Collective2 Collective2
C2Star Strategy AI TQQQ min volatility Followed by live capital $46,700 Hypothetical

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These are hypothetical performance results that have certain inherent limitations. Learn more
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Trades-Own-Strategy Certification

This system has earned Trades-Own-Strategy (TOS) Certification. This means that the manager of this system trades his own strategy in a real-life, funded brokerage account.

Trades-Own-Strategy (TOS) Certification Details
Certification process started 11/11/2020
Most recent certification approved 11/11/20 9:30 ET
Trades at broker Israel Interactive Trading
Scaling percentage used 100%
# trading signals issued by system since certification 529
# trading signals executed in manager's Israel Interactive Trading account 529
Percent signals followed since 11/11/2020 100%
This information was last updated 9/27/23 5:39 ET

Warning: System trading results are still hypothetical.

Even though the system developer is currently trading his own system in a real-life brokerage account, the trading results presented on this Web site must still be regarded as purely hypothetical results. This is because (among other reasons) the system developer may not have traded all signals, particularly those that occurred before 11/11/2020, and the system developer's results may not match the system results presented here. In addition, not all subscribers have received the same trades or prices as the system manager has. For these reasons, and others, it is extremely important you remember the following:

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. Hypothetical performance results have many inherent limitations, some of which are described below. No representation is being made that any account will or is likely to achieve profits or losses similar to those shown. In fact, there are frequently sharp differences between hypothetical performance results and the actual results subsequently achieved by any particular trading program.

One of the limitations of hypothetical performance results is that they are generally prepared with the benefit of hindsight. 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.

You may be interested to learn more technical details about how Collective2 calculates the hypothetical results you see on this web site.

Easy Value
(132169961)

Created by: EasyValue EasyValue
Started: 11/2020
Stocks
Last trade: 2 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 $99.00 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."
16.7%
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.

(31.8%)
Max Drawdown
275
Num Trades
58.9%
Win Trades
2.0 : 1
Profit Factor
57.1%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020                                                                      +5.9%+8.3%+14.7%
2021+2.2%  -  +7.3%+5.2%+4.5%(4%)+2.6%+2.3%(7.4%)+2.2%(1.9%)+7.8%+21.6%
2022+3.7%+8.7%+11.2%(9.3%)+3.6%(17.8%)+13.4%(5.3%)(10.4%)+9.5%+12.9%(5.3%)+9.0%
2023+10.9%(3.9%)(4.7%)(5.1%)(7.8%)+11.2%+7.8%(2.9%)  -                    +3.4%

Model Account Details

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

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

Trading Record

This strategy has placed 529 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
9/11/23 11:10 AGCO AGCO LONG 15 123.30 9/25 13:31 116.20 0.28%
Trade id #145787606
Max drawdown($132)
Time9/25/23 9:31
Quant open15
Worst price114.44
Drawdown as % of equity-0.28%
 ($107)
Includes Typical Broker Commissions trade costs of $0.30
8/14/23 11:55 BHP BHP GROUP LTD LONG 32 57.92 9/25 13:07 56.07 0.22%
Trade id #145523041
Max drawdown($102)
Time8/25/23 0:00
Quant open32
Worst price54.73
Drawdown as % of equity-0.22%
 ($60)
Includes Typical Broker Commissions trade costs of $0.64
6/2/22 9:31 WDS WOODSIDE ENERGY GROUP LTD SPON ADR LONG 10 23.00 9/25/23 12:57 23.35 0.1%
Trade id #140658569
Max drawdown($38)
Time9/26/22 0:00
Quant open10
Worst price19.11
Drawdown as % of equity-0.10%
 $4
Includes Typical Broker Commissions trade costs of $0.20
8/28/23 12:50 UNM UNUM LONG 33 49.31 9/11 11:01 48.88 0.12%
Trade id #145664779
Max drawdown($57)
Time9/8/23 0:00
Quant open33
Worst price47.58
Drawdown as % of equity-0.12%
 ($15)
Includes Typical Broker Commissions trade costs of $0.66
11/8/21 11:00 VALE VALE LONG 139 12.16 9/11/23 10:06 13.76 0.35%
Trade id #138115734
Max drawdown($139)
Time11/18/21 0:00
Quant open139
Worst price11.16
Drawdown as % of equity-0.35%
 $220
Includes Typical Broker Commissions trade costs of $2.78
8/30/21 10:01 MT ARCELORMITTAL LONG 54 34.63 8/28/23 9:42 26.47 2.12%
Trade id #137174012
Max drawdown($830)
Time9/29/22 0:00
Quant open54
Worst price19.25
Drawdown as % of equity-2.12%
 ($442)
Includes Typical Broker Commissions trade costs of $1.08
8/14/23 11:34 SQM SOCIEDAD QUIMICA Y MINERA LONG 28 66.27 8/28 9:32 63.52 0.23%
Trade id #145522121
Max drawdown($105)
Time8/18/23 0:00
Quant open28
Worst price62.50
Drawdown as % of equity-0.23%
 ($78)
Includes Typical Broker Commissions trade costs of $0.56
6/20/23 12:52 SUZ SUZANO SA LONG 220 9.80 8/14 11:18 10.19 0.44%
Trade id #144972218
Max drawdown($197)
Time7/6/23 0:00
Quant open220
Worst price8.90
Drawdown as % of equity-0.44%
 $82
Includes Typical Broker Commissions trade costs of $4.40
7/31/23 11:55 DFS DISCOVER FINANCIAL LONG 17 105.61 8/14 10:27 102.69 0.18%
Trade id #145377332
Max drawdown($85)
Time8/8/23 0:00
Quant open17
Worst price100.56
Drawdown as % of equity-0.18%
 ($50)
Includes Typical Broker Commissions trade costs of $0.34
7/31/23 12:04 NTRS NORTHERN TRUST LONG 22 80.07 8/14 10:05 78.73 0.11%
Trade id #145377431
Max drawdown($52)
Time8/8/23 0:00
Quant open22
Worst price77.66
Drawdown as % of equity-0.11%
 ($29)
Includes Typical Broker Commissions trade costs of $0.44
7/31/23 15:15 NUE NUCOR LONG 10 172.14 8/14 9:30 171.39 0.16%
Trade id #145385300
Max drawdown($78)
Time8/10/23 0:00
Quant open10
Worst price164.33
Drawdown as % of equity-0.16%
 ($7)
Includes Typical Broker Commissions trade costs of $0.20
7/17/23 10:05 SQM SOCIEDAD QUIMICA Y MINERA LONG 27 77.02 7/31 11:34 73.77 0.34%
Trade id #145234992
Max drawdown($156)
Time7/24/23 0:00
Quant open27
Worst price71.23
Drawdown as % of equity-0.34%
 ($89)
Includes Typical Broker Commissions trade costs of $0.54
7/17/23 9:57 CHK CHESAPEAKE ENERGY CORPORATION LONG 26 80.17 7/31 11:09 83.97 0.02%
Trade id #145234815
Max drawdown($10)
Time7/17/23 10:00
Quant open26
Worst price79.75
Drawdown as % of equity-0.02%
 $98
Includes Typical Broker Commissions trade costs of $0.52
3/1/21 9:49 SBSW SIBANYE-STILLWATER LONG 81 19.16 7/31/23 9:45 7.60 2.41%
Trade id #134337750
Max drawdown($1,069)
Time6/29/23 0:00
Quant open81
Worst price5.96
Drawdown as % of equity-2.41%
 ($938)
Includes Typical Broker Commissions trade costs of $1.62
1/3/23 10:12 X UNITED STATES STEEL LONG 76 25.20 7/31 9:32 25.16 0.91%
Trade id #143073249
Max drawdown($364)
Time6/1/23 0:00
Quant open76
Worst price20.40
Drawdown as % of equity-0.91%
 ($5)
Includes Typical Broker Commissions trade costs of $1.52
5/10/21 9:52 TX TERNIUM LONG 47 39.98 7/31/23 9:32 44.85 1.59%
Trade id #135535470
Max drawdown($656)
Time11/3/22 0:00
Quant open47
Worst price26.01
Drawdown as % of equity-1.59%
 $228
Includes Typical Broker Commissions trade costs of $0.94
7/3/23 10:59 BAP CREDICORP LONG 12 147.79 7/17 9:48 151.59 0.05%
Trade id #145100721
Max drawdown($21)
Time7/5/23 0:00
Quant open12
Worst price146.02
Drawdown as % of equity-0.05%
 $46
Includes Typical Broker Commissions trade costs of $0.24
6/20/23 15:54 LNG CHENIERE ENERGY LONG 15 148.97 7/17 9:42 154.69 0.08%
Trade id #144974226
Max drawdown($35)
Time6/27/23 0:00
Quant open15
Worst price146.58
Drawdown as % of equity-0.08%
 $86
Includes Typical Broker Commissions trade costs of $0.30
1/3/23 10:37 WFG WEST FRASER TIMBER CO LTD LONG 26 74.50 7/3 10:51 85.88 0.45%
Trade id #143073927
Max drawdown($184)
Time5/31/23 0:00
Quant open26
Worst price67.41
Drawdown as % of equity-0.45%
 $295
Includes Typical Broker Commissions trade costs of $0.52
12/5/22 9:55 SQM SOCIEDAD QUIMICA Y MINERA LONG 19 97.26 7/3/23 9:33 74.45 1.55%
Trade id #142768226
Max drawdown($703)
Time4/21/23 0:00
Quant open19
Worst price60.21
Drawdown as % of equity-1.55%
 ($434)
Includes Typical Broker Commissions trade costs of $0.38
6/5/23 14:06 TS TENARIS LONG 78 26.86 6/20 11:08 27.44 0.11%
Trade id #144836389
Max drawdown($44)
Time6/6/23 0:00
Quant open78
Worst price26.28
Drawdown as % of equity-0.11%
 $44
Includes Typical Broker Commissions trade costs of $1.56
6/5/23 12:49 NUE NUCOR LONG 15 143.08 6/20 10:59 149.51 0.15%
Trade id #144835785
Max drawdown($62)
Time6/6/23 0:00
Quant open15
Worst price138.90
Drawdown as % of equity-0.15%
 $96
Includes Typical Broker Commissions trade costs of $0.30
5/22/23 14:51 IMO IMPERIAL OIL LONG 45 47.21 6/5 11:37 47.53 0.25%
Trade id #144712519
Max drawdown($100)
Time6/1/23 0:00
Quant open45
Worst price44.98
Drawdown as % of equity-0.25%
 $13
Includes Typical Broker Commissions trade costs of $0.90
3/13/23 11:32 DINO HF SINCLAIR CORP LONG 46 47.94 6/5 10:38 42.66 1.21%
Trade id #143878897
Max drawdown($497)
Time5/5/23 0:00
Quant open46
Worst price37.12
Drawdown as % of equity-1.21%
 ($244)
Includes Typical Broker Commissions trade costs of $0.92
1/3/23 10:14 LPX LOUISIANA-PACIFIC LONG 32 59.61 6/5 10:20 60.23 0.57%
Trade id #143073322
Max drawdown($256)
Time4/5/23 0:00
Quant open32
Worst price51.60
Drawdown as % of equity-0.57%
 $19
Includes Typical Broker Commissions trade costs of $0.64
4/10/23 13:51 SSL SASOL LONG 190 13.75 5/22 11:49 12.35 0.87%
Trade id #144243353
Max drawdown($371)
Time5/11/23 0:00
Quant open190
Worst price11.80
Drawdown as % of equity-0.87%
 ($270)
Includes Typical Broker Commissions trade costs of $3.80
5/8/23 14:07 TS TENARIS LONG 76 27.60 5/22 11:36 26.26 0.26%
Trade id #144559953
Max drawdown($110)
Time5/16/23 0:00
Quant open76
Worst price26.14
Drawdown as % of equity-0.26%
 ($103)
Includes Typical Broker Commissions trade costs of $1.52
5/8/23 12:10 ICL ISRAEL CHEMICALS LIMITED LONG 336 6.17 5/22 11:31 6.56 0.15%
Trade id #144559003
Max drawdown($65)
Time5/9/23 0:00
Quant open336
Worst price5.98
Drawdown as % of equity-0.15%
 $123
Includes Typical Broker Commissions trade costs of $6.72
8/30/21 10:24 BHP BHP GROUP LTD LONG 28 67.41 5/22/23 9:42 58.56 1.34%
Trade id #137174989
Max drawdown($573)
Time10/28/22 0:00
Quant open28
Worst price46.92
Drawdown as % of equity-1.34%
 ($249)
Includes Typical Broker Commissions trade costs of $0.56
3/27/23 13:14 CLF CLEVELAND-CLIFFS INC LONG 127 17.60 5/8 9:47 15.01 1.01%
Trade id #144065019
Max drawdown($426)
Time5/4/23 0:00
Quant open127
Worst price14.24
Drawdown as % of equity-1.01%
 ($331)
Includes Typical Broker Commissions trade costs of $2.54
Next

Statistics

  • Strategy began
    11/10/2020
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    1050.93
  • Age
    35 months ago
  • What it trades
    Stocks
  • # Trades
    275
  • # Profitable
    162
  • % Profitable
    58.90%
  • Avg trade duration
    97.3 days
  • Max peak-to-valley drawdown
    31.8%
  • drawdown period
    March 29, 2022 - Sept 26, 2022
  • Annual Return (Compounded)
    16.7%
  • Avg win
    $222.28
  • Avg loss
    $185.70
  • Model Account Values (Raw)
  • Cash
    $24,591
  • Margin Used
    $0
  • Buying Power
    $27,333
  • Ratios
  • W:L ratio
    2.04:1
  • Sharpe Ratio
    0.6
  • Sortino Ratio
    0.88
  • Calmar Ratio
    0.821
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    35.71%
  • Correlation to SP500
    0.61790
  • Return Percent SP500 (cumu) during strategy life
    20.53%
  • Return Statistics
  • Ann Return (w trading costs)
    16.7%
  • Slump
  • Current Slump as Pcnt Equity
    18.30%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.52%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.167%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    20.9%
  • Automation
  • Percentage Signals Automated
    n/a
  • Popularity
  • Popularity (Today)
    723
  • Popularity (Last 6 weeks)
    926
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    858
  • Popularity (7 days, Percentile 1000 scale)
    918
  • Trades-Own-System Certification
  • Trades Own System?
    Yes
  • TOS percent
    100%
  • Win / Loss
  • Avg Loss
    $186
  • Avg Win
    $222
  • Sum Trade PL (losers)
    $20,984.000
  • Age
  • Num Months filled monthly returns table
    35
  • Win / Loss
  • Sum Trade PL (winners)
    $36,009.000
  • # Winners
    162
  • Num Months Winners
    20
  • Dividends
  • Dividends Received in Model Acct
    6865
  • AUM
  • AUM (AutoTrader live capital)
    222502
  • Win / Loss
  • # Losers
    113
  • % Winners
    58.9%
  • Frequency
  • Avg Position Time (mins)
    140045.00
  • Avg Position Time (hrs)
    2334.09
  • Avg Trade Length
    97.3 days
  • Last Trade Ago
    2
  • Leverage
  • Daily leverage (average)
    1.01
  • Daily leverage (max)
    1.27
  • Regression
  • Alpha
    0.03
  • Beta
    0.80
  • Treynor Index
    0.06
  • 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)
    -0.99
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    -22.830
  • 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
    0.669
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.584
  • Hold-and-Hope Ratio
    -0.130
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.20622
  • SD
    0.23543
  • Sharpe ratio (Glass type estimate)
    0.87594
  • Sharpe ratio (Hedges UMVUE)
    0.85586
  • df
    33.00000
  • t
    1.47444
  • p
    0.07492
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.31369
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.05284
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.32670
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.03842
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.45412
  • Upside Potential Ratio
    3.08429
  • Upside part of mean
    0.43741
  • Downside part of mean
    -0.23119
  • Upside SD
    0.19294
  • Downside SD
    0.14182
  • N nonnegative terms
    20.00000
  • N negative terms
    14.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    34.00000
  • Mean of predictor
    0.06416
  • Mean of criterion
    0.20622
  • SD of predictor
    0.16993
  • SD of criterion
    0.23543
  • Covariance
    0.02661
  • r
    0.66510
  • b (slope, estimate of beta)
    0.92146
  • a (intercept, estimate of alpha)
    0.14710
  • Mean Square Error
    0.03187
  • DF error
    32.00000
  • t(b)
    5.03826
  • p(b)
    0.00001
  • t(a)
    1.37850
  • p(a)
    0.08880
  • Lowerbound of 95% confidence interval for beta
    0.54892
  • Upperbound of 95% confidence interval for beta
    1.29401
  • Lowerbound of 95% confidence interval for alpha
    -0.07026
  • Upperbound of 95% confidence interval for alpha
    0.36446
  • Treynor index (mean / b)
    0.22380
  • Jensen alpha (a)
    0.14710
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.17758
  • SD
    0.23465
  • Sharpe ratio (Glass type estimate)
    0.75677
  • Sharpe ratio (Hedges UMVUE)
    0.73942
  • df
    33.00000
  • t
    1.27383
  • p
    0.10581
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.42729
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.92975
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.43856
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.91739
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.18746
  • Upside Potential Ratio
    2.80192
  • Upside part of mean
    0.41900
  • Downside part of mean
    -0.24143
  • Upside SD
    0.18359
  • Downside SD
    0.14954
  • N nonnegative terms
    20.00000
  • N negative terms
    14.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    34.00000
  • Mean of predictor
    0.04988
  • Mean of criterion
    0.17758
  • SD of predictor
    0.17016
  • SD of criterion
    0.23465
  • Covariance
    0.02703
  • r
    0.67706
  • b (slope, estimate of beta)
    0.93364
  • a (intercept, estimate of alpha)
    0.13101
  • Mean Square Error
    0.03075
  • DF error
    32.00000
  • t(b)
    5.20433
  • p(b)
    0.00001
  • t(a)
    1.25289
  • p(a)
    0.10966
  • Lowerbound of 95% confidence interval for beta
    0.56822
  • Upperbound of 95% confidence interval for beta
    1.29906
  • Lowerbound of 95% confidence interval for alpha
    -0.08198
  • Upperbound of 95% confidence interval for alpha
    0.34400
  • Treynor index (mean / b)
    0.19020
  • Jensen alpha (a)
    0.13101
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.09210
  • Expected Shortfall on VaR
    0.11716
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03895
  • Expected Shortfall on VaR
    0.07991
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    34.00000
  • Minimum
    0.87134
  • Quartile 1
    0.98659
  • Median
    1.02239
  • Quartile 3
    1.05958
  • Maximum
    1.12608
  • Mean of quarter 1
    0.93471
  • Mean of quarter 2
    1.00187
  • Mean of quarter 3
    1.04184
  • Mean of quarter 4
    1.10015
  • Inter Quartile Range
    0.07299
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.02941
  • Mean of outliers low
    0.87134
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.38408
  • VaR(95%) (moments method)
    0.04568
  • Expected Shortfall (moments method)
    0.05665
  • Extreme Value Index (regression method)
    -0.48881
  • VaR(95%) (regression method)
    0.06973
  • Expected Shortfall (regression method)
    0.08478
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00149
  • Quartile 1
    0.02757
  • Median
    0.03316
  • Quartile 3
    0.13470
  • Maximum
    0.19912
  • Mean of quarter 1
    0.01453
  • Mean of quarter 2
    0.03316
  • Mean of quarter 3
    0.13470
  • Mean of quarter 4
    0.19912
  • Inter Quartile Range
    0.10713
  • 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)
    0.27881
  • Compounded annual return (geometric extrapolation)
    0.22812
  • Calmar ratio (compounded annual return / max draw down)
    1.14564
  • Compounded annual return / average of 25% largest draw downs
    1.14564
  • Compounded annual return / Expected Shortfall lognormal
    1.94704
  • 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
    0.18954
  • SD
    0.21660
  • Sharpe ratio (Glass type estimate)
    0.87509
  • Sharpe ratio (Hedges UMVUE)
    0.87422
  • df
    748.00000
  • t
    1.47960
  • p
    0.06970
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.28521
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.03489
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.28583
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.03426
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.27809
  • Upside Potential Ratio
    9.56074
  • Upside part of mean
    1.41788
  • Downside part of mean
    -1.22834
  • Upside SD
    0.15810
  • Downside SD
    0.14830
  • N nonnegative terms
    391.00000
  • N negative terms
    358.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    749.00000
  • Mean of predictor
    0.05051
  • Mean of criterion
    0.18954
  • SD of predictor
    0.17753
  • SD of criterion
    0.21660
  • Covariance
    0.02369
  • r
    0.61600
  • b (slope, estimate of beta)
    0.75157
  • a (intercept, estimate of alpha)
    0.15200
  • Mean Square Error
    0.02915
  • DF error
    747.00000
  • t(b)
    21.37230
  • p(b)
    -0.00000
  • t(a)
    1.50085
  • p(a)
    0.06691
  • Lowerbound of 95% confidence interval for beta
    0.68253
  • Upperbound of 95% confidence interval for beta
    0.82060
  • Lowerbound of 95% confidence interval for alpha
    -0.04669
  • Upperbound of 95% confidence interval for alpha
    0.34986
  • Treynor index (mean / b)
    0.25220
  • Jensen alpha (a)
    0.15158
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.16604
  • SD
    0.21661
  • Sharpe ratio (Glass type estimate)
    0.76653
  • Sharpe ratio (Hedges UMVUE)
    0.76576
  • df
    748.00000
  • t
    1.29604
  • p
    0.09768
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.39357
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.92613
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.39409
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.92561
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.10576
  • Upside Potential Ratio
    9.35948
  • Upside part of mean
    1.40543
  • Downside part of mean
    -1.23938
  • Upside SD
    0.15626
  • Downside SD
    0.15016
  • N nonnegative terms
    391.00000
  • N negative terms
    358.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    749.00000
  • Mean of predictor
    0.03475
  • Mean of criterion
    0.16604
  • SD of predictor
    0.17765
  • SD of criterion
    0.21661
  • Covariance
    0.02373
  • r
    0.61657
  • b (slope, estimate of beta)
    0.75182
  • a (intercept, estimate of alpha)
    0.13991
  • Mean Square Error
    0.02912
  • DF error
    747.00000
  • t(b)
    21.40440
  • p(b)
    -0.00000
  • t(a)
    1.38612
  • p(a)
    0.08306
  • Lowerbound of 95% confidence interval for beta
    0.68287
  • Upperbound of 95% confidence interval for beta
    0.82078
  • Lowerbound of 95% confidence interval for alpha
    -0.05824
  • Upperbound of 95% confidence interval for alpha
    0.33807
  • Treynor index (mean / b)
    0.22085
  • Jensen alpha (a)
    0.13991
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02115
  • Expected Shortfall on VaR
    0.02660
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01055
  • Expected Shortfall on VaR
    0.02026
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    749.00000
  • Minimum
    0.95026
  • Quartile 1
    0.99309
  • Median
    1.00084
  • Quartile 3
    1.00869
  • Maximum
    1.04911
  • Mean of quarter 1
    0.98414
  • Mean of quarter 2
    0.99742
  • Mean of quarter 3
    1.00445
  • Mean of quarter 4
    1.01739
  • Inter Quartile Range
    0.01560
  • Number outliers low
    12.00000
  • Percentage of outliers low
    0.01602
  • Mean of outliers low
    0.96159
  • Number of outliers high
    11.00000
  • Percentage of outliers high
    0.01469
  • Mean of outliers high
    1.03808
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.04040
  • VaR(95%) (moments method)
    0.01501
  • Expected Shortfall (moments method)
    0.01969
  • Extreme Value Index (regression method)
    -0.13166
  • VaR(95%) (regression method)
    0.01541
  • Expected Shortfall (regression method)
    0.01959
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    30.00000
  • Minimum
    0.00077
  • Quartile 1
    0.00671
  • Median
    0.01559
  • Quartile 3
    0.03628
  • Maximum
    0.26056
  • Mean of quarter 1
    0.00333
  • Mean of quarter 2
    0.00911
  • Mean of quarter 3
    0.02231
  • Mean of quarter 4
    0.09156
  • Inter Quartile Range
    0.02957
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.10000
  • Mean of outliers high
    0.14976
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.15517
  • VaR(95%) (moments method)
    0.09104
  • Expected Shortfall (moments method)
    0.13634
  • Extreme Value Index (regression method)
    0.46798
  • VaR(95%) (regression method)
    0.11485
  • Expected Shortfall (regression method)
    0.23994
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.25920
  • Compounded annual return (geometric extrapolation)
    0.21403
  • Calmar ratio (compounded annual return / max draw down)
    0.82144
  • Compounded annual return / average of 25% largest draw downs
    2.33760
  • Compounded annual return / Expected Shortfall lognormal
    8.04698
  • 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
    0.09880
  • SD
    0.15520
  • Sharpe ratio (Glass type estimate)
    0.63663
  • Sharpe ratio (Hedges UMVUE)
    0.63296
  • df
    130.00000
  • t
    0.45017
  • p
    0.48027
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.13746
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.40832
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.13992
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.40583
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.93184
  • Upside Potential Ratio
    9.35431
  • Upside part of mean
    0.99184
  • Downside part of mean
    -0.89304
  • Upside SD
    0.11268
  • Downside SD
    0.10603
  • N nonnegative terms
    67.00000
  • N negative terms
    64.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.12560
  • Mean of criterion
    0.09880
  • SD of predictor
    0.11677
  • SD of criterion
    0.15520
  • Covariance
    0.00853
  • r
    0.47086
  • b (slope, estimate of beta)
    0.62581
  • a (intercept, estimate of alpha)
    0.02020
  • Mean Square Error
    0.01889
  • DF error
    129.00000
  • t(b)
    6.06206
  • p(b)
    0.21172
  • t(a)
    0.10370
  • p(a)
    0.49419
  • Lowerbound of 95% confidence interval for beta
    0.42156
  • Upperbound of 95% confidence interval for beta
    0.83007
  • Lowerbound of 95% confidence interval for alpha
    -0.36523
  • Upperbound of 95% confidence interval for alpha
    0.40564
  • Treynor index (mean / b)
    0.15788
  • Jensen alpha (a)
    0.02020
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.08684
  • SD
    0.15511
  • Sharpe ratio (Glass type estimate)
    0.55984
  • Sharpe ratio (Hedges UMVUE)
    0.55660
  • df
    130.00000
  • t
    0.39587
  • p
    0.48265
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.21377
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.33152
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.21603
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.32923
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.81228
  • Upside Potential Ratio
    9.21818
  • Upside part of mean
    0.98547
  • Downside part of mean
    -0.89863
  • Upside SD
    0.11169
  • Downside SD
    0.10690
  • N nonnegative terms
    67.00000
  • N negative terms
    64.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.11880
  • Mean of criterion
    0.08684
  • SD of predictor
    0.11665
  • SD of criterion
    0.15511
  • Covariance
    0.00854
  • r
    0.47219
  • b (slope, estimate of beta)
    0.62788
  • a (intercept, estimate of alpha)
    0.01224
  • Mean Square Error
    0.01884
  • DF error
    129.00000
  • t(b)
    6.08399
  • p(b)
    0.21097
  • t(a)
    0.06295
  • p(a)
    0.49647
  • VAR (95 Confidence Intrvl)
    0.02100
  • Lowerbound of 95% confidence interval for beta
    0.42369
  • Upperbound of 95% confidence interval for beta
    0.83206
  • Lowerbound of 95% confidence interval for alpha
    -0.37258
  • Upperbound of 95% confidence interval for alpha
    0.39706
  • Treynor index (mean / b)
    0.13830
  • Jensen alpha (a)
    0.01224
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01531
  • Expected Shortfall on VaR
    0.01924
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00779
  • Expected Shortfall on VaR
    0.01477
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97619
  • Quartile 1
    0.99535
  • Median
    1.00044
  • Quartile 3
    1.00703
  • Maximum
    1.03387
  • Mean of quarter 1
    0.98861
  • Mean of quarter 2
    0.99809
  • Mean of quarter 3
    1.00301
  • Mean of quarter 4
    1.01230
  • Inter Quartile Range
    0.01168
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.03053
  • Mean of outliers low
    0.97723
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.00763
  • Mean of outliers high
    1.03387
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.15730
  • VaR(95%) (moments method)
    0.01086
  • Expected Shortfall (moments method)
    0.01375
  • Extreme Value Index (regression method)
    -0.55170
  • VaR(95%) (regression method)
    0.01083
  • Expected Shortfall (regression method)
    0.01232
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.00370
  • Quartile 1
    0.00597
  • Median
    0.01811
  • Quartile 3
    0.03823
  • Maximum
    0.11789
  • Mean of quarter 1
    0.00390
  • Mean of quarter 2
    0.00743
  • Mean of quarter 3
    0.03298
  • Mean of quarter 4
    0.07839
  • Inter Quartile Range
    0.03227
  • 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
    0.12500
  • Mean of outliers high
    0.11789
  • 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?
    -350534000
  • Max Equity Drawdown (num days)
    181
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.11810
  • Compounded annual return (geometric extrapolation)
    0.12158
  • Calmar ratio (compounded annual return / max draw down)
    1.03130
  • Compounded annual return / average of 25% largest draw downs
    1.55112
  • Compounded annual return / Expected Shortfall lognormal
    6.31906

Strategy Description

Overview:
Value investing strategy made easy – Investing in good companies that are currently underpriced.

Strategy details:
In value investing we find the real internal value of a company. If the stock price of the company is lower than this real value – we found a bargain.
We buy now, wait for the stock price to reach the real value, and sell.


Our approach stands on three major pillars -
• Real Value – We identify companies where the gap between market price and intrinsic value is significant and targets them for investment.
• Risk Minimization – To reduce the likelihood of losing money we select only those companies where, aside from periodic volatility, the potential for loss is limited.
• Investment Time Horizon – Buy, wait, sell.
Generally, we buy shares and hold them for long periods of time. When do we sell? When the company stock price reaches its real value or when a better deal is found – another company with a bigger price<->value gap.

***************** IMPORTANT NOTE!!!!!************************
Please mark "Join trades in progress" when subscribing to Easy Value. The strategy works as a whole portfolio and choosing "Don't join trades in progress" will produce an unbalanced portfolio.

Contact Easy Value Team (https://collective2.com/send-message-to/134057686) on Collective2 for any issues.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2020-11-10
Suggested Minimum Capital
$15,000
Rank at C2 
#110
# Trades
275
# Profitable
162
% Profitable
58.9%
Net Dividends
$6,865
Correlation S&P500
0.618
Sharpe Ratio
0.60
Sortino Ratio
0.88
Beta
0.80
Alpha
0.03
Leverage
1.01 Average
1.27 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.