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These are hypothetical performance results that have certain inherent limitations. Learn more
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AgoraOpus US-EQ Next 10
(124653266)

Created by: AgoraOpus AgoraOpus
Started: 07/2019
Stocks
Last trade: 184 days ago
Trading style: Equity Non-hedged Equity

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

Subscription terms. Subscriptions to this system cost $89.00 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
Non-hedged Equity
Category: Equity

Non-hedged Equity

Predominantly long equities, although some hedging with short sales of stocks and/or stock index options. Commonly known as "stock-pickers."
4.2%
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.

(49.1%)
Max Drawdown
208
Num Trades
57.2%
Win Trades
1.4 : 1
Profit Factor
52.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019                                          (2%)+1.0%(2.7%)(3.5%)+4.3%+0.2%(3%)
2020+2.7%(7.9%)(27.3%)+19.3%+13.3%(4.5%)+15.2%+6.8%+2.6%+1.7%(22.6%)+35.7%+19.7%
2021(1.3%)+6.0%+1.1%+11.5%+0.8%(1.1%)+0.6%+1.3%(4%)+5.7%(2.1%)+1.6%+21.0%
2022(15.6%)(0.2%)(15.7%)(12.1%)(3.3%)(4%)+12.1%(4.8%)(11.6%)(0.3%)+11.2%(2.4%)(40.9%)
2023+12.0%(2.8%)+5.6%+0.3%+3.2%+13.5%+6.5%(7%)(3.2%)(12.4%)+25.0%  -  0.0
2024(4.7%)+6.2%(5.9%)                                                (4.7%)

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 120 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
9/14/20 9:39 ATVI ACTIVISION BLIZZARD LONG 71 78.95 10/23/23 9:30 94.62 n/a $1,112
Includes Typical Broker Commissions trade costs of $1.42
10/5/20 9:39 FBIN FORTUNE BRANDS INNOVATIONS INC LONG 62 88.37 12/16/22 9:32 57.51 5.68%
Trade id #131515044
Max drawdown($2,409)
Time12/15/22 0:00
Quant open62
Worst price49.51
Drawdown as % of equity-5.68%
 ($1,914)
Includes Typical Broker Commissions trade costs of $1.24
9/28/20 9:39 NOW SERVICENOW LONG 11 482.43 10/5 9:39 494.02 0.07%
Trade id #131391841
Max drawdown($38)
Time9/28/20 9:51
Quant open11
Worst price478.97
Drawdown as % of equity-0.07%
 $127
Includes Typical Broker Commissions trade costs of $0.22
9/21/20 9:39 FAST FASTENAL LONG 125 43.45 10/5 9:39 45.01 0.09%
Trade id #131268789
Max drawdown($50)
Time9/21/20 10:40
Quant open125
Worst price43.05
Drawdown as % of equity-0.09%
 $193
Includes Typical Broker Commissions trade costs of $2.50
9/14/20 9:39 FCX FREEPORT-MCMORAN INC LONG 349 16.35 10/5 9:39 16.27 1.09%
Trade id #131158404
Max drawdown($578)
Time9/24/20 0:00
Quant open341
Worst price14.67
Drawdown as % of equity-1.09%
 ($34)
Includes Typical Broker Commissions trade costs of $6.98
8/31/20 9:39 MELI MERCADOLIBRE LONG 6 1122.18 10/5 9:39 1075.11 1.42%
Trade id #130892756
Max drawdown($763)
Time9/17/20 0:00
Quant open4
Worst price959.87
Drawdown as % of equity-1.42%
 ($282)
Includes Typical Broker Commissions trade costs of $0.12
8/31/20 9:39 KBH KB HOME LONG 181 35.74 10/5 9:39 39.39 0.68%
Trade id #130892753
Max drawdown($359)
Time9/4/20 0:00
Quant open172
Worst price33.56
Drawdown as % of equity-0.68%
 $656
Includes Typical Broker Commissions trade costs of $3.62
9/21/20 9:39 NKE NIKE LONG 48 112.31 9/28 9:39 124.29 0.05%
Trade id #131268800
Max drawdown($27)
Time9/21/20 9:42
Quant open48
Worst price111.74
Drawdown as % of equity-0.05%
 $574
Includes Typical Broker Commissions trade costs of $0.96
9/14/20 9:39 TSLA TESLA INC. LONG 13 375.19 9/28 9:39 426.22 0.54%
Trade id #131158414
Max drawdown($286)
Time9/24/20 0:00
Quant open12
Worst price351.30
Drawdown as % of equity-0.54%
 $663
Includes Typical Broker Commissions trade costs of $0.26
9/14/20 9:39 ABBV ABBVIE INC LONG 61 89.47 9/28 9:39 87.56 0.48%
Trade id #131158394
Max drawdown($252)
Time9/24/20 0:00
Quant open61
Worst price85.32
Drawdown as % of equity-0.48%
 ($117)
Includes Typical Broker Commissions trade costs of $1.22
9/14/20 9:39 NOW SERVICENOW LONG 11 452.77 9/21 9:39 448.15 0.22%
Trade id #131158411
Max drawdown($118)
Time9/17/20 0:00
Quant open11
Worst price442.00
Drawdown as % of equity-0.22%
 ($51)
Includes Typical Broker Commissions trade costs of $0.22
9/8/20 9:39 FBHS FORTUNE BRANDS HOME LONG 63 81.24 9/21 9:39 81.86 0.11%
Trade id #131058917
Max drawdown($56)
Time9/8/20 9:44
Quant open63
Worst price80.35
Drawdown as % of equity-0.11%
 $38
Includes Typical Broker Commissions trade costs of $1.26
9/8/20 9:39 SQ BLOCK INC LONG 36 141.57 9/14 9:39 140.32 0.52%
Trade id #131058934
Max drawdown($263)
Time9/11/20 0:00
Quant open36
Worst price134.26
Drawdown as % of equity-0.52%
 ($46)
Includes Typical Broker Commissions trade costs of $0.72
9/8/20 9:39 IBP INSTALLED BUILDING PRODUCTS LONG 59 87.67 9/14 9:39 95.13 0.04%
Trade id #131058923
Max drawdown($21)
Time9/8/20 9:43
Quant open59
Worst price87.30
Drawdown as % of equity-0.04%
 $439
Includes Typical Broker Commissions trade costs of $1.18
9/8/20 9:39 HOV HOVNANIAN ENTERPRISES LONG 185 28.11 9/14 9:39 31.32 n/a $590
Includes Typical Broker Commissions trade costs of $3.70
8/24/20 9:39 DG DOLLAR GENERAL LONG 30 199.48 9/14 9:39 199.92 0.51%
Trade id #130755937
Max drawdown($261)
Time9/8/20 0:00
Quant open30
Worst price190.76
Drawdown as % of equity-0.51%
 $12
Includes Typical Broker Commissions trade costs of $0.60
7/27/20 9:39 CASY CASEY'S GENERAL STORES LONG 43 166.25 9/14 9:39 177.33 0.34%
Trade id #130290130
Max drawdown($168)
Time7/31/20 0:00
Quant open30
Worst price157.05
Drawdown as % of equity-0.34%
 $476
Includes Typical Broker Commissions trade costs of $0.86
8/31/20 9:39 UPS UNITED PARCEL SERVICE LONG 37 162.95 9/8 9:39 158.49 0.58%
Trade id #130892759
Max drawdown($307)
Time9/4/20 0:00
Quant open37
Worst price154.63
Drawdown as % of equity-0.58%
 ($166)
Includes Typical Broker Commissions trade costs of $0.74
8/24/20 9:39 FAST FASTENAL LONG 126 48.46 9/8 9:39 44.94 0.94%
Trade id #130755942
Max drawdown($479)
Time9/8/20 9:31
Quant open126
Worst price44.65
Drawdown as % of equity-0.94%
 ($446)
Includes Typical Broker Commissions trade costs of $2.52
8/24/20 9:39 BMY BRISTOL-MYERS SQUIBB LONG 98 62.39 9/8 9:39 59.25 0.62%
Trade id #130755930
Max drawdown($314)
Time9/8/20 9:39
Quant open98
Worst price59.17
Drawdown as % of equity-0.62%
 ($309)
Includes Typical Broker Commissions trade costs of $1.96
7/20/20 9:39 DPZ DOMINO'S PIZZA LONG 18 389.69 9/8 9:39 388.32 0.35%
Trade id #130165012
Max drawdown($186)
Time9/4/20 0:00
Quant open14
Worst price376.33
Drawdown as % of equity-0.35%
 ($24)
Includes Typical Broker Commissions trade costs of $0.36
8/24/20 9:39 IBP INSTALLED BUILDING PRODUCTS LONG 62 88.24 8/31 9:39 86.40 0.19%
Trade id #130755948
Max drawdown($105)
Time8/31/20 9:37
Quant open62
Worst price86.54
Drawdown as % of equity-0.19%
 ($115)
Includes Typical Broker Commissions trade costs of $1.24
8/24/20 9:39 HOV HOVNANIAN ENTERPRISES LONG 163 34.03 8/31 9:39 32.19 0.58%
Trade id #130755945
Max drawdown($317)
Time8/27/20 0:00
Quant open163
Worst price32.08
Drawdown as % of equity-0.58%
 ($303)
Includes Typical Broker Commissions trade costs of $3.26
8/10/20 10:39 LEN LENNAR LONG 88 75.99 8/31 9:39 75.10 0.36%
Trade id #130539034
Max drawdown($187)
Time8/12/20 0:00
Quant open67
Worst price73.28
Drawdown as % of equity-0.36%
 ($80)
Includes Typical Broker Commissions trade costs of $1.76
8/3/20 9:39 TPH TRI POINTE HOMES INC LONG 385 17.23 8/31 9:39 17.09 0.25%
Trade id #130418651
Max drawdown($129)
Time8/7/20 0:00
Quant open294
Worst price16.66
Drawdown as % of equity-0.25%
 ($62)
Includes Typical Broker Commissions trade costs of $7.70
8/17/20 9:39 KBH KB HOME LONG 182 36.51 8/24 9:39 37.41 0.2%
Trade id #130647863
Max drawdown($105)
Time8/17/20 9:50
Quant open182
Worst price35.93
Drawdown as % of equity-0.20%
 $160
Includes Typical Broker Commissions trade costs of $3.64
8/10/20 10:39 WSO WATSCO LONG 27 239.16 8/24 9:39 240.00 0.2%
Trade id #130539041
Max drawdown($103)
Time8/12/20 0:00
Quant open21
Worst price234.21
Drawdown as % of equity-0.20%
 $22
Includes Typical Broker Commissions trade costs of $0.54
7/13/20 9:39 PHM PULTEGROUP LONG 178 36.83 8/24 9:39 46.16 0.35%
Trade id #130045535
Max drawdown($164)
Time7/14/20 0:00
Quant open146
Worst price33.71
Drawdown as % of equity-0.35%
 $1,656
Includes Typical Broker Commissions trade costs of $3.56
8/10/20 10:39 AMRC AMERESCO LONG 168 30.53 8/17 9:39 31.09 0.22%
Trade id #130539020
Max drawdown($115)
Time8/11/20 0:00
Quant open168
Worst price29.84
Drawdown as % of equity-0.22%
 $91
Includes Typical Broker Commissions trade costs of $3.36
8/3/20 9:39 HOV HOVNANIAN ENTERPRISES LONG 211 23.75 8/17 9:39 28.86 n/a $1,074
Includes Typical Broker Commissions trade costs of $4.22
Next

Statistics

  • Strategy began
    7/29/2019
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    1726.42
  • Age
    58 months ago
  • What it trades
    Stocks
  • # Trades
    208
  • # Profitable
    119
  • % Profitable
    57.20%
  • Avg trade duration
    81.3 days
  • Max peak-to-valley drawdown
    49.13%
  • drawdown period
    Feb 19, 2020 - March 23, 2020
  • Annual Return (Compounded)
    4.2%
  • Avg win
    $485.35
  • Avg loss
    $481.69
  • Model Account Values (Raw)
  • Cash
    $36,992
  • Margin Used
    $0
  • Buying Power
    $52,220
  • Ratios
  • W:L ratio
    1.40:1
  • Sharpe Ratio
    0.25
  • Sortino Ratio
    0.38
  • Calmar Ratio
    0.574
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -43.83%
  • Correlation to SP500
    0.60580
  • Return Percent SP500 (cumu) during strategy life
    67.42%
  • Return Statistics
  • Ann Return (w trading costs)
    4.2%
  • Slump
  • Current Slump as Pcnt Equity
    11.80%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.51%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.042%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    7.5%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    26.50%
  • Chance of 20% account loss
    n/a
  • 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)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $482
  • Avg Win
    $485
  • Sum Trade PL (losers)
    $42,870.000
  • Age
  • Num Months filled monthly returns table
    58
  • Win / Loss
  • Sum Trade PL (winners)
    $57,757.000
  • # Winners
    119
  • Num Months Winners
    30
  • Dividends
  • Dividends Received in Model Acct
    2394
  • Win / Loss
  • # Losers
    89
  • % Winners
    57.2%
  • Frequency
  • Avg Position Time (mins)
    117005.00
  • Avg Position Time (hrs)
    1950.08
  • Avg Trade Length
    81.3 days
  • Last Trade Ago
    179
  • Leverage
  • Daily leverage (average)
    1.00
  • Daily leverage (max)
    1.82
  • Regression
  • Alpha
    -0.01
  • Beta
    1.17
  • Treynor Index
    0.03
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.80
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    0.947
  • 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
    0.06
  • Avg(MAE) / Avg(PL) - Winning trades
    0.310
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.809
  • Hold-and-Hope Ratio
    0.737
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.22282
  • SD
    0.56345
  • Sharpe ratio (Glass type estimate)
    0.39547
  • Sharpe ratio (Hedges UMVUE)
    0.37530
  • df
    15.00000
  • t
    0.45664
  • p
    0.42563
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.31417
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.09216
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.32738
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.07798
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.55447
  • Upside Potential Ratio
    2.03186
  • Upside part of mean
    0.81654
  • Downside part of mean
    -0.59372
  • Upside SD
    0.37453
  • Downside SD
    0.40187
  • N nonnegative terms
    10.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    16.00000
  • Mean of predictor
    0.25468
  • Mean of criterion
    0.22282
  • SD of predictor
    0.30874
  • SD of criterion
    0.56345
  • Covariance
    0.15914
  • r
    0.91480
  • b (slope, estimate of beta)
    1.66947
  • a (intercept, estimate of alpha)
    -0.20236
  • Mean Square Error
    0.05550
  • DF error
    14.00000
  • t(b)
    8.47416
  • p(b)
    0.04260
  • t(a)
    -0.96321
  • p(a)
    0.62465
  • Lowerbound of 95% confidence interval for beta
    1.24693
  • Upperbound of 95% confidence interval for beta
    2.09201
  • Lowerbound of 95% confidence interval for alpha
    -0.65297
  • Upperbound of 95% confidence interval for alpha
    0.24824
  • Treynor index (mean / b)
    0.13347
  • Jensen alpha (a)
    -0.20236
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.05597
  • SD
    0.61530
  • Sharpe ratio (Glass type estimate)
    0.09097
  • Sharpe ratio (Hedges UMVUE)
    0.08633
  • df
    15.00000
  • t
    0.10504
  • p
    0.48274
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.60820
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.78718
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.61133
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.78399
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.11455
  • Upside Potential Ratio
    1.54066
  • Upside part of mean
    0.75281
  • Downside part of mean
    -0.69684
  • Upside SD
    0.34122
  • Downside SD
    0.48863
  • N nonnegative terms
    10.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    16.00000
  • Mean of predictor
    0.20658
  • Mean of criterion
    0.05597
  • SD of predictor
    0.31342
  • SD of criterion
    0.61530
  • Covariance
    0.17721
  • r
    0.91891
  • b (slope, estimate of beta)
    1.80400
  • a (intercept, estimate of alpha)
    -0.31670
  • Mean Square Error
    0.06312
  • DF error
    14.00000
  • t(b)
    8.71639
  • p(b)
    0.04054
  • t(a)
    -1.42829
  • p(a)
    0.67831
  • Lowerbound of 95% confidence interval for beta
    1.36010
  • Upperbound of 95% confidence interval for beta
    2.24790
  • Lowerbound of 95% confidence interval for alpha
    -0.79226
  • Upperbound of 95% confidence interval for alpha
    0.15887
  • Treynor index (mean / b)
    0.03103
  • Jensen alpha (a)
    -0.31670
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.24986
  • Expected Shortfall on VaR
    0.30205
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.09247
  • Expected Shortfall on VaR
    0.20077
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    16.00000
  • Minimum
    0.62157
  • Quartile 1
    0.97712
  • Median
    1.02609
  • Quartile 3
    1.12113
  • Maximum
    1.24133
  • Mean of quarter 1
    0.81509
  • Mean of quarter 2
    0.99476
  • Mean of quarter 3
    1.07630
  • Mean of quarter 4
    1.19745
  • Inter Quartile Range
    0.14400
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.12500
  • Mean of outliers low
    0.68856
  • 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)
    -1.49439
  • VaR(95%) (moments method)
    0.12022
  • Expected Shortfall (moments method)
    0.12853
  • Extreme Value Index (regression method)
    -0.20276
  • VaR(95%) (regression method)
    0.32225
  • Expected Shortfall (regression method)
    0.45387
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.07053
  • Quartile 1
    0.18870
  • Median
    0.30686
  • Quartile 3
    0.34264
  • Maximum
    0.37843
  • Mean of quarter 1
    0.07053
  • Mean of quarter 2
    0.30686
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.37843
  • Inter Quartile Range
    0.15395
  • 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)
    0.08875
  • Compounded annual return (geometric extrapolation)
    0.08750
  • Calmar ratio (compounded annual return / max draw down)
    0.23122
  • Compounded annual return / average of 25% largest draw downs
    0.23122
  • Compounded annual return / Expected Shortfall lognormal
    0.28968
  • 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
    0.47187
  • SD
    0.72113
  • Sharpe ratio (Glass type estimate)
    0.65435
  • Sharpe ratio (Hedges UMVUE)
    0.65301
  • df
    366.00000
  • t
    0.77445
  • p
    0.21958
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.00278
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.31062
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.00369
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.30970
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.98485
  • Upside Potential Ratio
    7.03573
  • Upside part of mean
    3.37104
  • Downside part of mean
    -2.89917
  • Upside SD
    0.53842
  • Downside SD
    0.47913
  • N nonnegative terms
    205.00000
  • N negative terms
    162.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    367.00000
  • Mean of predictor
    0.43877
  • Mean of criterion
    0.47187
  • SD of predictor
    0.39967
  • SD of criterion
    0.72113
  • Covariance
    0.19083
  • r
    0.66211
  • b (slope, estimate of beta)
    1.19466
  • a (intercept, estimate of alpha)
    -0.05200
  • Mean Square Error
    0.29285
  • DF error
    365.00000
  • t(b)
    16.87940
  • p(b)
    -0.00000
  • t(a)
    -0.11414
  • p(a)
    0.54540
  • Lowerbound of 95% confidence interval for beta
    1.05548
  • Upperbound of 95% confidence interval for beta
    1.33384
  • Lowerbound of 95% confidence interval for alpha
    -0.95353
  • Upperbound of 95% confidence interval for alpha
    0.84891
  • Treynor index (mean / b)
    0.39498
  • Jensen alpha (a)
    -0.05231
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.21566
  • SD
    0.71614
  • Sharpe ratio (Glass type estimate)
    0.30113
  • Sharpe ratio (Hedges UMVUE)
    0.30052
  • df
    366.00000
  • t
    0.35641
  • p
    0.36087
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.35520
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.95713
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.35564
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.95668
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.41768
  • Upside Potential Ratio
    6.27762
  • Upside part of mean
    3.24124
  • Downside part of mean
    -3.02558
  • Upside SD
    0.49503
  • Downside SD
    0.51632
  • N nonnegative terms
    205.00000
  • N negative terms
    162.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    367.00000
  • Mean of predictor
    0.35967
  • Mean of criterion
    0.21566
  • SD of predictor
    0.39662
  • SD of criterion
    0.71614
  • Covariance
    0.18494
  • r
    0.65113
  • b (slope, estimate of beta)
    1.17568
  • a (intercept, estimate of alpha)
    -0.20720
  • Mean Square Error
    0.29623
  • DF error
    365.00000
  • t(b)
    16.39030
  • p(b)
    -0.00000
  • t(a)
    -0.44985
  • p(a)
    0.67346
  • Lowerbound of 95% confidence interval for beta
    1.03462
  • Upperbound of 95% confidence interval for beta
    1.31673
  • Lowerbound of 95% confidence interval for alpha
    -1.11295
  • Upperbound of 95% confidence interval for alpha
    0.69855
  • Treynor index (mean / b)
    0.18343
  • Jensen alpha (a)
    -0.20720
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06942
  • Expected Shortfall on VaR
    0.08635
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02288
  • Expected Shortfall on VaR
    0.05042
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    367.00000
  • Minimum
    0.77901
  • Quartile 1
    0.99035
  • Median
    1.00219
  • Quartile 3
    1.01288
  • Maximum
    1.31113
  • Mean of quarter 1
    0.95886
  • Mean of quarter 2
    0.99744
  • Mean of quarter 3
    1.00697
  • Mean of quarter 4
    1.04442
  • Inter Quartile Range
    0.02253
  • Number outliers low
    21.00000
  • Percentage of outliers low
    0.05722
  • Mean of outliers low
    0.89806
  • Number of outliers high
    28.00000
  • Percentage of outliers high
    0.07629
  • Mean of outliers high
    1.09053
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.41879
  • VaR(95%) (moments method)
    0.03506
  • Expected Shortfall (moments method)
    0.07222
  • Extreme Value Index (regression method)
    0.35677
  • VaR(95%) (regression method)
    0.03541
  • Expected Shortfall (regression method)
    0.06786
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    18.00000
  • Minimum
    0.00157
  • Quartile 1
    0.02104
  • Median
    0.05016
  • Quartile 3
    0.09040
  • Maximum
    0.48044
  • Mean of quarter 1
    0.01154
  • Mean of quarter 2
    0.03342
  • Mean of quarter 3
    0.06703
  • Mean of quarter 4
    0.29047
  • Inter Quartile Range
    0.06936
  • 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
    0.22222
  • Mean of outliers high
    0.33916
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -3.98042
  • VaR(95%) (moments method)
    0.23946
  • Expected Shortfall (moments method)
    0.23976
  • Extreme Value Index (regression method)
    -1.18397
  • VaR(95%) (regression method)
    0.45980
  • Expected Shortfall (regression method)
    0.49193
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.29027
  • Compounded annual return (geometric extrapolation)
    0.27579
  • Calmar ratio (compounded annual return / max draw down)
    0.57403
  • Compounded annual return / average of 25% largest draw downs
    0.94945
  • Compounded annual return / Expected Shortfall lognormal
    3.19394
  • 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
    1.17867
  • SD
    1.06618
  • Sharpe ratio (Glass type estimate)
    1.10551
  • Sharpe ratio (Hedges UMVUE)
    1.09912
  • df
    130.00000
  • t
    0.78171
  • p
    0.46580
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.67161
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.87852
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.67591
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.87414
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.71534
  • Upside Potential Ratio
    8.43415
  • Upside part of mean
    5.79541
  • Downside part of mean
    -4.61674
  • Upside SD
    0.81315
  • Downside SD
    0.68714
  • N nonnegative terms
    74.00000
  • N negative terms
    57.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    1.03829
  • Mean of criterion
    1.17867
  • SD of predictor
    0.46768
  • SD of criterion
    1.06618
  • Covariance
    0.29947
  • r
    0.60059
  • b (slope, estimate of beta)
    1.36917
  • a (intercept, estimate of alpha)
    -0.24293
  • Mean Square Error
    0.73235
  • DF error
    129.00000
  • t(b)
    8.53134
  • p(b)
    0.14208
  • t(a)
    -0.19885
  • p(a)
    0.51114
  • Lowerbound of 95% confidence interval for beta
    1.05164
  • Upperbound of 95% confidence interval for beta
    1.68670
  • Lowerbound of 95% confidence interval for alpha
    -2.66003
  • Upperbound of 95% confidence interval for alpha
    2.17417
  • Treynor index (mean / b)
    0.86087
  • Jensen alpha (a)
    -0.24293
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.62330
  • SD
    1.05524
  • Sharpe ratio (Glass type estimate)
    0.59067
  • Sharpe ratio (Hedges UMVUE)
    0.58726
  • df
    130.00000
  • t
    0.41767
  • p
    0.48170
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.18315
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.36232
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.18547
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.35998
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.83344
  • Upside Potential Ratio
    7.35924
  • Upside part of mean
    5.50368
  • Downside part of mean
    -4.88038
  • Upside SD
    0.73974
  • Downside SD
    0.74786
  • N nonnegative terms
    74.00000
  • N negative terms
    57.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.93126
  • Mean of criterion
    0.62330
  • SD of predictor
    0.45703
  • SD of criterion
    1.05524
  • Covariance
    0.27886
  • r
    0.57821
  • b (slope, estimate of beta)
    1.33504
  • a (intercept, estimate of alpha)
    -0.61996
  • Mean Square Error
    0.74699
  • DF error
    129.00000
  • t(b)
    8.04915
  • p(b)
    0.15359
  • t(a)
    -0.50321
  • p(a)
    0.52817
  • VAR (95 Confidence Intrvl)
    0.06900
  • Lowerbound of 95% confidence interval for beta
    1.00688
  • Upperbound of 95% confidence interval for beta
    1.66320
  • Lowerbound of 95% confidence interval for alpha
    -3.05752
  • Upperbound of 95% confidence interval for alpha
    1.81760
  • Treynor index (mean / b)
    0.46688
  • Jensen alpha (a)
    -0.61996
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.09954
  • Expected Shortfall on VaR
    0.12349
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03643
  • Expected Shortfall on VaR
    0.07793
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.77901
  • Quartile 1
    0.98091
  • Median
    1.00426
  • Quartile 3
    1.02840
  • Maximum
    1.31113
  • Mean of quarter 1
    0.93698
  • Mean of quarter 2
    0.99395
  • Mean of quarter 3
    1.01547
  • Mean of quarter 4
    1.07236
  • Inter Quartile Range
    0.04749
  • Number outliers low
    8.00000
  • Percentage of outliers low
    0.06107
  • Mean of outliers low
    0.84995
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.03817
  • Mean of outliers high
    1.20491
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.58504
  • VaR(95%) (moments method)
    0.06539
  • Expected Shortfall (moments method)
    0.17320
  • Extreme Value Index (regression method)
    0.43265
  • VaR(95%) (regression method)
    0.05431
  • Expected Shortfall (regression method)
    0.10776
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    13.00000
  • Minimum
    0.00349
  • Quartile 1
    0.01925
  • Median
    0.04639
  • Quartile 3
    0.07442
  • Maximum
    0.42101
  • Mean of quarter 1
    0.01271
  • Mean of quarter 2
    0.03355
  • Mean of quarter 3
    0.06676
  • Mean of quarter 4
    0.29206
  • Inter Quartile Range
    0.05517
  • 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
    0.29206
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -7.31854
  • VaR(95%) (moments method)
    0.18594
  • Expected Shortfall (moments method)
    0.18594
  • Extreme Value Index (regression method)
    -0.59780
  • VaR(95%) (regression method)
    0.40200
  • Last 4 Months - Pcnt Negative
    0.50%
  • Expected Shortfall (regression method)
    0.46880
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -328661000
  • Max Equity Drawdown (num days)
    33
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.76973
  • Compounded annual return (geometric extrapolation)
    0.91785
  • Calmar ratio (compounded annual return / max draw down)
    2.18014
  • Compounded annual return / average of 25% largest draw downs
    3.14266
  • Compounded annual return / Expected Shortfall lognormal
    7.43270

Strategy Description

Using advanced statistical models, 10 companies are selected. Long only, rebalanced on Mondays.

If you want to learn more about the strategy, please take a look at the website on portfolio.construction.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2019-07-29
Suggested Minimum Capital
$15,000
# Trades
208
# Profitable
119
% Profitable
57.2%
Net Dividends
$2,394
Correlation S&P500
0.606
Sharpe Ratio
0.25
Sortino Ratio
0.38
Beta
1.17
Alpha
-0.01
Leverage
1.00 Average
1.82 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.