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Dividend Kings IRA
(125357542)

Created by: Anthony_R Anthony_R
Started: 09/2019
Stocks
Last trade: 256 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 $100.00 per month.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

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."
4.9%
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.

(45.2%)
Max Drawdown
17
Num Trades
82.4%
Win Trades
2.0 : 1
Profit Factor
53.8%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019                                                        (2.4%)(0.9%)+7.8%+5.9%+10.5%
2020(5.5%)(11.7%)(23.5%)+4.9%+11.4%+3.7%+21.0%+2.8%(1.1%)                  (4.9%)

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

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
12/17/19 13:11 SJR SHAW COMMUNICATIONS LONG 200 20.15 1/7/20 14:17 20.56 0.21%
Trade id #126658018
Max drawdown($24)
Time12/23/19 0:00
Quant open200
Worst price20.03
Drawdown as % of equity-0.21%
$78
Includes Typical Broker Commissions trade costs of $4.00
12/20/19 12:16 NOC NORTHROP GRUMMAN LONG 10 343.09 1/2/20 14:29 352.00 0.03%
Trade id #126706102
Max drawdown($3)
Time12/31/19 0:00
Quant open10
Worst price342.73
Drawdown as % of equity-0.03%
$89
Includes Typical Broker Commissions trade costs of $0.20
12/17/19 12:59 GM GENERAL MOTORS LONG 100 36.23 12/20 9:30 37.50 0.06%
Trade id #126657780
Max drawdown($7)
Time12/17/19 13:37
Quant open100
Worst price36.16
Drawdown as % of equity-0.06%
$125
Includes Typical Broker Commissions trade costs of $2.00
9/16/19 9:31 F FORD MOTOR LONG 1,100 8.71 12/17 9:30 9.39 2.41%
Trade id #125366914
Max drawdown($233)
Time10/31/19 0:00
Quant open1,100
Worst price8.50
Drawdown as % of equity-2.41%
$733
Includes Typical Broker Commissions trade costs of $13.50
9/16/19 9:31 BP BP LONG 30 39.85 12/17 9:30 37.51 1.28%
Trade id #125366933
Max drawdown($119)
Time10/3/19 0:00
Quant open30
Worst price35.88
Drawdown as % of equity-1.28%
($71)
Includes Typical Broker Commissions trade costs of $0.60
12/11/19 9:31 M MACY'S LONG 300 15.72 12/16 11:20 15.73 1.51%
Trade id #126575694
Max drawdown($165)
Time12/13/19 0:00
Quant open300
Worst price15.17
Drawdown as % of equity-1.51%
($3)
Includes Typical Broker Commissions trade costs of $6.00
9/16/19 9:31 AINV APOLLO INVESTMENT LONG 200 16.91 12/4 13:45 17.03 3.58%
Trade id #125366931
Max drawdown($346)
Time10/2/19 0:00
Quant open200
Worst price15.18
Drawdown as % of equity-3.58%
$20
Includes Typical Broker Commissions trade costs of $4.00
11/26/19 9:32 KO COCA-COLA LONG 100 53.22 12/3 9:30 53.75 0.35%
Trade id #126368007
Max drawdown($37)
Time12/2/19 0:00
Quant open100
Worst price52.85
Drawdown as % of equity-0.35%
$51
Includes Typical Broker Commissions trade costs of $2.00
9/19/19 9:30 CLF CLEVELAND-CLIFFS INC LONG 231 7.84 11/22 10:24 7.90 2.87%
Trade id #125415147
Max drawdown($288)
Time10/23/19 0:00
Quant open231
Worst price6.59
Drawdown as % of equity-2.87%
$9
Includes Typical Broker Commissions trade costs of $4.62
9/17/19 13:23 KO COCA-COLA LONG 39 53.96 10/18 12:58 55.06 0.47%
Trade id #125388898
Max drawdown($44)
Time10/3/19 0:00
Quant open39
Worst price52.82
Drawdown as % of equity-0.47%
$42
Includes Typical Broker Commissions trade costs of $0.78
9/16/19 9:31 T AT&T LONG 25 37.70 10/16 9:30 37.95 0.3%
Trade id #125366937
Max drawdown($30)
Time9/18/19 0:00
Quant open25
Worst price36.49
Drawdown as % of equity-0.30%
$6
Includes Typical Broker Commissions trade costs of $0.50
9/17/19 9:32 IRM IRON MOUNTAIN INC REIT LONG 50 32.19 10/14 11:35 32.31 0.58%
Trade id #125382269
Max drawdown($56)
Time9/24/19 0:00
Quant open50
Worst price31.05
Drawdown as % of equity-0.58%
$5
Includes Typical Broker Commissions trade costs of $1.00
9/16/19 9:31 O REALTY INCOME LONG 20 72.74 10/1 0:00 76.83 n/a $82
Includes Typical Broker Commissions trade costs of $0.40
9/16/19 9:31 PM PHILIP MORRIS LONG 50 72.18 9/30 13:48 76.13 0.82%
Trade id #125366921
Max drawdown($80)
Time9/23/19 0:00
Quant open50
Worst price70.57
Drawdown as % of equity-0.82%
$197
Includes Typical Broker Commissions trade costs of $1.00

Statistics

  • Strategy began
    9/14/2019
  • Suggested Minimum Cap
    $10,000
  • Strategy Age (days)
    374.41
  • Age
    13 months ago
  • What it trades
    Stocks
  • # Trades
    17
  • # Profitable
    14
  • % Profitable
    82.40%
  • Avg trade duration
    74.7 days
  • Max peak-to-valley drawdown
    45.22%
  • drawdown period
    Jan 03, 2020 - March 19, 2020
  • Annual Return (Compounded)
    5.0%
  • Avg win
    $178.14
  • Avg loss
    $629.67
  • Model Account Values (Raw)
  • Cash
    $6,445
  • Margin Used
    $0
  • Buying Power
    $5,647
  • Ratios
  • W:L ratio
    1.98:1
  • Sharpe Ratio
    0.32
  • Sortino Ratio
    0.47
  • Calmar Ratio
    0.544
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -5.12%
  • Correlation to SP500
    0.57880
  • Return Percent SP500 (cumu) during strategy life
    9.68%
  • Return Statistics
  • Ann Return (w trading costs)
    5.0%
  • Slump
  • Current Slump as Pcnt Equity
    7.70%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.71%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.050%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    11.8%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    4.00%
  • 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)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • 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
    $630
  • Avg Win
    $178
  • Sum Trade PL (losers)
    $1,889.000
  • Age
  • Num Months filled monthly returns table
    13
  • Win / Loss
  • Sum Trade PL (winners)
    $2,494.000
  • # Winners
    14
  • Num Months Winners
    7
  • Dividends
  • Dividends Received in Model Acct
    620
  • Win / Loss
  • # Losers
    3
  • % Winners
    82.3%
  • Frequency
  • Avg Position Time (mins)
    107595.00
  • Avg Position Time (hrs)
    1793.25
  • Avg Trade Length
    74.7 days
  • Last Trade Ago
    253
  • Leverage
  • Daily leverage (average)
    1.30
  • Daily leverage (max)
    1.95
  • Regression
  • Alpha
    0.01
  • Beta
    0.79
  • Treynor Index
    0.05
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.06
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    6.30
  • MAE:Equity, average, winning trades
    0.02
  • MAE:Equity, average, losing trades
    0.24
  • Avg(MAE) / Avg(PL) - All trades
    15.566
  • 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
    0.29
  • Avg(MAE) / Avg(PL) - Winning trades
    0.926
  • Avg(MAE) / Avg(PL) - Losing trades
    -2.550
  • Hold-and-Hope Ratio
    0.139
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.09501
  • SD
    0.28331
  • Sharpe ratio (Glass type estimate)
    -0.33535
  • Sharpe ratio (Hedges UMVUE)
    -0.28195
  • df
    5.00000
  • t
    -0.23713
  • p
    0.58902
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.09841
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.45993
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.05926
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.49536
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.43402
  • Upside Potential Ratio
    1.45309
  • Upside part of mean
    0.31809
  • Downside part of mean
    -0.41310
  • Upside SD
    0.14043
  • Downside SD
    0.21890
  • N nonnegative terms
    4.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    6.00000
  • Mean of predictor
    0.05746
  • Mean of criterion
    -0.09501
  • SD of predictor
    0.15493
  • SD of criterion
    0.28331
  • Covariance
    0.03502
  • r
    0.79782
  • b (slope, estimate of beta)
    1.45893
  • a (intercept, estimate of alpha)
    -0.17884
  • Mean Square Error
    0.03647
  • DF error
    4.00000
  • t(b)
    2.64658
  • p(b)
    0.02859
  • t(a)
    -0.65769
  • p(a)
    0.72667
  • Lowerbound of 95% confidence interval for beta
    -0.07189
  • Upperbound of 95% confidence interval for beta
    2.98975
  • Lowerbound of 95% confidence interval for alpha
    -0.93396
  • Upperbound of 95% confidence interval for alpha
    0.57628
  • Treynor index (mean / b)
    -0.06512
  • Jensen alpha (a)
    -0.17884
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.13018
  • SD
    0.29249
  • Sharpe ratio (Glass type estimate)
    -0.44509
  • Sharpe ratio (Hedges UMVUE)
    -0.37421
  • df
    5.00000
  • t
    -0.31472
  • p
    0.61716
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.20849
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.36095
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.15570
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.40728
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.55756
  • Upside Potential Ratio
    1.31922
  • Upside part of mean
    0.30802
  • Downside part of mean
    -0.43821
  • Upside SD
    0.13486
  • Downside SD
    0.23349
  • N nonnegative terms
    4.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    6.00000
  • Mean of predictor
    0.04699
  • Mean of criterion
    -0.13018
  • SD of predictor
    0.15786
  • SD of criterion
    0.29249
  • Covariance
    0.03766
  • r
    0.81572
  • b (slope, estimate of beta)
    1.51142
  • a (intercept, estimate of alpha)
    -0.20120
  • Mean Square Error
    0.03578
  • DF error
    4.00000
  • t(b)
    2.82034
  • p(b)
    0.02391
  • t(a)
    -0.74879
  • p(a)
    0.75219
  • Lowerbound of 95% confidence interval for beta
    0.02323
  • Upperbound of 95% confidence interval for beta
    2.99961
  • Lowerbound of 95% confidence interval for alpha
    -0.94736
  • Upperbound of 95% confidence interval for alpha
    0.54497
  • Treynor index (mean / b)
    -0.08613
  • Jensen alpha (a)
    -0.20120
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.13906
  • Expected Shortfall on VaR
    0.16850
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.06185
  • Expected Shortfall on VaR
    0.12141
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    6.00000
  • Minimum
    0.86280
  • Quartile 1
    0.95569
  • Median
    1.02291
  • Quartile 3
    1.02954
  • Maximum
    1.09282
  • Mean of quarter 1
    0.89905
  • Mean of quarter 2
    1.01683
  • Mean of quarter 3
    1.02899
  • Mean of quarter 4
    1.06127
  • Inter Quartile Range
    0.07386
  • 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 for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.19302
  • Quartile 1
    0.19302
  • Median
    0.19302
  • Quartile 3
    0.19302
  • Maximum
    0.19302
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • 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)
    -0.09971
  • Compounded annual return (geometric extrapolation)
    -0.09722
  • Calmar ratio (compounded annual return / max draw down)
    -0.50369
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -0.57696
  • 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
    0.27564
  • SD
    0.44475
  • Sharpe ratio (Glass type estimate)
    0.61977
  • Sharpe ratio (Hedges UMVUE)
    0.61660
  • df
    147.00000
  • t
    0.46581
  • p
    0.47557
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.98992
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.22753
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.99211
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.22531
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.90139
  • Upside Potential Ratio
    7.07914
  • Upside part of mean
    2.16476
  • Downside part of mean
    -1.88912
  • Upside SD
    0.32131
  • Downside SD
    0.30579
  • N nonnegative terms
    79.00000
  • N negative terms
    69.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    148.00000
  • Mean of predictor
    0.25363
  • Mean of criterion
    0.27564
  • SD of predictor
    0.36064
  • SD of criterion
    0.44475
  • Covariance
    0.08722
  • r
    0.54381
  • b (slope, estimate of beta)
    0.67063
  • a (intercept, estimate of alpha)
    0.10600
  • Mean Square Error
    0.14026
  • DF error
    146.00000
  • t(b)
    7.82989
  • p(b)
    0.22809
  • t(a)
    0.21161
  • p(a)
    0.49124
  • Lowerbound of 95% confidence interval for beta
    0.50136
  • Upperbound of 95% confidence interval for beta
    0.83990
  • Lowerbound of 95% confidence interval for alpha
    -0.88018
  • Upperbound of 95% confidence interval for alpha
    1.09128
  • Treynor index (mean / b)
    0.41102
  • Jensen alpha (a)
    0.10555
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.17675
  • SD
    0.44692
  • Sharpe ratio (Glass type estimate)
    0.39549
  • Sharpe ratio (Hedges UMVUE)
    0.39347
  • df
    147.00000
  • t
    0.29725
  • p
    0.48440
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.21330
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.00300
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.21468
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.00162
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.55186
  • Upside Potential Ratio
    6.60470
  • Upside part of mean
    2.11538
  • Downside part of mean
    -1.93863
  • Upside SD
    0.30971
  • Downside SD
    0.32028
  • N nonnegative terms
    79.00000
  • N negative terms
    69.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    148.00000
  • Mean of predictor
    0.18730
  • Mean of criterion
    0.17675
  • SD of predictor
    0.36765
  • SD of criterion
    0.44692
  • Covariance
    0.08924
  • r
    0.54313
  • b (slope, estimate of beta)
    0.66022
  • a (intercept, estimate of alpha)
    0.05309
  • Mean Square Error
    0.14178
  • DF error
    146.00000
  • t(b)
    7.81591
  • p(b)
    0.22844
  • t(a)
    0.10592
  • p(a)
    0.49562
  • Lowerbound of 95% confidence interval for beta
    0.49328
  • Upperbound of 95% confidence interval for beta
    0.82717
  • Lowerbound of 95% confidence interval for alpha
    -0.93752
  • Upperbound of 95% confidence interval for alpha
    1.04371
  • Treynor index (mean / b)
    0.26771
  • Jensen alpha (a)
    0.05309
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04375
  • Expected Shortfall on VaR
    0.05467
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01551
  • Expected Shortfall on VaR
    0.03371
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    148.00000
  • Minimum
    0.87276
  • Quartile 1
    0.99338
  • Median
    1.00063
  • Quartile 3
    1.00860
  • Maximum
    1.12366
  • Mean of quarter 1
    0.97367
  • Mean of quarter 2
    0.99774
  • Mean of quarter 3
    1.00381
  • Mean of quarter 4
    1.02942
  • Inter Quartile Range
    0.01522
  • Number outliers low
    8.00000
  • Percentage of outliers low
    0.05405
  • Mean of outliers low
    0.93540
  • Number of outliers high
    8.00000
  • Percentage of outliers high
    0.05405
  • Mean of outliers high
    1.07444
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.38409
  • VaR(95%) (moments method)
    0.02280
  • Expected Shortfall (moments method)
    0.04464
  • Extreme Value Index (regression method)
    0.34211
  • VaR(95%) (regression method)
    0.02498
  • Expected Shortfall (regression method)
    0.04733
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    12.00000
  • Minimum
    0.00099
  • Quartile 1
    0.00365
  • Median
    0.00679
  • Quartile 3
    0.03441
  • Maximum
    0.41762
  • Mean of quarter 1
    0.00197
  • Mean of quarter 2
    0.00497
  • Mean of quarter 3
    0.01845
  • Mean of quarter 4
    0.16783
  • Inter Quartile Range
    0.03076
  • 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
    0.08333
  • Mean of outliers high
    0.41762
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    1.11019
  • VaR(95%) (moments method)
    0.16554
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    5.00778
  • VaR(95%) (regression method)
    0.68175
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.21696
  • Compounded annual return (geometric extrapolation)
    0.22711
  • Calmar ratio (compounded annual return / max draw down)
    0.54381
  • Compounded annual return / average of 25% largest draw downs
    1.35318
  • Compounded annual return / Expected Shortfall lognormal
    4.15379
  • 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
    0.38938
  • SD
    0.46735
  • Sharpe ratio (Glass type estimate)
    0.83317
  • Sharpe ratio (Hedges UMVUE)
    0.82835
  • df
    130.00000
  • t
    0.58914
  • p
    0.47420
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.94206
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.60525
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.94529
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.60198
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.21570
  • Upside Potential Ratio
    7.27837
  • Upside part of mean
    2.33118
  • Downside part of mean
    -1.94181
  • Upside SD
    0.33873
  • Downside SD
    0.32029
  • 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
    0.34199
  • Mean of criterion
    0.38938
  • SD of predictor
    0.37988
  • SD of criterion
    0.46735
  • Covariance
    0.09608
  • r
    0.54118
  • b (slope, estimate of beta)
    0.66579
  • a (intercept, estimate of alpha)
    0.16168
  • Mean Square Error
    0.15564
  • DF error
    129.00000
  • t(b)
    7.30954
  • p(b)
    0.17312
  • t(a)
    0.28934
  • p(a)
    0.48379
  • Lowerbound of 95% confidence interval for beta
    0.48557
  • Upperbound of 95% confidence interval for beta
    0.84600
  • Lowerbound of 95% confidence interval for alpha
    -0.94391
  • Upperbound of 95% confidence interval for alpha
    1.26728
  • Treynor index (mean / b)
    0.58484
  • Jensen alpha (a)
    0.16168
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.28014
  • SD
    0.46974
  • Sharpe ratio (Glass type estimate)
    0.59636
  • Sharpe ratio (Hedges UMVUE)
    0.59292
  • df
    130.00000
  • t
    0.42169
  • p
    0.48152
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.17748
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.36803
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.17983
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.36566
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.83421
  • Upside Potential Ratio
    6.77865
  • Upside part of mean
    2.27635
  • Downside part of mean
    -1.99622
  • Upside SD
    0.32635
  • Downside SD
    0.33581
  • 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
    0.26833
  • Mean of criterion
    0.28014
  • SD of predictor
    0.38744
  • SD of criterion
    0.46974
  • Covariance
    0.09840
  • r
    0.54065
  • b (slope, estimate of beta)
    0.65550
  • a (intercept, estimate of alpha)
    0.10425
  • Mean Square Error
    0.15737
  • DF error
    129.00000
  • t(b)
    7.29940
  • p(b)
    0.17340
  • t(a)
    0.18564
  • p(a)
    0.48960
  • VAR (95 Confidence Intrvl)
    0.04400
  • Lowerbound of 95% confidence interval for beta
    0.47782
  • Upperbound of 95% confidence interval for beta
    0.83317
  • Lowerbound of 95% confidence interval for alpha
    -1.00676
  • Upperbound of 95% confidence interval for alpha
    1.21525
  • Treynor index (mean / b)
    0.42737
  • Jensen alpha (a)
    0.10425
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04559
  • Expected Shortfall on VaR
    0.05704
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01517
  • Expected Shortfall on VaR
    0.03350
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.87276
  • Quartile 1
    0.99397
  • Median
    1.00075
  • Quartile 3
    1.00882
  • Maximum
    1.12366
  • Mean of quarter 1
    0.97260
  • Mean of quarter 2
    0.99830
  • Mean of quarter 3
    1.00436
  • Mean of quarter 4
    1.03118
  • Inter Quartile Range
    0.01485
  • Number outliers low
    11.00000
  • Percentage of outliers low
    0.08397
  • Mean of outliers low
    0.94514
  • Number of outliers high
    8.00000
  • Percentage of outliers high
    0.06107
  • Mean of outliers high
    1.07444
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.41092
  • VaR(95%) (moments method)
    0.02320
  • Expected Shortfall (moments method)
    0.04746
  • Extreme Value Index (regression method)
    0.37239
  • VaR(95%) (regression method)
    0.02643
  • Expected Shortfall (regression method)
    0.05261
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    12.00000
  • Minimum
    0.00099
  • Quartile 1
    0.00299
  • Median
    0.00558
  • Quartile 3
    0.01997
  • Maximum
    0.41762
  • Mean of quarter 1
    0.00142
  • Mean of quarter 2
    0.00392
  • Mean of quarter 3
    0.00979
  • Mean of quarter 4
    0.16340
  • Inter Quartile Range
    0.01699
  • 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
    0.08333
  • Mean of outliers high
    0.41762
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    1.18704
  • VaR(95%) (moments method)
    0.15262
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    4.64971
  • VaR(95%) (regression method)
    0.63386
  • Last 4 Months - Pcnt Negative
    0.25%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -337379000
  • Max Equity Drawdown (num days)
    76
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.33303
  • Compounded annual return (geometric extrapolation)
    0.36076
  • Calmar ratio (compounded annual return / max draw down)
    0.86386
  • Compounded annual return / average of 25% largest draw downs
    2.20786
  • Compounded annual return / Expected Shortfall lognormal
    6.32438

Strategy Description

This fund is for long-term investors (beginner to expert) seeking reliable dividend income. This strategy focuses on value stocks that have a solid dividend payout rate, even when the markets pull back.

Generally speaking, as the market value increases, the portfolio value will increase. If market decreases and dividends continue to pay out (and are re-invested), dividend rate of return will increase over time.

This is a measured strategy for investors who value:

- preservation of capital
- reliable dividend income
- long-term, buy, hold & grow strategy
- diversified income across market sectors

This fund will be re-balanced as needed to accomplish the stated objectives of capital preservation, growth and dividend income. The minimum recommended investment is $10K, with the lowest minimum at $5K. The lower the investment amount, the more you will be affected be commission fees. The trades within this fund will be minimal to support investors at the $10K level.

The fee will be maintained at a low level to support IRA investors. Let me guide your IRA/ROTH IRA strategy and watch your fund grow over time!

Look out for Dividend Kings Class A & B strategies coming soon!

Summary Statistics

Strategy began
2019-09-14
Suggested Minimum Capital
$15,000
# Trades
17
# Profitable
14
% Profitable
82.4%
Net Dividends
Correlation S&P500
0.579
Sharpe Ratio
0.32
Sortino Ratio
0.47
Beta
0.79
Alpha
0.01
Leverage
1.30 Average
1.95 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

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

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

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

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

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

Latest Activity

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Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.

Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

Material assumptions and methods used when calculating results

The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.

  • Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
  • Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been re-scaled downward to make current go-forward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
  • All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any per-trade AutoTrade fees, plus estimated broker commissions if any.
  • "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.

Trading is risky

There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.

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Suggested Minimum Capital

This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.