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This is an archived track record. This track record was archived on 1/4/21 14:45 ET. (See latest track record)
These are hypothetical performance results that have certain inherent limitations. Learn more

KiparisFortis
(126847594)

Created by: KiparisWM KiparisWM
Started: 01/2020
Stocks, Options
Last trade: 334 days ago
Trading style: Equity Hedged Equity Trend-following

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
Hedged Equity
Category: Equity

Hedged Equity

Core holding of long equities hedged at all times with short sales of stocks and/or stock index options.
Trend-following
Category: Equity

Trend-following

Tries to take advantage of long, medium or short-term moves that seem to play out in various markets. Typically, trend-following analysis is backward looking; that is, it attempts to recognize and profit from already-established trends.
-4.0%
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.

(50.7%)
Max Drawdown
38
Num Trades
47.4%
Win Trades
1.0 : 1
Profit Factor
30.4%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020+0.7%(12.2%)(12.1%)+15.2%+2.9%(3.1%)+2.1%+1.2%  -  (2.6%)+9.1%+0.5%(1.7%)
2021(2.2%)  -    -    -    -    -    -    -    -    -    -        

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 168 hours.

Trading Record

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Long
Short
Both
Win
Loss
Both
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Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
4/9/20 15:11 SVXY2115A30 SVXY Jan15'21 30 call LONG 1 6.55 1/4/21 14:45 9.99 3.46%
Trade id #128502541
Max drawdown($305)
Time6/15/20 0:00
Quant open1
Worst price3.50
Drawdown as % of equity-3.46%
$342
Includes Typical Broker Commissions trade costs of $2.00
1/10/20 13:20 SPXS2115A26 SPXS Jan15'21 26 call SHORT 2 0.85 1/4/21 14:45 0.01 32%
Trade id #126948957
Max drawdown($2,230)
Time3/19/20 0:00
Quant open2
Worst price12.00
Drawdown as % of equity-32.00%
$165
Includes Typical Broker Commissions trade costs of $2.80
1/3/20 9:31 DTE DTE ENERGY HOLDING LONG 2 128.42 1/4/21 14:45 119.37 1.57%
Trade id #126850838
Max drawdown($114)
Time3/18/20 0:00
Quant open2
Worst price71.21
Drawdown as % of equity-1.57%
($18)
Includes Typical Broker Commissions trade costs of $0.04
1/3/20 9:31 JNJ JOHNSON & JOHNSON LONG 2 143.50 1/4/21 14:45 155.11 1.17%
Trade id #126850833
Max drawdown($68)
Time3/23/20 0:00
Quant open2
Worst price109.16
Drawdown as % of equity-1.17%
$23
Includes Typical Broker Commissions trade costs of $0.04
1/3/20 9:31 AFL AFLAC LONG 5 52.82 1/4/21 14:45 43.12 2.04%
Trade id #126850830
Max drawdown($148)
Time3/18/20 0:00
Quant open5
Worst price23.07
Drawdown as % of equity-2.04%
($49)
Includes Typical Broker Commissions trade costs of $0.10
1/3/20 9:31 D DOMINION RESOURCES LONG 3 81.81 1/4/21 14:45 73.59 1.22%
Trade id #126850825
Max drawdown($72)
Time3/23/20 0:00
Quant open3
Worst price57.79
Drawdown as % of equity-1.22%
($25)
Includes Typical Broker Commissions trade costs of $0.06
1/3/20 9:31 TRV TRAVELERS COMPANIES LONG 2 136.55 1/4/21 14:45 135.36 1.63%
Trade id #126850822
Max drawdown($119)
Time3/18/20 0:00
Quant open2
Worst price76.99
Drawdown as % of equity-1.63%
($2)
Includes Typical Broker Commissions trade costs of $0.04
1/3/20 9:31 VZ VERIZON COMMUNICATIONS LONG 4 60.59 1/4/21 14:45 58.62 0.75%
Trade id #126850817
Max drawdown($47)
Time3/25/20 0:00
Quant open4
Worst price48.84
Drawdown as % of equity-0.75%
($8)
Includes Typical Broker Commissions trade costs of $0.08
1/3/20 9:31 AEP AMERICAN ELECTRIC POWER LONG 2 93.28 1/4/21 14:45 81.38 0.96%
Trade id #126850815
Max drawdown($56)
Time3/23/20 0:00
Quant open2
Worst price65.14
Drawdown as % of equity-0.96%
($24)
Includes Typical Broker Commissions trade costs of $0.04
1/3/20 9:31 T AT&T LONG 6 38.58 1/4/21 14:45 29.27 1.27%
Trade id #126850813
Max drawdown($75)
Time3/23/20 0:00
Quant open6
Worst price26.08
Drawdown as % of equity-1.27%
($56)
Includes Typical Broker Commissions trade costs of $0.12
1/3/20 9:31 MRK MERCK LONG 2 90.68 1/4/21 14:45 80.29 0.86%
Trade id #126850809
Max drawdown($50)
Time3/23/20 0:00
Quant open2
Worst price65.25
Drawdown as % of equity-0.86%
($21)
Includes Typical Broker Commissions trade costs of $0.04
1/3/20 9:31 PEG PUBLIC SERVICE ENTERPRISE LONG 4 58.55 1/4/21 14:45 55.84 1.62%
Trade id #126850806
Max drawdown($95)
Time3/23/20 0:00
Quant open4
Worst price34.75
Drawdown as % of equity-1.62%
($11)
Includes Typical Broker Commissions trade costs of $0.08
1/3/20 9:31 PEP PEPSICO LONG 2 135.46 1/4/21 14:45 142.82 1.08%
Trade id #126850804
Max drawdown($68)
Time3/20/20 0:00
Quant open2
Worst price101.42
Drawdown as % of equity-1.08%
$15
Includes Typical Broker Commissions trade costs of $0.04
1/3/20 9:31 ED CONSOLIDATED EDISON LONG 3 88.56 1/4/21 14:45 70.38 1.35%
Trade id #126850801
Max drawdown($79)
Time3/23/20 0:00
Quant open3
Worst price62.03
Drawdown as % of equity-1.35%
($55)
Includes Typical Broker Commissions trade costs of $0.06
1/3/20 9:31 DGX QUEST DIAGNOSTICS LONG 2 104.27 1/4/21 14:45 120.22 0.8%
Trade id #126850794
Max drawdown($62)
Time4/3/20 0:00
Quant open2
Worst price73.02
Drawdown as % of equity-0.80%
$32
Includes Typical Broker Commissions trade costs of $0.04
1/3/20 9:31 CLX CLOROX LONG 2 152.57 1/4/21 14:45 199.51 0.03%
Trade id #126850791
Max drawdown($3)
Time1/8/20 0:00
Quant open2
Worst price150.95
Drawdown as % of equity-0.03%
$94
Includes Typical Broker Commissions trade costs of $0.04
1/3/20 9:31 DUK DUKE ENERGY LONG 3 90.23 1/4/21 14:45 89.36 1.43%
Trade id #126850789
Max drawdown($84)
Time3/23/20 0:00
Quant open3
Worst price62.13
Drawdown as % of equity-1.43%
($3)
Includes Typical Broker Commissions trade costs of $0.06
1/3/20 9:31 KO COCA-COLA LONG 5 54.32 1/4/21 14:45 52.47 1.53%
Trade id #126850780
Max drawdown($90)
Time3/23/20 0:00
Quant open5
Worst price36.27
Drawdown as % of equity-1.53%
($9)
Includes Typical Broker Commissions trade costs of $0.10
1/3/20 9:31 CINF CINCINNATI FINANCIAL CORP LONG 2 105.31 1/4/21 14:45 84.59 1.39%
Trade id #126850773
Max drawdown($118)
Time5/14/20 0:00
Quant open2
Worst price46.07
Drawdown as % of equity-1.39%
($41)
Includes Typical Broker Commissions trade costs of $0.04
1/3/20 9:31 IBM INTERNATIONAL BUSINESS MACHINE LONG 2 133.57 1/4/21 14:45 123.45 1.46%
Trade id #126850764
Max drawdown($86)
Time3/23/20 0:00
Quant open2
Worst price90.56
Drawdown as % of equity-1.46%
($20)
Includes Typical Broker Commissions trade costs of $0.04
1/3/20 9:31 FE FIRSTENERGY LONG 5 47.40 1/4/21 14:45 29.43 1.33%
Trade id #126850754
Max drawdown($122)
Time7/22/20 0:00
Quant open5
Worst price22.85
Drawdown as % of equity-1.33%
($90)
Includes Typical Broker Commissions trade costs of $0.10
1/3/20 9:31 MCD MCDONALD'S LONG 1 199.39 1/4/21 14:45 209.90 1.03%
Trade id #126850747
Max drawdown($75)
Time3/18/20 0:00
Quant open1
Worst price124.23
Drawdown as % of equity-1.03%
$11
Includes Typical Broker Commissions trade costs of $0.02
7/27/20 9:48 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 30 33.31 7/27 10:14 33.31 0.01%
Trade id #130290506
Max drawdown($0)
Time7/27/20 9:51
Quant open30
Worst price33.29
Drawdown as % of equity-0.01%
($1)
Includes Typical Broker Commissions trade costs of $0.60
6/22/20 9:42 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 24 37.53 7/27 9:47 29.62 2.39%
Trade id #129685429
Max drawdown($225)
Time7/21/20 0:00
Quant open24
Worst price28.15
Drawdown as % of equity-2.39%
($190)
Includes Typical Broker Commissions trade costs of $0.48
1/10/20 13:19 SPXS2115A18 SPXS Jan15'21 18 call LONG 2 1.50 4/9 15:34 3.20 0.96%
Trade id #126948948
Max drawdown($100)
Time2/12/20 0:00
Quant open2
Worst price1.00
Drawdown as % of equity-0.96%
$337
Includes Typical Broker Commissions trade costs of $2.80
4/8/20 13:19 SPXS2015E30 SPXS May15'20 30 call SHORT 1 0.35 4/9 15:10 0.30 0.11%
Trade id #128478374
Max drawdown($10)
Time4/8/20 14:55
Quant open1
Worst price0.45
Drawdown as % of equity-0.11%
$3
Includes Typical Broker Commissions trade costs of $2.00
4/8/20 13:17 SPXS2015E13 SPXS May15'20 13 call SHORT 1 1.95 4/9 15:10 1.70 0.28%
Trade id #128478340
Max drawdown($25)
Time4/8/20 13:57
Quant open1
Worst price2.20
Drawdown as % of equity-0.28%
$23
Includes Typical Broker Commissions trade costs of $2.00
1/3/20 9:31 SPXS DIREXION DAILY S&P500 BEAR 3X SHORT 150 13.35 4/8 13:15 12.91 39.13%
Trade id #126850785
Max drawdown($2,325)
Time3/23/20 0:00
Quant open150
Worst price28.85
Drawdown as % of equity-39.13%
$63
Includes Typical Broker Commissions trade costs of $3.00
3/10/20 10:49 SPXS2017P12 SPXS Apr17'20 12 put SHORT 1 0.20 4/8 13:15 0.55 0.99%
Trade id #127944956
Max drawdown($70)
Time3/26/20 0:00
Quant open1
Worst price0.90
Drawdown as % of equity-0.99%
($37)
Includes Typical Broker Commissions trade costs of $2.00
3/10/20 10:45 SPXS2017D26 SPXS Apr17'20 26 call SHORT 1 1.60 4/8 13:14 0.10 6.8%
Trade id #127944818
Max drawdown($500)
Time3/18/20 0:00
Quant open1
Worst price6.60
Drawdown as % of equity-6.80%
$148
Includes Typical Broker Commissions trade costs of $2.00

Statistics

  • Strategy began
    1/3/2020
  • Suggested Minimum Cap
    $10,000
  • Strategy Age (days)
    696.13
  • Age
    23 months ago
  • What it trades
    Stocks, Options
  • # Trades
    38
  • # Profitable
    18
  • % Profitable
    47.40%
  • Avg trade duration
    220.8 days
  • Max peak-to-valley drawdown
    50.73%
  • drawdown period
    Feb 06, 2020 - March 23, 2020
  • Annual Return (Compounded)
    -4.0%
  • Avg win
    $86.00
  • Avg loss
    $81.60
  • Model Account Values (Raw)
  • Cash
    $10,074
  • Margin Used
    $0
  • Buying Power
    $10,074
  • Ratios
  • W:L ratio
    1.04:1
  • Sharpe Ratio
    -0
  • Sortino Ratio
    -0
  • Calmar Ratio
    0.012
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -17.64%
  • Correlation to SP500
    0.63020
  • Return Percent SP500 (cumu) during strategy life
    40.30%
  • Return Statistics
  • Ann Return (w trading costs)
    -4.0%
  • Slump
  • Current Slump as Pcnt Equity
    8.60%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.95%
  • Instruments
  • Short Options - Percent Covered
    18.18%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.040%
  • Instruments
  • Percent Trades Options
    0.37%
  • Percent Trades Stocks
    0.63%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    0.4%
  • Automation
  • Percentage Signals Automated
    29.33%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    448
  • Trading Style
  • Any stock shorts? 0/1
    1
  • 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
    $82
  • Avg Win
    $86
  • Sum Trade PL (losers)
    $1,632.000
  • Age
  • Num Months filled monthly returns table
    23
  • Win / Loss
  • Sum Trade PL (winners)
    $1,548.000
  • # Winners
    18
  • Num Months Winners
    7
  • Dividends
  • Dividends Received in Model Acct
    157
  • Win / Loss
  • # Losers
    20
  • % Winners
    47.4%
  • Frequency
  • Avg Position Time (mins)
    317975.00
  • Avg Position Time (hrs)
    5299.58
  • Avg Trade Length
    220.8 days
  • Last Trade Ago
    329
  • Leverage
  • Daily leverage (average)
    1.14
  • Daily leverage (max)
    3.57
  • Regression
  • Alpha
    -0.04
  • Beta
    0.66
  • Treynor Index
    -0.00
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.04
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -1.68
  • MAE:Equity, average, winning trades
    0.05
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    -210.190
  • 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
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    3.820
  • Avg(MAE) / Avg(PL) - Losing trades
    -2.095
  • Hold-and-Hope Ratio
    -0.005
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.02312
  • SD
    0.20092
  • Sharpe ratio (Glass type estimate)
    0.11508
  • Sharpe ratio (Hedges UMVUE)
    0.10619
  • df
    10.00000
  • t
    0.11018
  • p
    0.45722
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.93543
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.15997
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.94146
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.15383
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.15583
  • Upside Potential Ratio
    2.03996
  • Upside part of mean
    0.30268
  • Downside part of mean
    -0.27956
  • Upside SD
    0.12137
  • Downside SD
    0.14838
  • N nonnegative terms
    7.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    11.00000
  • Mean of predictor
    0.14303
  • Mean of criterion
    0.02312
  • SD of predictor
    0.22550
  • SD of criterion
    0.20092
  • Covariance
    0.03851
  • r
    0.85006
  • b (slope, estimate of beta)
    0.75743
  • a (intercept, estimate of alpha)
    -0.08522
  • Mean Square Error
    0.01244
  • DF error
    9.00000
  • t(b)
    4.84202
  • p(b)
    0.00046
  • t(a)
    -0.71830
  • p(a)
    0.75460
  • Lowerbound of 95% confidence interval for beta
    0.40357
  • Upperbound of 95% confidence interval for beta
    1.11130
  • Lowerbound of 95% confidence interval for alpha
    -0.35359
  • Upperbound of 95% confidence interval for alpha
    0.18316
  • Treynor index (mean / b)
    0.03053
  • Jensen alpha (a)
    -0.08522
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.00435
  • SD
    0.20421
  • Sharpe ratio (Glass type estimate)
    0.02129
  • Sharpe ratio (Hedges UMVUE)
    0.01965
  • df
    10.00000
  • t
    0.02039
  • p
    0.49207
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.02630
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.06797
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.02748
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.06678
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.02807
  • Upside Potential Ratio
    1.90377
  • Upside part of mean
    0.29490
  • Downside part of mean
    -0.29055
  • Upside SD
    0.11797
  • Downside SD
    0.15490
  • N nonnegative terms
    7.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    11.00000
  • Mean of predictor
    0.11840
  • Mean of criterion
    0.00435
  • SD of predictor
    0.22969
  • SD of criterion
    0.20421
  • Covariance
    0.04009
  • r
    0.85473
  • b (slope, estimate of beta)
    0.75991
  • a (intercept, estimate of alpha)
    -0.08562
  • Mean Square Error
    0.01248
  • DF error
    9.00000
  • t(b)
    4.93990
  • p(b)
    0.00040
  • t(a)
    -0.72492
  • p(a)
    0.75654
  • Lowerbound of 95% confidence interval for beta
    0.41192
  • Upperbound of 95% confidence interval for beta
    1.10790
  • Lowerbound of 95% confidence interval for alpha
    -0.35282
  • Upperbound of 95% confidence interval for alpha
    0.18157
  • Treynor index (mean / b)
    0.00572
  • Jensen alpha (a)
    -0.08562
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.09208
  • Expected Shortfall on VaR
    0.11396
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.04437
  • Expected Shortfall on VaR
    0.08578
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    11.00000
  • Minimum
    0.90554
  • Quartile 1
    0.96815
  • Median
    1.02516
  • Quartile 3
    1.04766
  • Maximum
    1.07040
  • Mean of quarter 1
    0.92518
  • Mean of quarter 2
    1.00414
  • Mean of quarter 3
    1.03896
  • Mean of quarter 4
    1.06031
  • Inter Quartile Range
    0.07952
  • 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)
    -329.32600
  • VaR(95%) (moments method)
    0.07422
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -4.06395
  • VaR(95%) (regression method)
    0.16265
  • Expected Shortfall (regression method)
    0.16279
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.17485
  • Quartile 1
    0.17485
  • Median
    0.17485
  • Quartile 3
    0.17485
  • Maximum
    0.17485
  • 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)
    0.03274
  • Compounded annual return (geometric extrapolation)
    0.03278
  • Calmar ratio (compounded annual return / max draw down)
    0.18748
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    0.28765
  • 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
    0.05493
  • SD
    0.37889
  • Sharpe ratio (Glass type estimate)
    0.14499
  • Sharpe ratio (Hedges UMVUE)
    0.14457
  • df
    258.00000
  • t
    0.14416
  • p
    0.44274
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.82646
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.11619
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.82675
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.11589
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.20176
  • Upside Potential Ratio
    5.82954
  • Upside part of mean
    1.58722
  • Downside part of mean
    -1.53229
  • Upside SD
    0.26245
  • Downside SD
    0.27227
  • N nonnegative terms
    133.00000
  • N negative terms
    126.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    259.00000
  • Mean of predictor
    0.16212
  • Mean of criterion
    0.05493
  • SD of predictor
    0.34752
  • SD of criterion
    0.37889
  • Covariance
    0.08500
  • r
    0.64558
  • b (slope, estimate of beta)
    0.70386
  • a (intercept, estimate of alpha)
    -0.18900
  • Mean Square Error
    0.08405
  • DF error
    257.00000
  • t(b)
    13.55200
  • p(b)
    -0.00000
  • t(a)
    -0.20285
  • p(a)
    0.58030
  • Lowerbound of 95% confidence interval for beta
    0.60158
  • Upperbound of 95% confidence interval for beta
    0.80614
  • Lowerbound of 95% confidence interval for alpha
    -0.63362
  • Upperbound of 95% confidence interval for alpha
    0.51527
  • Treynor index (mean / b)
    0.07805
  • Jensen alpha (a)
    -0.05917
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.01759
  • SD
    0.38334
  • Sharpe ratio (Glass type estimate)
    -0.04589
  • Sharpe ratio (Hedges UMVUE)
    -0.04576
  • df
    258.00000
  • t
    -0.04563
  • p
    0.51818
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.01718
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.92539
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.01704
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.92553
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.06115
  • Upside Potential Ratio
    5.40295
  • Upside part of mean
    1.55440
  • Downside part of mean
    -1.57199
  • Upside SD
    0.25221
  • Downside SD
    0.28769
  • N nonnegative terms
    133.00000
  • N negative terms
    126.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    259.00000
  • Mean of predictor
    0.10136
  • Mean of criterion
    -0.01759
  • SD of predictor
    0.35009
  • SD of criterion
    0.38334
  • Covariance
    0.08613
  • r
    0.64179
  • b (slope, estimate of beta)
    0.70273
  • a (intercept, estimate of alpha)
    -0.08882
  • Mean Square Error
    0.08676
  • DF error
    257.00000
  • t(b)
    13.41610
  • p(b)
    -0.00000
  • t(a)
    -0.29978
  • p(a)
    0.61771
  • Lowerbound of 95% confidence interval for beta
    0.59958
  • Upperbound of 95% confidence interval for beta
    0.80588
  • Lowerbound of 95% confidence interval for alpha
    -0.67230
  • Upperbound of 95% confidence interval for alpha
    0.49465
  • Treynor index (mean / b)
    -0.02503
  • Jensen alpha (a)
    -0.08882
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03827
  • Expected Shortfall on VaR
    0.04770
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01286
  • Expected Shortfall on VaR
    0.02846
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    259.00000
  • Minimum
    0.82693
  • Quartile 1
    0.99505
  • Median
    1.00062
  • Quartile 3
    1.00623
  • Maximum
    1.13701
  • Mean of quarter 1
    0.97865
  • Mean of quarter 2
    0.99828
  • Mean of quarter 3
    1.00314
  • Mean of quarter 4
    1.02125
  • Inter Quartile Range
    0.01118
  • Number outliers low
    19.00000
  • Percentage of outliers low
    0.07336
  • Mean of outliers low
    0.95109
  • Number of outliers high
    14.00000
  • Percentage of outliers high
    0.05405
  • Mean of outliers high
    1.05724
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.66212
  • VaR(95%) (moments method)
    0.02040
  • Expected Shortfall (moments method)
    0.06644
  • Extreme Value Index (regression method)
    0.58509
  • VaR(95%) (regression method)
    0.02001
  • Expected Shortfall (regression method)
    0.05457
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00077
  • Quartile 1
    0.00374
  • Median
    0.00640
  • Quartile 3
    0.01410
  • Maximum
    0.46090
  • Mean of quarter 1
    0.00216
  • Mean of quarter 2
    0.00430
  • Mean of quarter 3
    0.00851
  • Mean of quarter 4
    0.23843
  • Inter Quartile Range
    0.01036
  • 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
    0.16667
  • Mean of outliers high
    0.46090
  • 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)
    0.01037
  • Compounded annual return (geometric extrapolation)
    0.01037
  • Calmar ratio (compounded annual return / max draw down)
    0.02250
  • Compounded annual return / average of 25% largest draw downs
    0.04349
  • Compounded annual return / Expected Shortfall lognormal
    0.21735
  • 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
    0.16425
  • SD
    0.12422
  • Sharpe ratio (Glass type estimate)
    1.32221
  • Sharpe ratio (Hedges UMVUE)
    1.31456
  • df
    130.00000
  • t
    0.93494
  • p
    0.45914
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.45667
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.09613
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.46184
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.09097
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.91271
  • Upside Potential Ratio
    9.61060
  • Upside part of mean
    0.82529
  • Downside part of mean
    -0.66104
  • Upside SD
    0.08968
  • Downside SD
    0.08587
  • N nonnegative terms
    70.00000
  • N negative terms
    61.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.31720
  • Mean of criterion
    0.16425
  • SD of predictor
    0.16973
  • SD of criterion
    0.12422
  • Covariance
    0.01239
  • r
    0.58786
  • b (slope, estimate of beta)
    0.43026
  • a (intercept, estimate of alpha)
    0.02777
  • Mean Square Error
    0.01018
  • DF error
    129.00000
  • t(b)
    8.25350
  • p(b)
    0.14860
  • t(a)
    0.19338
  • p(a)
    0.48916
  • Lowerbound of 95% confidence interval for beta
    0.32712
  • Upperbound of 95% confidence interval for beta
    0.53340
  • Lowerbound of 95% confidence interval for alpha
    -0.25639
  • Upperbound of 95% confidence interval for alpha
    0.31194
  • Treynor index (mean / b)
    0.38175
  • Jensen alpha (a)
    0.02777
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.15652
  • SD
    0.12427
  • Sharpe ratio (Glass type estimate)
    1.25957
  • Sharpe ratio (Hedges UMVUE)
    1.25229
  • df
    130.00000
  • t
    0.89065
  • p
    0.46106
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.51876
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.03319
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.52369
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.02827
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.80779
  • Upside Potential Ratio
    9.48476
  • Upside part of mean
    0.82122
  • Downside part of mean
    -0.66470
  • Upside SD
    0.08900
  • Downside SD
    0.08658
  • N nonnegative terms
    70.00000
  • N negative terms
    61.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.30263
  • Mean of criterion
    0.15652
  • SD of predictor
    0.17025
  • SD of criterion
    0.12427
  • Covariance
    0.01247
  • r
    0.58921
  • b (slope, estimate of beta)
    0.43007
  • a (intercept, estimate of alpha)
    0.02637
  • Mean Square Error
    0.01016
  • DF error
    129.00000
  • t(b)
    8.28256
  • p(b)
    0.14790
  • t(a)
    0.18389
  • p(a)
    0.48969
  • VAR (95 Confidence Intrvl)
    0.03600
  • Lowerbound of 95% confidence interval for beta
    0.32734
  • Upperbound of 95% confidence interval for beta
    0.53281
  • Lowerbound of 95% confidence interval for alpha
    -0.25737
  • Upperbound of 95% confidence interval for alpha
    0.31011
  • Treynor index (mean / b)
    0.36395
  • Jensen alpha (a)
    0.02637
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01196
  • Expected Shortfall on VaR
    0.01512
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00554
  • Expected Shortfall on VaR
    0.01110
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97012
  • Quartile 1
    0.99677
  • Median
    1.00100
  • Quartile 3
    1.00563
  • Maximum
    1.03169
  • Mean of quarter 1
    0.99125
  • Mean of quarter 2
    0.99903
  • Mean of quarter 3
    1.00331
  • Mean of quarter 4
    1.00942
  • Inter Quartile Range
    0.00886
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.01527
  • Mean of outliers low
    0.97639
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.00763
  • Mean of outliers high
    1.03169
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.14838
  • VaR(95%) (moments method)
    0.00827
  • Expected Shortfall (moments method)
    0.01237
  • Extreme Value Index (regression method)
    -0.06399
  • VaR(95%) (regression method)
    0.00963
  • Expected Shortfall (regression method)
    0.01312
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    14.00000
  • Minimum
    0.00019
  • Quartile 1
    0.00210
  • Median
    0.00689
  • Quartile 3
    0.01380
  • Maximum
    0.05273
  • Mean of quarter 1
    0.00104
  • Mean of quarter 2
    0.00441
  • Mean of quarter 3
    0.00981
  • Mean of quarter 4
    0.03228
  • Inter Quartile Range
    0.01170
  • 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
    0.04437
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -3.49449
  • VaR(95%) (moments method)
    0.03176
  • Expected Shortfall (moments method)
    0.03184
  • Extreme Value Index (regression method)
    -0.59520
  • VaR(95%) (regression method)
    0.05283
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.06118
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -287924000
  • Max Equity Drawdown (num days)
    46
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.19320
  • Compounded annual return (geometric extrapolation)
    0.20253
  • Calmar ratio (compounded annual return / max draw down)
    3.84120
  • Compounded annual return / average of 25% largest draw downs
    6.27358
  • Compounded annual return / Expected Shortfall lognormal
    13.39590

Strategy Description

Strategy verified and back tested for last 20 years with solid over performing SP500 and effective risk controlling model. Portfolio structure close to following proportion
50 % - 20 stocks components SP500 with most stable metrics .
From 10% to 20% - SPXS it is ETF that -3x SP500
From 10% to 20% - VXX to protect portfolio

Summary Statistics

Strategy began
2020-01-03
Suggested Minimum Capital
$25,000
# Trades
38
# Profitable
18
% Profitable
47.4%
Net Dividends
Correlation S&P500
0.630
Sharpe Ratio
-0.00
Sortino Ratio
-0.00
Beta
0.66
Alpha
-0.04
Leverage
1.14 Average
3.57 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.