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KT RP Platinum
(129269726)

Created by: KoallaTechnologies KoallaTechnologies
Started: 05/2020
Stocks
Last trade: 18 days ago
Trading style: Equity Non-hedged Equity Trend-following
Subscriptions not currently available.

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."
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.
-6.1%
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.

(38.5%)
Max Drawdown
440
Num Trades
44.3%
Win Trades
0.7 : 1
Profit Factor
47.9%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020                              -  +3.7%+6.0%(6.5%)(1.2%)(4.3%)+5.6%+4.6%+7.3%
2021(1.9%)(6.2%)(2.9%)+2.6%+4.0%+0.3%+7.9%(0.7%)(12.8%)+14.4%+1.2%+0.8%+4.3%
2022(19.6%)(1.4%)+14.7%(14.3%)(5.6%)(1.2%)+2.1%(3%)(1.7%)+1.2%+1.3%(0.7%)(28.1%)
2023(4.1%)(0.1%)+0.8%(0.3%)+1.0%+1.6%+1.0%(2.9%)(2%)+1.3%+0.7%+0.4%(2.7%)
2024  -    -  +0.1%  -                                                  +0.1%

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

This strategy has placed 2,987 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
1/8/24 9:33 BITO PROSHARES BITCOIN STRATEGY ETF LONG 12 27.54 4/1 9:33 30.73 0%
Trade id #146930458
Max drawdown($6)
Time1/23/24 0:00
Quant open2
Worst price18.61
Drawdown as % of equity-0.00%
 $38
Includes Typical Broker Commissions trade costs of $0.24
12/1/23 9:33 JEPI JP MORGAN EQUITY PREMIUM INCOME ETF LONG 32 54.34 3/1/24 9:33 55.25 0%
Trade id #146587691
Max drawdown($2)
Time12/8/23 0:00
Quant open32
Worst price54.27
Drawdown as % of equity-0.00%
 $28
Includes Typical Broker Commissions trade costs of $0.64
12/1/23 9:33 IEF ISHARES BARCLAYS 7-10 YEAR TRE LONG 11 93.14 3/1/24 9:33 94.80 0%
Trade id #146587689
Max drawdown($0)
Time12/1/23 9:50
Quant open11
Worst price93.11
Drawdown as % of equity-0.00%
 $18
Includes Typical Broker Commissions trade costs of $0.22
10/30/23 9:33 TJX TJX COMPANIES LONG 35 89.29 3/1/24 9:33 90.44 0.01%
Trade id #146274382
Max drawdown($21)
Time12/5/23 0:00
Quant open13
Worst price87.44
Drawdown as % of equity-0.01%
 $39
Includes Typical Broker Commissions trade costs of $0.70
1/8/24 9:33 XLE ENERGY SELECT SECTOR SPDR LONG 2 82.90 3/1 9:33 86.97 0%
Trade id #146930461
Max drawdown($7)
Time1/18/24 0:00
Quant open2
Worst price78.98
Drawdown as % of equity-0.00%
 $8
Includes Typical Broker Commissions trade costs of $0.04
1/2/24 9:33 TLT ISHARES 20+ YEAR TREASURY BOND LONG 4 98.14 2/1 9:33 96.84 0.01%
Trade id #146862206
Max drawdown($10)
Time1/24/24 0:00
Quant open2
Worst price93.10
Drawdown as % of equity-0.01%
 ($5)
Includes Typical Broker Commissions trade costs of $0.08
12/26/23 9:33 FNGU MICROSECTORS FANG+ 3X LEVERAGED ETN LONG 3 235.99 1/16/24 9:33 223.68 0.04%
Trade id #146806991
Max drawdown($76)
Time1/2/24 0:00
Quant open3
Worst price210.55
Drawdown as % of equity-0.04%
 ($37)
Includes Typical Broker Commissions trade costs of $0.06
12/1/23 9:33 MCD MCDONALD'S LONG 4 283.51 1/8/24 9:33 293.79 0%
Trade id #146587728
Max drawdown($1)
Time12/1/23 9:39
Quant open4
Worst price283.21
Drawdown as % of equity-0.00%
 $41
Includes Typical Broker Commissions trade costs of $0.08
12/1/23 9:33 XAR SPDR S&P AEROSPACE & DEFENSE LONG 7 127.88 1/8/24 9:33 133.92 0%
Trade id #146587713
Max drawdown($0)
Time12/1/23 9:39
Quant open7
Worst price127.86
Drawdown as % of equity-0.00%
 $42
Includes Typical Broker Commissions trade costs of $0.14
12/1/23 9:33 ORLY O'REILLY AUTOMOTIVE LONG 1 987.71 1/2/24 9:33 951.92 0.03%
Trade id #146587698
Max drawdown($51)
Time12/15/23 0:00
Quant open1
Worst price936.06
Drawdown as % of equity-0.03%
 ($36)
Includes Typical Broker Commissions trade costs of $0.02
12/1/23 9:33 NOC NORTHROP GRUMMAN LONG 1 476.95 1/2/24 9:33 471.77 0.01%
Trade id #146587696
Max drawdown($21)
Time12/15/23 0:00
Quant open1
Worst price455.00
Drawdown as % of equity-0.01%
 ($5)
Includes Typical Broker Commissions trade costs of $0.02
12/1/23 9:33 MA MASTERCARD LONG 1 412.46 1/2/24 9:33 422.91 0%
Trade id #146587694
Max drawdown($8)
Time12/5/23 0:00
Quant open1
Worst price404.31
Drawdown as % of equity-0.00%
 $10
Includes Typical Broker Commissions trade costs of $0.02
10/30/23 9:33 PFIX SIMPLIFY INTEREST RATE HEDGE ETF LONG 61 102.71 1/2/24 9:33 85.25 0.45%
Trade id #146274347
Max drawdown($868)
Time11/22/23 0:00
Quant open61
Worst price88.48
Drawdown as % of equity-0.45%
 ($1,066)
Includes Typical Broker Commissions trade costs of $1.22
9/25/23 9:33 UNH UNITEDHEALTH GROUP LONG 24 512.46 1/2/24 9:33 535.16 0.06%
Trade id #145922492
Max drawdown($116)
Time9/27/23 0:00
Quant open16
Worst price501.05
Drawdown as % of equity-0.06%
 $545
Includes Typical Broker Commissions trade costs of $0.48
11/9/23 13:09 TECL DIREXION DAILY TECHNOLOGY BULL LONG 35 56.56 12/26 9:33 66.73 0.01%
Trade id #146388777
Max drawdown($12)
Time11/9/23 15:46
Quant open14
Worst price50.87
Drawdown as % of equity-0.01%
 $355
Includes Typical Broker Commissions trade costs of $0.70
10/30/23 9:33 FNGU MICROSECTORS FANG+ 3X LEVERAGED ETN LONG 13 152.75 12/1 14:27 184.45 0.02%
Trade id #146274338
Max drawdown($46)
Time10/31/23 0:00
Quant open10
Worst price133.35
Drawdown as % of equity-0.02%
 $412
Includes Typical Broker Commissions trade costs of $0.26
10/27/23 15:51 LLY ELI LILLY LONG 17 561.80 12/1 9:33 584.52 0.07%
Trade id #146262817
Max drawdown($127)
Time10/31/23 0:00
Quant open11
Worst price547.61
Drawdown as % of equity-0.07%
 $386
Includes Typical Broker Commissions trade costs of $0.34
11/20/23 9:33 ADBE ADOBE INC LONG 5 608.56 11/24 10:36 614.27 0.01%
Trade id #146487317
Max drawdown($11)
Time11/20/23 9:47
Quant open5
Worst price606.34
Drawdown as % of equity-0.01%
 $29
Includes Typical Broker Commissions trade costs of $0.10
11/10/23 15:33 COST COSTCO WHOLESALE LONG 5 577.04 11/24 10:36 593.10 0.01%
Trade id #146405119
Max drawdown($24)
Time11/16/23 0:00
Quant open5
Worst price572.24
Drawdown as % of equity-0.01%
 $80
Includes Typical Broker Commissions trade costs of $0.10
11/20/23 9:33 TQQQ PROSHARES ULTRAPRO QQQ LONG 125 43.56 11/24 10:36 44.04 0.02%
Trade id #146487326
Max drawdown($33)
Time11/21/23 0:00
Quant open125
Worst price43.29
Drawdown as % of equity-0.02%
 $58
Includes Typical Broker Commissions trade costs of $2.50
11/20/23 9:33 SPXL DIREXION DAILY S&P500 BULL 3X LONG 60 89.56 11/24 10:36 91.81 n/a $133
Includes Typical Broker Commissions trade costs of $1.20
11/20/23 9:33 GOOG ALPHABET INC CLASS C LONG 30 136.68 11/24 10:36 138.07 0%
Trade id #146487320
Max drawdown($7)
Time11/20/23 9:40
Quant open30
Worst price136.42
Drawdown as % of equity-0.00%
 $41
Includes Typical Broker Commissions trade costs of $0.60
11/10/23 15:39 AMD ADVANCED MICRO DEVICES INC. C LONG 36 118.67 11/24 10:36 122.28 0.05%
Trade id #146405216
Max drawdown($96)
Time11/13/23 0:00
Quant open36
Worst price116.00
Drawdown as % of equity-0.05%
 $129
Includes Typical Broker Commissions trade costs of $0.72
11/6/23 9:33 V VISA LONG 19 244.72 11/24 10:36 254.18 0%
Trade id #146344947
Max drawdown($2)
Time11/9/23 0:00
Quant open1
Worst price240.97
Drawdown as % of equity-0.00%
 $180
Includes Typical Broker Commissions trade costs of $0.38
10/30/23 9:33 XLE ENERGY SELECT SECTOR SPDR LONG 62 86.49 11/24 10:36 84.76 0.13%
Trade id #146274393
Max drawdown($250)
Time11/9/23 0:00
Quant open62
Worst price82.45
Drawdown as % of equity-0.13%
 ($108)
Includes Typical Broker Commissions trade costs of $1.24
10/30/23 9:33 AMZN AMAZON.COM LONG 23 137.60 11/24 10:36 145.73 0.01%
Trade id #146274344
Max drawdown($17)
Time10/30/23 10:52
Quant open7
Worst price127.63
Drawdown as % of equity-0.01%
 $187
Includes Typical Broker Commissions trade costs of $0.46
10/27/23 15:51 NFLX NETFLIX LONG 22 415.73 11/24 10:36 446.21 0.01%
Trade id #146262821
Max drawdown($14)
Time10/27/23 15:56
Quant open14
Worst price397.37
Drawdown as % of equity-0.01%
 $670
Includes Typical Broker Commissions trade costs of $0.44
10/24/23 11:57 TMF DIREXION DAILY 20-YR TREASURY BULL 3X SHRS LONG 120 4.35 11/24 10:36 4.76 0.01%
Trade id #146221101
Max drawdown($9)
Time10/30/23 0:00
Quant open52
Worst price3.92
Drawdown as % of equity-0.01%
 $48
Includes Typical Broker Commissions trade costs of $2.40
10/13/23 15:39 NOC NORTHROP GRUMMAN LONG 29 481.87 11/24 10:36 469.13 0.23%
Trade id #146126797
Max drawdown($440)
Time10/30/23 0:00
Quant open21
Worst price467.40
Drawdown as % of equity-0.23%
 ($370)
Includes Typical Broker Commissions trade costs of $0.58
10/3/23 11:27 TZA DIREXION DAILY SMALL CAP BEAR LONG 295 34.78 11/24 10:36 34.02 0.14%
Trade id #146009985
Max drawdown($269)
Time10/17/23 0:00
Quant open78
Worst price31.00
Drawdown as % of equity-0.14%
 ($230)
Includes Typical Broker Commissions trade costs of $5.90
Next

Statistics

  • Strategy began
    5/29/2020
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    1418.67
  • Age
    47 months ago
  • What it trades
    Stocks
  • # Trades
    440
  • # Profitable
    195
  • % Profitable
    44.30%
  • Avg trade duration
    24.4 days
  • Max peak-to-valley drawdown
    38.51%
  • drawdown period
    Nov 22, 2021 - Oct 06, 2023
  • Annual Return (Compounded)
    -6.1%
  • Avg win
    $721.08
  • Avg loss
    $802.08
  • Model Account Values (Raw)
  • Cash
    $195,356
  • Margin Used
    $0
  • Buying Power
    $194,274
  • Ratios
  • W:L ratio
    0.75:1
  • Sharpe Ratio
    -0.45
  • Sortino Ratio
    -0.61
  • Calmar Ratio
    -0.191
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -87.57%
  • Correlation to SP500
    0.23370
  • Return Percent SP500 (cumu) during strategy life
    64.61%
  • Return Statistics
  • Ann Return (w trading costs)
    -6.1%
  • Slump
  • Current Slump as Pcnt Equity
    51.60%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.62%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.061%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -5.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    58.00%
  • Chance of 40% account loss
    13.50%
  • 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
    0.50%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    325
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $802
  • Avg Win
    $721
  • Sum Trade PL (losers)
    $196,509.000
  • Age
  • Num Months filled monthly returns table
    48
  • Win / Loss
  • Sum Trade PL (winners)
    $140,611.000
  • # Winners
    195
  • Num Months Winners
    24
  • Dividends
  • Dividends Received in Model Acct
    5899
  • Win / Loss
  • # Losers
    245
  • % Winners
    44.3%
  • Frequency
  • Avg Position Time (mins)
    35150.80
  • Avg Position Time (hrs)
    585.85
  • Avg Trade Length
    24.4 days
  • Last Trade Ago
    16
  • Leverage
  • Daily leverage (average)
    1.17
  • Daily leverage (max)
    3.51
  • Regression
  • Alpha
    -0.03
  • Beta
    0.18
  • Treynor Index
    -0.11
  • 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)
    -0.00
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    -5.327
  • 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
    0.639
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.299
  • Hold-and-Hope Ratio
    -0.191
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.07256
  • SD
    0.20859
  • Sharpe ratio (Glass type estimate)
    -0.34786
  • Sharpe ratio (Hedges UMVUE)
    -0.34112
  • df
    39.00000
  • t
    -0.63510
  • p
    0.73547
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.42194
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.73059
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.41730
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.73506
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.44040
  • Upside Potential Ratio
    1.19953
  • Upside part of mean
    0.19763
  • Downside part of mean
    -0.27019
  • Upside SD
    0.12536
  • Downside SD
    0.16476
  • N nonnegative terms
    15.00000
  • N negative terms
    25.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    40.00000
  • Mean of predictor
    0.14863
  • Mean of criterion
    -0.07256
  • SD of predictor
    0.17595
  • SD of criterion
    0.20859
  • Covariance
    0.01953
  • r
    0.53212
  • b (slope, estimate of beta)
    0.63082
  • a (intercept, estimate of alpha)
    -0.16632
  • Mean Square Error
    0.03201
  • DF error
    38.00000
  • t(b)
    3.87427
  • p(b)
    0.00020
  • t(a)
    -1.64772
  • p(a)
    0.94617
  • Lowerbound of 95% confidence interval for beta
    0.30120
  • Upperbound of 95% confidence interval for beta
    0.96044
  • Lowerbound of 95% confidence interval for alpha
    -0.37066
  • Upperbound of 95% confidence interval for alpha
    0.03802
  • Treynor index (mean / b)
    -0.11502
  • Jensen alpha (a)
    -0.16632
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.09461
  • SD
    0.21420
  • Sharpe ratio (Glass type estimate)
    -0.44168
  • Sharpe ratio (Hedges UMVUE)
    -0.43312
  • df
    39.00000
  • t
    -0.80639
  • p
    0.78755
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.51686
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.63906
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.51093
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.64469
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.53372
  • Upside Potential Ratio
    1.07125
  • Upside part of mean
    0.18989
  • Downside part of mean
    -0.28450
  • Upside SD
    0.11857
  • Downside SD
    0.17726
  • N nonnegative terms
    15.00000
  • N negative terms
    25.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    40.00000
  • Mean of predictor
    0.13265
  • Mean of criterion
    -0.09461
  • SD of predictor
    0.17400
  • SD of criterion
    0.21420
  • Covariance
    0.02025
  • r
    0.54342
  • b (slope, estimate of beta)
    0.66896
  • a (intercept, estimate of alpha)
    -0.18335
  • Mean Square Error
    0.03318
  • DF error
    38.00000
  • t(b)
    3.99048
  • p(b)
    0.00015
  • t(a)
    -1.79360
  • p(a)
    0.95958
  • Lowerbound of 95% confidence interval for beta
    0.32959
  • Upperbound of 95% confidence interval for beta
    1.00833
  • Lowerbound of 95% confidence interval for alpha
    -0.39029
  • Upperbound of 95% confidence interval for alpha
    0.02359
  • Treynor index (mean / b)
    -0.14142
  • Jensen alpha (a)
    -0.18335
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.10380
  • Expected Shortfall on VaR
    0.12643
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.05937
  • Expected Shortfall on VaR
    0.11464
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    40.00000
  • Minimum
    0.81356
  • Quartile 1
    0.97646
  • Median
    0.99845
  • Quartile 3
    1.02311
  • Maximum
    1.16089
  • Mean of quarter 1
    0.92437
  • Mean of quarter 2
    0.99107
  • Mean of quarter 3
    1.00875
  • Mean of quarter 4
    1.06093
  • Inter Quartile Range
    0.04665
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.07500
  • Mean of outliers low
    0.85037
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.05000
  • Mean of outliers high
    1.13311
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.33773
  • VaR(95%) (moments method)
    0.07143
  • Expected Shortfall (moments method)
    0.13209
  • Extreme Value Index (regression method)
    0.32637
  • VaR(95%) (regression method)
    0.09215
  • Expected Shortfall (regression method)
    0.17386
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.11367
  • Quartile 1
    0.16200
  • Median
    0.21034
  • Quartile 3
    0.25867
  • Maximum
    0.30700
  • Mean of quarter 1
    0.11367
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.30700
  • Inter Quartile Range
    0.09667
  • 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)
    -0.05981
  • Compounded annual return (geometric extrapolation)
    -0.06452
  • Calmar ratio (compounded annual return / max draw down)
    -0.21018
  • Compounded annual return / average of 25% largest draw downs
    -0.21018
  • Compounded annual return / Expected Shortfall lognormal
    -0.51035
  • 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
    -0.08462
  • SD
    0.14066
  • Sharpe ratio (Glass type estimate)
    -0.60157
  • Sharpe ratio (Hedges UMVUE)
    -0.60106
  • df
    876.00000
  • t
    -1.10061
  • p
    0.86432
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.67307
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.47021
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.67269
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.47058
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.80529
  • Upside Potential Ratio
    6.30844
  • Upside part of mean
    0.66288
  • Downside part of mean
    -0.74749
  • Upside SD
    0.09354
  • Downside SD
    0.10508
  • N nonnegative terms
    410.00000
  • N negative terms
    467.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    877.00000
  • Mean of predictor
    0.14033
  • Mean of criterion
    -0.08462
  • SD of predictor
    0.18381
  • SD of criterion
    0.14066
  • Covariance
    0.00613
  • r
    0.23717
  • b (slope, estimate of beta)
    0.18149
  • a (intercept, estimate of alpha)
    -0.11000
  • Mean Square Error
    0.01869
  • DF error
    875.00000
  • t(b)
    7.22159
  • p(b)
    -0.00000
  • t(a)
    -1.47146
  • p(a)
    0.92924
  • Lowerbound of 95% confidence interval for beta
    0.13217
  • Upperbound of 95% confidence interval for beta
    0.23082
  • Lowerbound of 95% confidence interval for alpha
    -0.25692
  • Upperbound of 95% confidence interval for alpha
    0.03675
  • Treynor index (mean / b)
    -0.46624
  • Jensen alpha (a)
    -0.11009
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.09453
  • SD
    0.14094
  • Sharpe ratio (Glass type estimate)
    -0.67070
  • Sharpe ratio (Hedges UMVUE)
    -0.67012
  • df
    876.00000
  • t
    -1.22709
  • p
    0.88994
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.74225
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.40121
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.74185
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.40160
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.88910
  • Upside Potential Ratio
    6.19336
  • Upside part of mean
    0.65849
  • Downside part of mean
    -0.75302
  • Upside SD
    0.09259
  • Downside SD
    0.10632
  • N nonnegative terms
    410.00000
  • N negative terms
    467.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    877.00000
  • Mean of predictor
    0.12338
  • Mean of criterion
    -0.09453
  • SD of predictor
    0.18411
  • SD of criterion
    0.14094
  • Covariance
    0.00615
  • r
    0.23694
  • b (slope, estimate of beta)
    0.18139
  • a (intercept, estimate of alpha)
    -0.11691
  • Mean Square Error
    0.01877
  • DF error
    875.00000
  • t(b)
    7.21432
  • p(b)
    -0.00000
  • t(a)
    -1.55985
  • p(a)
    0.94042
  • Lowerbound of 95% confidence interval for beta
    0.13204
  • Upperbound of 95% confidence interval for beta
    0.23074
  • Lowerbound of 95% confidence interval for alpha
    -0.26401
  • Upperbound of 95% confidence interval for alpha
    0.03019
  • Treynor index (mean / b)
    -0.52114
  • Jensen alpha (a)
    -0.11691
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01458
  • Expected Shortfall on VaR
    0.01815
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00678
  • Expected Shortfall on VaR
    0.01380
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    877.00000
  • Minimum
    0.95645
  • Quartile 1
    0.99702
  • Median
    0.99998
  • Quartile 3
    1.00297
  • Maximum
    1.04017
  • Mean of quarter 1
    0.99002
  • Mean of quarter 2
    0.99882
  • Mean of quarter 3
    1.00107
  • Mean of quarter 4
    1.00927
  • Inter Quartile Range
    0.00595
  • Number outliers low
    59.00000
  • Percentage of outliers low
    0.06727
  • Mean of outliers low
    0.97937
  • Number of outliers high
    51.00000
  • Percentage of outliers high
    0.05815
  • Mean of outliers high
    1.01967
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.43756
  • VaR(95%) (moments method)
    0.00970
  • Expected Shortfall (moments method)
    0.02005
  • Extreme Value Index (regression method)
    0.12904
  • VaR(95%) (regression method)
    0.00929
  • Expected Shortfall (regression method)
    0.01427
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.00265
  • Quartile 1
    0.00566
  • Median
    0.02321
  • Quartile 3
    0.11437
  • Maximum
    0.33818
  • Mean of quarter 1
    0.00353
  • Mean of quarter 2
    0.01259
  • Mean of quarter 3
    0.04395
  • Mean of quarter 4
    0.20936
  • Inter Quartile Range
    0.10871
  • 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
    0.10000
  • Mean of outliers high
    0.33818
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.03253
  • VaR(95%) (moments method)
    0.23655
  • Expected Shortfall (moments method)
    0.31541
  • Extreme Value Index (regression method)
    1.94083
  • VaR(95%) (regression method)
    0.42031
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.05972
  • Compounded annual return (geometric extrapolation)
    -0.06445
  • Calmar ratio (compounded annual return / max draw down)
    -0.19059
  • Compounded annual return / average of 25% largest draw downs
    -0.30786
  • Compounded annual return / Expected Shortfall lognormal
    -3.55114
  • 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
    -0.04832
  • SD
    0.03684
  • Sharpe ratio (Glass type estimate)
    -1.31165
  • Sharpe ratio (Hedges UMVUE)
    -1.30407
  • df
    130.00000
  • t
    -0.92748
  • p
    0.54054
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.08563
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.46715
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.08041
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.47226
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.67198
  • Upside Potential Ratio
    5.14386
  • Upside part of mean
    0.14865
  • Downside part of mean
    -0.19697
  • Upside SD
    0.02281
  • Downside SD
    0.02890
  • N nonnegative terms
    53.00000
  • N negative terms
    78.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.22517
  • Mean of criterion
    -0.04832
  • SD of predictor
    0.13756
  • SD of criterion
    0.03684
  • Covariance
    0.00235
  • r
    0.46305
  • b (slope, estimate of beta)
    0.12401
  • a (intercept, estimate of alpha)
    -0.07624
  • Mean Square Error
    0.00107
  • DF error
    129.00000
  • t(b)
    5.93375
  • p(b)
    0.21611
  • t(a)
    -1.63636
  • p(a)
    0.59047
  • Lowerbound of 95% confidence interval for beta
    0.08266
  • Upperbound of 95% confidence interval for beta
    0.16536
  • Lowerbound of 95% confidence interval for alpha
    -0.16843
  • Upperbound of 95% confidence interval for alpha
    0.01594
  • Treynor index (mean / b)
    -0.38965
  • Jensen alpha (a)
    -0.07624
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.04899
  • SD
    0.03687
  • Sharpe ratio (Glass type estimate)
    -1.32872
  • Sharpe ratio (Hedges UMVUE)
    -1.32104
  • df
    130.00000
  • t
    -0.93955
  • p
    0.54106
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.10270
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.45032
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.09750
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.45541
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.68991
  • Upside Potential Ratio
    5.11804
  • Upside part of mean
    0.14838
  • Downside part of mean
    -0.19737
  • Upside SD
    0.02276
  • Downside SD
    0.02899
  • N nonnegative terms
    53.00000
  • N negative terms
    78.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.21568
  • Mean of criterion
    -0.04899
  • SD of predictor
    0.13732
  • SD of criterion
    0.03687
  • Covariance
    0.00235
  • r
    0.46349
  • b (slope, estimate of beta)
    0.12445
  • a (intercept, estimate of alpha)
    -0.07584
  • Mean Square Error
    0.00108
  • DF error
    129.00000
  • t(b)
    5.94090
  • p(b)
    0.21587
  • t(a)
    -1.62724
  • p(a)
    0.58998
  • VAR (95 Confidence Intrvl)
    0.01500
  • Lowerbound of 95% confidence interval for beta
    0.08301
  • Upperbound of 95% confidence interval for beta
    0.16590
  • Lowerbound of 95% confidence interval for alpha
    -0.16804
  • Upperbound of 95% confidence interval for alpha
    0.01637
  • Treynor index (mean / b)
    -0.39366
  • Jensen alpha (a)
    -0.07584
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00393
  • Expected Shortfall on VaR
    0.00487
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00191
  • Expected Shortfall on VaR
    0.00390
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.99035
  • Quartile 1
    0.99962
  • Median
    1.00004
  • Quartile 3
    1.00042
  • Maximum
    1.00768
  • Mean of quarter 1
    0.99740
  • Mean of quarter 2
    0.99984
  • Mean of quarter 3
    1.00017
  • Mean of quarter 4
    1.00228
  • Inter Quartile Range
    0.00080
  • Number outliers low
    18.00000
  • Percentage of outliers low
    0.13740
  • Mean of outliers low
    0.99606
  • Number of outliers high
    16.00000
  • Percentage of outliers high
    0.12214
  • Mean of outliers high
    1.00361
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.41557
  • VaR(95%) (moments method)
    0.00262
  • Expected Shortfall (moments method)
    0.00533
  • Extreme Value Index (regression method)
    0.04930
  • VaR(95%) (regression method)
    0.00295
  • Expected Shortfall (regression method)
    0.00447
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.00036
  • Quartile 1
    0.01168
  • Median
    0.02301
  • Quartile 3
    0.03433
  • Maximum
    0.04566
  • Mean of quarter 1
    0.00036
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.04566
  • Inter Quartile Range
    0.02265
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    0.50%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -360799000
  • Max Equity Drawdown (num days)
    683
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.02097
  • Compounded annual return (geometric extrapolation)
    -0.02087
  • Calmar ratio (compounded annual return / max draw down)
    -0.45699
  • Compounded annual return / average of 25% largest draw downs
    -0.45699
  • Compounded annual return / Expected Shortfall lognormal
    -4.28131

Strategy Description

We use a combination of statistical techniques to maximize return; while maintaining the risk profile to be the same as a traditional 60:40 stocks: bonds portfolio. Our latest model is able to deliver a return of +50% per annum; with half the risk profile of the stock market and slightly lower risk profile of a 60:40 stocks: bonds portfolio.

For those statistically inclined; the performance of this strategy based on a back-testing from 2003 on-wards is as follows:
CAGR: 52%
Max DD: 25%
Sharpe Ratio: 2.05

See https://koalla.tech/risk-parity-strategies/ for more details on the strategy
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2020-05-29
Suggested Minimum Capital
$15,000
# Trades
440
# Profitable
195
% Profitable
44.3%
Net Dividends
$5,898
Correlation S&P500
0.234
Sharpe Ratio
-0.45
Sortino Ratio
-0.61
Beta
0.18
Alpha
-0.03
Leverage
1.17 Average
3.51 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

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

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

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

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

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

Latest Activity

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subscribed on started simulation #SUBSCRIBEDDATE#

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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Suggested Minimum Capital

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