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Weekend Investor
(140632388)

Created by: Adil_Irkegulov Adil_Irkegulov
Started: 05/2022
Stocks
Last trade: 101 days ago
Trading style: Equity Trend-following

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 $10.00 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
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.
2.5%
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.

(16.3%)
Max Drawdown
50
Num Trades
70.0%
Win Trades
1.7 : 1
Profit Factor
50.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022                            (0.2%)(4.3%)+3.8%(2.3%)(10.3%)+10.8%+7.5%(6.4%)(3.1%)
2023+9.2%(5.5%)+0.4%+0.9%(3.3%)+3.4%+3.9%(3.5%)(1.5%)(2.4%)+2.1%+5.1%+8.2%
2024+0.4%(1.5%)+3.1%(1.9%)                                                (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.

Trading Record

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
6/6/22 10:15 JNPR JUNIPER NETWORKS LONG 48 31.24 1/9/24 9:31 36.83 0.61%
Trade id #140686686
Max drawdown($305)
Time10/26/23 0:00
Quant open48
Worst price24.87
Drawdown as % of equity-0.61%
 $267
Includes Typical Broker Commissions trade costs of $0.96
8/29/22 9:31 INTC INTEL LONG 45 33.23 11/20/23 9:54 44.55 0.9%
Trade id #141574806
Max drawdown($388)
Time10/13/22 0:00
Quant open45
Worst price24.59
Drawdown as % of equity-0.90%
 $509
Includes Typical Broker Commissions trade costs of $0.90
5/31/22 9:54 JPM JPMORGAN CHASE LONG 11 131.29 7/18/23 11:06 153.92 0.76%
Trade id #140635060
Max drawdown($330)
Time10/12/22 0:00
Quant open11
Worst price101.28
Drawdown as % of equity-0.76%
 $249
Includes Typical Broker Commissions trade costs of $0.22
9/19/22 9:30 UPRO PROSHARES ULTRAPRO S&P 500 LONG 263 33.46 6/9/23 10:05 43.76 4.58%
Trade id #141848397
Max drawdown($1,978)
Time10/13/22 0:00
Quant open263
Worst price25.94
Drawdown as % of equity-4.58%
 $2,703
Includes Typical Broker Commissions trade costs of $5.26
5/31/22 9:30 GRMN GARMIN LONG 30 97.64 5/31/23 9:38 105.73 1.48%
Trade id #140634342
Max drawdown($638)
Time10/13/22 0:00
Quant open30
Worst price76.37
Drawdown as % of equity-1.48%
 $242
Includes Typical Broker Commissions trade costs of $0.60
8/29/22 9:31 MAN MANPOWERGROUP LONG 20 73.63 2/8/23 10:04 92.42 0.43%
Trade id #141574812
Max drawdown($192)
Time9/29/22 0:00
Quant open20
Worst price64.00
Drawdown as % of equity-0.43%
 $376
Includes Typical Broker Commissions trade costs of $0.40
5/31/22 13:09 IPG INTERPUBLIC GROUP OF COS LONG 46 32.31 2/2/23 10:32 38.06 0.74%
Trade id #140638673
Max drawdown($329)
Time9/27/22 0:00
Quant open46
Worst price25.14
Drawdown as % of equity-0.74%
 $264
Includes Typical Broker Commissions trade costs of $0.92
8/1/22 9:31 T AT&T LONG 80 18.85 1/24/23 9:30 21.31 0.81%
Trade id #141250665
Max drawdown($351)
Time10/13/22 0:00
Quant open80
Worst price14.46
Drawdown as % of equity-0.81%
 $195
Includes Typical Broker Commissions trade costs of $1.60
6/6/22 9:30 RTX RAYTHEON TECHNOLOGIES CORP LONG 16 96.99 1/24/23 9:30 104.27 0.6%
Trade id #140684983
Max drawdown($267)
Time9/27/22 0:00
Quant open16
Worst price80.27
Drawdown as % of equity-0.60%
 $116
Includes Typical Broker Commissions trade costs of $0.32
8/29/22 9:31 PFE PFIZER LONG 32 46.38 12/13 9:54 53.91 0.36%
Trade id #141574826
Max drawdown($157)
Time10/11/22 0:00
Quant open32
Worst price41.45
Drawdown as % of equity-0.36%
 $240
Includes Typical Broker Commissions trade costs of $0.64
8/29/22 9:31 NEU NEWMARKET LONG 5 287.91 9/30 14:13 305.73 0.08%
Trade id #141574819
Max drawdown($38)
Time9/2/22 0:00
Quant open5
Worst price280.28
Drawdown as % of equity-0.08%
 $89
Includes Typical Broker Commissions trade costs of $0.10
8/31/22 15:22 UPRO PROSHARES ULTRAPRO S&P 500 LONG 156 38.81 9/13 9:31 40.58 0.47%
Trade id #141612618
Max drawdown($222)
Time9/7/22 0:00
Quant open156
Worst price37.38
Drawdown as % of equity-0.47%
 $274
Includes Typical Broker Commissions trade costs of $3.12
8/29/22 9:31 DEI DOUGLAS EMMETT LONG 75 19.95 9/2 15:35 20.04 0.15%
Trade id #141574829
Max drawdown($72)
Time9/1/22 0:00
Quant open75
Worst price18.99
Drawdown as % of equity-0.15%
 $6
Includes Typical Broker Commissions trade costs of $1.50
8/29/22 9:31 VFC VF LONG 36 41.00 8/31 15:13 41.75 0.01%
Trade id #141574838
Max drawdown($5)
Time8/29/22 10:58
Quant open36
Worst price40.85
Drawdown as % of equity-0.01%
 $26
Includes Typical Broker Commissions trade costs of $0.72
8/29/22 9:31 SLM SLM LONG 101 14.68 8/31 15:13 15.33 n/a $64
Includes Typical Broker Commissions trade costs of $2.02
5/31/22 13:59 PG PROCTER & GAMBLE LONG 10 148.73 8/19 14:47 149.79 0.41%
Trade id #140640033
Max drawdown($192)
Time6/15/22 0:00
Quant open10
Worst price129.50
Drawdown as % of equity-0.41%
 $11
Includes Typical Broker Commissions trade costs of $0.20
8/1/22 9:31 IBM INTERNATIONAL BUSINESS MACHINES LONG 11 130.75 8/19 14:46 138.19 0.04%
Trade id #141250688
Max drawdown($17)
Time8/9/22 0:00
Quant open11
Worst price129.12
Drawdown as % of equity-0.04%
 $82
Includes Typical Broker Commissions trade costs of $0.22
5/31/22 13:50 CL COLGATE-PALMOLIVE LONG 19 79.08 8/12 15:02 80.22 0.25%
Trade id #140639872
Max drawdown($121)
Time6/16/22 0:00
Quant open19
Worst price72.69
Drawdown as % of equity-0.25%
 $22
Includes Typical Broker Commissions trade costs of $0.38
6/1/22 9:43 NTAP NETAPP LONG 21 73.08 8/12 15:02 74.81 0.52%
Trade id #140646879
Max drawdown($248)
Time7/5/22 0:00
Quant open21
Worst price61.26
Drawdown as % of equity-0.52%
 $36
Includes Typical Broker Commissions trade costs of $0.42
7/22/22 9:30 IP INTERNATIONAL PAPER LONG 35 43.44 8/12 15:01 44.50 0.16%
Trade id #141147989
Max drawdown($78)
Time7/26/22 0:00
Quant open35
Worst price41.20
Drawdown as % of equity-0.16%
 $36
Includes Typical Broker Commissions trade costs of $0.70
5/31/22 13:47 FNB F.N.B. LONG 124 12.14 8/12 15:01 12.67 0.43%
Trade id #140639811
Max drawdown($205)
Time6/16/22 0:00
Quant open124
Worst price10.48
Drawdown as % of equity-0.43%
 $64
Includes Typical Broker Commissions trade costs of $2.48
5/31/22 9:30 OKE ONEOK LONG 48 61.68 8/12 15:01 64.22 0.71%
Trade id #140634249
Max drawdown($334)
Time6/23/22 0:00
Quant open22
Worst price52.19
Drawdown as % of equity-0.71%
 $121
Includes Typical Broker Commissions trade costs of $0.96
8/1/22 9:31 LMT LOCKHEED MARTIN LONG 4 418.24 8/5 14:19 423.76 0.01%
Trade id #141250657
Max drawdown($6)
Time8/1/22 11:02
Quant open4
Worst price416.64
Drawdown as % of equity-0.01%
 $22
Includes Typical Broker Commissions trade costs of $0.08
7/28/22 10:56 IRM IRON MOUNTAIN INC REIT LONG 31 47.84 8/5 14:15 51.25 0.02%
Trade id #141216064
Max drawdown($8)
Time7/28/22 13:46
Quant open31
Worst price47.56
Drawdown as % of equity-0.02%
 $105
Includes Typical Broker Commissions trade costs of $0.62
5/31/22 13:00 PAYX PAYCHEX LONG 12 124.11 7/29 14:18 128.30 0.35%
Trade id #140638555
Max drawdown($163)
Time6/17/22 0:00
Quant open12
Worst price110.47
Drawdown as % of equity-0.35%
 $50
Includes Typical Broker Commissions trade costs of $0.24
7/5/22 9:30 NEU NEWMARKET LONG 5 297.98 7/29 14:18 311.22 0.05%
Trade id #140957675
Max drawdown($22)
Time7/6/22 0:00
Quant open5
Worst price293.53
Drawdown as % of equity-0.05%
 $66
Includes Typical Broker Commissions trade costs of $0.10
7/27/22 12:24 APD AIR PRODUCTS & CHEMICALS LONG 6 236.06 7/29 14:18 248.98 0.01%
Trade id #141202376
Max drawdown($6)
Time7/27/22 13:00
Quant open6
Worst price234.90
Drawdown as % of equity-0.01%
 $77
Includes Typical Broker Commissions trade costs of $0.12
6/7/22 15:50 SRC SPIRIT REALTY CAPITAL LONG 35 42.28 7/29 14:18 44.61 0.48%
Trade id #140702687
Max drawdown($227)
Time6/14/22 0:00
Quant open35
Worst price35.79
Drawdown as % of equity-0.48%
 $81
Includes Typical Broker Commissions trade costs of $0.70
5/31/22 13:55 CMI CUMMINS LONG 7 208.89 7/29 14:17 220.67 0.36%
Trade id #140639971
Max drawdown($172)
Time6/23/22 0:00
Quant open7
Worst price184.28
Drawdown as % of equity-0.36%
 $82
Includes Typical Broker Commissions trade costs of $0.14
7/5/22 14:03 REYN REYNOLDS CONSUMER PRODUCTS INC. LONG 54 27.63 7/29 14:17 29.22 0.04%
Trade id #140964429
Max drawdown($18)
Time7/11/22 0:00
Quant open54
Worst price27.29
Drawdown as % of equity-0.04%
 $85
Includes Typical Broker Commissions trade costs of $1.08
Next

Statistics

  • Strategy began
    5/31/2022
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    684.99
  • Age
    23 months ago
  • What it trades
    Stocks
  • # Trades
    50
  • # Profitable
    35
  • % Profitable
    70.00%
  • Avg trade duration
    276.5 days
  • Max peak-to-valley drawdown
    16.29%
  • drawdown period
    Aug 16, 2022 - Oct 13, 2022
  • Annual Return (Compounded)
    2.5%
  • Avg win
    $203.12
  • Avg loss
    $501.02
  • Model Account Values (Raw)
  • Cash
    $47,232
  • Margin Used
    $0
  • Buying Power
    $39,818
  • Ratios
  • W:L ratio
    1.72:1
  • Sharpe Ratio
    0.1
  • Sortino Ratio
    0.15
  • Calmar Ratio
    0.59
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -19.26%
  • Correlation to SP500
    0.70020
  • Return Percent SP500 (cumu) during strategy life
    20.21%
  • Return Statistics
  • Ann Return (w trading costs)
    2.5%
  • Slump
  • Current Slump as Pcnt Equity
    2.30%
  • 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
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.025%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    2.7%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    79.00%
  • Chance of 20% account loss
    25.50%
  • Chance of 30% account loss
    2.00%
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • 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
    $490
  • Avg Win
    $203
  • Sum Trade PL (losers)
    $7,356.000
  • Age
  • Num Months filled monthly returns table
    24
  • Win / Loss
  • Sum Trade PL (winners)
    $7,093.000
  • # Winners
    35
  • Num Months Winners
    12
  • Dividends
  • Dividends Received in Model Acct
    2886
  • Win / Loss
  • # Losers
    15
  • % Winners
    70.0%
  • Frequency
  • Avg Position Time (mins)
    396873.00
  • Avg Position Time (hrs)
    6614.54
  • Avg Trade Length
    275.6 days
  • Last Trade Ago
    563
  • Leverage
  • Daily leverage (average)
    0.75
  • Daily leverage (max)
    1.59
  • Regression
  • Alpha
    -0.01
  • Beta
    0.57
  • Treynor Index
    0.01
  • 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)
    1.15
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    -30.175
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    1.152
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.429
  • Hold-and-Hope Ratio
    -0.038
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.04152
  • SD
    0.22148
  • Sharpe ratio (Glass type estimate)
    0.18748
  • Sharpe ratio (Hedges UMVUE)
    0.16285
  • df
    6.00000
  • t
    0.14319
  • p
    0.44542
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.38841
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.74825
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.40500
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.73069
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.28529
  • Upside Potential Ratio
    2.23901
  • Upside part of mean
    0.32587
  • Downside part of mean
    -0.28435
  • Upside SD
    0.14493
  • Downside SD
    0.14554
  • N nonnegative terms
    4.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    7.00000
  • Mean of predictor
    0.20283
  • Mean of criterion
    0.04152
  • SD of predictor
    0.29496
  • SD of criterion
    0.22148
  • Covariance
    0.05256
  • r
    0.80460
  • b (slope, estimate of beta)
    0.60415
  • a (intercept, estimate of alpha)
    -0.08102
  • Mean Square Error
    0.02076
  • DF error
    5.00000
  • t(b)
    3.02976
  • p(b)
    0.01454
  • t(a)
    -0.41997
  • p(a)
    0.65403
  • Lowerbound of 95% confidence interval for beta
    0.09154
  • Upperbound of 95% confidence interval for beta
    1.11675
  • Lowerbound of 95% confidence interval for alpha
    -0.57695
  • Upperbound of 95% confidence interval for alpha
    0.41491
  • Treynor index (mean / b)
    0.06873
  • Jensen alpha (a)
    -0.08102
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.02029
  • SD
    0.22246
  • Sharpe ratio (Glass type estimate)
    0.09122
  • Sharpe ratio (Hedges UMVUE)
    0.07924
  • df
    6.00000
  • t
    0.06967
  • p
    0.47336
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.47912
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.65425
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.48735
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.64582
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.13367
  • Upside Potential Ratio
    2.07596
  • Upside part of mean
    0.31517
  • Downside part of mean
    -0.29488
  • Upside SD
    0.13929
  • Downside SD
    0.15182
  • N nonnegative terms
    4.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    7.00000
  • Mean of predictor
    0.16431
  • Mean of criterion
    0.02029
  • SD of predictor
    0.29224
  • SD of criterion
    0.22246
  • Covariance
    0.05331
  • r
    0.82007
  • b (slope, estimate of beta)
    0.62425
  • a (intercept, estimate of alpha)
    -0.08228
  • Mean Square Error
    0.01945
  • DF error
    5.00000
  • t(b)
    3.20439
  • p(b)
    0.01194
  • t(a)
    -0.44384
  • p(a)
    0.66215
  • Lowerbound of 95% confidence interval for beta
    0.12345
  • Upperbound of 95% confidence interval for beta
    1.12504
  • Lowerbound of 95% confidence interval for alpha
    -0.55881
  • Upperbound of 95% confidence interval for alpha
    0.39426
  • Treynor index (mean / b)
    0.03251
  • Jensen alpha (a)
    -0.08228
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.09872
  • Expected Shortfall on VaR
    0.12233
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.05040
  • Expected Shortfall on VaR
    0.09243
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    7.00000
  • Minimum
    0.90499
  • Quartile 1
    0.96806
  • Median
    1.01849
  • Quartile 3
    1.04255
  • Maximum
    1.09581
  • Mean of quarter 1
    0.92836
  • Mean of quarter 2
    1.00144
  • Mean of quarter 3
    1.03967
  • Mean of quarter 4
    1.07062
  • Inter Quartile Range
    0.07449
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.11362
  • Quartile 1
    0.11362
  • Median
    0.11362
  • Quartile 3
    0.11362
  • Maximum
    0.11362
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.04888
  • Compounded annual return (geometric extrapolation)
    0.04938
  • Calmar ratio (compounded annual return / max draw down)
    0.43462
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    0.40365
  • 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
    0.08064
  • SD
    0.23290
  • Sharpe ratio (Glass type estimate)
    0.34623
  • Sharpe ratio (Hedges UMVUE)
    0.34465
  • df
    165.00000
  • t
    0.27559
  • p
    0.48635
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.11685
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.80836
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.11795
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.80725
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.53265
  • Upside Potential Ratio
    9.00339
  • Upside part of mean
    1.36302
  • Downside part of mean
    -1.28238
  • Upside SD
    0.17613
  • Downside SD
    0.15139
  • N nonnegative terms
    78.00000
  • N negative terms
    88.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    166.00000
  • Mean of predictor
    0.39753
  • Mean of criterion
    0.08064
  • SD of predictor
    0.30469
  • SD of criterion
    0.23290
  • Covariance
    0.05017
  • r
    0.70694
  • b (slope, estimate of beta)
    0.54039
  • a (intercept, estimate of alpha)
    -0.13400
  • Mean Square Error
    0.02730
  • DF error
    164.00000
  • t(b)
    12.80030
  • p(b)
    0.14653
  • t(a)
    -0.64434
  • p(a)
    0.52512
  • Lowerbound of 95% confidence interval for beta
    0.45703
  • Upperbound of 95% confidence interval for beta
    0.62374
  • Lowerbound of 95% confidence interval for alpha
    -0.54539
  • Upperbound of 95% confidence interval for alpha
    0.27702
  • Treynor index (mean / b)
    0.14922
  • Jensen alpha (a)
    -0.13418
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.05383
  • SD
    0.23184
  • Sharpe ratio (Glass type estimate)
    0.23220
  • Sharpe ratio (Hedges UMVUE)
    0.23114
  • df
    165.00000
  • t
    0.18483
  • p
    0.49084
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.23054
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.69436
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.23130
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.69359
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.35105
  • Upside Potential Ratio
    8.78894
  • Upside part of mean
    1.34774
  • Downside part of mean
    -1.29390
  • Upside SD
    0.17298
  • Downside SD
    0.15334
  • N nonnegative terms
    78.00000
  • N negative terms
    88.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    166.00000
  • Mean of predictor
    0.35130
  • Mean of criterion
    0.05383
  • SD of predictor
    0.30377
  • SD of criterion
    0.23184
  • Covariance
    0.04994
  • r
    0.70906
  • b (slope, estimate of beta)
    0.54116
  • a (intercept, estimate of alpha)
    -0.13627
  • Mean Square Error
    0.02689
  • DF error
    164.00000
  • t(b)
    12.87720
  • p(b)
    0.14547
  • t(a)
    -0.65981
  • p(a)
    0.52573
  • Lowerbound of 95% confidence interval for beta
    0.45818
  • Upperbound of 95% confidence interval for beta
    0.62414
  • Lowerbound of 95% confidence interval for alpha
    -0.54409
  • Upperbound of 95% confidence interval for alpha
    0.27154
  • Treynor index (mean / b)
    0.09948
  • Jensen alpha (a)
    -0.13627
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02308
  • Expected Shortfall on VaR
    0.02890
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01175
  • Expected Shortfall on VaR
    0.02196
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    166.00000
  • Minimum
    0.95203
  • Quartile 1
    0.99294
  • Median
    0.99959
  • Quartile 3
    1.00735
  • Maximum
    1.05798
  • Mean of quarter 1
    0.98417
  • Mean of quarter 2
    0.99666
  • Mean of quarter 3
    1.00328
  • Mean of quarter 4
    1.01753
  • Inter Quartile Range
    0.01440
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.02410
  • Mean of outliers low
    0.96446
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.03012
  • Mean of outliers high
    1.04850
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.17677
  • VaR(95%) (moments method)
    0.01617
  • Expected Shortfall (moments method)
    0.02406
  • Extreme Value Index (regression method)
    0.12648
  • VaR(95%) (regression method)
    0.01586
  • Expected Shortfall (regression method)
    0.02269
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.01527
  • Quartile 1
    0.03359
  • Median
    0.06229
  • Quartile 3
    0.07941
  • Maximum
    0.14428
  • Mean of quarter 1
    0.01724
  • Mean of quarter 2
    0.05513
  • Mean of quarter 3
    0.07065
  • Mean of quarter 4
    0.11622
  • Inter Quartile Range
    0.04581
  • 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)
    0.08389
  • Compounded annual return (geometric extrapolation)
    0.08517
  • Calmar ratio (compounded annual return / max draw down)
    0.59034
  • Compounded annual return / average of 25% largest draw downs
    0.73286
  • Compounded annual return / Expected Shortfall lognormal
    2.94728
  • 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
    0.16393
  • SD
    0.25667
  • Sharpe ratio (Glass type estimate)
    0.63867
  • Sharpe ratio (Hedges UMVUE)
    0.63498
  • df
    130.00000
  • t
    0.45161
  • p
    0.48021
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.13543
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.41036
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.13790
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.40786
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.99460
  • Upside Potential Ratio
    9.52879
  • Upside part of mean
    1.57051
  • Downside part of mean
    -1.40658
  • Upside SD
    0.19574
  • Downside SD
    0.16482
  • N nonnegative terms
    61.00000
  • N negative terms
    70.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.59907
  • Mean of criterion
    0.16393
  • SD of predictor
    0.31472
  • SD of criterion
    0.25667
  • Covariance
    0.05772
  • r
    0.71449
  • b (slope, estimate of beta)
    0.58269
  • a (intercept, estimate of alpha)
    -0.18514
  • Mean Square Error
    0.03250
  • DF error
    129.00000
  • t(b)
    11.59870
  • p(b)
    0.08754
  • t(a)
    -0.72121
  • p(a)
    0.54032
  • Lowerbound of 95% confidence interval for beta
    0.48329
  • Upperbound of 95% confidence interval for beta
    0.68208
  • Lowerbound of 95% confidence interval for alpha
    -0.69306
  • Upperbound of 95% confidence interval for alpha
    0.32277
  • Treynor index (mean / b)
    0.28133
  • Jensen alpha (a)
    -0.18514
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.13140
  • SD
    0.25545
  • Sharpe ratio (Glass type estimate)
    0.51436
  • Sharpe ratio (Hedges UMVUE)
    0.51138
  • df
    130.00000
  • t
    0.36371
  • p
    0.48406
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.25912
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.28591
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.26112
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.28389
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.78665
  • Upside Potential Ratio
    9.28951
  • Upside part of mean
    1.55165
  • Downside part of mean
    -1.42025
  • Upside SD
    0.19216
  • Downside SD
    0.16703
  • N nonnegative terms
    61.00000
  • N negative terms
    70.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.54953
  • Mean of criterion
    0.13140
  • SD of predictor
    0.31345
  • SD of criterion
    0.25545
  • Covariance
    0.05741
  • r
    0.71702
  • b (slope, estimate of beta)
    0.58435
  • a (intercept, estimate of alpha)
    -0.18972
  • Mean Square Error
    0.03195
  • DF error
    129.00000
  • t(b)
    11.68320
  • p(b)
    0.08641
  • t(a)
    -0.74609
  • p(a)
    0.54170
  • VAR (95 Confidence Intrvl)
    0.02300
  • Lowerbound of 95% confidence interval for beta
    0.48539
  • Upperbound of 95% confidence interval for beta
    0.68331
  • Lowerbound of 95% confidence interval for alpha
    -0.69283
  • Upperbound of 95% confidence interval for alpha
    0.31339
  • Treynor index (mean / b)
    0.22486
  • Jensen alpha (a)
    -0.18972
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02514
  • Expected Shortfall on VaR
    0.03153
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01296
  • Expected Shortfall on VaR
    0.02408
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.95203
  • Quartile 1
    0.99246
  • Median
    0.99952
  • Quartile 3
    1.01008
  • Maximum
    1.05798
  • Mean of quarter 1
    0.98240
  • Mean of quarter 2
    0.99654
  • Mean of quarter 3
    1.00415
  • Mean of quarter 4
    1.01994
  • Inter Quartile Range
    0.01761
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.01527
  • Mean of outliers low
    0.95898
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.03817
  • Mean of outliers high
    1.04850
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.05343
  • VaR(95%) (moments method)
    0.01673
  • Expected Shortfall (moments method)
    0.02194
  • Extreme Value Index (regression method)
    0.05105
  • VaR(95%) (regression method)
    0.01698
  • Expected Shortfall (regression method)
    0.02334
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.00631
  • Quartile 1
    0.01807
  • Median
    0.03359
  • Quartile 3
    0.07503
  • Maximum
    0.14428
  • Mean of quarter 1
    0.01079
  • Mean of quarter 2
    0.01911
  • Mean of quarter 3
    0.05931
  • Mean of quarter 4
    0.11622
  • Inter Quartile Range
    0.05696
  • 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?
    -550192000
  • Max Equity Drawdown (num days)
    58
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.16582
  • Compounded annual return (geometric extrapolation)
    0.17269
  • Calmar ratio (compounded annual return / max draw down)
    1.19695
  • Compounded annual return / average of 25% largest draw downs
    1.48592
  • Compounded annual return / Expected Shortfall lognormal
    5.47751

Strategy Description

The system uses a conservative approach to investing in well-established U.S. stocks of SP 500 and Russell 1000 indices. It aims to buy stocks at attractive low prices and exit when the potential for a move higher is no longer present. The system also monitors the overall market. Occasionally, at times when the market is deemed highly oversold the system engages by opening one or more trades in UPRO (ProShares UltraPro S&P500 ETF) to position itself for the upcoming correction and so to realize extra profits. It is a relatively conservative system, there is no short selling or trading on margin. The goal of the system is to beat the SP500 benchmark while remaining solid and conservative. The system is ideal for a busy person as stock picks are done over weekends with occasional end of day signals for UPRO.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2022-05-31
Suggested Minimum Capital
$15,000
# Trades
50
# Profitable
35
% Profitable
70.0%
Net Dividends
$2,914
Correlation S&P500
0.700
Sharpe Ratio
0.10
Sortino Ratio
0.15
Beta
0.57
Alpha
-0.01
Leverage
0.75 Average
1.59 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.