Collective2 Collective2
C2Star Strategy Lightly C2Star Certified Hypothetical

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These are hypothetical performance results that have certain inherent limitations. Learn more
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All Weather Fund
(142739014)

Created by: ClickCapital ClickCapital
Started: 12/2022
Stocks
Last trade: 21 days ago
Trading style: Equity Momentum

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 $60.00 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
Momentum
Category: Equity

Momentum

Aims to capitalize on the continuance of existing trends in the market. Trader takes a long position in an asset in an upward trend, and short-sells a security that has been in a downward trend. While similar to Trend-following, tends to be more forward-looking (predicting oncoming trend), while Momentum is more backward-looking (observing already-established price direction).
-8.1%
Cumul. Return

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 Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

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

All results are hypothetical.

(10.1%)
Max Drawdown
37
Num Trades
35.1%
Win Trades
0.5 : 1
Profit Factor
25.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022                                                                             (0.6%)(0.6%)
2023+1.6%(8.6%)(0.5%)                                                      (7.6%)

Model Account Details

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

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

System developer has asked us to delay this information by 168 hours.

Trading Record

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
2/1/23 15:32 EWM ISHARES MSCI MALAYSIA INDEX LONG 262 23.94 3/1 15:19 21.77 1.26%
Trade id #143420072
Max drawdown($579)
Time2/28/23 0:00
Quant open262
Worst price21.73
Drawdown as % of equity-1.26%
 ($574)
Includes Typical Broker Commissions trade costs of $5.24
2/1/23 15:31 SLX VANECK STEEL ETF LONG 91 68.85 3/1 15:19 68.09 1.02%
Trade id #143420046
Max drawdown($475)
Time2/24/23 0:00
Quant open91
Worst price63.63
Drawdown as % of equity-1.02%
 ($71)
Includes Typical Broker Commissions trade costs of $1.82
2/1/23 15:31 SGDM SPROTT GOLD MINERS ETF LONG 221 28.51 3/1 15:19 24.85 2.56%
Trade id #143420038
Max drawdown($1,188)
Time2/24/23 0:00
Quant open221
Worst price23.13
Drawdown as % of equity-2.56%
 ($813)
Includes Typical Broker Commissions trade costs of $4.42
2/1/23 15:30 FNK FIRST TRUST MID CAP VALUE ALPH LONG 127 49.34 3/1 15:19 46.56 0.88%
Trade id #143420022
Max drawdown($407)
Time2/24/23 0:00
Quant open127
Worst price46.13
Drawdown as % of equity-0.88%
 ($356)
Includes Typical Broker Commissions trade costs of $2.54
2/1/23 15:30 EWP ISHARES MSCI SPAIN ETF LONG 229 27.42 3/1 15:19 27.42 0.34%
Trade id #143420019
Max drawdown($163)
Time2/10/23 0:00
Quant open229
Worst price26.70
Drawdown as % of equity-0.34%
 ($5)
Includes Typical Broker Commissions trade costs of $4.58
2/1/23 15:30 DIVI FRANKLIN INTL CORE DIVIDEND TILT INDEX LONG 214 29.33 3/1 15:18 28.12 0.68%
Trade id #143420006
Max drawdown($316)
Time2/24/23 0:00
Quant open214
Worst price27.85
Drawdown as % of equity-0.68%
 ($263)
Includes Typical Broker Commissions trade costs of $4.28
2/1/23 15:29 ARGT GLOBAL X MSCI ARGENTINA 20 ETF LONG 153 41.04 3/1 15:18 39.74 0.9%
Trade id #143420001
Max drawdown($428)
Time2/10/23 0:00
Quant open153
Worst price38.24
Drawdown as % of equity-0.90%
 ($202)
Includes Typical Broker Commissions trade costs of $3.06
1/3/23 15:02 DBS INVESCO DB SILVER LONG 190 32.64 3/1 15:18 28.26 2.1%
Trade id #143078982
Max drawdown($976)
Time2/24/23 0:00
Quant open190
Worst price27.50
Drawdown as % of equity-2.10%
 ($836)
Includes Typical Broker Commissions trade costs of $3.80
1/3/23 15:01 IAUM ISHARES GOLD TRUST MICRO LONG 337 18.38 3/1 15:18 18.36 0.22%
Trade id #143078972
Max drawdown($104)
Time2/24/23 0:00
Quant open337
Worst price18.07
Drawdown as % of equity-0.22%
 ($14)
Includes Typical Broker Commissions trade costs of $6.74
1/3/23 15:00 THD ISHARES MSCI THAILAND ETF LONG 81 76.27 3/1 15:18 71.96 0.91%
Trade id #143078957
Max drawdown($421)
Time2/28/23 0:00
Quant open81
Worst price71.07
Drawdown as % of equity-0.91%
 ($351)
Includes Typical Broker Commissions trade costs of $1.62
1/3/23 15:03 SOYB TEUCRIUM SOYBEAN LONG 221 28.03 2/1 15:29 27.98 0.32%
Trade id #143078989
Max drawdown($163)
Time1/23/23 0:00
Quant open221
Worst price27.29
Drawdown as % of equity-0.32%
 ($15)
Includes Typical Broker Commissions trade costs of $4.42
12/1/22 15:14 PPH VANECK PHARMACEUTICAL ETF LONG 96 77.88 2/1/23 15:29 78.11 0.3%
Trade id #142739428
Max drawdown($139)
Time12/19/22 0:00
Quant open96
Worst price76.43
Drawdown as % of equity-0.30%
 $20
Includes Typical Broker Commissions trade costs of $1.92
1/3/23 15:01 LBAY LEATHERBACK LONG/SHORT ALTERNATIVE YIELD ETF LONG 211 29.38 2/1 15:29 29.39 0.16%
Trade id #143078970
Max drawdown($80)
Time1/19/23 0:00
Quant open211
Worst price29.00
Drawdown as % of equity-0.16%
 ($2)
Includes Typical Broker Commissions trade costs of $4.22
1/3/23 15:01 IJUL INNOVATOR INTL DEVELOPED POWER BUFFER ETF JUL LONG 259 23.95 2/1 15:29 25.31 0.03%
Trade id #143078963
Max drawdown($12)
Time1/3/23 15:59
Quant open259
Worst price23.90
Drawdown as % of equity-0.03%
 $347
Includes Typical Broker Commissions trade costs of $5.18
1/3/23 15:02 FXF CURRENCYSHARES SWISS FRANC TRU LONG 65 95.40 2/1 15:29 98.10 0.05%
Trade id #143078976
Max drawdown($26)
Time1/6/23 0:00
Quant open65
Worst price95.00
Drawdown as % of equity-0.05%
 $175
Includes Typical Broker Commissions trade costs of $1.30
1/3/23 15:03 FXE CURRENCYSHARES EURO TRUST LONG 63 97.49 2/1 15:28 101.41 0.07%
Trade id #143078998
Max drawdown($35)
Time1/6/23 0:00
Quant open63
Worst price96.92
Drawdown as % of equity-0.07%
 $246
Includes Typical Broker Commissions trade costs of $1.26
1/3/23 15:02 BALT INNOVATOR DEFINED WEALTH SHIELD ETF LONG 233 26.56 2/1 15:28 26.90 0.02%
Trade id #143078978
Max drawdown($11)
Time1/5/23 0:00
Quant open233
Worst price26.51
Drawdown as % of equity-0.02%
 $74
Includes Typical Broker Commissions trade costs of $4.66
12/1/22 15:20 XES SPDR S&P OIL & GAS EQUIPMENT & LONG 95 78.71 1/3/23 15:00 74.53 1.79%
Trade id #142739489
Max drawdown($857)
Time12/9/22 0:00
Quant open95
Worst price69.69
Drawdown as % of equity-1.79%
 ($399)
Includes Typical Broker Commissions trade costs of $1.90
12/1/22 15:12 TUR ISHARES MSCI TURKEY INVEST MKT LONG 219 34.31 1/3/23 15:00 37.68 0.93%
Trade id #142739405
Max drawdown($446)
Time12/7/22 0:00
Quant open219
Worst price32.27
Drawdown as % of equity-0.93%
 $734
Includes Typical Broker Commissions trade costs of $4.38
12/1/22 15:20 PPLT ABRDN PHYSICAL PLATINUM SHARES ETF LONG 78 96.46 1/3/23 15:00 100.26 1.01%
Trade id #142739484
Max drawdown($496)
Time12/22/22 0:00
Quant open78
Worst price90.10
Drawdown as % of equity-1.01%
 $294
Includes Typical Broker Commissions trade costs of $1.56
12/1/22 15:14 PPA INVESCO AEROSPACE & DEFENS LONG 95 79.05 1/3/23 15:00 78.18 0.54%
Trade id #142739438
Max drawdown($266)
Time12/22/22 0:00
Quant open95
Worst price76.25
Drawdown as % of equity-0.54%
 ($85)
Includes Typical Broker Commissions trade costs of $1.90
12/1/22 15:19 NANR SPDR S&P NORTH AMER NATURAL RESOURCES LONG 130 57.69 1/3/23 14:59 53.05 1.47%
Trade id #142739476
Max drawdown($693)
Time12/19/22 0:00
Quant open130
Worst price52.35
Drawdown as % of equity-1.47%
 ($606)
Includes Typical Broker Commissions trade costs of $2.60
12/1/22 15:14 KBWP INVESCO KBW PROPERTY & CASUALTY INSURANCE ETF LONG 85 88.36 1/3/23 14:59 85.96 0.81%
Trade id #142739424
Max drawdown($381)
Time12/19/22 0:00
Quant open85
Worst price83.87
Drawdown as % of equity-0.81%
 ($206)
Includes Typical Broker Commissions trade costs of $1.70
12/1/22 15:18 GLTR ABRDN PHYSICAL PRECIOUS METALS BASKET SHARES ETF LONG 85 88.29 1/3/23 14:59 89.26 0.43%
Trade id #142739469
Max drawdown($208)
Time12/6/22 0:00
Quant open85
Worst price85.84
Drawdown as % of equity-0.43%
 $80
Includes Typical Broker Commissions trade costs of $1.70
12/1/22 15:13 GCOW PACER GLOBAL CASH COWS DIVIDEND ETF LONG 229 32.73 1/3/23 14:59 31.92 0.64%
Trade id #142739417
Max drawdown($316)
Time12/22/22 0:00
Quant open229
Worst price31.35
Drawdown as % of equity-0.64%
 ($190)
Includes Typical Broker Commissions trade costs of $4.58
12/1/22 15:19 EWW ISHARES MSCI MEXICO ETF LONG 138 54.38 1/3/23 14:59 50.31 1.51%
Trade id #142739482
Max drawdown($716)
Time12/16/22 0:00
Quant open138
Worst price49.19
Drawdown as % of equity-1.51%
 ($565)
Includes Typical Broker Commissions trade costs of $2.76
12/1/22 15:15 PWV INVESCO DYNAMIC LARGE CAP VALUE ETF LONG 152 49.21 12/1 15:18 49.20 0%
Trade id #142739442
Max drawdown($2)
Time12/1/22 15:18
Quant open152
Worst price49.20
Drawdown as % of equity-0.00%
 ($5)
Includes Typical Broker Commissions trade costs of $3.04
Next

Statistics

  • Strategy began
    12/1/2022
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    111.13
  • Age
    111 days ago
  • What it trades
    Stocks
  • # Trades
    37
  • # Profitable
    13
  • % Profitable
    35.10%
  • Avg trade duration
    30.1 days
  • Max peak-to-valley drawdown
    10.14%
  • drawdown period
    Jan 17, 2023 - Feb 24, 2023
  • Cumul. Return
    -8.1%
  • Avg win
    $157.62
  • Avg loss
    $255.08
  • Model Account Values (Raw)
  • Cash
    $17,924
  • Margin Used
    $0
  • Buying Power
    $17,352
  • Ratios
  • W:L ratio
    0.50:1
  • Sharpe Ratio
    -1.81
  • Sortino Ratio
    -2.3
  • Calmar Ratio
    -2.163
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -4.68%
  • Correlation to SP500
    0.52460
  • Return Percent SP500 (cumu) during strategy life
    -3.42%
  • Return Statistics
  • Ann Return (w trading costs)
    -23.6%
  • Slump
  • Current Slump as Pcnt Equity
    10.60%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.58%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.081%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -21.5%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    39.00%
  • 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
  • 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)
    651
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    281
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $255
  • Avg Win
    $158
  • Sum Trade PL (losers)
    $6,122.000
  • Age
  • Num Months filled monthly returns table
    4
  • Win / Loss
  • Sum Trade PL (winners)
    $2,049.000
  • # Winners
    13
  • Num Months Winners
    1
  • Dividends
  • Dividends Received in Model Acct
    493
  • Win / Loss
  • # Losers
    24
  • % Winners
    35.1%
  • Frequency
  • Avg Position Time (mins)
    43240.60
  • Avg Position Time (hrs)
    720.68
  • Avg Trade Length
    30.0 days
  • Last Trade Ago
    21
  • Leverage
  • Daily leverage (average)
    1.37
  • Daily leverage (max)
    1.59
  • Regression
  • Alpha
    -0.06
  • Beta
    0.37
  • Treynor Index
    -0.20
  • 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)
    -0.25
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    -2.720
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.738
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.550
  • Hold-and-Hope Ratio
    -0.371
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.23774
  • SD
    0.16548
  • Sharpe ratio (Glass type estimate)
    -1.43666
  • Sharpe ratio (Hedges UMVUE)
    -0.81055
  • df
    2.00000
  • t
    -0.71833
  • p
    0.72643
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -5.42473
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.83837
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.81014
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.18905
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.63720
  • Upside Potential Ratio
    0.59712
  • Upside part of mean
    0.08671
  • Downside part of mean
    -0.32445
  • Upside SD
    0.04335
  • Downside SD
    0.14521
  • N nonnegative terms
    1.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    3.00000
  • Mean of predictor
    -0.04059
  • Mean of criterion
    -0.23774
  • SD of predictor
    0.23244
  • SD of criterion
    0.16548
  • Covariance
    0.01999
  • r
    0.51958
  • b (slope, estimate of beta)
    0.36990
  • a (intercept, estimate of alpha)
    -0.22272
  • Mean Square Error
    0.03998
  • DF error
    1.00000
  • t(b)
    0.60811
  • p(b)
    0.32609
  • t(a)
    -0.55587
  • p(a)
    0.66149
  • Lowerbound of 95% confidence interval for beta
    -7.35912
  • Upperbound of 95% confidence interval for beta
    8.09893
  • Lowerbound of 95% confidence interval for alpha
    -5.31379
  • Upperbound of 95% confidence interval for alpha
    4.86834
  • Treynor index (mean / b)
    -0.64271
  • Jensen alpha (a)
    -0.22272
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.24913
  • SD
    0.16988
  • Sharpe ratio (Glass type estimate)
    -1.46647
  • Sharpe ratio (Hedges UMVUE)
    -0.82737
  • df
    2.00000
  • t
    -0.73323
  • p
    0.73014
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -5.46093
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.81939
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.83027
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.17553
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.65787
  • Upside Potential Ratio
    0.56954
  • Upside part of mean
    0.08559
  • Downside part of mean
    -0.33471
  • Upside SD
    0.04279
  • Downside SD
    0.15027
  • N nonnegative terms
    1.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    3.00000
  • Mean of predictor
    -0.05837
  • Mean of criterion
    -0.24913
  • SD of predictor
    0.23030
  • SD of criterion
    0.16988
  • Covariance
    0.01941
  • r
    0.49619
  • b (slope, estimate of beta)
    0.36601
  • a (intercept, estimate of alpha)
    -0.22776
  • Mean Square Error
    0.04351
  • DF error
    1.00000
  • t(b)
    0.57150
  • p(b)
    0.33473
  • t(a)
    -0.54378
  • p(a)
    0.65854
  • Lowerbound of 95% confidence interval for beta
    -7.77156
  • Upperbound of 95% confidence interval for beta
    8.50359
  • Lowerbound of 95% confidence interval for alpha
    -5.54978
  • Upperbound of 95% confidence interval for alpha
    5.09425
  • Treynor index (mean / b)
    -0.68065
  • Jensen alpha (a)
    -0.22776
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.09645
  • Expected Shortfall on VaR
    0.11463
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.07266
  • Expected Shortfall on VaR
    0.11190
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    3.00000
  • Minimum
    0.93029
  • Quartile 1
    0.96177
  • Median
    0.99325
  • Quartile 3
    1.00863
  • Maximum
    1.02401
  • Mean of quarter 1
    0.93029
  • Mean of quarter 2
    0.99325
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    1.02401
  • Inter Quartile Range
    0.04686
  • 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
    2.00000
  • Minimum
    0.00675
  • Quartile 1
    0.02249
  • Median
    0.03823
  • Quartile 3
    0.05397
  • Maximum
    0.06971
  • Mean of quarter 1
    0.00675
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.06971
  • Inter Quartile Range
    0.03148
  • 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)
    -0.21522
  • Compounded annual return (geometric extrapolation)
    -0.19846
  • Calmar ratio (compounded annual return / max draw down)
    -2.84703
  • Compounded annual return / average of 25% largest draw downs
    -2.84703
  • Compounded annual return / Expected Shortfall lognormal
    -1.73126
  • 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
    -0.24721
  • SD
    0.12109
  • Sharpe ratio (Glass type estimate)
    -2.04148
  • Sharpe ratio (Hedges UMVUE)
    -2.02178
  • df
    78.00000
  • t
    -1.12100
  • p
    0.86714
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -5.61871
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.54862
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -5.60517
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.56160
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.58497
  • Upside Potential Ratio
    6.25525
  • Upside part of mean
    0.59822
  • Downside part of mean
    -0.84543
  • Upside SD
    0.07460
  • Downside SD
    0.09563
  • N nonnegative terms
    40.00000
  • N negative terms
    39.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    79.00000
  • Mean of predictor
    -0.12830
  • Mean of criterion
    -0.24721
  • SD of predictor
    0.17513
  • SD of criterion
    0.12109
  • Covariance
    0.01110
  • r
    0.52355
  • b (slope, estimate of beta)
    0.36201
  • a (intercept, estimate of alpha)
    -0.20100
  • Mean Square Error
    0.01078
  • DF error
    77.00000
  • t(b)
    5.39221
  • p(b)
    0.00000
  • t(a)
    -1.06058
  • p(a)
    0.85390
  • Lowerbound of 95% confidence interval for beta
    0.22832
  • Upperbound of 95% confidence interval for beta
    0.49569
  • Lowerbound of 95% confidence interval for alpha
    -0.57771
  • Upperbound of 95% confidence interval for alpha
    0.17618
  • Treynor index (mean / b)
    -0.68289
  • Jensen alpha (a)
    -0.20077
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.25456
  • SD
    0.12127
  • Sharpe ratio (Glass type estimate)
    -2.09904
  • Sharpe ratio (Hedges UMVUE)
    -2.07879
  • df
    78.00000
  • t
    -1.15261
  • p
    0.87370
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -5.67689
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.49198
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -5.66298
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.50540
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.64335
  • Upside Potential Ratio
    6.18258
  • Upside part of mean
    0.59540
  • Downside part of mean
    -0.84995
  • Upside SD
    0.07413
  • Downside SD
    0.09630
  • N nonnegative terms
    40.00000
  • N negative terms
    39.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    79.00000
  • Mean of predictor
    -0.14347
  • Mean of criterion
    -0.25456
  • SD of predictor
    0.17519
  • SD of criterion
    0.12127
  • Covariance
    0.01115
  • r
    0.52467
  • b (slope, estimate of beta)
    0.36319
  • a (intercept, estimate of alpha)
    -0.20245
  • Mean Square Error
    0.01080
  • DF error
    77.00000
  • t(b)
    5.40816
  • p(b)
    0.00000
  • t(a)
    -1.06849
  • p(a)
    0.85568
  • Lowerbound of 95% confidence interval for beta
    0.22947
  • Upperbound of 95% confidence interval for beta
    0.49692
  • Lowerbound of 95% confidence interval for alpha
    -0.57975
  • Upperbound of 95% confidence interval for alpha
    0.17484
  • Treynor index (mean / b)
    -0.70090
  • Jensen alpha (a)
    -0.20245
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01321
  • Expected Shortfall on VaR
    0.01629
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00745
  • Expected Shortfall on VaR
    0.01368
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    79.00000
  • Minimum
    0.97942
  • Quartile 1
    0.99545
  • Median
    1.00040
  • Quartile 3
    1.00288
  • Maximum
    1.01752
  • Mean of quarter 1
    0.98968
  • Mean of quarter 2
    0.99780
  • Mean of quarter 3
    1.00147
  • Mean of quarter 4
    1.00782
  • Inter Quartile Range
    0.00744
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.05063
  • Mean of outliers low
    0.98159
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.05063
  • Mean of outliers high
    1.01593
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.38354
  • VaR(95%) (moments method)
    0.01021
  • Expected Shortfall (moments method)
    0.01209
  • Extreme Value Index (regression method)
    -0.28030
  • VaR(95%) (regression method)
    0.01167
  • Expected Shortfall (regression method)
    0.01440
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.00330
  • Quartile 1
    0.02866
  • Median
    0.05402
  • Quartile 3
    0.07389
  • Maximum
    0.09376
  • Mean of quarter 1
    0.00330
  • Mean of quarter 2
    0.05402
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.09376
  • Inter Quartile Range
    0.04523
  • 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)
    -0.21908
  • Compounded annual return (geometric extrapolation)
    -0.20280
  • Calmar ratio (compounded annual return / max draw down)
    -2.16305
  • Compounded annual return / average of 25% largest draw downs
    -2.16305
  • Compounded annual return / Expected Shortfall lognormal
    -12.45090
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess log return rates
  • Statistics related to linear regression on benchmark
  • VAR (95 Confidence Intrvl)
    0.01300
  • DRAW DOWN STATISTICS
  • Risk estimates based on draw downs (based on Extreme Value T
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • Last 4 Months - Pcnt Negative
    0.75%
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -329349000
  • Max Equity Drawdown (num days)
    38

Strategy Description

Welcome potential new subscriber,

Protect, hedge and grow your wealth by efficiently participating in the most persistent pattern in financial markets, that is, "Momentum" caused by the long term inflation of global asset prices. Academic researchers call momentum the “premier anomaly” evident in markets, with persistent and robust profitability holding true for over 200 years, something no other strategy can compare with.

Our All Weather Fund is a 100% systematic strategy that always holds a portfolio of 10 equally weighted ETFs that’s re-balanced on the 1st trading day of every month. The portfolio invests 12.5% of the current account value into each ETF for total leverage of 125%, however it can also work in non-margin accounts by investing 10% of the account value in each ETF. No leveraged or short-only ETFs are held in the portfolio, only plain vanilla long funds. The goal of the fund is to achieve independent long term returns with minimal drawdowns regardless of global economic conditions, hence the term “All Weather”.

From a universe of 1,200+ liquid ETFs traded on US exchanges, the fund always holds 10 ETFs based on our unique momentum formula that also works in tandem with our portfolio construction formula which enforces a strong level of diversification to prevent any concentration of specific risk exposures. The portfolio typically holds a good mixture of local and international equity, REIT, bond, commodity, thematic and strategy based ETF funds. Our portfolio is designed to perform reasonably well during both favorable and unfavorable economic and market conditions. The portfolio is always diversified across asset classes to minimize volatility and risk.

Our All Weather Fund is positioned to be able to navigate changing market environments and maintain stability and balance through them. It means being prepared for all kinds of different economic conditions, being prepared in advance for deflation, for inflation, for bear markets, for more bull markets, and everything else in between.

This strategy aims to deliver safe and robust returns with a moderate correlation to the S&P 500. As most of us already have long-only equity exposure in our personal and retirement accounts, this strategy compliments our overall portfolios very well to reduce overall volatility and drawdowns in the value of our wealth.

By subscribing to our All Weather Fund here on C2 you can add this diversified investment strategy to your overall portfolio by manually following or having it auto-traded inside your brokerage account, with total control using your own specified position sizing that you're comfortable with. When you subscribe choose the “join current trades” option.

We keep our followers updated with a monthly performance report that we send out at the end of every month, offering commentary on the markets and how our All Weather Fund is performing. When you join, you're becoming a part of a community of investors that are committed to achieving strong and consistent risk-adjusted returns that are uncorrelated with the market.

Due to liquidity requirements in getting good trade fills for all of our followers, we have a hard limit set here in the C2 platform of 150 maximum subscribers, after we reach this number it will not accept any new subscribers to our strategy.

If you have any questions or feedback feel free to send me a message, we're looking for long-term subscribers into our All Weather Fund as we believe it will deliver high risk adjusted returns for many years to come regardless of economic conditions.

Regards,
Jared
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2022-12-01
Suggested Minimum Capital
$15,000
# Trades
37
# Profitable
13
% Profitable
35.1%
Net Dividends
$493
Correlation S&P500
0.525
Sharpe Ratio
-1.81
Sortino Ratio
-2.30
Beta
0.37
Alpha
-0.06
Leverage
1.37 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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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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