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These are hypothetical performance results that have certain inherent limitations. Learn more

StockPicks
(141220316)

Created by: BillionsMindset BillionsMindset
Started: 07/2022
Stocks
Last trade: 475 days ago
Trading style: Equity Hedged Equity
Subscriptions not currently available.

Subscriptions not available

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

Subscription terms. Subscriptions to this system cost $300.00 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.
0.1%
Annual Return (Compounded)

Rate of Return Calculations

Overview

To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.

How Annualized (Compounded) Rate of Return is calculated

= ((Ending_equity / Starting_equity) ^ (1 / age_in_years)) - 1

Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.

All results are hypothetical.

(26.0%)
Max Drawdown
36
Num Trades
61.1%
Win Trades
1.4 : 1
Profit Factor
42.9%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022                                          +0.8%(2.1%)(4.2%)+1.2%+12.6%(1.2%)+6.5%
2023+5.2%(9.2%)+4.5%(2%)(7.2%)(0.2%)+3.2%(1.9%)(1%)(1%)+5.2%+2.1%(3.5%)
2024(5%)(2.9%)+5.8%                                                      (2.4%)

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.

System developer has asked us to delay this information by 48 hours.

Trading Record

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
7/28/22 14:40 VALE VALE LONG 736 13.60 12/9 11:05 17.03 0.57%
Trade id #141220492
Max drawdown($1,384)
Time9/7/22 0:00
Quant open736
Worst price11.72
Drawdown as % of equity-0.57%
$2,519
Includes Typical Broker Commissions trade costs of $5.00
7/28/22 14:53 RIO RIO TINTO LONG 168 59.68 12/9 11:04 72.91 0.64%
Trade id #141220680
Max drawdown($1,472)
Time9/26/22 0:00
Quant open168
Worst price50.91
Drawdown as % of equity-0.64%
$2,220
Includes Typical Broker Commissions trade costs of $3.36
7/28/22 15:17 HL HECLA MINING LONG 4,568 4.38 12/9 11:04 5.70 1.93%
Trade id #141221041
Max drawdown($4,408)
Time9/26/22 0:00
Quant open4,568
Worst price3.41
Drawdown as % of equity-1.93%
$6,046
Includes Typical Broker Commissions trade costs of $7.50
7/28/22 14:48 WPM WHEATON PRECIOUS METALS CORP LONG 302 33.20 12/9 11:04 39.81 0.61%
Trade id #141220605
Max drawdown($1,383)
Time9/26/22 0:00
Quant open302
Worst price28.62
Drawdown as % of equity-0.61%
$1,990
Includes Typical Broker Commissions trade costs of $6.04
7/28/22 15:47 TAN INVESCO SOLAR PORTFOLIO LONG 121 82.78 8/11 10:11 89.35 0.14%
Trade id #141221499
Max drawdown($354)
Time8/3/22 0:00
Quant open121
Worst price79.85
Drawdown as % of equity-0.14%
$793
Includes Typical Broker Commissions trade costs of $2.42
7/28/22 15:39 C CITIGROUP LONG 192 52.23 8/11 10:11 54.42 0.12%
Trade id #141221336
Max drawdown($288)
Time8/2/22 0:00
Quant open192
Worst price50.73
Drawdown as % of equity-0.12%
$416
Includes Typical Broker Commissions trade costs of $3.84
7/28/22 15:25 CRM SALESFORCE INC LONG 55 181.11 8/11 10:10 190.78 0.04%
Trade id #141221137
Max drawdown($92)
Time8/2/22 0:00
Quant open55
Worst price179.43
Drawdown as % of equity-0.04%
$531
Includes Typical Broker Commissions trade costs of $1.10
7/28/22 14:52 TECK TECK RESOURCES LTD LONG 368 27.22 8/11 10:10 33.94 0%
Trade id #141220661
Max drawdown($7)
Time7/28/22 14:56
Quant open368
Worst price27.20
Drawdown as % of equity-0.00%
$2,466
Includes Typical Broker Commissions trade costs of $7.36
7/28/22 14:50 CLF CLEVELAND-CLIFFS INC LONG 600 16.68 8/8 12:14 18.46 0.03%
Trade id #141220632
Max drawdown($75)
Time7/28/22 15:12
Quant open600
Worst price16.55
Drawdown as % of equity-0.03%
$1,063
Includes Typical Broker Commissions trade costs of $5.00
7/28/22 15:06 XBI SPDR S&P BIOTECH LONG 121 83.10 8/4 15:38 88.68 0.21%
Trade id #141220887
Max drawdown($529)
Time8/2/22 0:00
Quant open121
Worst price78.72
Drawdown as % of equity-0.21%
$673
Includes Typical Broker Commissions trade costs of $2.42
7/28/22 15:46 JOBY JOBY AVIATION INC LONG 1,802 5.55 8/4 12:13 6.67 0.15%
Trade id #141221465
Max drawdown($387)
Time8/1/22 0:00
Quant open1,802
Worst price5.33
Drawdown as % of equity-0.15%
$2,013
Includes Typical Broker Commissions trade costs of $5.00
7/28/22 14:47 PBR PETROLEO BRASILEIRO SA LONG 893 13.22 7/29 10:36 14.14 n/a $817
Includes Typical Broker Commissions trade costs of $5.00

Statistics

  • Strategy began
    7/28/2022
  • Suggested Minimum Cap
    $30,000
  • Strategy Age (days)
    605.94
  • Age
    20 months ago
  • What it trades
    Stocks
  • # Trades
    36
  • # Profitable
    22
  • % Profitable
    61.10%
  • Avg trade duration
    422.5 days
  • Max peak-to-valley drawdown
    25.99%
  • drawdown period
    Feb 16, 2023 - Oct 09, 2023
  • Annual Return (Compounded)
    0.1%
  • Avg win
    $1,740
  • Avg loss
    $3,062
  • Model Account Values (Raw)
  • Cash
    $172,043
  • Margin Used
    $14,831
  • Buying Power
    $131,040
  • Ratios
  • W:L ratio
    1.41:1
  • Sharpe Ratio
    -0.03
  • Sortino Ratio
    -0.05
  • Calmar Ratio
    0.016
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -28.05%
  • Correlation to SP500
    0.38050
  • Return Percent SP500 (cumu) during strategy life
    28.88%
  • Return Statistics
  • Ann Return (w trading costs)
    0.1%
  • Slump
  • Current Slump as Pcnt Equity
    27.50%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.67%
  • 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)
    0.001%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    0.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    80.00%
  • Chance of 20% account loss
    51.00%
  • Chance of 30% account loss
    26.00%
  • Chance of 40% account loss
    5.00%
  • 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
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $3,201
  • Avg Win
    $1,656
  • Sum Trade PL (losers)
    $44,813.000
  • Age
  • Num Months filled monthly returns table
    21
  • Win / Loss
  • Sum Trade PL (winners)
    $36,428.000
  • # Winners
    22
  • Num Months Winners
    9
  • Dividends
  • Dividends Received in Model Acct
    10735
  • Win / Loss
  • # Losers
    14
  • % Winners
    61.1%
  • Frequency
  • Avg Position Time (mins)
    605977.00
  • Avg Position Time (hrs)
    10099.60
  • Avg Trade Length
    420.8 days
  • Last Trade Ago
    472
  • Leverage
  • Daily leverage (average)
    1.35
  • Daily leverage (max)
    1.58
  • Regression
  • Alpha
    -0.02
  • Beta
    0.37
  • Treynor Index
    -0.00
  • 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)
    1.51
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    -9.604
  • 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
    0.902
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.470
  • Hold-and-Hope Ratio
    -0.124
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.00354
  • SD
    0.21363
  • Sharpe ratio (Glass type estimate)
    0.01656
  • Sharpe ratio (Hedges UMVUE)
    0.01540
  • df
    11.00000
  • t
    0.01656
  • p
    0.49354
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.94376
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.97619
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.94457
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.97538
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.02150
  • Upside Potential Ratio
    1.86970
  • Upside part of mean
    0.30778
  • Downside part of mean
    -0.30424
  • Upside SD
    0.12139
  • Downside SD
    0.16462
  • N nonnegative terms
    8.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    12.00000
  • Mean of predictor
    0.14672
  • Mean of criterion
    0.00354
  • SD of predictor
    0.16568
  • SD of criterion
    0.21363
  • Covariance
    0.01952
  • r
    0.55142
  • b (slope, estimate of beta)
    0.71097
  • a (intercept, estimate of alpha)
    -0.10078
  • Mean Square Error
    0.03494
  • DF error
    10.00000
  • t(b)
    2.09023
  • p(b)
    0.03155
  • t(a)
    -0.52092
  • p(a)
    0.69312
  • Lowerbound of 95% confidence interval for beta
    -0.04691
  • Upperbound of 95% confidence interval for beta
    1.46885
  • Lowerbound of 95% confidence interval for alpha
    -0.53183
  • Upperbound of 95% confidence interval for alpha
    0.33028
  • Treynor index (mean / b)
    0.00498
  • Jensen alpha (a)
    -0.10078
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.01795
  • SD
    0.21821
  • Sharpe ratio (Glass type estimate)
    -0.08226
  • Sharpe ratio (Hedges UMVUE)
    -0.07650
  • df
    11.00000
  • t
    -0.08226
  • p
    0.53204
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.04069
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.87984
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.03672
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.88373
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.10403
  • Upside Potential Ratio
    1.73862
  • Upside part of mean
    0.29999
  • Downside part of mean
    -0.31794
  • Upside SD
    0.11792
  • Downside SD
    0.17254
  • N nonnegative terms
    8.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    12.00000
  • Mean of predictor
    0.13309
  • Mean of criterion
    -0.01795
  • SD of predictor
    0.16510
  • SD of criterion
    0.21821
  • Covariance
    0.02017
  • r
    0.55986
  • b (slope, estimate of beta)
    0.73995
  • a (intercept, estimate of alpha)
    -0.11643
  • Mean Square Error
    0.03596
  • DF error
    10.00000
  • t(b)
    2.13666
  • p(b)
    0.02918
  • t(a)
    -0.59661
  • p(a)
    0.71799
  • Lowerbound of 95% confidence interval for beta
    -0.03168
  • Upperbound of 95% confidence interval for beta
    1.51157
  • Lowerbound of 95% confidence interval for alpha
    -0.55127
  • Upperbound of 95% confidence interval for alpha
    0.31840
  • Treynor index (mean / b)
    -0.02426
  • Jensen alpha (a)
    -0.11643
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.09977
  • Expected Shortfall on VaR
    0.12292
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.04534
  • Expected Shortfall on VaR
    0.09022
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    12.00000
  • Minimum
    0.89826
  • Quartile 1
    0.96474
  • Median
    1.02401
  • Quartile 3
    1.04343
  • Maximum
    1.07690
  • Mean of quarter 1
    0.90931
  • Mean of quarter 2
    1.00338
  • Mean of quarter 3
    1.03820
  • Mean of quarter 4
    1.05960
  • Inter Quartile Range
    0.07868
  • 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)
    -136.24200
  • VaR(95%) (moments method)
    0.09582
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -3.71980
  • VaR(95%) (regression method)
    0.13404
  • Expected Shortfall (regression method)
    0.13420
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.09788
  • Quartile 1
    0.11069
  • Median
    0.12349
  • Quartile 3
    0.13630
  • Maximum
    0.14910
  • Mean of quarter 1
    0.09788
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.14910
  • Inter Quartile Range
    0.02561
  • 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)
    0.01001
  • Compounded annual return (geometric extrapolation)
    0.01001
  • Calmar ratio (compounded annual return / max draw down)
    0.06711
  • Compounded annual return / average of 25% largest draw downs
    0.06711
  • Compounded annual return / Expected Shortfall lognormal
    0.08140
  • 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
    -0.00412
  • SD
    0.20501
  • Sharpe ratio (Glass type estimate)
    -0.02008
  • Sharpe ratio (Hedges UMVUE)
    -0.02003
  • df
    279.00000
  • t
    -0.02076
  • p
    0.50827
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.91600
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.87584
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.91595
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.87589
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.02977
  • Upside Potential Ratio
    8.80253
  • Upside part of mean
    1.21744
  • Downside part of mean
    -1.22155
  • Upside SD
    0.15083
  • Downside SD
    0.13831
  • N nonnegative terms
    128.00000
  • N negative terms
    152.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    280.00000
  • Mean of predictor
    0.23164
  • Mean of criterion
    -0.00412
  • SD of predictor
    0.23131
  • SD of criterion
    0.20501
  • Covariance
    0.01710
  • r
    0.36061
  • b (slope, estimate of beta)
    0.31960
  • a (intercept, estimate of alpha)
    -0.07800
  • Mean Square Error
    0.03670
  • DF error
    278.00000
  • t(b)
    6.44619
  • p(b)
    0.00000
  • t(a)
    -0.42093
  • p(a)
    0.66294
  • Lowerbound of 95% confidence interval for beta
    0.22200
  • Upperbound of 95% confidence interval for beta
    0.41720
  • Lowerbound of 95% confidence interval for alpha
    -0.44362
  • Upperbound of 95% confidence interval for alpha
    0.28732
  • Treynor index (mean / b)
    -0.01288
  • Jensen alpha (a)
    -0.07815
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02501
  • SD
    0.20470
  • Sharpe ratio (Glass type estimate)
    -0.12219
  • Sharpe ratio (Hedges UMVUE)
    -0.12186
  • df
    279.00000
  • t
    -0.12631
  • p
    0.55021
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.01807
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.77382
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.01780
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.77409
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.17876
  • Upside Potential Ratio
    8.62027
  • Upside part of mean
    1.20612
  • Downside part of mean
    -1.23114
  • Upside SD
    0.14893
  • Downside SD
    0.13992
  • N nonnegative terms
    128.00000
  • N negative terms
    152.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    280.00000
  • Mean of predictor
    0.20515
  • Mean of criterion
    -0.02501
  • SD of predictor
    0.22953
  • SD of criterion
    0.20470
  • Covariance
    0.01705
  • r
    0.36281
  • b (slope, estimate of beta)
    0.32356
  • a (intercept, estimate of alpha)
    -0.09139
  • Mean Square Error
    0.03652
  • DF error
    278.00000
  • t(b)
    6.49161
  • p(b)
    0.00000
  • t(a)
    -0.49364
  • p(a)
    0.68902
  • Lowerbound of 95% confidence interval for beta
    0.22545
  • Upperbound of 95% confidence interval for beta
    0.42168
  • Lowerbound of 95% confidence interval for alpha
    -0.45584
  • Upperbound of 95% confidence interval for alpha
    0.27306
  • Treynor index (mean / b)
    -0.07730
  • Jensen alpha (a)
    -0.09139
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02068
  • Expected Shortfall on VaR
    0.02583
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01138
  • Expected Shortfall on VaR
    0.02065
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    280.00000
  • Minimum
    0.95707
  • Quartile 1
    0.99264
  • Median
    0.99924
  • Quartile 3
    1.00623
  • Maximum
    1.04445
  • Mean of quarter 1
    0.98546
  • Mean of quarter 2
    0.99618
  • Mean of quarter 3
    1.00262
  • Mean of quarter 4
    1.01611
  • Inter Quartile Range
    0.01359
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.01429
  • Mean of outliers low
    0.96053
  • Number of outliers high
    10.00000
  • Percentage of outliers high
    0.03571
  • Mean of outliers high
    1.03376
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.12084
  • VaR(95%) (moments method)
    0.01498
  • Expected Shortfall (moments method)
    0.02093
  • Extreme Value Index (regression method)
    -0.00121
  • VaR(95%) (regression method)
    0.01523
  • Expected Shortfall (regression method)
    0.02010
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00144
  • Quartile 1
    0.01502
  • Median
    0.03872
  • Quartile 3
    0.08606
  • Maximum
    0.17577
  • Mean of quarter 1
    0.00753
  • Mean of quarter 2
    0.02756
  • Mean of quarter 3
    0.03887
  • Mean of quarter 4
    0.15452
  • Inter Quartile Range
    0.07105
  • 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)
    0.00290
  • Compounded annual return (geometric extrapolation)
    0.00290
  • Calmar ratio (compounded annual return / max draw down)
    0.01650
  • Compounded annual return / average of 25% largest draw downs
    0.01876
  • Compounded annual return / Expected Shortfall lognormal
    0.11224
  • 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
    -0.06268
  • SD
    0.18847
  • Sharpe ratio (Glass type estimate)
    -0.33254
  • Sharpe ratio (Hedges UMVUE)
    -0.33062
  • df
    130.00000
  • t
    -0.23514
  • p
    0.51031
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.10404
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.44016
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.10272
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.44148
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.48135
  • Upside Potential Ratio
    8.00270
  • Upside part of mean
    1.04202
  • Downside part of mean
    -1.10470
  • Upside SD
    0.13532
  • Downside SD
    0.13021
  • N nonnegative terms
    63.00000
  • N negative terms
    68.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.53939
  • Mean of criterion
    -0.06268
  • SD of predictor
    0.24065
  • SD of criterion
    0.18847
  • Covariance
    0.01430
  • r
    0.31536
  • b (slope, estimate of beta)
    0.24698
  • a (intercept, estimate of alpha)
    -0.19590
  • Mean Square Error
    0.03224
  • DF error
    129.00000
  • t(b)
    3.77443
  • p(b)
    0.30261
  • t(a)
    -0.76414
  • p(a)
    0.54270
  • Lowerbound of 95% confidence interval for beta
    0.11752
  • Upperbound of 95% confidence interval for beta
    0.37645
  • Lowerbound of 95% confidence interval for alpha
    -0.70311
  • Upperbound of 95% confidence interval for alpha
    0.31132
  • Treynor index (mean / b)
    -0.25377
  • Jensen alpha (a)
    -0.19590
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.08028
  • SD
    0.18826
  • Sharpe ratio (Glass type estimate)
    -0.42641
  • Sharpe ratio (Hedges UMVUE)
    -0.42395
  • df
    130.00000
  • t
    -0.30152
  • p
    0.51322
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.19798
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.34660
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.19623
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.34834
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.60914
  • Upside Potential Ratio
    7.83798
  • Upside part of mean
    1.03292
  • Downside part of mean
    -1.11319
  • Upside SD
    0.13352
  • Downside SD
    0.13178
  • N nonnegative terms
    63.00000
  • N negative terms
    68.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.51060
  • Mean of criterion
    -0.08028
  • SD of predictor
    0.23747
  • SD of criterion
    0.18826
  • Covariance
    0.01425
  • r
    0.31874
  • b (slope, estimate of beta)
    0.25268
  • a (intercept, estimate of alpha)
    -0.20930
  • Mean Square Error
    0.03209
  • DF error
    129.00000
  • t(b)
    3.81944
  • p(b)
    0.30057
  • t(a)
    -0.81895
  • p(a)
    0.54575
  • VAR (95 Confidence Intrvl)
    0.02100
  • Lowerbound of 95% confidence interval for beta
    0.12179
  • Upperbound of 95% confidence interval for beta
    0.38358
  • Lowerbound of 95% confidence interval for alpha
    -0.71494
  • Upperbound of 95% confidence interval for alpha
    0.29635
  • Treynor index (mean / b)
    -0.31769
  • Jensen alpha (a)
    -0.20930
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01925
  • Expected Shortfall on VaR
    0.02399
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01000
  • Expected Shortfall on VaR
    0.01872
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.95956
  • Quartile 1
    0.99374
  • Median
    0.99938
  • Quartile 3
    1.00537
  • Maximum
    1.04445
  • Mean of quarter 1
    0.98678
  • Mean of quarter 2
    0.99671
  • Mean of quarter 3
    1.00243
  • Mean of quarter 4
    1.01362
  • Inter Quartile Range
    0.01163
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.02290
  • Mean of outliers low
    0.96560
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.03053
  • Mean of outliers high
    1.03581
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.22369
  • VaR(95%) (moments method)
    0.01388
  • Expected Shortfall (moments method)
    0.02116
  • Extreme Value Index (regression method)
    0.18578
  • VaR(95%) (regression method)
    0.01356
  • Expected Shortfall (regression method)
    0.01993
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00514
  • Quartile 1
    0.00847
  • Median
    0.02168
  • Quartile 3
    0.05848
  • Maximum
    0.13252
  • Mean of quarter 1
    0.00514
  • Mean of quarter 2
    0.00958
  • Mean of quarter 3
    0.03379
  • Mean of quarter 4
    0.13252
  • Inter Quartile Range
    0.05001
  • 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?
    -349127000
  • Max Equity Drawdown (num days)
    235
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.05169
  • Compounded annual return (geometric extrapolation)
    -0.05102
  • Calmar ratio (compounded annual return / max draw down)
    -0.38499
  • Compounded annual return / average of 25% largest draw downs
    -0.38499
  • Compounded annual return / Expected Shortfall lognormal
    -2.12631

Strategy Description

Summary Statistics

Strategy began
2022-07-28
Suggested Minimum Capital
$30,000
# Trades
36
# Profitable
22
% Profitable
61.1%
Net Dividends
Correlation S&P500
0.381
Sharpe Ratio
-0.03
Sortino Ratio
-0.05
Beta
0.37
Alpha
-0.02
Leverage
1.35 Average
1.58 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

#PERSONNAME#
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.