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These are hypothetical performance results that have certain inherent limitations. Learn more
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Equity Long Short
(142739519)

Created by: ClickCapital ClickCapital
Started: 12/2022
Stocks
Last trade: 7 days ago
Trading style: Equity Hedged Equity

Subscriptions not available

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

Subscription terms. Subscriptions to this system cost $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
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.
13.4%
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.

(6.7%)
Max Drawdown
63
Num Trades
50.8%
Win Trades
1.9 : 1
Profit Factor
75.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022                                                                             +5.1%+5.1%
2023+8.1%+1.2%(1.3%)                                                      +7.9%

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

This strategy has placed 12 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
12/1/22 15:33 SNOW SNOWFLAKE INC SHORT 25 153.08 3/15/23 15:10 139.06 1.13%
Trade id #142739649
Max drawdown($640)
Time2/2/23 0:00
Quant open25
Worst price178.70
Drawdown as % of equity-1.13%
 $351
Includes Typical Broker Commissions trade costs of $0.50
3/8/23 15:16 MDB MONGODB INC. CLASS A COMMON STOCK SHORT 19 226.08 3/15 15:09 211.73 0.11%
Trade id #143819327
Max drawdown($63)
Time3/8/23 15:46
Quant open19
Worst price229.41
Drawdown as % of equity-0.11%
 $273
Includes Typical Broker Commissions trade costs of $0.38
1/6/23 15:36 PSX PHILLIPS 66 LONG 38 105.41 3/15 14:57 94.36 0.85%
Trade id #143129569
Max drawdown($486)
Time3/15/23 12:24
Quant open38
Worst price92.60
Drawdown as % of equity-0.85%
 ($421)
Includes Typical Broker Commissions trade costs of $0.76
2/27/23 15:12 MOS MOSAIC LONG 81 52.76 3/14 15:07 46.14 0.93%
Trade id #143712017
Max drawdown($536)
Time3/14/23 15:07
Quant open81
Worst price46.14
Drawdown as % of equity-0.93%
 ($538)
Includes Typical Broker Commissions trade costs of $1.62
2/17/23 15:18 HUBG HUB GROUP LONG 44 97.29 3/14 15:01 83.26 1.06%
Trade id #143624746
Max drawdown($612)
Time3/14/23 14:58
Quant open44
Worst price83.38
Drawdown as % of equity-1.06%
 ($618)
Includes Typical Broker Commissions trade costs of $0.88
12/1/22 15:50 ZS ZSCALER INC. COMMON STOCK SHORT 26 144.28 3/14/23 14:54 108.34 0.03%
Trade id #142739886
Max drawdown($15)
Time12/1/22 15:58
Quant open26
Worst price144.87
Drawdown as % of equity-0.03%
 $933
Includes Typical Broker Commissions trade costs of $0.52
3/3/23 15:25 CMC COMMERCIAL METALS LONG 80 54.41 3/14 14:51 46.28 1.18%
Trade id #143772104
Max drawdown($689)
Time3/14/23 13:22
Quant open80
Worst price45.79
Drawdown as % of equity-1.18%
 ($652)
Includes Typical Broker Commissions trade costs of $1.60
2/17/23 15:19 FDUS FIDUS INVESTMENT LONG 208 20.96 3/14 14:49 19.98 0.87%
Trade id #143624750
Max drawdown($511)
Time3/13/23 0:00
Quant open208
Worst price18.50
Drawdown as % of equity-0.87%
 ($208)
Includes Typical Broker Commissions trade costs of $4.16
12/1/22 15:50 WOLF WOLFSPEED INC SHORT 43 86.65 3/8/23 15:16 69.94 0.1%
Trade id #142739888
Max drawdown($55)
Time2/2/23 0:00
Quant open43
Worst price87.93
Drawdown as % of equity-0.10%
 $718
Includes Typical Broker Commissions trade costs of $0.86
12/1/22 15:35 UI UBIQUITI NETWORKS INC SHORT 12 300.36 3/8/23 15:15 272.11 0.07%
Trade id #142739700
Max drawdown($40)
Time2/2/23 0:00
Quant open12
Worst price303.75
Drawdown as % of equity-0.07%
 $339
Includes Typical Broker Commissions trade costs of $0.24
2/13/23 15:21 SAH SONIC AUTOMOTIVE LONG 70 59.99 3/8 15:14 58.95 0.74%
Trade id #143566199
Max drawdown($429)
Time2/21/23 0:00
Quant open70
Worst price53.85
Drawdown as % of equity-0.74%
 ($74)
Includes Typical Broker Commissions trade costs of $1.40
2/13/23 15:21 BXC BLUELINX HOLDINGS LONG 47 88.36 3/8 15:13 85.83 0.88%
Trade id #143566191
Max drawdown($497)
Time2/22/23 0:00
Quant open47
Worst price77.77
Drawdown as % of equity-0.88%
 ($120)
Includes Typical Broker Commissions trade costs of $0.94
1/20/23 15:04 SBUX STARBUCKS SHORT 39 104.99 3/7 15:10 103.32 0.4%
Trade id #143287208
Max drawdown($227)
Time2/2/23 0:00
Quant open39
Worst price110.83
Drawdown as % of equity-0.40%
 $64
Includes Typical Broker Commissions trade costs of $0.78
12/12/22 15:40 BOOT BOOT BARN HOLDINGS INC LONG 61 62.22 3/7/23 15:04 78.69 0.66%
Trade id #142850749
Max drawdown($341)
Time12/20/22 0:00
Quant open61
Worst price56.62
Drawdown as % of equity-0.66%
 $1,004
Includes Typical Broker Commissions trade costs of $1.22
12/9/22 9:30 DXCM DEXCOM SHORT 31 122.30 3/7/23 14:54 113.87 0.11%
Trade id #142827252
Max drawdown($56)
Time12/14/22 0:00
Quant open31
Worst price124.11
Drawdown as % of equity-0.11%
 $260
Includes Typical Broker Commissions trade costs of $0.62
2/13/23 15:20 THO THOR INDUSTRIES LONG 44 96.54 3/7 14:50 88.27 0.81%
Trade id #143566188
Max drawdown($473)
Time3/7/23 9:33
Quant open44
Worst price85.79
Drawdown as % of equity-0.81%
 ($365)
Includes Typical Broker Commissions trade costs of $0.88
12/6/22 15:58 ZEUS OLYMPIC STEEL LONG 105 37.06 3/3/23 15:24 58.25 1.41%
Trade id #142789654
Max drawdown($735)
Time12/16/22 0:00
Quant open105
Worst price30.06
Drawdown as % of equity-1.41%
 $2,223
Includes Typical Broker Commissions trade costs of $2.10
12/1/22 15:32 MRNA MODERNA INC. COMMON STOCK LONG 21 180.55 2/27/23 15:11 139.10 1.61%
Trade id #142739635
Max drawdown($920)
Time2/27/23 9:58
Quant open21
Worst price136.72
Drawdown as % of equity-1.61%
 ($870)
Includes Typical Broker Commissions trade costs of $0.42
12/30/22 15:19 DPZ DOMINO'S PIZZA SHORT 11 344.04 2/27/23 15:10 294.73 0.5%
Trade id #143049509
Max drawdown($285)
Time2/2/23 0:00
Quant open11
Worst price369.97
Drawdown as % of equity-0.50%
 $542
Includes Typical Broker Commissions trade costs of $0.22
12/30/22 15:16 CHD CHURCH & DWIGHT COMPANY SHORT 49 80.26 2/27/23 15:10 83.74 0.51%
Trade id #143049487
Max drawdown($282)
Time1/17/23 0:00
Quant open49
Worst price86.03
Drawdown as % of equity-0.51%
 ($172)
Includes Typical Broker Commissions trade costs of $0.98
12/30/22 15:13 AAPL APPLE SHORT 30 128.99 2/27/23 15:10 147.93 1.48%
Trade id #143049375
Max drawdown($851)
Time2/3/23 0:00
Quant open30
Worst price157.38
Drawdown as % of equity-1.48%
 ($569)
Includes Typical Broker Commissions trade costs of $0.60
12/30/22 14:57 AEL AMERICAN EQUITY INV LONG 86 45.73 2/17/23 15:18 44.31 0.38%
Trade id #143049199
Max drawdown($220)
Time2/17/23 9:55
Quant open86
Worst price43.17
Drawdown as % of equity-0.38%
 ($124)
Includes Typical Broker Commissions trade costs of $1.72
2/1/23 15:40 AMKR AMKOR TECHNOLOGY LONG 142 29.92 2/17 15:18 26.52 1.06%
Trade id #143420265
Max drawdown($607)
Time2/14/23 0:00
Quant open142
Worst price25.64
Drawdown as % of equity-1.06%
 ($486)
Includes Typical Broker Commissions trade costs of $2.84
1/6/23 15:21 MPLX MPLX LP LONG 120 33.66 2/13 15:19 34.50 0.05%
Trade id #143129438
Max drawdown($28)
Time1/10/23 0:00
Quant open120
Worst price33.42
Drawdown as % of equity-0.05%
 $99
Includes Typical Broker Commissions trade costs of $2.40
1/6/23 15:14 BWA BORGWARNER LONG 93 43.34 2/13 15:18 49.72 0.2%
Trade id #143129337
Max drawdown($110)
Time1/9/23 0:00
Quant open93
Worst price42.15
Drawdown as % of equity-0.20%
 $591
Includes Typical Broker Commissions trade costs of $1.86
2/2/23 15:46 AEO AMERICAN EAGLE LONG 255 16.88 2/13 15:18 15.90 0.72%
Trade id #143437152
Max drawdown($413)
Time2/10/23 0:00
Quant open255
Worst price15.26
Drawdown as % of equity-0.72%
 ($255)
Includes Typical Broker Commissions trade costs of $5.10
12/1/22 15:37 META META PLATFORMS INC. CLASS A LONG 31 120.52 2/2/23 14:42 191.29 0.49%
Trade id #142739726
Max drawdown($249)
Time12/20/22 0:00
Quant open31
Worst price112.46
Drawdown as % of equity-0.49%
 $2,193
Includes Typical Broker Commissions trade costs of $0.62
12/7/22 15:50 BZH BEAZER HOMES USA LONG 280 13.75 2/1/23 15:39 16.75 0.78%
Trade id #142804463
Max drawdown($408)
Time12/28/22 0:00
Quant open280
Worst price12.29
Drawdown as % of equity-0.78%
 $834
Includes Typical Broker Commissions trade costs of $5.60
12/6/22 15:58 VRSN VERISIGN SHORT 20 197.16 1/20/23 15:04 214.71 0.75%
Trade id #142789664
Max drawdown($408)
Time1/18/23 0:00
Quant open20
Worst price217.60
Drawdown as % of equity-0.75%
 ($351)
Includes Typical Broker Commissions trade costs of $0.40
12/7/22 15:54 GT THE GOODYEAR TIRE & RUBBER COM LONG 363 10.62 1/6/23 15:35 10.97 0.67%
Trade id #142804514
Max drawdown($348)
Time12/28/22 0:00
Quant open363
Worst price9.66
Drawdown as % of equity-0.67%
 $120
Includes Typical Broker Commissions trade costs of $7.26
Next

Statistics

  • Strategy began
    12/1/2022
  • Suggested Minimum Cap
    $5,000
  • Strategy Age (days)
    111.11
  • Age
    111 days ago
  • What it trades
    Stocks
  • # Trades
    63
  • # Profitable
    32
  • % Profitable
    50.80%
  • Avg trade duration
    34.1 days
  • Max peak-to-valley drawdown
    6.69%
  • drawdown period
    March 10, 2023 - March 21, 2023
  • Cumul. Return
    13.4%
  • Avg win
    $488.38
  • Avg loss
    $279.74
  • Model Account Values (Raw)
  • Cash
    $76,607
  • Margin Used
    $64,042
  • Buying Power
    $14,311
  • Ratios
  • W:L ratio
    1.87:1
  • Sharpe Ratio
    2.77
  • Sortino Ratio
    4.55
  • Calmar Ratio
    10.247
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    16.83%
  • Correlation to SP500
    0.00990
  • Return Percent SP500 (cumu) during strategy life
    -3.42%
  • Return Statistics
  • Ann Return (w trading costs)
    49.2%
  • Slump
  • Current Slump as Pcnt Equity
    4.90%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.11%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.134%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    54.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    n/a
  • 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)
    788
  • Popularity (Last 6 weeks)
    955
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    840
  • Popularity (7 days, Percentile 1000 scale)
    946
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $280
  • Avg Win
    $488
  • Sum Trade PL (losers)
    $8,672.000
  • Age
  • Num Months filled monthly returns table
    4
  • Win / Loss
  • Sum Trade PL (winners)
    $15,628.000
  • # Winners
    32
  • Num Months Winners
    3
  • Dividends
  • Dividends Received in Model Acct
    208
  • AUM
  • AUM (AutoTrader live capital)
    114126
  • Win / Loss
  • # Losers
    31
  • % Winners
    50.8%
  • Frequency
  • Avg Position Time (mins)
    49100.30
  • Avg Position Time (hrs)
    818.34
  • Avg Trade Length
    34.1 days
  • Last Trade Ago
    5
  • Leverage
  • Daily leverage (average)
    1.37
  • Daily leverage (max)
    1.52
  • Regression
  • Alpha
    0.10
  • Beta
    0.01
  • Treynor Index
    16.06
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.30
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    3.869
  • 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
    0.409
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.417
  • Hold-and-Hope Ratio
    0.361
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.63315
  • SD
    0.10274
  • Sharpe ratio (Glass type estimate)
    6.16274
  • Sharpe ratio (Hedges UMVUE)
    3.47696
  • df
    2.00000
  • t
    3.08137
  • p
    0.04557
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.73537
  • Upperbound of 95% confidence interval for Sharpe Ratio
    12.85370
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.71687
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    8.67079
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.63315
  • Downside part of mean
    0.00000
  • Upside SD
    0.20111
  • Downside SD
    0.00000
  • N nonnegative terms
    3.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    3.00000
  • Mean of predictor
    -0.04059
  • Mean of criterion
    0.63315
  • SD of predictor
    0.23244
  • SD of criterion
    0.10274
  • Covariance
    0.01891
  • r
    0.79195
  • b (slope, estimate of beta)
    0.35004
  • a (intercept, estimate of alpha)
    0.64736
  • Mean Square Error
    0.00787
  • DF error
    1.00000
  • t(b)
    1.29705
  • p(b)
    0.20906
  • t(a)
    3.64166
  • p(a)
    0.08531
  • Lowerbound of 95% confidence interval for beta
    -3.07904
  • Upperbound of 95% confidence interval for beta
    3.77912
  • Lowerbound of 95% confidence interval for alpha
    -1.61136
  • Upperbound of 95% confidence interval for alpha
    2.90607
  • Treynor index (mean / b)
    1.80878
  • Jensen alpha (a)
    0.64736
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.61247
  • SD
    0.09701
  • Sharpe ratio (Glass type estimate)
    6.31332
  • Sharpe ratio (Hedges UMVUE)
    3.56191
  • df
    2.00000
  • t
    3.15666
  • p
    0.04370
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.68590
  • Upperbound of 95% confidence interval for Sharpe Ratio
    13.12130
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.68691
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    8.81073
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.61247
  • Downside part of mean
    0.00000
  • Upside SD
    0.19374
  • Downside SD
    0.00000
  • N nonnegative terms
    3.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    3.00000
  • Mean of predictor
    -0.05837
  • Mean of criterion
    0.61247
  • SD of predictor
    0.23030
  • SD of criterion
    0.09701
  • Covariance
    0.01738
  • r
    0.77792
  • b (slope, estimate of beta)
    0.32769
  • a (intercept, estimate of alpha)
    0.63160
  • Mean Square Error
    0.00743
  • DF error
    1.00000
  • t(b)
    1.23802
  • p(b)
    0.21627
  • t(a)
    3.64857
  • p(a)
    0.08515
  • Lowerbound of 95% confidence interval for beta
    -3.03550
  • Upperbound of 95% confidence interval for beta
    3.69088
  • Lowerbound of 95% confidence interval for alpha
    -1.56795
  • Upperbound of 95% confidence interval for alpha
    2.83114
  • Treynor index (mean / b)
    1.86905
  • Jensen alpha (a)
    0.63160
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    -0.00499
  • Expected Shortfall on VaR
    0.00665
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    3.00000
  • Minimum
    1.02880
  • Quartile 1
    1.03902
  • Median
    1.04924
  • Quartile 3
    1.06824
  • Maximum
    1.08724
  • Mean of quarter 1
    1.02880
  • Mean of quarter 2
    1.04924
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    1.08724
  • Inter Quartile Range
    0.02922
  • 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
    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)
    0.69448
  • Compounded annual return (geometric extrapolation)
    0.89719
  • 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
    134.89300
  • 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
    0.39103
  • SD
    0.11363
  • Sharpe ratio (Glass type estimate)
    3.44111
  • Sharpe ratio (Hedges UMVUE)
    3.40791
  • df
    78.00000
  • t
    1.88956
  • p
    0.03127
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.17945
  • Upperbound of 95% confidence interval for Sharpe Ratio
    7.04022
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.20124
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    7.01707
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.85968
  • Upside Potential Ratio
    14.85500
  • Upside part of mean
    0.99131
  • Downside part of mean
    -0.60028
  • Upside SD
    0.09423
  • Downside SD
    0.06673
  • N nonnegative terms
    46.00000
  • N negative terms
    33.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    79.00000
  • Mean of predictor
    -0.12830
  • Mean of criterion
    0.39103
  • SD of predictor
    0.17513
  • SD of criterion
    0.11363
  • Covariance
    -0.00034
  • r
    -0.01728
  • b (slope, estimate of beta)
    -0.01121
  • a (intercept, estimate of alpha)
    0.39000
  • Mean Square Error
    0.01308
  • DF error
    77.00000
  • t(b)
    -0.15162
  • p(b)
    0.56006
  • t(a)
    1.86885
  • p(a)
    0.03272
  • Lowerbound of 95% confidence interval for beta
    -0.15843
  • Upperbound of 95% confidence interval for beta
    0.13601
  • Lowerbound of 95% confidence interval for alpha
    -0.02552
  • Upperbound of 95% confidence interval for alpha
    0.80470
  • Treynor index (mean / b)
    -34.88440
  • Jensen alpha (a)
    0.38959
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.38434
  • SD
    0.11347
  • Sharpe ratio (Glass type estimate)
    3.38714
  • Sharpe ratio (Hedges UMVUE)
    3.35446
  • df
    78.00000
  • t
    1.85993
  • p
    0.03333
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.23196
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.98509
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.25346
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.96238
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.73467
  • Upside Potential Ratio
    14.72380
  • Upside part of mean
    0.98679
  • Downside part of mean
    -0.60245
  • Upside SD
    0.09373
  • Downside SD
    0.06702
  • N nonnegative terms
    46.00000
  • N negative terms
    33.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    79.00000
  • Mean of predictor
    -0.14347
  • Mean of criterion
    0.38434
  • SD of predictor
    0.17519
  • SD of criterion
    0.11347
  • Covariance
    -0.00036
  • r
    -0.01798
  • b (slope, estimate of beta)
    -0.01165
  • a (intercept, estimate of alpha)
    0.38267
  • Mean Square Error
    0.01304
  • DF error
    77.00000
  • t(b)
    -0.15781
  • p(b)
    0.56249
  • t(a)
    1.83785
  • p(a)
    0.03497
  • Lowerbound of 95% confidence interval for beta
    -0.15860
  • Upperbound of 95% confidence interval for beta
    0.13531
  • Lowerbound of 95% confidence interval for alpha
    -0.03194
  • Upperbound of 95% confidence interval for alpha
    0.79728
  • Treynor index (mean / b)
    -33.00230
  • Jensen alpha (a)
    0.38267
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01001
  • Expected Shortfall on VaR
    0.01291
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00479
  • Expected Shortfall on VaR
    0.00891
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    79.00000
  • Minimum
    0.98658
  • Quartile 1
    0.99550
  • Median
    1.00152
  • Quartile 3
    1.00683
  • Maximum
    1.01882
  • Mean of quarter 1
    0.99261
  • Mean of quarter 2
    0.99880
  • Mean of quarter 3
    1.00497
  • Mean of quarter 4
    1.01018
  • Inter Quartile Range
    0.01133
  • 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)
    -0.25517
  • VaR(95%) (moments method)
    0.00794
  • Expected Shortfall (moments method)
    0.00933
  • Extreme Value Index (regression method)
    0.05003
  • VaR(95%) (regression method)
    0.00734
  • Expected Shortfall (regression method)
    0.00923
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    12.00000
  • Minimum
    0.00099
  • Quartile 1
    0.00411
  • Median
    0.00549
  • Quartile 3
    0.01568
  • Maximum
    0.04979
  • Mean of quarter 1
    0.00269
  • Mean of quarter 2
    0.00475
  • Mean of quarter 3
    0.01043
  • Mean of quarter 4
    0.03201
  • Inter Quartile Range
    0.01157
  • 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
    0.08333
  • Mean of outliers high
    0.04979
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.17362
  • VaR(95%) (moments method)
    0.03543
  • Expected Shortfall (moments method)
    0.05029
  • Extreme Value Index (regression method)
    2.63523
  • VaR(95%) (regression method)
    0.05182
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.43897
  • Compounded annual return (geometric extrapolation)
    0.51021
  • Calmar ratio (compounded annual return / max draw down)
    10.24740
  • Compounded annual return / average of 25% largest draw downs
    15.93830
  • Compounded annual return / Expected Shortfall lognormal
    39.53330
  • 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)
    0.01000
  • 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
    0.25%
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -115482000
  • Max Equity Drawdown (num days)
    11

Strategy Description

Welcome potential new subscriber,

Our Equity Long/Short Portfolio is our product based on the classic hedge fund trading strategy that seeks to carry a long portfolio of stocks at the same time a short portfolio of stocks to significantly reduce market risk and generate returns via smart stock selection.

The portfolio always carries 10 stocks long and 10 stocks short, all weighted at 7.5% of the current model account value when the position is initiated. That means the portfolio is always leveraged 150% overall with 75% in longs and 75% in shorts (10 positions long and short x 7.5% each) providing for a market neutral portfolio position.

Stocks are selected based on our unique process of screening, research and selection. This is a semi-systematic strategy with pre-defined quantitative requirements for stock selection overlaid with manager discretion and qualitative analysis used in the final selection of stocks to incorporate into the portfolio. Both long and short portfolios are always kept diversified with stocks from many different industries held.

Many factors are analyzed in our stock selection process, with a primary focus on valuation. This strategy seeks to buy stocks that are undervalued possibly due to a short term event impacting the stock’s sentiment, a misunderstood business or weak industry sentiment. In addition to valuation our strategy looks at business quality, insider buying/selling, and stock chart technicals for signs of a bottom or emerging uptrend. For shorts the same is true except in the other extreme, we seek to short stocks that are overvalued with questionable business qualities that are showing signs of a technical top or downtrend.

Using our own unique discounted cash flow valuation model to calculate what the fair price should be for a stock, we systematically exit positions once price has returned to our calculated fair value level. Typically positions are held for several months to several years. Since stocks can rise more than they can fall we have predefined stop loss levels for all short positions, these are very wide and often over 30% above the entry point to give the stock plenty of “wiggle room'' to reach our target fair value price for a profitable exit.

Like all good investment strategies, some volatility and drawdowns can be expected and this is a normal part of extracting any risk premium from the market. The goal is to outperform the S&P 500 Index on a yearly basis and significantly so over the long term with similar levels of volatility. Being a market neutral portfolio it also has low correlation to the general market and is a complementary fit to most people’s overall portfolios that typically only carry long only equity exposures.

When you join this strategy to auto-trade be sure to enable the option “join current trades” as sometimes the portfolio can go several months without making a trade and some months there may be several trades. Low turnover is a positive feature of the strategy that keeps trading costs to a minimum.

We keep our subscribers updated with a monthly performance report that we send out at the end of every month, offering commentary on the markets and how our Equity Long Short portfolio 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.

If you have any questions or feedback feel free to send me a message, we're looking for long-term subscribers into our Equity Long Short strategy 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
$5,000
Rank at C2 
#134
# Trades
63
# Profitable
32
% Profitable
50.8%
Net Dividends
$208
Correlation S&P500
0.010
Sharpe Ratio
2.77
Sortino Ratio
4.55
Beta
0.01
Alpha
0.10
Leverage
1.37 Average
1.52 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

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

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

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

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

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

Latest Activity

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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Suggested Minimum Capital

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