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C2Star Strategy HurrySlow C2Star Certified Hypothetical

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OnlyBears
(142739519)

Created by: ClickCapital ClickCapital
Started: 12/2022
Stocks
Last trade: 18 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 $75.00 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.
44.4%
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.

(22.0%)
Max Drawdown
110
Num Trades
54.5%
Win Trades
2.1 : 1
Profit Factor
63.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022                                                                             +5.1%+5.1%
2023+8.0%+1.2%(1.9%)(0.6%)(8.9%)+0.6%(7.2%)+25.4%+20.0%+0.8%            +37.4%

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 168 hours.

Trading Record

This strategy has placed 39 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 160 days ago.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
7/5/23 15:20 PCT PURECYCLE TECHNOLOGIES INC. SHORT 353 11.00 9/15 13:20 6.30 0.65%
Trade id #145124731
Max drawdown($314)
Time7/31/23 0:00
Quant open353
Worst price11.89
Drawdown as % of equity-0.65%
 $1,652
Includes Typical Broker Commissions trade costs of $7.06
6/22/23 14:43 AAPL APPLE SHORT 21 186.49 9/15 13:18 174.46 0.53%
Trade id #145007844
Max drawdown($246)
Time7/19/23 0:00
Quant open21
Worst price198.23
Drawdown as % of equity-0.53%
 $253
Includes Typical Broker Commissions trade costs of $0.42
7/5/23 15:18 TYGO TIGO ENERGY INC. SHORT 208 18.65 9/13 11:23 8.00 3.72%
Trade id #145124717
Max drawdown($1,732)
Time7/19/23 0:00
Quant open208
Worst price26.98
Drawdown as % of equity-3.72%
 $2,211
Includes Typical Broker Commissions trade costs of $4.16
7/5/23 15:40 RH RH SHORT 12 332.86 8/9 15:51 390.21 1.7%
Trade id #145124891
Max drawdown($882)
Time8/3/23 0:00
Quant open12
Worst price406.38
Drawdown as % of equity-1.70%
 ($688)
Includes Typical Broker Commissions trade costs of $0.24
7/5/23 15:29 NRG NRG ENERGY SHORT 100 38.49 8/8 12:30 36.30 0.1%
Trade id #145124805
Max drawdown($48)
Time7/21/23 0:00
Quant open100
Worst price38.97
Drawdown as % of equity-0.10%
 $217
Includes Typical Broker Commissions trade costs of $2.00
7/5/23 15:45 DAL DELTA AIR LINES SHORT 80 48.68 8/1 10:01 45.37 0.18%
Trade id #145124936
Max drawdown($90)
Time7/13/23 0:00
Quant open80
Worst price49.81
Drawdown as % of equity-0.18%
 $263
Includes Typical Broker Commissions trade costs of $1.60
6/1/23 15:10 PBF PBF ENERGY LONG 110 35.84 7/5 15:10 40.53 0.08%
Trade id #144806295
Max drawdown($41)
Time6/1/23 15:17
Quant open110
Worst price35.46
Drawdown as % of equity-0.08%
 $514
Includes Typical Broker Commissions trade costs of $2.20
6/1/23 15:09 QCOM QUALCOMM LONG 33 116.15 7/5 15:10 117.43 0.26%
Trade id #144806275
Max drawdown($129)
Time6/6/23 0:00
Quant open33
Worst price112.24
Drawdown as % of equity-0.26%
 $41
Includes Typical Broker Commissions trade costs of $0.66
5/15/23 14:44 MPW MEDICAL PROPERTIES TRUST LONG 530 7.38 7/5 15:10 9.63 0.18%
Trade id #144618277
Max drawdown($95)
Time5/16/23 0:00
Quant open530
Worst price7.20
Drawdown as % of equity-0.18%
 $1,188
Includes Typical Broker Commissions trade costs of $5.00
5/10/23 14:31 MOS MOSAIC LONG 107 36.68 7/5 15:10 35.18 1.1%
Trade id #144581246
Max drawdown($560)
Time6/1/23 0:00
Quant open107
Worst price31.44
Drawdown as % of equity-1.10%
 ($163)
Includes Typical Broker Commissions trade costs of $2.14
5/3/23 15:29 ALLY ALLY FINANCIAL INC LONG 163 24.99 7/5 15:10 27.06 0.38%
Trade id #144517743
Max drawdown($207)
Time5/4/23 0:00
Quant open163
Worst price23.72
Drawdown as % of equity-0.38%
 $334
Includes Typical Broker Commissions trade costs of $3.26
4/25/23 15:15 WLKP WESTLAKE CHEMICAL PARTNERS LONG 183 22.94 7/5 15:10 22.55 0.73%
Trade id #144420289
Max drawdown($380)
Time5/11/23 0:00
Quant open183
Worst price20.86
Drawdown as % of equity-0.73%
 ($75)
Includes Typical Broker Commissions trade costs of $3.66
4/19/23 15:09 KRNY KEARNY FINANCIAL LONG 545 7.88 7/5 15:10 7.30 1.36%
Trade id #144365201
Max drawdown($706)
Time5/12/23 0:00
Quant open545
Worst price6.58
Drawdown as % of equity-1.36%
 ($319)
Includes Typical Broker Commissions trade costs of $5.00
4/12/23 14:41 LC LENDINGCLUB CORP LONG 627 7.07 7/5 15:09 9.76 0.88%
Trade id #144274648
Max drawdown($479)
Time5/4/23 0:00
Quant open627
Worst price6.30
Drawdown as % of equity-0.88%
 $1,682
Includes Typical Broker Commissions trade costs of $5.00
4/3/23 15:29 WDS WOODSIDE ENERGY GROUP LTD SPON ADR LONG 185 23.59 7/5 15:09 23.26 0.8%
Trade id #144159758
Max drawdown($435)
Time5/3/23 0:00
Quant open185
Worst price21.23
Drawdown as % of equity-0.80%
 ($64)
Includes Typical Broker Commissions trade costs of $3.70
3/14/23 14:53 AEM AGNICO EAGLE MINES LIMITED LONG 91 47.91 7/5 15:09 49.51 0.12%
Trade id #143900494
Max drawdown($69)
Time3/16/23 0:00
Quant open91
Worst price47.15
Drawdown as % of equity-0.12%
 $144
Includes Typical Broker Commissions trade costs of $1.82
3/7/23 15:10 RCL ROYAL CARIBBEAN GROUP SHORT 60 73.29 6/28 13:45 103.77 3.79%
Trade id #143806405
Max drawdown($1,915)
Time6/28/23 11:46
Quant open60
Worst price105.21
Drawdown as % of equity-3.79%
 ($1,830)
Includes Typical Broker Commissions trade costs of $1.20
5/30/23 15:52 COIN COINBASE GLOBAL INC. CLASS A SHORT 65 60.96 6/22 14:42 57.23 0.69%
Trade id #144783790
Max drawdown($350)
Time6/1/23 0:00
Quant open65
Worst price66.36
Drawdown as % of equity-0.69%
 $241
Includes Typical Broker Commissions trade costs of $1.30
5/15/23 14:45 MDB MONGODB INC. CLASS A COMMON STOCK SHORT 15 275.66 6/22 14:41 386.42 3.69%
Trade id #144618285
Max drawdown($1,848)
Time6/6/23 0:00
Quant open15
Worst price398.89
Drawdown as % of equity-3.69%
 ($1,661)
Includes Typical Broker Commissions trade costs of $0.30
5/10/23 14:32 MCD MCDONALD'S SHORT 14 295.26 6/1 15:12 287.76 0.05%
Trade id #144581250
Max drawdown($23)
Time5/11/23 0:00
Quant open14
Worst price296.94
Drawdown as % of equity-0.05%
 $105
Includes Typical Broker Commissions trade costs of $0.28
3/29/23 14:41 VTS VITESSE ENERGY INC. LONG 228 18.91 6/1 15:09 23.00 0.88%
Trade id #144107733
Max drawdown($474)
Time5/4/23 0:00
Quant open228
Worst price16.83
Drawdown as % of equity-0.88%
 $927
Includes Typical Broker Commissions trade costs of $4.56
5/22/23 15:40 UHAL AMERCO LONG 63 64.13 6/1 15:08 51.46 1.7%
Trade id #144713247
Max drawdown($865)
Time6/1/23 9:47
Quant open63
Worst price50.39
Drawdown as % of equity-1.70%
 ($799)
Includes Typical Broker Commissions trade costs of $1.26
4/19/23 15:10 NVDA NVIDIA SHORT 15 278.05 5/30 15:51 400.15 4.07%
Trade id #144365215
Max drawdown($2,119)
Time5/30/23 9:51
Quant open15
Worst price419.38
Drawdown as % of equity-4.07%
 ($1,832)
Includes Typical Broker Commissions trade costs of $0.30
4/25/23 15:15 ZIM ZIM INTEGRATED SHIPPING SERVICES LTD LONG 237 17.55 5/22 15:38 14.52 1.36%
Trade id #144420299
Max drawdown($720)
Time5/22/23 15:38
Quant open237
Worst price14.51
Drawdown as % of equity-1.36%
 ($723)
Includes Typical Broker Commissions trade costs of $4.74
4/12/23 14:44 ORLY O'REILLY AUTOMOTIVE SHORT 5 877.45 5/15 14:45 941.41 0.84%
Trade id #144274711
Max drawdown($435)
Time5/12/23 0:00
Quant open5
Worst price964.58
Drawdown as % of equity-0.84%
 ($320)
Includes Typical Broker Commissions trade costs of $0.10
3/14/23 15:03 BHP BHP GROUP LTD LONG 72 60.55 5/15 14:44 59.62 0.51%
Trade id #143900690
Max drawdown($292)
Time3/16/23 0:00
Quant open72
Worst price56.48
Drawdown as % of equity-0.51%
 ($68)
Includes Typical Broker Commissions trade costs of $1.44
4/25/23 15:13 HUBS HUBSPOT INC SHORT 10 402.97 5/10 14:32 459.60 1.22%
Trade id #144420266
Max drawdown($659)
Time5/4/23 0:00
Quant open10
Worst price468.88
Drawdown as % of equity-1.22%
 ($566)
Includes Typical Broker Commissions trade costs of $0.20
3/8/23 15:16 BURL BURLINGTON STORES INC SHORT 20 213.89 5/10 14:32 171.44 0.08%
Trade id #143819338
Max drawdown($47)
Time3/21/23 0:00
Quant open20
Worst price216.25
Drawdown as % of equity-0.08%
 $849
Includes Typical Broker Commissions trade costs of $0.40
12/7/22 15:51 CELH CELSIUS HOLDINGS INC. COMMON STOCK SHORT 35 111.53 5/10/23 14:31 131.00 1.53%
Trade id #142804471
Max drawdown($803)
Time5/10/23 12:38
Quant open35
Worst price134.50
Drawdown as % of equity-1.53%
 ($682)
Includes Typical Broker Commissions trade costs of $0.70
4/25/23 15:14 DMLP DORCHESTER MINERALS LONG 135 31.10 5/10 14:31 27.85 1.02%
Trade id #144420273
Max drawdown($550)
Time5/4/23 0:00
Quant open135
Worst price27.02
Drawdown as % of equity-1.02%
 ($442)
Includes Typical Broker Commissions trade costs of $2.70
Next

Statistics

  • Strategy began
    12/1/2022
  • Suggested Minimum Cap
    $5,000
  • Strategy Age (days)
    305.36
  • Age
    10 months ago
  • What it trades
    Stocks
  • # Trades
    110
  • # Profitable
    60
  • % Profitable
    54.50%
  • Avg trade duration
    54.8 days
  • Max peak-to-valley drawdown
    22%
  • drawdown period
    April 13, 2023 - July 19, 2023
  • Cumul. Return
    44.4%
  • Avg win
    $742.43
  • Avg loss
    $437.24
  • Model Account Values (Raw)
  • Cash
    $136,863
  • Margin Used
    $123,703
  • Buying Power
    $32,355
  • Ratios
  • W:L ratio
    2.14:1
  • Sharpe Ratio
    1.73
  • Sortino Ratio
    2.94
  • Calmar Ratio
    2.91
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    39.20%
  • Correlation to SP500
    -0.27870
  • Return Percent SP500 (cumu) during strategy life
    5.20%
  • Return Statistics
  • Ann Return (w trading costs)
    54.4%
  • Slump
  • Current Slump as Pcnt Equity
    13.50%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.02%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.444%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    58.5%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    29.50%
  • Chance of 20% account loss
    5.00%
  • 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)
    444
  • Popularity (Last 6 weeks)
    850
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    970
  • Popularity (7 days, Percentile 1000 scale)
    827
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $437
  • Avg Win
    $742
  • Sum Trade PL (losers)
    $21,862.000
  • Age
  • Num Months filled monthly returns table
    11
  • Win / Loss
  • Sum Trade PL (winners)
    $44,546.000
  • # Winners
    60
  • Num Months Winners
    7
  • Dividends
  • Dividends Received in Model Acct
    909
  • Win / Loss
  • # Losers
    50
  • % Winners
    54.5%
  • Frequency
  • Avg Position Time (mins)
    78959.70
  • Avg Position Time (hrs)
    1316.00
  • Avg Trade Length
    54.8 days
  • Last Trade Ago
    18
  • Leverage
  • Daily leverage (average)
    1.46
  • Daily leverage (max)
    1.70
  • Regression
  • Alpha
    0.13
  • Beta
    -0.43
  • Treynor Index
    -0.28
  • 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)
    -0.68
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    2.208
  • 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
    0.04
  • Avg(MAE) / Avg(PL) - Winning trades
    0.379
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.383
  • Hold-and-Hope Ratio
    0.489
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.26875
  • SD
    0.22938
  • Sharpe ratio (Glass type estimate)
    1.17164
  • Sharpe ratio (Hedges UMVUE)
    1.05764
  • df
    8.00000
  • t
    1.01467
  • p
    0.16998
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.19462
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.47043
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.26410
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.37939
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.64104
  • Upside Potential Ratio
    4.48917
  • Upside part of mean
    0.45681
  • Downside part of mean
    -0.18806
  • Upside SD
    0.20599
  • Downside SD
    0.10176
  • N nonnegative terms
    6.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    9.00000
  • Mean of predictor
    0.11728
  • Mean of criterion
    0.26875
  • SD of predictor
    0.13464
  • SD of criterion
    0.22938
  • Covariance
    -0.00208
  • r
    -0.06723
  • b (slope, estimate of beta)
    -0.11453
  • a (intercept, estimate of alpha)
    0.28218
  • Mean Square Error
    0.05986
  • DF error
    7.00000
  • t(b)
    -0.17827
  • p(b)
    0.56822
  • t(a)
    0.96510
  • p(a)
    0.18332
  • Lowerbound of 95% confidence interval for beta
    -1.63372
  • Upperbound of 95% confidence interval for beta
    1.40465
  • Lowerbound of 95% confidence interval for alpha
    -0.40920
  • Upperbound of 95% confidence interval for alpha
    0.97356
  • Treynor index (mean / b)
    -2.34647
  • Jensen alpha (a)
    0.28218
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.24315
  • SD
    0.22203
  • Sharpe ratio (Glass type estimate)
    1.09511
  • Sharpe ratio (Hedges UMVUE)
    0.98856
  • df
    8.00000
  • t
    0.94839
  • p
    0.18535
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.26055
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.38723
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.32586
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.30299
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.32086
  • Upside Potential Ratio
    4.16304
  • Upside part of mean
    0.43615
  • Downside part of mean
    -0.19300
  • Upside SD
    0.19435
  • Downside SD
    0.10477
  • N nonnegative terms
    6.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    9.00000
  • Mean of predictor
    0.10852
  • Mean of criterion
    0.24315
  • SD of predictor
    0.13372
  • SD of criterion
    0.22203
  • Covariance
    -0.00238
  • r
    -0.08031
  • b (slope, estimate of beta)
    -0.13335
  • a (intercept, estimate of alpha)
    0.25762
  • Mean Square Error
    0.05598
  • DF error
    7.00000
  • t(b)
    -0.21317
  • p(b)
    0.58137
  • t(a)
    0.91516
  • p(a)
    0.19527
  • Lowerbound of 95% confidence interval for beta
    -1.61256
  • Upperbound of 95% confidence interval for beta
    1.34585
  • Lowerbound of 95% confidence interval for alpha
    -0.40803
  • Upperbound of 95% confidence interval for alpha
    0.92327
  • Treynor index (mean / b)
    -1.82337
  • Jensen alpha (a)
    0.25762
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.08164
  • Expected Shortfall on VaR
    0.10566
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02803
  • Expected Shortfall on VaR
    0.05577
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    9.00000
  • Minimum
    0.93051
  • Quartile 1
    0.97800
  • Median
    1.02503
  • Quartile 3
    1.04924
  • Maximum
    1.14692
  • Mean of quarter 1
    0.95531
  • Mean of quarter 2
    1.02219
  • Mean of quarter 3
    1.03902
  • Mean of quarter 4
    1.11708
  • Inter Quartile Range
    0.07123
  • 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)
    -5.42086
  • VaR(95%) (moments method)
    0.04558
  • Expected Shortfall (moments method)
    0.04558
  • Extreme Value Index (regression method)
    -0.61216
  • VaR(95%) (regression method)
    0.07939
  • Expected Shortfall (regression method)
    0.09031
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.12870
  • Quartile 1
    0.12870
  • Median
    0.12870
  • Quartile 3
    0.12870
  • Maximum
    0.12870
  • 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)
    0.30057
  • Compounded annual return (geometric extrapolation)
    0.31135
  • Calmar ratio (compounded annual return / max draw down)
    2.41913
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    2.94677
  • 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
    0.45794
  • SD
    0.20888
  • Sharpe ratio (Glass type estimate)
    2.19233
  • Sharpe ratio (Hedges UMVUE)
    2.18475
  • df
    217.00000
  • t
    1.99979
  • p
    0.02338
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.03131
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.34841
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.02627
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.34323
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.74707
  • Upside Potential Ratio
    11.86500
  • Upside part of mean
    1.45007
  • Downside part of mean
    -0.99213
  • Upside SD
    0.17116
  • Downside SD
    0.12221
  • N nonnegative terms
    115.00000
  • N negative terms
    103.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    218.00000
  • Mean of predictor
    0.04261
  • Mean of criterion
    0.45794
  • SD of predictor
    0.13910
  • SD of criterion
    0.20888
  • Covariance
    -0.00811
  • r
    -0.27904
  • b (slope, estimate of beta)
    -0.41903
  • a (intercept, estimate of alpha)
    0.47600
  • Mean Square Error
    0.04042
  • DF error
    216.00000
  • t(b)
    -4.27071
  • p(b)
    0.99999
  • t(a)
    2.15832
  • p(a)
    0.01600
  • Lowerbound of 95% confidence interval for beta
    -0.61242
  • Upperbound of 95% confidence interval for beta
    -0.22564
  • Lowerbound of 95% confidence interval for alpha
    0.04129
  • Upperbound of 95% confidence interval for alpha
    0.91030
  • Treynor index (mean / b)
    -1.09286
  • Jensen alpha (a)
    0.47580
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.43596
  • SD
    0.20774
  • Sharpe ratio (Glass type estimate)
    2.09858
  • Sharpe ratio (Hedges UMVUE)
    2.09132
  • df
    217.00000
  • t
    1.91427
  • p
    0.02845
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.06147
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.25390
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.06634
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.24898
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.52748
  • Upside Potential Ratio
    11.61540
  • Upside part of mean
    1.43556
  • Downside part of mean
    -0.99960
  • Upside SD
    0.16855
  • Downside SD
    0.12359
  • N nonnegative terms
    115.00000
  • N negative terms
    103.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    218.00000
  • Mean of predictor
    0.03297
  • Mean of criterion
    0.43596
  • SD of predictor
    0.13908
  • SD of criterion
    0.20774
  • Covariance
    -0.00805
  • r
    -0.27864
  • b (slope, estimate of beta)
    -0.41619
  • a (intercept, estimate of alpha)
    0.44969
  • Mean Square Error
    0.03999
  • DF error
    216.00000
  • t(b)
    -4.26399
  • p(b)
    0.99999
  • t(a)
    2.05099
  • p(a)
    0.02074
  • Lowerbound of 95% confidence interval for beta
    -0.60857
  • Upperbound of 95% confidence interval for beta
    -0.22381
  • Lowerbound of 95% confidence interval for alpha
    0.01754
  • Upperbound of 95% confidence interval for alpha
    0.88184
  • Treynor index (mean / b)
    -1.04751
  • Jensen alpha (a)
    0.44969
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01926
  • Expected Shortfall on VaR
    0.02449
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00844
  • Expected Shortfall on VaR
    0.01642
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    218.00000
  • Minimum
    0.95684
  • Quartile 1
    0.99453
  • Median
    1.00103
  • Quartile 3
    1.00836
  • Maximum
    1.05541
  • Mean of quarter 1
    0.98739
  • Mean of quarter 2
    0.99783
  • Mean of quarter 3
    1.00466
  • Mean of quarter 4
    1.01752
  • Inter Quartile Range
    0.01383
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.01835
  • Mean of outliers low
    0.96649
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.03211
  • Mean of outliers high
    1.04173
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.14116
  • VaR(95%) (moments method)
    0.01251
  • Expected Shortfall (moments method)
    0.01821
  • Extreme Value Index (regression method)
    0.14245
  • VaR(95%) (regression method)
    0.01206
  • Expected Shortfall (regression method)
    0.01736
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    15.00000
  • Minimum
    0.00099
  • Quartile 1
    0.00458
  • Median
    0.01185
  • Quartile 3
    0.03365
  • Maximum
    0.20286
  • Mean of quarter 1
    0.00306
  • Mean of quarter 2
    0.00695
  • Mean of quarter 3
    0.01993
  • Mean of quarter 4
    0.08927
  • Inter Quartile Range
    0.02907
  • 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
    0.06667
  • Mean of outliers high
    0.20286
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.57240
  • VaR(95%) (moments method)
    0.10535
  • Expected Shortfall (moments method)
    0.25738
  • Extreme Value Index (regression method)
    1.82643
  • VaR(95%) (regression method)
    0.13579
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.56611
  • Compounded annual return (geometric extrapolation)
    0.59022
  • Calmar ratio (compounded annual return / max draw down)
    2.90955
  • Compounded annual return / average of 25% largest draw downs
    6.61181
  • Compounded annual return / Expected Shortfall lognormal
    24.09710
  • 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
    0.50030
  • SD
    0.25294
  • Sharpe ratio (Glass type estimate)
    1.97792
  • Sharpe ratio (Hedges UMVUE)
    1.96649
  • df
    130.00000
  • t
    1.39860
  • p
    0.43912
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.80805
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.75638
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.81560
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.74858
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.41160
  • Upside Potential Ratio
    11.92290
  • Upside part of mean
    1.74847
  • Downside part of mean
    -1.24817
  • Upside SD
    0.20722
  • Downside SD
    0.14665
  • 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
    0.05641
  • Mean of criterion
    0.50030
  • SD of predictor
    0.11341
  • SD of criterion
    0.25294
  • Covariance
    -0.01248
  • r
    -0.43508
  • b (slope, estimate of beta)
    -0.97041
  • a (intercept, estimate of alpha)
    0.55504
  • Mean Square Error
    0.05227
  • DF error
    129.00000
  • t(b)
    -5.48832
  • p(b)
    0.76798
  • t(a)
    1.71582
  • p(a)
    0.40526
  • Lowerbound of 95% confidence interval for beta
    -1.32024
  • Upperbound of 95% confidence interval for beta
    -0.62058
  • Lowerbound of 95% confidence interval for alpha
    -0.08498
  • Upperbound of 95% confidence interval for alpha
    1.19507
  • Treynor index (mean / b)
    -0.51556
  • Jensen alpha (a)
    0.55504
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.46833
  • SD
    0.25141
  • Sharpe ratio (Glass type estimate)
    1.86283
  • Sharpe ratio (Hedges UMVUE)
    1.85206
  • df
    130.00000
  • t
    1.31722
  • p
    0.44262
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.92173
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.64036
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.92888
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.63299
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.15506
  • Upside Potential Ratio
    11.63650
  • Upside part of mean
    1.72729
  • Downside part of mean
    -1.25896
  • Upside SD
    0.20378
  • Downside SD
    0.14844
  • 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
    0.05002
  • Mean of criterion
    0.46833
  • SD of predictor
    0.11332
  • SD of criterion
    0.25141
  • Covariance
    -0.01238
  • r
    -0.43443
  • b (slope, estimate of beta)
    -0.96382
  • a (intercept, estimate of alpha)
    0.51654
  • Mean Square Error
    0.05168
  • DF error
    129.00000
  • t(b)
    -5.47805
  • p(b)
    0.76760
  • t(a)
    1.60615
  • p(a)
    0.41115
  • VAR (95 Confidence Intrvl)
    0.01900
  • Lowerbound of 95% confidence interval for beta
    -1.31192
  • Upperbound of 95% confidence interval for beta
    -0.61571
  • Lowerbound of 95% confidence interval for alpha
    -0.11976
  • Upperbound of 95% confidence interval for alpha
    1.15284
  • Treynor index (mean / b)
    -0.48591
  • Jensen alpha (a)
    0.51654
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02348
  • Expected Shortfall on VaR
    0.02978
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01130
  • Expected Shortfall on VaR
    0.02112
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.95684
  • Quartile 1
    0.99206
  • Median
    0.99976
  • Quartile 3
    1.01055
  • Maximum
    1.05541
  • Mean of quarter 1
    0.98437
  • Mean of quarter 2
    0.99695
  • Mean of quarter 3
    1.00464
  • Mean of quarter 4
    1.02219
  • Inter Quartile Range
    0.01849
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.00763
  • Mean of outliers low
    0.95684
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.03817
  • Mean of outliers high
    1.04623
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.09790
  • VaR(95%) (moments method)
    0.01605
  • Expected Shortfall (moments method)
    0.02215
  • Extreme Value Index (regression method)
    0.16454
  • VaR(95%) (regression method)
    0.01460
  • Expected Shortfall (regression method)
    0.02020
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00114
  • Quartile 1
    0.00339
  • Median
    0.04314
  • Quartile 3
    0.06069
  • Maximum
    0.20286
  • Mean of quarter 1
    0.00227
  • Mean of quarter 2
    0.04314
  • Mean of quarter 3
    0.06069
  • Mean of quarter 4
    0.20286
  • Inter Quartile Range
    0.05730
  • 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
    0.20000
  • Mean of outliers high
    0.20286
  • 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
    0.25%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -344220000
  • Max Equity Drawdown (num days)
    97
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.56322
  • Compounded annual return (geometric extrapolation)
    0.64253
  • Calmar ratio (compounded annual return / max draw down)
    3.16741
  • Compounded annual return / average of 25% largest draw downs
    3.16741
  • Compounded annual return / Expected Shortfall lognormal
    21.57470

Strategy Description

As we contemplate the state of the American stock market today, one cannot ignore the eerie resemblances it bears to the Japanese stock market of the late 1980s. Following a meteoric rise of over 2,500% in the preceding two decades, the Japanese stock market reached record valuations, only to suffer a profound fall of over 80% in the subsequent years. Three decades later, it is yet to fully recover.

With American stocks currently exhibiting a similar setup, the pertinent question arises: What would be the implications of a comparable 80% drop in the stock market to your family's wealth?

If this scenario triggers a sense of unease, the "OnlyBears" strategy presents itself as a prudent hedging solution. Designed to counterbalance the inherent risks associated with an overvalued market, OnlyBears operates as a 100% net-short strategy, leveraging a diversified portfolio of 20 short positions, each constituting 7.50% of the model portfolio value at the time of opening allowing for the conservative use of 50% leverage.

In an effort to broaden our risk distribution, we maintain a balanced mix of small, mid and large-cap stocks spanning over a dozen or more distinct industries. Our trades are multifaceted, incorporating tactical medium-term positions with an infusion of short-term swing trades, depending on the market situation.

Our strategic approach is all-encompassing, taking into account macroeconomic dynamics, fundamentals, valuations, and technical analysis. We exercise caution and enforce strict risk management protocols, incorporating a definitive loss limit per position.

It is crucial to understand that, like all strategies, OnlyBears may experience draw-downs when the market surges. However, for those concerned about a protracted bear market akin to Japan's 20-year downturn, OnlyBears serves as a prudent hedge. By allocating a portion of your overall portfolio to our strategy, you stand to potentially achieve strong returns during bear markets and stock market crashes to offset the losses in your regular long-only portfolios.

Join OnlyBears today, and let us fortify your wealth against potential market turbulence ahead.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2022-12-01
Suggested Minimum Capital
$5,000
Rank at C2 %
Top 3.0%
Rank # 
#23
# Trades
110
# Profitable
60
% Profitable
54.5%
Net Dividends
$909
Correlation S&P500
-0.279
Sharpe Ratio
1.73
Sortino Ratio
2.94
Beta
-0.43
Alpha
0.13
Leverage
1.46 Average
1.70 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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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.