Collective2 Collective2
Featured Strategy Cryptoverse Followed by live capital $3.03 million Hypothetical

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This is an archived track record. This track record was archived on 9/13/22 9:16 ET. (See latest track record)
These are hypothetical performance results that have certain inherent limitations. Learn more
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Warrenʼs Wonders
(141186693)

Created by: WarrenSaevitzon2 WarrenSaevitzon2
Started: 07/2022
Stocks
Last trade: 835 days ago
Trading style: Equity Hedged Equity Event-driven

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 $49.00 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
Hedged Equity
Category: Equity

Hedged Equity

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

Event-driven

Seeks to exploit pricing inefficiencies that may occur before or after a corporate event, such as an earnings call, bankruptcy, merger, acquisition, or spinoff.
11.9%
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.

(7.4%)
Max Drawdown
30
Num Trades
66.7%
Win Trades
4.4 : 1
Profit Factor
10.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022                                          +11.8%+15.3%+1.7%  -    -    -  +31.1%
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.

Trading Record

This strategy has placed 2 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 841 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
9/12/22 10:52 NIO NIO INC LONG 160 21.24 9/13 9:16 21.75 0.19%
Trade id #141747857
Max drawdown($63)
Time9/13/22 0:00
Quant open160
Worst price20.84
Drawdown as % of equity-0.19%
 $79
Includes Typical Broker Commissions trade costs of $3.20
9/9/22 10:47 U UNITY SOFTWARE INC LONG 100 40.66 9/13 9:16 42.31 0.22%
Trade id #141724159
Max drawdown($72)
Time9/12/22 0:00
Quant open100
Worst price39.94
Drawdown as % of equity-0.22%
 $163
Includes Typical Broker Commissions trade costs of $2.00
9/8/22 14:38 RBLX ROBLOX CORP LONG 100 41.14 9/13 9:16 45.31 0.08%
Trade id #141711349
Max drawdown($24)
Time9/8/22 14:42
Quant open100
Worst price40.90
Drawdown as % of equity-0.08%
 $416
Includes Typical Broker Commissions trade costs of $2.00
9/6/22 11:01 TQQQ PROSHARES ULTRAPRO QQQ LONG 200 26.50 9/13 9:16 30.20 0.52%
Trade id #141671268
Max drawdown($163)
Time9/6/22 13:51
Quant open200
Worst price25.68
Drawdown as % of equity-0.52%
 $738
Includes Typical Broker Commissions trade costs of $4.00
8/29/22 13:31 XNET XUNLEI LTD ADR LONG 2,000 1.55 9/13 9:16 1.66 0.63%
Trade id #141580821
Max drawdown($200)
Time9/6/22 0:00
Quant open2,000
Worst price1.45
Drawdown as % of equity-0.63%
 $215
Includes Typical Broker Commissions trade costs of $5.00
8/19/22 9:31 TCEHY TENCENT HOLDINGS ADR LONG 90 39.66 9/13 9:16 39.49 0.39%
Trade id #141474140
Max drawdown($124)
Time9/8/22 0:00
Quant open90
Worst price38.27
Drawdown as % of equity-0.39%
 ($17)
Includes Typical Broker Commissions trade costs of $1.80
9/13/22 6:54 @ESU2 E-MINI S&P 500 LONG 1 4136.75 9/13 8:30 4120.00 12.53%
Trade id #141760877
Max drawdown($4,212)
Time9/13/22 8:30
Quant open1
Worst price4052.50
Drawdown as % of equity-12.53%
 ($846)
Includes Typical Broker Commissions trade costs of $8.00
9/7/22 11:22 GFI GOLD FIELDS LONG 600 7.98 9/12 10:45 8.38 0.23%
Trade id #141689564
Max drawdown($72)
Time9/8/22 0:00
Quant open600
Worst price7.86
Drawdown as % of equity-0.23%
 $235
Includes Typical Broker Commissions trade costs of $8.50
9/1/22 14:44 TQQQ PROSHARES ULTRAPRO QQQ LONG 200 27.18 9/2 12:26 28.00 0.1%
Trade id #141628032
Max drawdown($31)
Time9/1/22 14:51
Quant open200
Worst price27.02
Drawdown as % of equity-0.10%
 $160
Includes Typical Broker Commissions trade costs of $4.00
8/29/22 12:47 RBLX ROBLOX CORP LONG 105 39.14 9/1 9:31 37.93 0.44%
Trade id #141580122
Max drawdown($142)
Time9/1/22 9:31
Quant open105
Worst price37.78
Drawdown as % of equity-0.44%
 ($129)
Includes Typical Broker Commissions trade costs of $2.10
8/29/22 12:30 NIO NIO INC LONG 220 19.81 9/1 9:30 19.04 0.55%
Trade id #141579900
Max drawdown($178)
Time9/1/22 9:30
Quant open220
Worst price19.00
Drawdown as % of equity-0.55%
 ($173)
Includes Typical Broker Commissions trade costs of $4.40
8/29/22 12:27 U UNITY SOFTWARE INC LONG 90 45.12 8/30 10:06 43.58 0.5%
Trade id #141579830
Max drawdown($161)
Time8/30/22 0:00
Quant open90
Worst price43.33
Drawdown as % of equity-0.50%
 ($141)
Includes Typical Broker Commissions trade costs of $1.80
7/26/22 10:37 BHP BHP GROUP LTD LONG 75 52.45 8/30 9:46 56.96 0.16%
Trade id #141186871
Max drawdown($39)
Time7/27/22 0:00
Quant open75
Worst price51.92
Drawdown as % of equity-0.16%
 $337
Includes Typical Broker Commissions trade costs of $1.50
8/29/22 13:42 CDEV CENTENNIAL RESOURCE DEVELOPMENT INC. CLASS A LONG 400 8.79 8/30 9:30 8.40 0.65%
Trade id #141581023
Max drawdown($211)
Time8/30/22 0:00
Quant open400
Worst price8.26
Drawdown as % of equity-0.65%
 ($164)
Includes Typical Broker Commissions trade costs of $8.00
8/24/22 10:40 U UNITY SOFTWARE INC LONG 90 46.25 8/26 10:03 47.85 0.23%
Trade id #141521370
Max drawdown($74)
Time8/25/22 0:00
Quant open90
Worst price45.42
Drawdown as % of equity-0.23%
 $142
Includes Typical Broker Commissions trade costs of $1.80
8/23/22 10:38 QQQ POWERSHARES QQQ LONG 20 315.27 8/26 10:02 316.82 0.14%
Trade id #141508127
Max drawdown($45)
Time8/24/22 0:00
Quant open20
Worst price312.99
Drawdown as % of equity-0.14%
 $31
Includes Typical Broker Commissions trade costs of $0.40
8/24/22 10:39 RBLX ROBLOX CORP LONG 100 42.19 8/25 9:50 40.93 0.42%
Trade id #141521365
Max drawdown($137)
Time8/25/22 9:50
Quant open100
Worst price40.82
Drawdown as % of equity-0.42%
 ($128)
Includes Typical Broker Commissions trade costs of $2.00
8/15/22 12:59 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 114 33.60 8/23 10:36 39.07 0.19%
Trade id #141422302
Max drawdown($62)
Time8/16/22 0:00
Quant open114
Worst price33.05
Drawdown as % of equity-0.19%
 $622
Includes Typical Broker Commissions trade costs of $2.28
8/10/22 14:26 UMC UNITED MICROELECTRONICS LONG 700 6.95 8/22 9:30 6.80 0.33%
Trade id #141374423
Max drawdown($105)
Time8/22/22 9:30
Quant open700
Worst price6.80
Drawdown as % of equity-0.33%
 ($111)
Includes Typical Broker Commissions trade costs of $6.40
7/26/22 10:36 AMZN AMAZON.COM LONG 70 116.22 8/22 9:30 136.28 0.48%
Trade id #141186865
Max drawdown($118)
Time7/26/22 15:58
Quant open70
Worst price114.53
Drawdown as % of equity-0.48%
 $1,404
Includes Typical Broker Commissions trade costs of $1.40
7/26/22 10:41 META META PLATFORMS INC. CLASS A LONG 24 163.50 8/19 10:01 169.50 0.77%
Trade id #141186918
Max drawdown($207)
Time7/28/22 0:00
Quant open24
Worst price154.85
Drawdown as % of equity-0.77%
 $144
Includes Typical Broker Commissions trade costs of $0.48
7/26/22 10:44 BLCO BAUSCH + LOMB CORP LONG 229 15.37 8/19 10:00 15.60 2.7%
Trade id #141186970
Max drawdown($725)
Time7/28/22 0:00
Quant open229
Worst price12.20
Drawdown as % of equity-2.70%
 $48
Includes Typical Broker Commissions trade costs of $4.58
7/26/22 10:46 U UNITY SOFTWARE INC LONG 92 33.33 8/19 9:30 51.64 0.1%
Trade id #141186990
Max drawdown($24)
Time7/26/22 15:36
Quant open92
Worst price33.06
Drawdown as % of equity-0.10%
 $1,682
Includes Typical Broker Commissions trade costs of $1.84
8/10/22 14:23 ARKK ARK INNOVATION ETF LONG 100 50.70 8/19 9:30 46.30 1.43%
Trade id #141374405
Max drawdown($467)
Time8/19/22 9:30
Quant open100
Worst price46.03
Drawdown as % of equity-1.43%
 ($442)
Includes Typical Broker Commissions trade costs of $2.00
8/10/22 10:16 RBLX ROBLOX CORP LONG 100 43.50 8/16 9:31 48.84 0.24%
Trade id #141368946
Max drawdown($79)
Time8/10/22 10:21
Quant open100
Worst price42.71
Drawdown as % of equity-0.24%
 $532
Includes Typical Broker Commissions trade costs of $2.00
8/4/22 14:30 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 135 36.71 8/11 9:30 35.03 0.72%
Trade id #141308021
Max drawdown($237)
Time8/11/22 9:30
Quant open135
Worst price34.95
Drawdown as % of equity-0.72%
 ($230)
Includes Typical Broker Commissions trade costs of $2.70
7/26/22 10:39 SGHC SUPER GROUP (SGHC) LTD LONG 775 4.45 8/9 10:53 5.10 1.72%
Trade id #141186909
Max drawdown($426)
Time7/27/22 0:00
Quant open775
Worst price3.90
Drawdown as % of equity-1.72%
 $499
Includes Typical Broker Commissions trade costs of $5.00
7/26/22 10:48 ARKK ARK INNOVATION ETF LONG 124 43.76 8/9 9:31 49.48 0.25%
Trade id #141187007
Max drawdown($62)
Time7/26/22 16:00
Quant open124
Worst price43.26
Drawdown as % of equity-0.25%
 $707
Includes Typical Broker Commissions trade costs of $2.48
7/26/22 10:34 RBLX ROBLOX CORP LONG 159 38.12 8/9 9:30 47.68 0.08%
Trade id #141186776
Max drawdown($20)
Time7/26/22 10:37
Quant open159
Worst price37.99
Drawdown as % of equity-0.08%
 $1,517
Includes Typical Broker Commissions trade costs of $3.18
7/26/22 10:42 GOOGL ALPHABET INC CLASS A LONG 61 106.26 8/5 14:55 116.93 0.53%
Trade id #141186936
Max drawdown($133)
Time7/26/22 14:34
Quant open61
Worst price104.07
Drawdown as % of equity-0.53%
 $650
Includes Typical Broker Commissions trade costs of $1.22

Statistics

  • Strategy began
    7/26/2022
  • Suggested Minimum Cap
    $25,000
  • Strategy Age (days)
    877.68
  • Age
    29 months ago
  • What it trades
    Stocks
  • # Trades
    30
  • # Profitable
    20
  • % Profitable
    66.70%
  • Avg trade duration
    10.1 days
  • Max peak-to-valley drawdown
    7.42%
  • drawdown period
    Aug 12, 2022 - Sept 06, 2022
  • Annual Return (Compounded)
    11.9%
  • Avg win
    $518.75
  • Avg loss
    $234.20
  • Model Account Values (Raw)
  • Cash
    $33,032
  • Margin Used
    $0
  • Buying Power
    $33,032
  • Ratios
  • W:L ratio
    4.43:1
  • Sharpe Ratio
    1.2
  • Sortino Ratio
    3.7
  • Calmar Ratio
    11.895
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -18.54%
  • Correlation to SP500
    0.17440
  • Return Percent SP500 (cumu) during strategy life
    53.90%
  • Verified
  • C2Star
    0
  • Return Statistics
  • Ann Return (w trading costs)
    11.9%
  • Slump
  • Current Slump as Pcnt Equity
    3.60%
  • Instruments
  • Percent Trades Futures
    0.03%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.98%
  • 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)
    0.119%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    0.97%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    12.2%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    0.50%
  • Chance of 20% account loss
    n/a
  • 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
  • Chance of 100% account loss (Monte Carlo)
    100.00%
  • Automation
  • Percentage Signals Automated
    8.57%
  • 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
    $234
  • Avg Win
    $519
  • Sum Trade PL (losers)
    $2,342.000
  • Age
  • Num Months filled monthly returns table
    30
  • Win / Loss
  • Sum Trade PL (winners)
    $10,375.000
  • # Winners
    20
  • Num Months Winners
    3
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    10
  • % Winners
    66.7%
  • Frequency
  • Avg Position Time (mins)
    14537.10
  • Avg Position Time (hrs)
    242.28
  • Avg Trade Length
    10.1 days
  • Last Trade Ago
    829
  • Leverage
  • Daily leverage (average)
    1.07
  • Daily leverage (max)
    6.87
  • Regression
  • Alpha
    0.02
  • Beta
    0.08
  • Treynor Index
    0.35
  • 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)
    -0.02
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    1.073
  • 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
    0.13
  • Avg(MAE) / Avg(PL) - Winning trades
    0.255
  • Avg(MAE) / Avg(PL) - Losing trades
    -2.552
  • Hold-and-Hope Ratio
    0.932
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.61314
  • SD
    0.43937
  • Sharpe ratio (Glass type estimate)
    1.39549
  • Sharpe ratio (Hedges UMVUE)
    1.17326
  • df
    5.00000
  • t
    0.98676
  • p
    0.18454
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.56261
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.23060
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.69235
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.03886
  • Statistics related to Sortino ratio
  • Sortino ratio
    93.10620
  • Upside Potential Ratio
    95.93460
  • Upside part of mean
    0.63177
  • Downside part of mean
    -0.01863
  • Upside SD
    0.43836
  • Downside SD
    0.00659
  • N nonnegative terms
    2.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    6.00000
  • Mean of predictor
    0.73234
  • Mean of criterion
    0.61314
  • SD of predictor
    0.43422
  • SD of criterion
    0.43937
  • Covariance
    0.00182
  • r
    0.00955
  • b (slope, estimate of beta)
    0.00966
  • a (intercept, estimate of alpha)
    0.60607
  • Mean Square Error
    0.24129
  • DF error
    4.00000
  • t(b)
    0.01909
  • p(b)
    0.49284
  • t(a)
    0.76980
  • p(a)
    0.24218
  • Lowerbound of 95% confidence interval for beta
    -1.39523
  • Upperbound of 95% confidence interval for beta
    1.41455
  • Lowerbound of 95% confidence interval for alpha
    -1.58026
  • Upperbound of 95% confidence interval for alpha
    2.79239
  • Treynor index (mean / b)
    63.47660
  • Jensen alpha (a)
    0.60607
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.53210
  • SD
    0.38212
  • Sharpe ratio (Glass type estimate)
    1.39248
  • Sharpe ratio (Hedges UMVUE)
    1.17072
  • df
    5.00000
  • t
    0.98463
  • p
    0.18501
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.56506
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.22719
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.69448
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.03593
  • Statistics related to Sortino ratio
  • Sortino ratio
    80.89370
  • Upside Potential Ratio
    83.72210
  • Upside part of mean
    0.55070
  • Downside part of mean
    -0.01860
  • Upside SD
    0.38109
  • Downside SD
    0.00658
  • N nonnegative terms
    2.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    6.00000
  • Mean of predictor
    0.63909
  • Mean of criterion
    0.53210
  • SD of predictor
    0.41196
  • SD of criterion
    0.38212
  • Covariance
    0.00458
  • r
    0.02908
  • b (slope, estimate of beta)
    0.02697
  • a (intercept, estimate of alpha)
    0.51486
  • Mean Square Error
    0.18237
  • DF error
    4.00000
  • t(b)
    0.05818
  • p(b)
    0.47820
  • t(a)
    0.76537
  • p(a)
    0.24336
  • Lowerbound of 95% confidence interval for beta
    -1.26042
  • Upperbound of 95% confidence interval for beta
    1.31436
  • Lowerbound of 95% confidence interval for alpha
    -1.35320
  • Upperbound of 95% confidence interval for alpha
    2.38292
  • Treynor index (mean / b)
    19.72860
  • Jensen alpha (a)
    0.51486
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.12812
  • Expected Shortfall on VaR
    0.16671
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00338
  • Expected Shortfall on VaR
    0.00381
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    6.00000
  • Minimum
    1.00000
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00623
  • Maximum
    1.31224
  • Mean of quarter 1
    1.00000
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.16027
  • Inter Quartile Range
    0.00623
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.16667
  • Mean of outliers high
    1.31224
  • 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
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • 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)
    0.64626
  • Compounded annual return (geometric extrapolation)
    0.75068
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    4.50296
  • 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
    0.49575
  • SD
    0.14425
  • Sharpe ratio (Glass type estimate)
    3.43671
  • Sharpe ratio (Hedges UMVUE)
    3.41852
  • df
    142.00000
  • t
    2.53898
  • p
    0.39581
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.74799
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.11368
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.73594
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.10111
  • Statistics related to Sortino ratio
  • Sortino ratio
    11.26820
  • Upside Potential Ratio
    16.22410
  • Upside part of mean
    0.71379
  • Downside part of mean
    -0.21804
  • Upside SD
    0.14023
  • Downside SD
    0.04400
  • N nonnegative terms
    21.00000
  • N negative terms
    122.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    143.00000
  • Mean of predictor
    0.81863
  • Mean of criterion
    0.49575
  • SD of predictor
    0.31867
  • SD of criterion
    0.14425
  • Covariance
    0.00692
  • r
    0.15051
  • b (slope, estimate of beta)
    0.06813
  • a (intercept, estimate of alpha)
    0.44000
  • Mean Square Error
    0.02048
  • DF error
    141.00000
  • t(b)
    1.80777
  • p(b)
    0.40455
  • t(a)
    2.24300
  • p(a)
    0.38252
  • Lowerbound of 95% confidence interval for beta
    -0.00638
  • Upperbound of 95% confidence interval for beta
    0.14263
  • Lowerbound of 95% confidence interval for alpha
    0.05219
  • Upperbound of 95% confidence interval for alpha
    0.82777
  • Treynor index (mean / b)
    7.27662
  • Jensen alpha (a)
    0.43998
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.48510
  • SD
    0.14225
  • Sharpe ratio (Glass type estimate)
    3.41031
  • Sharpe ratio (Hedges UMVUE)
    3.39227
  • df
    142.00000
  • t
    2.51948
  • p
    0.39657
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.72205
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.08683
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.71013
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.07440
  • Statistics related to Sortino ratio
  • Sortino ratio
    10.96670
  • Upside Potential Ratio
    15.91740
  • Upside part of mean
    0.70410
  • Downside part of mean
    -0.21899
  • Upside SD
    0.13796
  • Downside SD
    0.04423
  • N nonnegative terms
    21.00000
  • N negative terms
    122.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    143.00000
  • Mean of predictor
    0.76757
  • Mean of criterion
    0.48510
  • SD of predictor
    0.31578
  • SD of criterion
    0.14225
  • Covariance
    0.00689
  • r
    0.15347
  • b (slope, estimate of beta)
    0.06913
  • a (intercept, estimate of alpha)
    0.43204
  • Mean Square Error
    0.01990
  • DF error
    141.00000
  • t(b)
    1.84422
  • p(b)
    0.40268
  • t(a)
    2.23751
  • p(a)
    0.38279
  • Lowerbound of 95% confidence interval for beta
    -0.00497
  • Upperbound of 95% confidence interval for beta
    0.14324
  • Lowerbound of 95% confidence interval for alpha
    0.05032
  • Upperbound of 95% confidence interval for alpha
    0.81376
  • Treynor index (mean / b)
    7.01705
  • Jensen alpha (a)
    0.43204
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01252
  • Expected Shortfall on VaR
    0.01614
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00263
  • Expected Shortfall on VaR
    0.00560
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    143.00000
  • Minimum
    0.98638
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.04673
  • Mean of quarter 1
    0.99706
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.01088
  • Inter Quartile Range
    0.00000
  • Number outliers low
    15.00000
  • Percentage of outliers low
    0.10490
  • Mean of outliers low
    0.99293
  • Number of outliers high
    21.00000
  • Percentage of outliers high
    0.14685
  • Mean of outliers high
    1.01866
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -3.47058
  • VaR(95%) (moments method)
    0.00273
  • Expected Shortfall (moments method)
    0.00295
  • Extreme Value Index (regression method)
    -1.17880
  • VaR(95%) (regression method)
    0.00501
  • Expected Shortfall (regression method)
    0.00693
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.00849
  • Quartile 1
    0.02046
  • Median
    0.03242
  • Quartile 3
    0.04439
  • Maximum
    0.05635
  • Mean of quarter 1
    0.00849
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.05635
  • Inter Quartile Range
    0.02393
  • 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)
    0.59203
  • Compounded annual return (geometric extrapolation)
    0.67031
  • Calmar ratio (compounded annual return / max draw down)
    11.89460
  • Compounded annual return / average of 25% largest draw downs
    11.89460
  • Compounded annual return / Expected Shortfall lognormal
    41.53470
  • 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
    -0.04454
  • SD
    0.06774
  • Sharpe ratio (Glass type estimate)
    -0.65746
  • Sharpe ratio (Hedges UMVUE)
    -0.65366
  • df
    130.00000
  • t
    -0.46489
  • p
    0.52037
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.42921
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.11671
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.42660
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.11929
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.00469
  • Upside Potential Ratio
    3.97663
  • Upside part of mean
    0.17628
  • Downside part of mean
    -0.22082
  • Upside SD
    0.05096
  • Downside SD
    0.04433
  • N nonnegative terms
    10.00000
  • N negative terms
    121.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.75348
  • Mean of criterion
    -0.04454
  • SD of predictor
    0.32855
  • SD of criterion
    0.06774
  • Covariance
    0.00361
  • r
    0.16210
  • b (slope, estimate of beta)
    0.03342
  • a (intercept, estimate of alpha)
    -0.06972
  • Mean Square Error
    0.00450
  • DF error
    129.00000
  • t(b)
    1.86575
  • p(b)
    0.39726
  • t(a)
    -0.72735
  • p(a)
    0.54066
  • Lowerbound of 95% confidence interval for beta
    -0.00202
  • Upperbound of 95% confidence interval for beta
    0.06887
  • Lowerbound of 95% confidence interval for alpha
    -0.25938
  • Upperbound of 95% confidence interval for alpha
    0.11993
  • Treynor index (mean / b)
    -1.33258
  • Jensen alpha (a)
    -0.06972
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.04680
  • SD
    0.06753
  • Sharpe ratio (Glass type estimate)
    -0.69305
  • Sharpe ratio (Hedges UMVUE)
    -0.68905
  • df
    130.00000
  • t
    -0.49006
  • p
    0.52147
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.46481
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.08124
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.46212
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.08402
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.05004
  • Upside Potential Ratio
    3.92565
  • Upside part of mean
    0.17499
  • Downside part of mean
    -0.22179
  • Upside SD
    0.05047
  • Downside SD
    0.04457
  • N nonnegative terms
    10.00000
  • N negative terms
    121.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.69952
  • Mean of criterion
    -0.04680
  • SD of predictor
    0.32554
  • SD of criterion
    0.06753
  • Covariance
    0.00361
  • r
    0.16408
  • b (slope, estimate of beta)
    0.03404
  • a (intercept, estimate of alpha)
    -0.07062
  • Mean Square Error
    0.00447
  • DF error
    129.00000
  • t(b)
    1.88921
  • p(b)
    0.39601
  • t(a)
    -0.74011
  • p(a)
    0.54137
  • VAR (95 Confidence Intrvl)
    0.01300
  • Lowerbound of 95% confidence interval for beta
    -0.00161
  • Upperbound of 95% confidence interval for beta
    0.06969
  • Lowerbound of 95% confidence interval for alpha
    -0.25940
  • Upperbound of 95% confidence interval for alpha
    0.11816
  • Treynor index (mean / b)
    -1.37502
  • Jensen alpha (a)
    -0.07062
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00702
  • Expected Shortfall on VaR
    0.00875
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00280
  • Expected Shortfall on VaR
    0.00591
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.98638
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.02543
  • Mean of quarter 1
    0.99704
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00270
  • Inter Quartile Range
    0.00000
  • Number outliers low
    14.00000
  • Percentage of outliers low
    0.10687
  • Mean of outliers low
    0.99303
  • Number of outliers high
    10.00000
  • Percentage of outliers high
    0.07634
  • Mean of outliers high
    1.00892
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -2.97919
  • VaR(95%) (moments method)
    0.00270
  • Expected Shortfall (moments method)
    0.00298
  • Extreme Value Index (regression method)
    -1.20669
  • VaR(95%) (regression method)
    0.00545
  • Expected Shortfall (regression method)
    0.00745
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.05635
  • Quartile 1
    0.05635
  • Median
    0.05635
  • Quartile 3
    0.05635
  • Maximum
    0.05635
  • 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
  • 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?
    -555284000
  • Max Equity Drawdown (num days)
    25
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.01881
  • Compounded annual return (geometric extrapolation)
    -0.01872
  • Calmar ratio (compounded annual return / max draw down)
    -0.33220
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -2.14067

Strategy Description


Whatever I do for my clients , I immediately enter those trades into this collective2 strategy. I have been working as a stockbroker since 2007 and I also manage some of my client's share portfolios on a full discretion basis. I choose companies that are either currently very profitable , or likely to be very profitable in future. I use various sources and tools to research the companies I wish to invest in. I like to have a portfolio of at least 5 stocks or more at any time to achieve some level of diversification and risk management. I also look for short positions when I feel the time is right to hedge the long positions in the portfolio, and also when there are some short term shorting opportunities, although i usually do not hold onto a short position for very long. Some of the trades might last a few days, some a few weeks or more, it depends on what is happening with the overall sentiment in the stock market. I also like to take some profits when they are there by selling say 1/3 or 1/2 of the position. In addition , I use stop-losses to close out a position if it goes too far the wrong way. I monitor the portfolios / this strategy every day. I use my many years experience in stock markets to make decisions. Sorry I cannot provide a more mathematical system or strategy, but in my experience, its better to follow the markets day by day as the news changes daily which does affect what happens . Hope that gives you some color to the strategy. I am happy to share with you all my trades that I have taken since I started trading for my clients, the longest one has been since May 2020 and is still going because he is happy with the performance. I have picked up more clients since then. I also watch the economic data very closely because that affects the direction of the market in the short term, it affects sentiment. Please let me know if you have any further questions..
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2022-07-26
Suggested Minimum Capital
$15,000
# Trades
30
# Profitable
20
% Profitable
66.7%
Correlation S&P500
0.174
Sharpe Ratio
1.20
Sortino Ratio
3.70
Beta
0.08
Alpha
0.02
Leverage
1.07 Average
6.87 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

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

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

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

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

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

Latest Activity

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subscribed on started simulation #SUBSCRIBEDDATE#

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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Suggested Minimum Capital

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