Collective2 Collective2
Featured Strategy Income Trades Followed by live capital $89,600 Hypothetical

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This is an archived track record. This track record was archived on 12/22/21 2:11 ET. (See latest track record)
These are hypothetical performance results that have certain inherent limitations. Learn more
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Algebra Crypto
(132009577)

Created by: Traderkhved Traderkhved
Started: 11/2020
Stocks
Last trade: 1,059 days ago
Trading style: Equity Non-hedged Equity

Subscriptions not available

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

Subscription terms. Subscriptions to this system cost $299.00 per month.

C2Star

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

You can read more about C2Star certification requirements here.

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

Trading Category: Equity
Non-hedged Equity
Category: Equity

Non-hedged Equity

Predominantly long equities, although some hedging with short sales of stocks and/or stock index options. Commonly known as "stock-pickers."
34.1%
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.

(23.2%)
Max Drawdown
163
Num Trades
62.6%
Win Trades
1.6 : 1
Profit Factor
18.4%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020                                                                      +17.2%+11.4%+30.6%
2021(0.3%)+1.5%+4.2%+1.6%+3.9%(1.7%)+4.8%(1.4%)+1.9%+9.1%(11.2%)(3.5%)+7.6%
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -    -    -    -    -    -    -    -    -        0.0

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 48 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 1247 days ago.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
12/21/21 12:07 SLV ISHARES SILVER TRUST LONG 1,700 20.80 12/22 2:11 20.77 0.15%
Trade id #138654817
Max drawdown($51)
Time12/21/21 15:59
Quant open1,700
Worst price20.77
Drawdown as % of equity-0.15%
 ($56)
Includes Typical Broker Commissions trade costs of $5.00
12/21/21 9:33 RSX VANECK VECTORS RUSSIA ETF LONG 1,650 26.00 12/22 2:11 26.05 0.12%
Trade id #138651089
Max drawdown($40)
Time12/21/21 9:44
Quant open1,000
Worst price25.88
Drawdown as % of equity-0.12%
 $71
Includes Typical Broker Commissions trade costs of $7.50
11/17/21 14:02 SBRCY LONG 1,263 18.62 12/21 13:49 15.70 12.89%
Trade id #138233654
Max drawdown($4,483)
Time12/15/21 0:00
Quant open1,263
Worst price15.07
Drawdown as % of equity-12.89%
 ($3,692)
Includes Typical Broker Commissions trade costs of $5.00
12/15/21 15:03 SLV ISHARES SILVER TRUST LONG 1,700 20.23 12/21 11:06 20.77 n/a $913
Includes Typical Broker Commissions trade costs of $5.00
12/14/21 9:52 RSX VANECK VECTORS RUSSIA ETF LONG 1,000 27.04 12/20 10:57 25.68 3.91%
Trade id #138574195
Max drawdown($1,380)
Time12/20/21 9:41
Quant open1,000
Worst price25.66
Drawdown as % of equity-3.91%
 ($1,365)
Includes Typical Broker Commissions trade costs of $5.00
11/11/21 12:28 SLV ISHARES SILVER TRUST LONG 1,888 22.02 12/14 11:22 20.29 10.27%
Trade id #138163676
Max drawdown($3,643)
Time12/14/21 9:30
Quant open1,888
Worst price20.09
Drawdown as % of equity-10.27%
 ($3,274)
Includes Typical Broker Commissions trade costs of $7.50
11/10/21 9:40 NILSY LONG 774 30.93 12/7 11:27 29.29 4.77%
Trade id #138142834
Max drawdown($1,880)
Time11/26/21 0:00
Quant open774
Worst price28.50
Drawdown as % of equity-4.77%
 ($1,274)
Includes Typical Broker Commissions trade costs of $5.00
11/11/21 12:20 BNO UNITED STATES BRENT OIL SHORT 1,136 21.78 11/15 9:31 21.54 0.68%
Trade id #138163598
Max drawdown($295)
Time11/11/21 14:22
Quant open1,136
Worst price22.04
Drawdown as % of equity-0.68%
 $268
Includes Typical Broker Commissions trade costs of $5.00
10/25/21 9:41 UNG UNITED STATES NATURAL GAS SHORT 1,376 18.88 11/11 12:19 16.87 2.21%
Trade id #137939996
Max drawdown($928)
Time10/27/21 0:00
Quant open688
Worst price20.97
Drawdown as % of equity-2.21%
 $2,759
Includes Typical Broker Commissions trade costs of $7.50
10/18/21 11:30 BNO UNITED STATES BRENT OIL SHORT 626 22.28 11/10 9:40 22.55 0.76%
Trade id #137856906
Max drawdown($319)
Time10/25/21 0:00
Quant open626
Worst price22.79
Drawdown as % of equity-0.76%
 ($174)
Includes Typical Broker Commissions trade costs of $5.00
11/3/21 11:30 RSX VANECK VECTORS RUSSIA ETF SHORT 476 31.52 11/10 9:39 32.30 1.16%
Trade id #138059993
Max drawdown($490)
Time11/9/21 0:00
Quant open476
Worst price32.55
Drawdown as % of equity-1.16%
 ($381)
Includes Typical Broker Commissions trade costs of $9.52
10/27/21 9:37 RSX VANECK VECTORS RUSSIA ETF SHORT 673 32.70 11/2 11:25 32.05 0.24%
Trade id #137973083
Max drawdown($100)
Time10/27/21 10:04
Quant open673
Worst price32.85
Drawdown as % of equity-0.24%
 $432
Includes Typical Broker Commissions trade costs of $5.00
10/19/21 11:38 NILSY LONG 1,200 33.29 10/27 9:32 31.59 4.89%
Trade id #137873647
Max drawdown($2,052)
Time10/27/21 9:30
Quant open1,200
Worst price31.58
Drawdown as % of equity-4.89%
 ($2,045)
Includes Typical Broker Commissions trade costs of $5.00
9/7/21 9:44 SLV ISHARES SILVER TRUST LONG 1,323 22.07 10/25 9:35 22.58 7.61%
Trade id #137271879
Max drawdown($2,963)
Time9/29/21 0:00
Quant open1,323
Worst price19.83
Drawdown as % of equity-7.61%
 $666
Includes Typical Broker Commissions trade costs of $9.41
10/5/21 14:49 RSX VANECK VECTORS RUSSIA ETF LONG 1,628 31.52 10/14 10:45 32.50 1.69%
Trade id #137677310
Max drawdown($669)
Time10/6/21 0:00
Quant open1,338
Worst price30.88
Drawdown as % of equity-1.69%
 $1,595
Includes Typical Broker Commissions trade costs of $7.90
9/29/21 13:26 RSX VANECK VECTORS RUSSIA ETF LONG 667 30.03 10/4 12:57 30.61 0.04%
Trade id #137585990
Max drawdown($13)
Time9/29/21 13:30
Quant open667
Worst price30.01
Drawdown as % of equity-0.04%
 $382
Includes Typical Broker Commissions trade costs of $5.00
9/21/21 15:48 RSX VANECK VECTORS RUSSIA ETF LONG 1,400 29.73 9/23 9:30 30.07 0.16%
Trade id #137467598
Max drawdown($62)
Time9/21/21 15:59
Quant open1,040
Worst price29.51
Drawdown as % of equity-0.16%
 $464
Includes Typical Broker Commissions trade costs of $8.60
9/15/21 14:31 UNG UNITED STATES NATURAL GAS SHORT 1,052 19.03 9/21 9:33 16.89 0.14%
Trade id #137386718
Max drawdown($52)
Time9/15/21 15:57
Quant open1,052
Worst price19.08
Drawdown as % of equity-0.14%
 $2,246
Includes Typical Broker Commissions trade costs of $5.00
9/8/21 13:02 RSX VANECK VECTORS RUSSIA ETF LONG 2,004 29.99 9/15 9:32 30.42 0.51%
Trade id #137292173
Max drawdown($187)
Time9/9/21 0:00
Quant open668
Worst price29.68
Drawdown as % of equity-0.51%
 $852
Includes Typical Broker Commissions trade costs of $10.00
9/2/21 9:39 RSX VANECK VECTORS RUSSIA ETF LONG 1,400 29.96 9/3 12:55 30.16 0.42%
Trade id #137223508
Max drawdown($154)
Time9/2/21 14:52
Quant open1,400
Worst price29.85
Drawdown as % of equity-0.42%
 $275
Includes Typical Broker Commissions trade costs of $5.00
8/26/21 9:34 RSX VANECK VECTORS RUSSIA ETF SHORT 1,400 28.61 9/2 9:39 29.96 5.29%
Trade id #137132483
Max drawdown($1,974)
Time9/2/21 9:30
Quant open1,400
Worst price30.02
Drawdown as % of equity-5.29%
 ($1,895)
Includes Typical Broker Commissions trade costs of $5.00
8/24/21 9:36 NILSY LONG 647 32.44 8/26 9:31 32.02 0.64%
Trade id #137095178
Max drawdown($252)
Time8/26/21 9:30
Quant open647
Worst price32.05
Drawdown as % of equity-0.64%
 ($277)
Includes Typical Broker Commissions trade costs of $5.00
8/19/21 9:40 SLV ISHARES SILVER TRUST LONG 924 21.64 8/26 9:31 21.91 1.05%
Trade id #137035058
Max drawdown($411)
Time8/20/21 0:00
Quant open924
Worst price21.20
Drawdown as % of equity-1.05%
 $244
Includes Typical Broker Commissions trade costs of $5.00
8/19/21 13:31 RSX VANECK VECTORS RUSSIA ETF SHORT 712 28.65 8/24 9:33 28.95 0.58%
Trade id #137042056
Max drawdown($227)
Time8/24/21 9:31
Quant open712
Worst price28.97
Drawdown as % of equity-0.58%
 ($219)
Includes Typical Broker Commissions trade costs of $5.00
8/3/21 9:32 RSX VANECK VECTORS RUSSIA ETF SHORT 712 28.80 8/19 9:32 28.67 1.45%
Trade id #136800270
Max drawdown($558)
Time8/17/21 0:00
Quant open712
Worst price29.59
Drawdown as % of equity-1.45%
 $88
Includes Typical Broker Commissions trade costs of $5.00
8/17/21 10:56 UNG UNITED STATES NATURAL GAS SHORT 1,481 13.47 8/19 9:32 13.25 0.31%
Trade id #137000099
Max drawdown($118)
Time8/18/21 0:00
Quant open1,481
Worst price13.55
Drawdown as % of equity-0.31%
 $321
Includes Typical Broker Commissions trade costs of $5.00
8/12/21 9:32 SLV ISHARES SILVER TRUST LONG 926 21.61 8/17 9:54 22.08 0.7%
Trade id #136935134
Max drawdown($268)
Time8/12/21 9:37
Quant open926
Worst price21.32
Drawdown as % of equity-0.70%
 $430
Includes Typical Broker Commissions trade costs of $5.00
7/27/21 10:01 RSX VANECK VECTORS RUSSIA ETF LONG 2,121 28.44 8/3 9:31 28.84 0.49%
Trade id #136693669
Max drawdown($183)
Time7/27/21 12:19
Quant open1,414
Worst price28.20
Drawdown as % of equity-0.49%
 $834
Includes Typical Broker Commissions trade costs of $17.07
7/20/21 12:36 RSX VANECK VECTORS RUSSIA ETF LONG 1,872 27.81 7/26 9:32 28.20 0.08%
Trade id #136595303
Max drawdown($28)
Time7/20/21 13:28
Quant open936
Worst price27.76
Drawdown as % of equity-0.08%
 $714
Includes Typical Broker Commissions trade costs of $21.22
7/19/21 13:14 RSX VANECK VECTORS RUSSIA ETF SHORT 685 27.51 7/19 15:20 27.48 0.11%
Trade id #136561892
Max drawdown($41)
Time7/19/21 14:20
Quant open685
Worst price27.57
Drawdown as % of equity-0.11%
 $16
Includes Typical Broker Commissions trade costs of $5.00
Next

Statistics

  • Strategy began
    11/2/2020
  • Suggested Minimum Cap
    $25,000
  • Strategy Age (days)
    1470.73
  • Age
    49 months ago
  • What it trades
    Stocks
  • # Trades
    163
  • # Profitable
    102
  • % Profitable
    62.60%
  • Avg trade duration
    5.8 days
  • Max peak-to-valley drawdown
    23.25%
  • drawdown period
    Nov 10, 2021 - Dec 20, 2021
  • Annual Return (Compounded)
    34.1%
  • Avg win
    $392.53
  • Avg loss
    $422.75
  • Model Account Values (Raw)
  • Cash
    $40,771
  • Margin Used
    $0
  • Buying Power
    $40,771
  • Ratios
  • W:L ratio
    1.61:1
  • Sharpe Ratio
    0.5
  • Sortino Ratio
    0.77
  • Calmar Ratio
    2.037
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -0.45%
  • Correlation to SP500
    0.07660
  • Return Percent SP500 (cumu) during strategy life
    77.27%
  • Return Statistics
  • Ann Return (w trading costs)
    34.1%
  • Slump
  • Current Slump as Pcnt Equity
    23.50%
  • Instruments
  • Percent Trades Futures
    0.04%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.75%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.341%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    0.96%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    12.9%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    12.00%
  • Chance of 20% account loss
    2.00%
  • 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
    0.49%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    656
  • Popularity (Last 6 weeks)
    915
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    733
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $423
  • Avg Win
    $393
  • Sum Trade PL (losers)
    $25,788.000
  • Age
  • Num Months filled monthly returns table
    49
  • Win / Loss
  • Sum Trade PL (winners)
    $40,038.000
  • # Winners
    102
  • Num Months Winners
    9
  • Dividends
  • Dividends Received in Model Acct
    1523
  • Win / Loss
  • # Losers
    61
  • % Winners
    62.6%
  • Frequency
  • Avg Position Time (mins)
    8308.38
  • Avg Position Time (hrs)
    138.47
  • Avg Trade Length
    5.8 days
  • Last Trade Ago
    1056
  • Leverage
  • Daily leverage (average)
    1.15
  • Daily leverage (max)
    3.03
  • Regression
  • Alpha
    0.02
  • Beta
    0.06
  • Treynor Index
    0.37
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.07
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    4.050
  • 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
    0.11
  • Avg(MAE) / Avg(PL) - Winning trades
    0.425
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.251
  • Hold-and-Hope Ratio
    0.247
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.48464
  • SD
    0.27289
  • Sharpe ratio (Glass type estimate)
    1.77596
  • Sharpe ratio (Hedges UMVUE)
    1.66220
  • df
    12.00000
  • t
    1.84848
  • p
    0.26461
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.26604
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.75379
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.33485
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.65924
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.15082
  • Upside Potential Ratio
    6.50411
  • Upside part of mean
    0.61197
  • Downside part of mean
    -0.12733
  • Upside SD
    0.28188
  • Downside SD
    0.09409
  • N nonnegative terms
    9.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    13.00000
  • Mean of predictor
    0.30506
  • Mean of criterion
    0.48464
  • SD of predictor
    0.13156
  • SD of criterion
    0.27289
  • Covariance
    0.02217
  • r
    0.61764
  • b (slope, estimate of beta)
    1.28110
  • a (intercept, estimate of alpha)
    0.09383
  • Mean Square Error
    0.05025
  • DF error
    11.00000
  • t(b)
    2.60467
  • p(b)
    0.01224
  • t(a)
    0.35746
  • p(a)
    0.36375
  • Lowerbound of 95% confidence interval for beta
    0.19855
  • Upperbound of 95% confidence interval for beta
    2.36365
  • Lowerbound of 95% confidence interval for alpha
    -0.48388
  • Upperbound of 95% confidence interval for alpha
    0.67153
  • Treynor index (mean / b)
    0.37830
  • Jensen alpha (a)
    0.09383
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.44372
  • SD
    0.25385
  • Sharpe ratio (Glass type estimate)
    1.74797
  • Sharpe ratio (Hedges UMVUE)
    1.63600
  • df
    12.00000
  • t
    1.81935
  • p
    0.26751
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.28984
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.72236
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.35758
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.62958
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.51645
  • Upside Potential Ratio
    5.85715
  • Upside part of mean
    0.57543
  • Downside part of mean
    -0.13171
  • Upside SD
    0.25736
  • Downside SD
    0.09824
  • N nonnegative terms
    9.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    13.00000
  • Mean of predictor
    0.29306
  • Mean of criterion
    0.44372
  • SD of predictor
    0.12710
  • SD of criterion
    0.25385
  • Covariance
    0.01906
  • r
    0.59092
  • b (slope, estimate of beta)
    1.18023
  • a (intercept, estimate of alpha)
    0.09783
  • Mean Square Error
    0.04575
  • DF error
    11.00000
  • t(b)
    2.42939
  • p(b)
    0.01672
  • t(a)
    0.39133
  • p(a)
    0.35152
  • Lowerbound of 95% confidence interval for beta
    0.11096
  • Upperbound of 95% confidence interval for beta
    2.24950
  • Lowerbound of 95% confidence interval for alpha
    -0.45242
  • Upperbound of 95% confidence interval for alpha
    0.64808
  • Treynor index (mean / b)
    0.37596
  • Jensen alpha (a)
    0.09783
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.08016
  • Expected Shortfall on VaR
    0.10757
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01690
  • Expected Shortfall on VaR
    0.03924
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    13.00000
  • Minimum
    0.90863
  • Quartile 1
    0.99619
  • Median
    1.04769
  • Quartile 3
    1.05622
  • Maximum
    1.25149
  • Mean of quarter 1
    0.96784
  • Mean of quarter 2
    1.03860
  • Mean of quarter 3
    1.05287
  • Mean of quarter 4
    1.13651
  • Inter Quartile Range
    0.06003
  • 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
    0.07692
  • Mean of outliers high
    1.25149
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.23986
  • VaR(95%) (moments method)
    0.01601
  • Expected Shortfall (moments method)
    0.02133
  • Extreme Value Index (regression method)
    1.06353
  • VaR(95%) (regression method)
    0.07389
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00381
  • Quartile 1
    0.00981
  • Median
    0.01672
  • Quartile 3
    0.03907
  • Maximum
    0.09136
  • Mean of quarter 1
    0.00381
  • Mean of quarter 2
    0.01181
  • Mean of quarter 3
    0.02164
  • Mean of quarter 4
    0.09136
  • Inter Quartile Range
    0.02927
  • 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
    0.25000
  • Mean of outliers high
    0.09136
  • 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)
    0.61554
  • Compounded annual return (geometric extrapolation)
    0.60259
  • Calmar ratio (compounded annual return / max draw down)
    6.59548
  • Compounded annual return / average of 25% largest draw downs
    6.59548
  • Compounded annual return / Expected Shortfall lognormal
    5.60167
  • 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
    0.39961
  • SD
    0.21788
  • Sharpe ratio (Glass type estimate)
    1.83411
  • Sharpe ratio (Hedges UMVUE)
    1.82943
  • df
    294.00000
  • t
    1.94619
  • p
    0.02629
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.02043
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.68563
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.02357
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.68242
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.89734
  • Upside Potential Ratio
    9.87528
  • Upside part of mean
    1.36202
  • Downside part of mean
    -0.96241
  • Upside SD
    0.16999
  • Downside SD
    0.13792
  • N nonnegative terms
    154.00000
  • N negative terms
    141.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    295.00000
  • Mean of predictor
    0.28264
  • Mean of criterion
    0.39961
  • SD of predictor
    0.13210
  • SD of criterion
    0.21788
  • Covariance
    0.00430
  • r
    0.14945
  • b (slope, estimate of beta)
    0.24649
  • a (intercept, estimate of alpha)
    0.30500
  • Mean Square Error
    0.04657
  • DF error
    293.00000
  • t(b)
    2.58723
  • p(b)
    0.00508
  • t(a)
    1.60833
  • p(a)
    0.05442
  • Lowerbound of 95% confidence interval for beta
    0.05899
  • Upperbound of 95% confidence interval for beta
    0.43399
  • Lowerbound of 95% confidence interval for alpha
    -0.07380
  • Upperbound of 95% confidence interval for alpha
    0.73368
  • Treynor index (mean / b)
    1.62120
  • Jensen alpha (a)
    0.32994
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.37570
  • SD
    0.21742
  • Sharpe ratio (Glass type estimate)
    1.72797
  • Sharpe ratio (Hedges UMVUE)
    1.72356
  • df
    294.00000
  • t
    1.83357
  • p
    0.03386
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.12584
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.57888
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.12877
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.57589
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.67743
  • Upside Potential Ratio
    9.60467
  • Upside part of mean
    1.34774
  • Downside part of mean
    -0.97204
  • Upside SD
    0.16722
  • Downside SD
    0.14032
  • N nonnegative terms
    154.00000
  • N negative terms
    141.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    295.00000
  • Mean of predictor
    0.27378
  • Mean of criterion
    0.37570
  • SD of predictor
    0.13208
  • SD of criterion
    0.21742
  • Covariance
    0.00430
  • r
    0.14975
  • b (slope, estimate of beta)
    0.24651
  • a (intercept, estimate of alpha)
    0.30821
  • Mean Square Error
    0.04637
  • DF error
    293.00000
  • t(b)
    2.59248
  • p(b)
    0.00500
  • t(a)
    1.50642
  • p(a)
    0.06652
  • Lowerbound of 95% confidence interval for beta
    0.05937
  • Upperbound of 95% confidence interval for beta
    0.43365
  • Lowerbound of 95% confidence interval for alpha
    -0.09446
  • Upperbound of 95% confidence interval for alpha
    0.71088
  • Treynor index (mean / b)
    1.52408
  • Jensen alpha (a)
    0.30821
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02045
  • Expected Shortfall on VaR
    0.02592
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00812
  • Expected Shortfall on VaR
    0.01690
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    295.00000
  • Minimum
    0.94061
  • Quartile 1
    0.99608
  • Median
    1.00044
  • Quartile 3
    1.00693
  • Maximum
    1.06942
  • Mean of quarter 1
    0.98713
  • Mean of quarter 2
    0.99845
  • Mean of quarter 3
    1.00355
  • Mean of quarter 4
    1.01742
  • Inter Quartile Range
    0.01085
  • Number outliers low
    13.00000
  • Percentage of outliers low
    0.04407
  • Mean of outliers low
    0.96782
  • Number of outliers high
    14.00000
  • Percentage of outliers high
    0.04746
  • Mean of outliers high
    1.03519
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.25777
  • VaR(95%) (moments method)
    0.01150
  • Expected Shortfall (moments method)
    0.01925
  • Extreme Value Index (regression method)
    0.20970
  • VaR(95%) (regression method)
    0.01101
  • Expected Shortfall (regression method)
    0.01754
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    25.00000
  • Minimum
    0.00078
  • Quartile 1
    0.00649
  • Median
    0.01506
  • Quartile 3
    0.03650
  • Maximum
    0.19560
  • Mean of quarter 1
    0.00363
  • Mean of quarter 2
    0.01085
  • Mean of quarter 3
    0.03128
  • Mean of quarter 4
    0.07159
  • Inter Quartile Range
    0.03001
  • 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
    0.04000
  • Mean of outliers high
    0.19560
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.61563
  • VaR(95%) (moments method)
    0.08227
  • Expected Shortfall (moments method)
    0.20065
  • Extreme Value Index (regression method)
    1.52787
  • VaR(95%) (regression method)
    0.07601
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.51094
  • Compounded annual return (geometric extrapolation)
    0.49722
  • Calmar ratio (compounded annual return / max draw down)
    2.54202
  • Compounded annual return / average of 25% largest draw downs
    6.94487
  • Compounded annual return / Expected Shortfall lognormal
    19.18340
  • 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
    0.01605
  • SD
    0.24740
  • Sharpe ratio (Glass type estimate)
    0.06487
  • Sharpe ratio (Hedges UMVUE)
    0.06450
  • df
    130.00000
  • t
    0.04587
  • p
    0.49799
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.70707
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.83657
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.70732
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.83632
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.09027
  • Upside Potential Ratio
    7.15535
  • Upside part of mean
    1.27221
  • Downside part of mean
    -1.25616
  • Upside SD
    0.17067
  • Downside SD
    0.17780
  • N nonnegative terms
    64.00000
  • N negative terms
    67.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.16115
  • Mean of criterion
    0.01605
  • SD of predictor
    0.12496
  • SD of criterion
    0.24740
  • Covariance
    0.00331
  • r
    0.10720
  • b (slope, estimate of beta)
    0.21224
  • a (intercept, estimate of alpha)
    -0.01815
  • Mean Square Error
    0.06097
  • DF error
    129.00000
  • t(b)
    1.22462
  • p(b)
    0.43189
  • t(a)
    -0.05182
  • p(a)
    0.50290
  • Lowerbound of 95% confidence interval for beta
    -0.13066
  • Upperbound of 95% confidence interval for beta
    0.55514
  • Lowerbound of 95% confidence interval for alpha
    -0.71127
  • Upperbound of 95% confidence interval for alpha
    0.67497
  • Treynor index (mean / b)
    0.07562
  • Jensen alpha (a)
    -0.01815
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.01438
  • SD
    0.24781
  • Sharpe ratio (Glass type estimate)
    -0.05803
  • Sharpe ratio (Hedges UMVUE)
    -0.05769
  • df
    130.00000
  • t
    -0.04103
  • p
    0.50180
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.82985
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.71379
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.82951
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.71412
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.07926
  • Upside Potential Ratio
    6.93352
  • Upside part of mean
    1.25788
  • Downside part of mean
    -1.27226
  • Upside SD
    0.16742
  • Downside SD
    0.18142
  • N nonnegative terms
    64.00000
  • N negative terms
    67.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.15333
  • Mean of criterion
    -0.01438
  • SD of predictor
    0.12503
  • SD of criterion
    0.24781
  • Covariance
    0.00348
  • r
    0.11219
  • b (slope, estimate of beta)
    0.22237
  • a (intercept, estimate of alpha)
    -0.04848
  • Mean Square Error
    0.06111
  • DF error
    129.00000
  • t(b)
    1.28237
  • p(b)
    0.42873
  • t(a)
    -0.13827
  • p(a)
    0.50775
  • VAR (95 Confidence Intrvl)
    0.01900
  • Lowerbound of 95% confidence interval for beta
    -0.12072
  • Upperbound of 95% confidence interval for beta
    0.56545
  • Lowerbound of 95% confidence interval for alpha
    -0.74214
  • Upperbound of 95% confidence interval for alpha
    0.64519
  • Treynor index (mean / b)
    -0.06467
  • Jensen alpha (a)
    -0.04848
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02492
  • Expected Shortfall on VaR
    0.03112
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01110
  • Expected Shortfall on VaR
    0.02276
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.94061
  • Quartile 1
    0.99510
  • Median
    1.00004
  • Quartile 3
    1.00632
  • Maximum
    1.06942
  • Mean of quarter 1
    0.98337
  • Mean of quarter 2
    0.99781
  • Mean of quarter 3
    1.00305
  • Mean of quarter 4
    1.01653
  • Inter Quartile Range
    0.01121
  • Number outliers low
    7.00000
  • Percentage of outliers low
    0.05344
  • Mean of outliers low
    0.96053
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.03053
  • Mean of outliers high
    1.04243
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.42813
  • VaR(95%) (moments method)
    0.01597
  • Expected Shortfall (moments method)
    0.03270
  • Extreme Value Index (regression method)
    0.36475
  • VaR(95%) (regression method)
    0.01374
  • Expected Shortfall (regression method)
    0.02510
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    13.00000
  • Minimum
    0.00169
  • Quartile 1
    0.00361
  • Median
    0.01258
  • Quartile 3
    0.03340
  • Maximum
    0.19560
  • Mean of quarter 1
    0.00258
  • Mean of quarter 2
    0.01111
  • Mean of quarter 3
    0.02394
  • Mean of quarter 4
    0.09850
  • Inter Quartile Range
    0.02979
  • 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
    0.07692
  • Mean of outliers high
    0.19560
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.57358
  • VaR(95%) (moments method)
    0.10221
  • Expected Shortfall (moments method)
    0.26068
  • Extreme Value Index (regression method)
    1.84969
  • VaR(95%) (regression method)
    0.17424
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -294045000
  • Max Equity Drawdown (num days)
    40
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.01357
  • Compounded annual return (geometric extrapolation)
    0.01362
  • Calmar ratio (compounded annual return / max draw down)
    0.06963
  • Compounded annual return / average of 25% largest draw downs
    0.13826
  • Compounded annual return / Expected Shortfall lognormal
    0.43757

Strategy Description

*Russia is not an easy country with its own political and economic risks. But knowing and understanding these risks as well as the prospects for the development of individual enterprises can bring you excellent income!
*I have been working on the Russian stock market since 1995 and, using my experience, I want to introduce you an actively managed strategy based on the best and most promising companies (ADR) of the Russian economy. Classic value investing backed by technical analysis and a proven trading system;
*Min leverage;
*Shorts allowed;
*Due to the small number of Russian ADRs, the Fund also operates with commodities (futures, ETFs) as the basis of the Russian economy, and US dollar Index;
*This strategy is not a "magic system" that make 200% in a month and then disappear. This is a professional and painstaking hedge fund job. Long-term copy only. Better from 6 month;
*CONTINUOUSLY FOLLOWING THE STRATEGY MULTIPLIES THE CHANCES OF SUCCESS!
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2020-11-02
Suggested Minimum Capital
$5,000
# Trades
163
# Profitable
102
% Profitable
62.6%
Net Dividends
$1,523
Correlation S&P500
0.077
Sharpe Ratio
0.50
Sortino Ratio
0.77
Beta
0.06
Alpha
0.02
Leverage
1.15 Average
3.03 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.