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GardCap Discretionary
(126454200)

Created by: GardCap GardCap
Started: 12/2019
Stocks
Last trade: 3 days ago
Trading style: Equity Non-hedged Equity Short-term Reversal

Subscriptions not available

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

Subscription terms. You can subscribe to this system for free.

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."
Short-term Reversal
Category: Equity

Short-term Reversal

Exploits the tendency of stocks with strong gains and stocks with strong losses to reverse in a short-term time frame (up to one month).
18.0%
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.

(12.4%)
Max Drawdown
96
Num Trades
60.4%
Win Trades
3.4 : 1
Profit Factor
72.2%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019                                                                             +1.2%+1.2%
2020+0.8%+0.9%(0.9%)+0.3%  -  (0.5%)+5.5%+0.1%  -  (0.7%)+4.0%+4.0%+14.0%
2021+2.2%+3.2%+0.9%+1.1%+2.6%                                          +10.4%

Model Account Details

A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.

Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.

Trading Record

This strategy has placed 187 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
4/29/21 14:33 EWZ ISHARES MSCI BRAZIL ETF LONG 1,000 36.44 5/13 11:59 37.27 0.43%
Trade id #135380483
Max drawdown($1,346)
Time5/4/21 0:00
Quant open1,000
Worst price35.09
Drawdown as % of equity-0.43%
$817
Includes Typical Broker Commissions trade costs of $12.50
11/24/20 10:46 CCJ CAMECO LONG 2,500 10.20 5/13/21 10:57 15.11 0.38%
Trade id #132427648
Max drawdown($1,037)
Time12/2/20 0:00
Quant open2,500
Worst price9.78
Drawdown as % of equity-0.38%
$12,269
Includes Typical Broker Commissions trade costs of $17.50
5/7/21 11:01 MJ ETFMG ALTERNATIVE HARVEST ETF LONG 500 21.43 5/10 14:23 20.77 0.11%
Trade id #135508770
Max drawdown($341)
Time5/10/21 14:22
Quant open500
Worst price20.75
Drawdown as % of equity-0.11%
($341)
Includes Typical Broker Commissions trade costs of $10.00
5/6/21 15:56 QQQ POWERSHARES QQQ LONG 100 331.09 5/7 12:45 334.59 n/a $348
Includes Typical Broker Commissions trade costs of $2.00
4/5/21 9:49 EWW ISHARES MSCI MEXICO ETF LONG 1,000 44.69 4/29 11:32 46.17 0.04%
Trade id #135003394
Max drawdown($126)
Time4/13/21 0:00
Quant open1,000
Worst price44.56
Drawdown as % of equity-0.04%
$1,475
Includes Typical Broker Commissions trade costs of $7.50
4/22/21 10:41 PLG PLATINUM GROUP METAL LONG 1,000 4.82 4/29 9:53 4.92 0.12%
Trade id #135269590
Max drawdown($359)
Time4/22/21 14:05
Quant open1,000
Worst price4.46
Drawdown as % of equity-0.12%
$98
Includes Typical Broker Commissions trade costs of $5.00
4/8/21 11:45 GDX VANECK VECTORS GOLD MINERS ETF LONG 1,000 34.57 4/29 9:52 35.04 0.24%
Trade id #135063504
Max drawdown($738)
Time4/12/21 0:00
Quant open1,000
Worst price33.83
Drawdown as % of equity-0.24%
$463
Includes Typical Broker Commissions trade costs of $7.00
4/13/21 10:50 HCC WARRIOR MET COAL INC. LONG 1,000 16.80 4/20 11:41 17.83 0.03%
Trade id #135125284
Max drawdown($95)
Time4/13/21 11:42
Quant open1,000
Worst price16.70
Drawdown as % of equity-0.03%
$1,018
Includes Typical Broker Commissions trade costs of $12.50
2/10/21 10:16 TLT ISHARES 20+ YEAR TREASURY BOND LONG 600 141.79 4/6 10:14 137.08 1.58%
Trade id #133967253
Max drawdown($4,898)
Time3/18/21 0:00
Quant open300
Worst price133.19
Drawdown as % of equity-1.58%
($2,835)
Includes Typical Broker Commissions trade costs of $8.50
3/29/21 9:58 SPY SPDR S&P 500 SHORT 65 394.27 4/5 13:05 406.43 0.27%
Trade id #134907952
Max drawdown($823)
Time4/5/21 12:37
Quant open65
Worst price406.94
Drawdown as % of equity-0.27%
($791)
Includes Typical Broker Commissions trade costs of $1.30
3/29/21 9:57 XHB SPDR S&P HOMEBUILDERS LONG 350 71.03 4/5 13:05 72.19 0.21%
Trade id #134907921
Max drawdown($631)
Time3/30/21 0:00
Quant open350
Worst price69.22
Drawdown as % of equity-0.21%
$401
Includes Typical Broker Commissions trade costs of $7.00
3/31/21 9:59 MJ ETFMG ALTERNATIVE HARVEST ETF LONG 1,000 23.17 4/1 13:06 22.88 0.11%
Trade id #134946181
Max drawdown($343)
Time3/31/21 13:03
Quant open1,000
Worst price22.83
Drawdown as % of equity-0.11%
($294)
Includes Typical Broker Commissions trade costs of $5.00
3/31/21 10:50 GDX VANECK VECTORS GOLD MINERS ETF LONG 1,000 32.38 3/31 14:07 32.60 0.03%
Trade id #134947971
Max drawdown($99)
Time3/31/21 11:07
Quant open1,000
Worst price32.28
Drawdown as % of equity-0.03%
$215
Includes Typical Broker Commissions trade costs of $5.00
3/31/21 10:00 EWZ ISHARES MSCI BRAZIL ETF LONG 500 32.88 3/31 12:37 33.08 0%
Trade id #134946280
Max drawdown($2)
Time3/31/21 10:04
Quant open500
Worst price32.87
Drawdown as % of equity-0.00%
$94
Includes Typical Broker Commissions trade costs of $10.00
3/24/21 14:30 INDA ISHARES MSCI INDIA ETF SHORT 500 41.89 3/31 9:54 41.93 0.11%
Trade id #134841795
Max drawdown($328)
Time3/26/21 0:00
Quant open500
Worst price42.55
Drawdown as % of equity-0.11%
($30)
Includes Typical Broker Commissions trade costs of $10.00
3/10/21 15:26 TNK TEEKAY TANKERS LONG 1,000 14.78 3/18 15:13 14.95 0.24%
Trade id #134546131
Max drawdown($743)
Time3/12/21 0:00
Quant open1,000
Worst price14.04
Drawdown as % of equity-0.24%
$161
Includes Typical Broker Commissions trade costs of $5.00
3/10/21 15:25 NAT NORDIC AMERICAN TANKERS LONG 2,000 3.45 3/18 15:13 3.49 0.03%
Trade id #134546120
Max drawdown($78)
Time3/11/21 0:00
Quant open2,000
Worst price3.41
Drawdown as % of equity-0.03%
$71
Includes Typical Broker Commissions trade costs of $5.00
3/18/21 11:44 SLV ISHARES SILVER TRUST LONG 1,000 24.34 3/18 14:38 24.16 0.06%
Trade id #134701378
Max drawdown($195)
Time3/18/21 14:36
Quant open1,000
Worst price24.15
Drawdown as % of equity-0.06%
($190)
Includes Typical Broker Commissions trade costs of $5.00
3/8/21 9:30 GDX VANECK VECTORS GOLD MINERS ETF LONG 500 31.55 3/18 14:38 33.78 0.06%
Trade id #134480825
Max drawdown($180)
Time3/8/21 12:16
Quant open500
Worst price31.19
Drawdown as % of equity-0.06%
$1,105
Includes Typical Broker Commissions trade costs of $10.00
3/8/21 9:30 IWM ISHARES RUSSELL 2000 INDEX SHORT 115 219.30 3/12 15:53 233.77 0.56%
Trade id #134480813
Max drawdown($1,688)
Time3/12/21 15:47
Quant open115
Worst price233.98
Drawdown as % of equity-0.56%
($1,666)
Includes Typical Broker Commissions trade costs of $2.30
3/8/21 9:30 XLP SPDR CONSUMER STAPLES SELECT LONG 385 64.72 3/12 15:53 66.14 0.01%
Trade id #134480818
Max drawdown($42)
Time3/8/21 9:43
Quant open385
Worst price64.61
Drawdown as % of equity-0.01%
$537
Includes Typical Broker Commissions trade costs of $7.70
2/19/21 11:23 PSLV SPROTT PHYSICAL SILVER LONG 3,000 9.89 2/26 11:22 9.61 0.32%
Trade id #134161957
Max drawdown($977)
Time2/26/21 10:21
Quant open3,000
Worst price9.56
Drawdown as % of equity-0.32%
($832)
Includes Typical Broker Commissions trade costs of $5.00
10/23/20 9:57 BSM BLACK STONE MINERALS LP LONG 7,500 6.52 2/11/21 12:18 8.31 1.37%
Trade id #131864896
Max drawdown($3,658)
Time10/28/20 0:00
Quant open6,000
Worst price5.77
Drawdown as % of equity-1.37%
$13,377
Includes Typical Broker Commissions trade costs of $20.00
2/8/21 9:47 IRT INDEPENDENCE REALTY TRUST INC LONG 1,000 14.25 2/11 11:09 14.63 0.05%
Trade id #133910505
Max drawdown($140)
Time2/8/21 13:53
Quant open1,000
Worst price14.11
Drawdown as % of equity-0.05%
$371
Includes Typical Broker Commissions trade costs of $5.00
2/8/21 9:49 UDR UDR LONG 600 40.38 2/11 11:09 42.23 0.23%
Trade id #133910572
Max drawdown($699)
Time2/10/21 0:00
Quant open600
Worst price39.21
Drawdown as % of equity-0.23%
$1,107
Includes Typical Broker Commissions trade costs of $5.00
2/8/21 9:45 EQR EQUITY RESIDENTIAL LONG 250 65.01 2/11 11:07 65.66 n/a $160
Includes Typical Broker Commissions trade costs of $5.00
2/5/21 12:15 PLG PLATINUM GROUP METAL LONG 3,000 4.42 2/10 10:21 4.85 0.1%
Trade id #133881011
Max drawdown($312)
Time2/5/21 14:17
Quant open3,000
Worst price4.32
Drawdown as % of equity-0.10%
$1,256
Includes Typical Broker Commissions trade costs of $7.50
2/3/21 10:05 SPY SPDR S&P 500 SHORT 65 382.79 2/4 10:19 384.28 0.03%
Trade id #133818728
Max drawdown($104)
Time2/4/21 10:16
Quant open65
Worst price384.40
Drawdown as % of equity-0.03%
($98)
Includes Typical Broker Commissions trade costs of $1.30
2/3/21 10:03 FXI ISHARES FTSE CHINA 25 INDEX FU LONG 480 51.70 2/4 10:19 51.06 0.11%
Trade id #133818610
Max drawdown($343)
Time2/4/21 10:03
Quant open480
Worst price50.99
Drawdown as % of equity-0.11%
($318)
Includes Typical Broker Commissions trade costs of $9.60
12/15/20 10:04 BTU PEABODY ENERGY CORP LONG 5,000 2.00 2/4/21 9:43 3.95 0.51%
Trade id #132821576
Max drawdown($1,461)
Time12/24/20 0:00
Quant open5,000
Worst price1.71
Drawdown as % of equity-0.51%
$9,732
Includes Typical Broker Commissions trade costs of $20.00

Statistics

  • Strategy began
    12/3/2019
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    529.72
  • Age
    18 months ago
  • What it trades
    Stocks
  • # Trades
    96
  • # Profitable
    58
  • % Profitable
    60.40%
  • Avg trade duration
    12.5 days
  • Max peak-to-valley drawdown
    12.41%
  • drawdown period
    May 14, 2021 - May 14, 2021
  • Annual Return (Compounded)
    18.0%
  • Avg win
    $1,549
  • Avg loss
    $715.76
  • Model Account Values (Raw)
  • Cash
    $284,114
  • Margin Used
    $0
  • Buying Power
    $298,041
  • Ratios
  • W:L ratio
    3.45:1
  • Sharpe Ratio
    2.24
  • Sortino Ratio
    4.49
  • Calmar Ratio
    7.748
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -7.60%
  • Correlation to SP500
    0.06850
  • Return Percent SP500 (cumu) during strategy life
    34.94%
  • Return Statistics
  • Ann Return (w trading costs)
    18.0%
  • Slump
  • Current Slump as Pcnt Equity
    13.70%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.00%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.180%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    18.4%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    16.00%
  • 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)
    832
  • Popularity (Last 6 weeks)
    970
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    991
  • Popularity (7 days, Percentile 1000 scale)
    953
  • 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
    $716
  • Avg Win
    $1,649
  • Sum Trade PL (losers)
    $27,199.000
  • AUM
  • AUM (AutoTrader num accounts)
    6
  • Age
  • Num Months filled monthly returns table
    18
  • Win / Loss
  • Sum Trade PL (winners)
    $95,663.000
  • # Winners
    58
  • Num Months Winners
    14
  • Dividends
  • Dividends Received in Model Acct
    1137
  • AUM
  • AUM (AutoTrader live capital)
    1856150
  • Win / Loss
  • # Losers
    38
  • % Winners
    60.4%
  • Frequency
  • Avg Position Time (mins)
    18022.10
  • Avg Position Time (hrs)
    300.37
  • Avg Trade Length
    12.5 days
  • Last Trade Ago
    3
  • Leverage
  • Daily leverage (average)
    0.39
  • Daily leverage (max)
    1.06
  • Regression
  • Alpha
    0.04
  • Beta
    0.01
  • Treynor Index
    3.19
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.86
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    1.062
  • 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
    0.297
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.217
  • Hold-and-Hope Ratio
    0.972
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.14174
  • SD
    0.06648
  • Sharpe ratio (Glass type estimate)
    2.13200
  • Sharpe ratio (Hedges UMVUE)
    2.02328
  • df
    15.00000
  • t
    2.46182
  • p
    0.17566
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.24433
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.96084
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.17794
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.86862
  • Statistics related to Sortino ratio
  • Sortino ratio
    13.16000
  • Upside Potential Ratio
    14.51280
  • Upside part of mean
    0.15631
  • Downside part of mean
    -0.01457
  • Upside SD
    0.07551
  • Downside SD
    0.01077
  • N nonnegative terms
    11.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    16.00000
  • Mean of predictor
    0.22139
  • Mean of criterion
    0.14174
  • SD of predictor
    0.20650
  • SD of criterion
    0.06648
  • Covariance
    0.00377
  • r
    0.27470
  • b (slope, estimate of beta)
    0.08844
  • a (intercept, estimate of alpha)
    0.12216
  • Mean Square Error
    0.00438
  • DF error
    14.00000
  • t(b)
    1.06897
  • p(b)
    0.36265
  • t(a)
    2.03061
  • p(a)
    0.26151
  • Lowerbound of 95% confidence interval for beta
    -0.08901
  • Upperbound of 95% confidence interval for beta
    0.26589
  • Lowerbound of 95% confidence interval for alpha
    -0.00687
  • Upperbound of 95% confidence interval for alpha
    0.25119
  • Treynor index (mean / b)
    1.60268
  • Jensen alpha (a)
    0.12216
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.13860
  • SD
    0.06494
  • Sharpe ratio (Glass type estimate)
    2.13408
  • Sharpe ratio (Hedges UMVUE)
    2.02526
  • df
    15.00000
  • t
    2.46422
  • p
    0.17546
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.24611
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.96317
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.17964
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.87088
  • Statistics related to Sortino ratio
  • Sortino ratio
    12.82980
  • Upside Potential Ratio
    14.18090
  • Upside part of mean
    0.15319
  • Downside part of mean
    -0.01459
  • Upside SD
    0.07374
  • Downside SD
    0.01080
  • N nonnegative terms
    11.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    16.00000
  • Mean of predictor
    0.19890
  • Mean of criterion
    0.13860
  • SD of predictor
    0.20851
  • SD of criterion
    0.06494
  • Covariance
    0.00386
  • r
    0.28537
  • b (slope, estimate of beta)
    0.08888
  • a (intercept, estimate of alpha)
    0.12092
  • Mean Square Error
    0.00415
  • DF error
    14.00000
  • t(b)
    1.11408
  • p(b)
    0.35731
  • t(a)
    2.08444
  • p(a)
    0.25667
  • Lowerbound of 95% confidence interval for beta
    -0.08223
  • Upperbound of 95% confidence interval for beta
    0.26000
  • Lowerbound of 95% confidence interval for alpha
    -0.00350
  • Upperbound of 95% confidence interval for alpha
    0.24533
  • Treynor index (mean / b)
    1.55929
  • Jensen alpha (a)
    0.12092
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01910
  • Expected Shortfall on VaR
    0.02673
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00196
  • Expected Shortfall on VaR
    0.00453
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    16.00000
  • Minimum
    0.99068
  • Quartile 1
    1.00148
  • Median
    1.00753
  • Quartile 3
    1.01754
  • Maximum
    1.05223
  • Mean of quarter 1
    0.99763
  • Mean of quarter 2
    1.00403
  • Mean of quarter 3
    1.01118
  • Mean of quarter 4
    1.04373
  • Inter Quartile Range
    0.01607
  • 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
    0.18750
  • Mean of outliers high
    1.04920
  • 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
    0.00932
  • Quartile 1
    0.00932
  • Median
    0.00932
  • Quartile 3
    0.00932
  • Maximum
    0.00932
  • 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)
    0.18643
  • Compounded annual return (geometric extrapolation)
    0.18117
  • Calmar ratio (compounded annual return / max draw down)
    19.43520
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    6.77677
  • 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
    0.14929
  • SD
    0.05652
  • Sharpe ratio (Glass type estimate)
    2.64140
  • Sharpe ratio (Hedges UMVUE)
    2.63601
  • df
    368.00000
  • t
    3.13470
  • p
    0.00093
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.97716
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.30219
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.97354
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.29848
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.48120
  • Upside Potential Ratio
    11.87140
  • Upside part of mean
    0.32333
  • Downside part of mean
    -0.17404
  • Upside SD
    0.05029
  • Downside SD
    0.02724
  • N nonnegative terms
    131.00000
  • N negative terms
    238.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    369.00000
  • Mean of predictor
    0.23030
  • Mean of criterion
    0.14929
  • SD of predictor
    0.30028
  • SD of criterion
    0.05652
  • Covariance
    0.00104
  • r
    0.06151
  • b (slope, estimate of beta)
    0.01158
  • a (intercept, estimate of alpha)
    0.14700
  • Mean Square Error
    0.00319
  • DF error
    367.00000
  • t(b)
    1.18052
  • p(b)
    0.11928
  • t(a)
    3.07690
  • p(a)
    0.00112
  • Lowerbound of 95% confidence interval for beta
    -0.00771
  • Upperbound of 95% confidence interval for beta
    0.03086
  • Lowerbound of 95% confidence interval for alpha
    0.05292
  • Upperbound of 95% confidence interval for alpha
    0.24033
  • Treynor index (mean / b)
    12.89540
  • Jensen alpha (a)
    0.14662
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.14764
  • SD
    0.05628
  • Sharpe ratio (Glass type estimate)
    2.62354
  • Sharpe ratio (Hedges UMVUE)
    2.61819
  • df
    368.00000
  • t
    3.11351
  • p
    0.00100
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.95945
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.28418
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.95587
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.28051
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.40333
  • Upside Potential Ratio
    11.78570
  • Upside part of mean
    0.32204
  • Downside part of mean
    -0.17440
  • Upside SD
    0.04995
  • Downside SD
    0.02732
  • N nonnegative terms
    131.00000
  • N negative terms
    238.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    369.00000
  • Mean of predictor
    0.18484
  • Mean of criterion
    0.14764
  • SD of predictor
    0.30240
  • SD of criterion
    0.05628
  • Covariance
    0.00107
  • r
    0.06309
  • b (slope, estimate of beta)
    0.01174
  • a (intercept, estimate of alpha)
    0.14547
  • Mean Square Error
    0.00316
  • DF error
    367.00000
  • t(b)
    1.21107
  • p(b)
    0.11332
  • t(a)
    3.06749
  • p(a)
    0.00116
  • Lowerbound of 95% confidence interval for beta
    -0.00732
  • Upperbound of 95% confidence interval for beta
    0.03081
  • Lowerbound of 95% confidence interval for alpha
    0.05222
  • Upperbound of 95% confidence interval for alpha
    0.23873
  • Treynor index (mean / b)
    12.57470
  • Jensen alpha (a)
    0.14547
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00514
  • Expected Shortfall on VaR
    0.00659
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00177
  • Expected Shortfall on VaR
    0.00366
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    369.00000
  • Minimum
    0.98749
  • Quartile 1
    0.99977
  • Median
    1.00000
  • Quartile 3
    1.00124
  • Maximum
    1.02684
  • Mean of quarter 1
    0.99765
  • Mean of quarter 2
    0.99999
  • Mean of quarter 3
    1.00024
  • Mean of quarter 4
    1.00486
  • Inter Quartile Range
    0.00147
  • Number outliers low
    33.00000
  • Percentage of outliers low
    0.08943
  • Mean of outliers low
    0.99531
  • Number of outliers high
    50.00000
  • Percentage of outliers high
    0.13550
  • Mean of outliers high
    1.00694
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.33645
  • VaR(95%) (moments method)
    0.00242
  • Expected Shortfall (moments method)
    0.00456
  • Extreme Value Index (regression method)
    0.05565
  • VaR(95%) (regression method)
    0.00230
  • Expected Shortfall (regression method)
    0.00346
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    26.00000
  • Minimum
    0.00001
  • Quartile 1
    0.00209
  • Median
    0.00345
  • Quartile 3
    0.00932
  • Maximum
    0.02477
  • Mean of quarter 1
    0.00094
  • Mean of quarter 2
    0.00251
  • Mean of quarter 3
    0.00597
  • Mean of quarter 4
    0.01548
  • Inter Quartile Range
    0.00722
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.07692
  • Mean of outliers high
    0.02323
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.07849
  • VaR(95%) (moments method)
    0.01677
  • Expected Shortfall (moments method)
    0.02099
  • Extreme Value Index (regression method)
    0.05835
  • VaR(95%) (regression method)
    0.01772
  • Expected Shortfall (regression method)
    0.02338
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.19916
  • Compounded annual return (geometric extrapolation)
    0.19190
  • Calmar ratio (compounded annual return / max draw down)
    7.74771
  • Compounded annual return / average of 25% largest draw downs
    12.39740
  • Compounded annual return / Expected Shortfall lognormal
    29.14030
  • 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
    0.28969
  • SD
    0.07907
  • Sharpe ratio (Glass type estimate)
    3.66356
  • Sharpe ratio (Hedges UMVUE)
    3.64239
  • df
    130.00000
  • t
    2.59053
  • p
    0.38922
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.84949
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.46407
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.83545
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.44933
  • Statistics related to Sortino ratio
  • Sortino ratio
    7.23316
  • Upside Potential Ratio
    14.89100
  • Upside part of mean
    0.59639
  • Downside part of mean
    -0.30670
  • Upside SD
    0.07015
  • Downside SD
    0.04005
  • N nonnegative terms
    73.00000
  • N negative terms
    58.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.30839
  • Mean of criterion
    0.28969
  • SD of predictor
    0.14041
  • SD of criterion
    0.07907
  • Covariance
    0.00086
  • r
    0.07759
  • b (slope, estimate of beta)
    0.04369
  • a (intercept, estimate of alpha)
    0.27622
  • Mean Square Error
    0.00626
  • DF error
    129.00000
  • t(b)
    0.88387
  • p(b)
    0.45066
  • t(a)
    2.44538
  • p(a)
    0.36700
  • Lowerbound of 95% confidence interval for beta
    -0.05411
  • Upperbound of 95% confidence interval for beta
    0.14150
  • Lowerbound of 95% confidence interval for alpha
    0.05273
  • Upperbound of 95% confidence interval for alpha
    0.49970
  • Treynor index (mean / b)
    6.63008
  • Jensen alpha (a)
    0.27622
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.28642
  • SD
    0.07874
  • Sharpe ratio (Glass type estimate)
    3.63735
  • Sharpe ratio (Hedges UMVUE)
    3.61633
  • df
    130.00000
  • t
    2.57200
  • p
    0.38998
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.82378
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.43736
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.80988
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.42277
  • Statistics related to Sortino ratio
  • Sortino ratio
    7.12594
  • Upside Potential Ratio
    14.77570
  • Upside part of mean
    0.59389
  • Downside part of mean
    -0.30747
  • Upside SD
    0.06965
  • Downside SD
    0.04019
  • N nonnegative terms
    73.00000
  • N negative terms
    58.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.29840
  • Mean of criterion
    0.28642
  • SD of predictor
    0.14046
  • SD of criterion
    0.07874
  • Covariance
    0.00085
  • r
    0.07713
  • b (slope, estimate of beta)
    0.04324
  • a (intercept, estimate of alpha)
    0.27352
  • Mean Square Error
    0.00621
  • DF error
    129.00000
  • t(b)
    0.87861
  • p(b)
    0.45095
  • t(a)
    2.43295
  • p(a)
    0.36764
  • VAR (95 Confidence Intrvl)
    0.00500
  • Lowerbound of 95% confidence interval for beta
    -0.05413
  • Upperbound of 95% confidence interval for beta
    0.14061
  • Lowerbound of 95% confidence interval for alpha
    0.05109
  • Upperbound of 95% confidence interval for alpha
    0.49594
  • Treynor index (mean / b)
    6.62399
  • Jensen alpha (a)
    0.27352
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00688
  • Expected Shortfall on VaR
    0.00890
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00249
  • Expected Shortfall on VaR
    0.00503
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.98749
  • Quartile 1
    0.99871
  • Median
    1.00078
  • Quartile 3
    1.00372
  • Maximum
    1.02684
  • Mean of quarter 1
    0.99596
  • Mean of quarter 2
    0.99968
  • Mean of quarter 3
    1.00216
  • Mean of quarter 4
    1.00707
  • Inter Quartile Range
    0.00501
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.00763
  • Mean of outliers low
    0.98749
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.02290
  • Mean of outliers high
    1.01952
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.02926
  • VaR(95%) (moments method)
    0.00336
  • Expected Shortfall (moments method)
    0.00458
  • Extreme Value Index (regression method)
    -0.12377
  • VaR(95%) (regression method)
    0.00364
  • Expected Shortfall (regression method)
    0.00481
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    14.00000
  • Minimum
    0.00059
  • Quartile 1
    0.00263
  • Median
    0.00562
  • Quartile 3
    0.00955
  • Maximum
    0.02477
  • Mean of quarter 1
    0.00163
  • Mean of quarter 2
    0.00373
  • Mean of quarter 3
    0.00791
  • Mean of quarter 4
    0.01824
  • Inter Quartile Range
    0.00692
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.14286
  • Mean of outliers high
    0.02323
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -10.13130
  • VaR(95%) (moments method)
    0.01782
  • Expected Shortfall (moments method)
    0.01782
  • Extreme Value Index (regression method)
    -1.75758
  • VaR(95%) (regression method)
    0.02829
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.02895
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -294059000
  • Max Equity Drawdown (num days)
    7
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.34037
  • Compounded annual return (geometric extrapolation)
    0.36933
  • Calmar ratio (compounded annual return / max draw down)
    14.91110
  • Compounded annual return / average of 25% largest draw downs
    20.25340
  • Compounded annual return / Expected Shortfall lognormal
    41.49830

Strategy Description

Market Returns: Goal is to achieve returns over the long run that approximate those of global equities (I use VT as my benchmark). This is not a strategy that will make ridiculous outsized returns.

Low correlation: Low to no correlation with global equities. This strategy is meant to compliment a passive long equities or balanced portfolio. That is how I treat it in my own portfolio. Most of my money is managed via systematic long only strategies that hold low-cost ETFs (see GardCap Core Portfolio). I trade this strategy with margin.

Low drawdowns: I am retired and rely on my investment portfolio to support myself so large drawdowns are undesirable and damaging as they reduce the sustainable withdrawal rate of my portfolio.

Accessibility: This strategy will only trade equities, long and short. As such, it should be accessible for most people with regular margin accounts. As well, size is not an issue. Both large and small accounts can follow this strategy. However, I would not recommend following this strategy with more than 10% of your portfolio. Generally, I think relying on any individual discretionary trader or alternative strategy for a greater percentage than that is too risky.

Leverage: Low leverage is the norm. It will rarely be more than 100% net long equities.

Style: Most trades are discretionary and relatively short term (less than a month). Most trades are made using ETFs, although I occasionally invest in individual stocks where no liquid ETF is available, or the opportunity is unique. Generally, I do not like to take single stock risk.

I tend to change my mind frequently. If something is not working, I usually get out quickly. As well, there may be periods where I trade infrequently or not at all if I do not see any interesting opportunities.

Feel free to follow my blog (www.gardcapital.com) or me on Twitter (@gardcapital). I occassionally share my thoughts on markets or specific trades that I find interesting,

Summary Statistics

Strategy began
2019-12-03
Suggested Minimum Capital
$35,000
Rank at C2 %
Top 0.9%
Rank # 
#7
# Trades
96
# Profitable
58
% Profitable
60.4%
Net Dividends
Correlation S&P500
0.069
Sharpe Ratio
2.24
Sortino Ratio
4.49
Beta
0.01
Alpha
0.04
Leverage
0.39 Average
1.06 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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