
  • t(b)
    -1.68974
  • p(b)
    0.76181
  • t(a)
    1.05090
  • p(a)
    0.32421
  • Lowerbound of 95% confidence interval for beta
    -1.00251
  • Upperbound of 95% confidence interval for beta
    0.12255
  • Lowerbound of 95% confidence interval for alpha
    -0.20748
  • Upperbound of 95% confidence interval for alpha
    0.60052
  • Treynor index (mean / b)
    -0.30590
  • Jensen alpha (a)
    0.19652
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.08824
  • Expected Shortfall on VaR
    0.11169
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.04359
  • Expected Shortfall on VaR
    0.07435
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    15.00000
  • Minimum
    0.92683
  • Quartile 1
    0.96278
  • Median
    1.01537
  • Quartile 3
    1.04340
  • Maximum
    1.16835
  • Mean of quarter 1
    0.94505
  • Mean of quarter 2
    0.99027
  • Mean of quarter 3
    1.03780
  • Mean of quarter 4
    1.09458
  • Inter Quartile Range
    0.08063
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.06667
  • Mean of outliers high
    1.16835
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.38939
  • VaR(95%) (moments method)
    0.06165
  • Expected Shortfall (moments method)
    0.06850
  • Extreme Value Index (regression method)
    0.41970
  • VaR(95%) (regression method)
    0.06731
  • Expected Shortfall (regression method)
    0.10140
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.03028
  • Quartile 1
    0.06481
  • Median
    0.09933
  • Quartile 3
    0.11756
  • Maximum
    0.13578
  • Mean of quarter 1
    0.03028
  • Mean of quarter 2
    0.09933
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.13578
  • Inter Quartile Range
    0.05275
  • 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)
    0.18018
  • Compounded annual return (geometric extrapolation)
    0.17644
  • Calmar ratio (compounded annual return / max draw down)
    1.29953
  • Compounded annual return / average of 25% largest draw downs
    1.29953
  • Compounded annual return / Expected Shortfall lognormal
    1.57981
  • 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
    0.13429
  • SD
    0.15627
  • Sharpe ratio (Glass type estimate)
    0.85935
  • Sharpe ratio (Hedges UMVUE)
    0.85748
  • df
    345.00000
  • t
    0.98754
  • p
    0.16204
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.84799
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.56549
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.84926
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.56421
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.49501
  • Upside Potential Ratio
    9.23575
  • Upside part of mean
    0.82961
  • Downside part of mean
    -0.69532
  • Upside SD
    0.12787
  • Downside SD
    0.08983
  • N nonnegative terms
    184.00000
  • N negative terms
    162.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    346.00000
  • Mean of predictor
    0.12726
  • Mean of criterion
    0.13429
  • SD of predictor
    0.30283
  • SD of criterion
    0.15627
  • Covariance
    -0.00720
  • r
    -0.15222
  • b (slope, estimate of beta)
    -0.07855
  • a (intercept, estimate of alpha)
    0.14400
  • Mean Square Error
    0.02392
  • DF error
    344.00000
  • t(b)
    -2.85647
  • p(b)
    0.99773
  • t(a)
    1.07164
  • p(a)
    0.14232
  • Lowerbound of 95% confidence interval for beta
    -0.13263
  • Upperbound of 95% confidence interval for beta
    -0.02446
  • Lowerbound of 95% confidence interval for alpha
    -0.12054
  • Upperbound of 95% confidence interval for alpha
    0.40911
  • Treynor index (mean / b)
    -1.70967
  • Jensen alpha (a)
    0.14429
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.12229
  • SD
    0.15417
  • Sharpe ratio (Glass type estimate)
    0.79321
  • Sharpe ratio (Hedges UMVUE)
    0.79148
  • df
    345.00000
  • t
    0.91153
  • p
    0.18132
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.91391
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.49922
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.91508
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.49804
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.35034
  • Upside Potential Ratio
    9.07223
  • Upside part of mean
    0.82161
  • Downside part of mean
    -0.69932
  • Upside SD
    0.12472
  • Downside SD
    0.09056
  • N nonnegative terms
    184.00000
  • N negative terms
    162.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    346.00000
  • Mean of predictor
    0.08109
  • Mean of criterion
    0.12229
  • SD of predictor
    0.30507
  • SD of criterion
    0.15417
  • Covariance
    -0.00731
  • r
    -0.15550
  • b (slope, estimate of beta)
    -0.07859
  • a (intercept, estimate of alpha)
    0.12866
  • Mean Square Error
    0.02326
  • DF error
    344.00000
  • t(b)
    -2.91960
  • p(b)
    0.99813
  • t(a)
    0.96930
  • p(a)
    0.16654
  • Lowerbound of 95% confidence interval for beta
    -0.13153
  • Upperbound of 95% confidence interval for beta
    -0.02564
  • Lowerbound of 95% confidence interval for alpha
    -0.13242
  • Upperbound of 95% confidence interval for alpha
    0.38974
  • Treynor index (mean / b)
    -1.55616
  • Jensen alpha (a)
    0.12866
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01509
  • Expected Shortfall on VaR
    0.01899
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00585
  • Expected Shortfall on VaR
    0.01168
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    346.00000
  • Minimum
    0.96928
  • Quartile 1
    0.99675
  • Median
    1.00044
  • Quartile 3
    1.00421
  • Maximum
    1.09290
  • Mean of quarter 1
    0.99076
  • Mean of quarter 2
    0.99891
  • Mean of quarter 3
    1.00215
  • Mean of quarter 4
    1.01066
  • Inter Quartile Range
    0.00746
  • Number outliers low
    16.00000
  • Percentage of outliers low
    0.04624
  • Mean of outliers low
    0.98096
  • Number of outliers high
    9.00000
  • Percentage of outliers high
    0.02601
  • Mean of outliers high
    1.03458
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.12988
  • VaR(95%) (moments method)
    0.00843
  • Expected Shortfall (moments method)
    0.01253
  • Extreme Value Index (regression method)
    0.09267
  • VaR(95%) (regression method)
    0.00789
  • Expected Shortfall (regression method)
    0.01128
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    13.00000
  • Minimum
    0.00152
  • Quartile 1
    0.00695
  • Median
    0.01308
  • Quartile 3
    0.03387
  • Maximum
    0.15967
  • Mean of quarter 1
    0.00422
  • Mean of quarter 2
    0.00949
  • Mean of quarter 3
    0.02442
  • Mean of quarter 4
    0.11918
  • Inter Quartile Range
    0.02692
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.23077
  • Mean of outliers high
    0.11918
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -12.42490
  • VaR(95%) (moments method)
    0.07890
  • Expected Shortfall (moments method)
    0.07890
  • Extreme Value Index (regression method)
    -0.81536
  • VaR(95%) (regression method)
    0.14109
  • Expected Shortfall (regression method)
    0.15642
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.16613
  • Compounded annual return (geometric extrapolation)
    0.16206
  • Calmar ratio (compounded annual return / max draw down)
    1.01498
  • Compounded annual return / average of 25% largest draw downs
    1.35986
  • Compounded annual return / Expected Shortfall lognormal
    8.53357
  • 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
    0.11648
  • SD
    0.22389
  • Sharpe ratio (Glass type estimate)
    0.52024
  • Sharpe ratio (Hedges UMVUE)
    0.51724
  • df
    130.00000
  • t
    0.36787
  • p
    0.48388
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.25325
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.29181
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.25528
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.28975
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.96452
  • Upside Potential Ratio
    9.52377
  • Upside part of mean
    1.15010
  • Downside part of mean
    -1.03362
  • Upside SD
    0.18765
  • Downside SD
    0.12076
  • N nonnegative terms
    67.00000
  • N negative terms
    64.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.58476
  • Mean of criterion
    0.11648
  • SD of predictor
    0.27737
  • SD of criterion
    0.22389
  • Covariance
    -0.00806
  • r
    -0.12976
  • b (slope, estimate of beta)
    -0.10474
  • a (intercept, estimate of alpha)
    0.17772
  • Mean Square Error
    0.04966
  • DF error
    129.00000
  • t(b)
    -1.48631
  • p(b)
    0.58237
  • t(a)
    0.55915
  • p(a)
    0.46871
  • Lowerbound of 95% confidence interval for beta
    -0.24416
  • Upperbound of 95% confidence interval for beta
    0.03469
  • Lowerbound of 95% confidence interval for alpha
    -0.45114
  • Upperbound of 95% confidence interval for alpha
    0.80659
  • Treynor index (mean / b)
    -1.11208
  • Jensen alpha (a)
    0.17772
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.09216
  • SD
    0.21996
  • Sharpe ratio (Glass type estimate)
    0.41899
  • Sharpe ratio (Hedges UMVUE)
    0.41657
  • df
    130.00000
  • t
    0.29627
  • p
    0.48701
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.35401
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.19054
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.35570
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.18883
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.75633
  • Upside Potential Ratio
    9.29859
  • Upside part of mean
    1.13305
  • Downside part of mean
    -1.04089
  • Upside SD
    0.18220
  • Downside SD
    0.12185
  • N nonnegative terms
    67.00000
  • N negative terms
    64.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.54607
  • Mean of criterion
    0.09216
  • SD of predictor
    0.27664
  • SD of criterion
    0.21996
  • Covariance
    -0.00834
  • r
    -0.13713
  • b (slope, estimate of beta)
    -0.10904
  • a (intercept, estimate of alpha)
    0.15170
  • Mean Square Error
    0.04784
  • DF error
    129.00000
  • t(b)
    -1.57240
  • p(b)
    0.58703
  • t(a)
    0.48680
  • p(a)
    0.47275
  • VAR (95 Confidence Intrvl)
    0.01500
  • Lowerbound of 95% confidence interval for beta
    -0.24623
  • Upperbound of 95% confidence interval for beta
    0.02816
  • Lowerbound of 95% confidence interval for alpha
    -0.46487
  • Upperbound of 95% confidence interval for alpha
    0.76827
  • Treynor index (mean / b)
    -0.84523
  • Jensen alpha (a)
    0.15170
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02176
  • Expected Shortfall on VaR
    0.02729
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00903
  • Expected Shortfall on VaR
    0.01695
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96928
  • Quartile 1
    0.99445
  • Median
    1.00013
  • Quartile 3
    1.00480
  • Maximum
    1.09290
  • Mean of quarter 1
    0.98670
  • Mean of quarter 2
    0.99786
  • Mean of quarter 3
    1.00216
  • Mean of quarter 4
    1.01554
  • Inter Quartile Range
    0.01034
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.02290
  • Mean of outliers low
    0.97354
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.03817
  • Mean of outliers high
    1.04768
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.59294
  • VaR(95%) (moments method)
    0.01304
  • Expected Shortfall (moments method)
    0.01478
  • Extreme Value Index (regression method)
    -0.01818
  • VaR(95%) (regression method)
    0.01223
  • Expected Shortfall (regression method)
    0.01612
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00152
  • Quartile 1
    0.00400
  • Median
    0.04905
  • Quartile 3
    0.10987
  • Maximum
    0.15967
  • Mean of quarter 1
    0.00152
  • Mean of quarter 2
    0.00482
  • Mean of quarter 3
    0.09327
  • Mean of quarter 4
    0.15967
  • Inter Quartile Range
    0.10587
  • 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
  • Last 4 Months - Pcnt Negative
    0.50%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -287504000
  • Max Equity Drawdown (num days)
    69
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.12374
  • Compounded annual return (geometric extrapolation)
    0.12757
  • Calmar ratio (compounded annual return / max draw down)
    0.79897
  • Compounded annual return / average of 25% largest draw downs
    0.79897
  • Compounded annual return / Expected Shortfall lognormal
    4.67525

Strategy Description

The system will short sell individual stocks that are in established downtrends and buy non-correlated assets, such as bonds or gold, that are in established uptrends.

The objective of the system is to hedge a long only portfolio. If the system is successful in meeting its objectives, it will perform well in bear markets and provide mediocre performance in bull markets.

Position sizing and risk management are based on my other system, "The Momentum of Now", which has a track record on Collective2 going back to the year 2012.

Summary Statistics

Strategy began
2019-05-22
Suggested Minimum Capital
$35,000
# Trades
422
# Profitable
143
% Profitable
33.9%
Net Dividends
Correlation S&P500
-0.132
Sharpe Ratio
0.69
Sortino Ratio
1.14
Beta
-0.07
Alpha
0.04
Leverage
2.24 Average
6.98 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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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.