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C2Star Strategy Kindstar C2Star Certified Hypothetical

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These are hypothetical performance results that have certain inherent limitations. Learn more
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MicroCap Deep Value
(142865493)

Created by: ClickCapital ClickCapital
Started: 12/2022
Stocks
Last trade: 7 days ago
Trading style: Equity Non-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
Non-hedged Equity
Category: Equity

Non-hedged Equity

Predominantly long equities, although some hedging with short sales of stocks and/or stock index options. Commonly known as "stock-pickers."
-2.6%
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.

(23.2%)
Max Drawdown
33
Num Trades
42.4%
Win Trades
0.9 : 1
Profit Factor
25.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022                                                                             (5.6%)(5.6%)
2023+22.8%(2.1%)(14.1%)                                                      +3.2%

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
12/13/22 15:52 ZDGE ZEDGE INC LONG 630 2.38 3/15/23 15:15 2.62 1.73%
Trade id #142866394
Max drawdown($478)
Time12/28/22 0:00
Quant open630
Worst price1.62
Drawdown as % of equity-1.73%
 $146
Includes Typical Broker Commissions trade costs of $5.00
12/13/22 14:54 TCS THE CONTAINER STORE GROUP INC LONG 308 4.87 3/15/23 15:15 3.58 1.52%
Trade id #142865568
Max drawdown($462)
Time3/15/23 9:36
Quant open308
Worst price3.37
Drawdown as % of equity-1.52%
 ($403)
Includes Typical Broker Commissions trade costs of $6.16
12/30/22 15:24 PINE ALPINE INCOME PROPERTY TRUST INC LONG 79 19.02 3/15/23 15:15 16.28 0.78%
Trade id #143049558
Max drawdown($246)
Time3/13/23 0:00
Quant open79
Worst price15.90
Drawdown as % of equity-0.78%
 ($218)
Includes Typical Broker Commissions trade costs of $1.58
12/13/22 15:51 OPHC OPTIMUMBANK HOLDINGS INC LONG 341 4.40 3/15/23 15:15 3.20 1.53%
Trade id #142866347
Max drawdown($484)
Time3/13/23 0:00
Quant open341
Worst price2.98
Drawdown as % of equity-1.53%
 ($416)
Includes Typical Broker Commissions trade costs of $6.82
12/13/22 14:58 LAZY LAZYDAYS HOLDINGS INC. COMMON STOCK LONG 110 13.78 3/15/23 15:15 11.50 0.84%
Trade id #142865608
Max drawdown($250)
Time3/15/23 15:04
Quant open110
Worst price11.50
Drawdown as % of equity-0.84%
 ($253)
Includes Typical Broker Commissions trade costs of $2.20
12/15/22 14:53 GLT GLATFELTER CORP LONG 456 3.29 3/15/23 15:15 2.98 1.18%
Trade id #142894213
Max drawdown($328)
Time12/28/22 0:00
Quant open456
Worst price2.57
Drawdown as % of equity-1.18%
 ($150)
Includes Typical Broker Commissions trade costs of $9.12
12/13/22 15:56 FGI FGI INDUSTRIES LTD. LONG 625 2.40 3/15/23 15:14 1.75 1.42%
Trade id #142866533
Max drawdown($431)
Time3/14/23 0:00
Quant open625
Worst price1.71
Drawdown as % of equity-1.42%
 ($411)
Includes Typical Broker Commissions trade costs of $5.00
12/14/22 15:28 DOUG DOUGLAS ELLIMAN INC LONG 367 4.10 3/15/23 15:14 3.19 1.3%
Trade id #142880877
Max drawdown($396)
Time3/15/23 9:36
Quant open367
Worst price3.02
Drawdown as % of equity-1.30%
 ($341)
Includes Typical Broker Commissions trade costs of $7.34
12/15/22 14:55 TUP TUPPERWARE BRANDS LONG 359 4.17 1/19/23 14:42 4.26 0.56%
Trade id #142894233
Max drawdown($152)
Time12/20/22 0:00
Quant open359
Worst price3.75
Drawdown as % of equity-0.56%
 $25
Includes Typical Broker Commissions trade costs of $7.18
12/13/22 15:54 GTEC GREENLAND TECHNOLOGIES HOLDING CORP LONG 770 1.95 12/30 15:38 2.17 0.32%
Trade id #142866406
Max drawdown($92)
Time12/15/22 0:00
Quant open770
Worst price1.83
Drawdown as % of equity-0.32%
 $164
Includes Typical Broker Commissions trade costs of $5.00
12/14/22 15:45 GMGI GOLDEN MATRIX GROUP INC. COMMON STOCK LONG 705 2.13 12/30 15:33 2.50 0.14%
Trade id #142881156
Max drawdown($42)
Time12/14/22 15:59
Quant open705
Worst price2.07
Drawdown as % of equity-0.14%
 $256
Includes Typical Broker Commissions trade costs of $5.00
12/15/22 14:52 DLA DELTA APPAREL LONG 145 10.35 12/30 15:27 10.52 0.37%
Trade id #142894191
Max drawdown($100)
Time12/21/22 0:00
Quant open145
Worst price9.66
Drawdown as % of equity-0.37%
 $22
Includes Typical Broker Commissions trade costs of $2.90
12/14/22 15:38 BGFV BIG 5 SPORTING GOODS LONG 142 10.59 12/30 15:24 8.88 1.14%
Trade id #142881088
Max drawdown($316)
Time12/28/22 0:00
Quant open142
Worst price8.36
Drawdown as % of equity-1.14%
 ($246)
Includes Typical Broker Commissions trade costs of $2.84
Next

Statistics

  • Strategy began
    12/13/2022
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    99.06
  • Age
    99 days ago
  • What it trades
    Stocks
  • # Trades
    33
  • # Profitable
    14
  • % Profitable
    42.40%
  • Avg trade duration
    59.6 days
  • Max peak-to-valley drawdown
    23.22%
  • drawdown period
    Feb 06, 2023 - March 21, 2023
  • Cumul. Return
    -2.6%
  • Avg win
    $246.00
  • Avg loss
    $199.63
  • Model Account Values (Raw)
  • Cash
    $5,510
  • Margin Used
    $0
  • Buying Power
    $6,919
  • Ratios
  • W:L ratio
    0.94:1
  • Sharpe Ratio
    -0.14
  • Sortino Ratio
    -0.2
  • Calmar Ratio
    -0.038
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -0.51%
  • Correlation to SP500
    0.41810
  • Return Percent SP500 (cumu) during strategy life
    -2.06%
  • Return Statistics
  • Ann Return (w trading costs)
    -8.8%
  • Slump
  • Current Slump as Pcnt Equity
    27.20%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.45%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.026%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -3.4%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    40.50%
  • Chance of 20% account loss
    0.50%
  • 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)
    729
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    620
  • Popularity (7 days, Percentile 1000 scale)
    301
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $200
  • Avg Win
    $246
  • Sum Trade PL (losers)
    $3,793.000
  • Age
  • Num Months filled monthly returns table
    4
  • Win / Loss
  • Sum Trade PL (winners)
    $3,444.000
  • # Winners
    14
  • Num Months Winners
    1
  • Dividends
  • Dividends Received in Model Acct
    68
  • Win / Loss
  • # Losers
    19
  • % Winners
    42.4%
  • Frequency
  • Avg Position Time (mins)
    85773.80
  • Avg Position Time (hrs)
    1429.56
  • Avg Trade Length
    59.6 days
  • Last Trade Ago
    7
  • Leverage
  • Daily leverage (average)
    0.93
  • Daily leverage (max)
    1.11
  • Regression
  • Alpha
    0.00
  • Beta
    0.60
  • Treynor Index
    -0.02
  • 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)
    0.53
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    -4.537
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    0.627
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.207
  • Hold-and-Hope Ratio
    -0.049
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.10907
  • SD
    0.44121
  • Sharpe ratio (Glass type estimate)
    0.24720
  • Sharpe ratio (Hedges UMVUE)
    0.13947
  • df
    2.00000
  • t
    0.12360
  • p
    0.45647
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.70704
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.14566
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.78284
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.06178
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.39995
  • Upside Potential Ratio
    2.39995
  • Upside part of mean
    0.65448
  • Downside part of mean
    -0.54541
  • Upside SD
    0.23749
  • Downside SD
    0.27271
  • N nonnegative terms
    2.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    3.00000
  • Mean of predictor
    -0.14669
  • Mean of criterion
    0.10907
  • SD of predictor
    0.16975
  • SD of criterion
    0.44121
  • Covariance
    0.07009
  • r
    0.93583
  • b (slope, estimate of beta)
    2.43232
  • a (intercept, estimate of alpha)
    0.46586
  • Mean Square Error
    0.04836
  • DF error
    1.00000
  • t(b)
    2.65516
  • p(b)
    0.11465
  • t(a)
    1.01294
  • p(a)
    0.24795
  • Lowerbound of 95% confidence interval for beta
    -9.20748
  • Upperbound of 95% confidence interval for beta
    14.07210
  • Lowerbound of 95% confidence interval for alpha
    -5.37784
  • Upperbound of 95% confidence interval for alpha
    6.30957
  • Treynor index (mean / b)
    0.04484
  • Jensen alpha (a)
    0.46586
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.04157
  • SD
    0.45311
  • Sharpe ratio (Glass type estimate)
    0.09174
  • Sharpe ratio (Hedges UMVUE)
    0.05176
  • df
    2.00000
  • t
    0.04587
  • p
    0.48379
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.83937
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.00212
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.86850
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.97201
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.14213
  • Upside Potential Ratio
    2.14213
  • Upside part of mean
    0.62647
  • Downside part of mean
    -0.58490
  • Upside SD
    0.22691
  • Downside SD
    0.29245
  • N nonnegative terms
    2.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    3.00000
  • Mean of predictor
    -0.15707
  • Mean of criterion
    0.04157
  • SD of predictor
    0.17172
  • SD of criterion
    0.45311
  • Covariance
    0.07279
  • r
    0.93548
  • b (slope, estimate of beta)
    2.46848
  • a (intercept, estimate of alpha)
    0.42928
  • Mean Square Error
    0.05127
  • DF error
    1.00000
  • t(b)
    2.64733
  • p(b)
    0.11496
  • t(a)
    0.90192
  • p(a)
    0.26640
  • Lowerbound of 95% confidence interval for beta
    -9.37930
  • Upperbound of 95% confidence interval for beta
    14.31630
  • Lowerbound of 95% confidence interval for alpha
    -5.61841
  • Upperbound of 95% confidence interval for alpha
    6.47697
  • Treynor index (mean / b)
    0.01684
  • Jensen alpha (a)
    0.42928
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.19078
  • Expected Shortfall on VaR
    0.23294
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.08275
  • Expected Shortfall on VaR
    0.15578
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    3.00000
  • Minimum
    0.86598
  • Quartile 1
    0.96561
  • Median
    1.06524
  • Quartile 3
    1.08414
  • Maximum
    1.10303
  • Mean of quarter 1
    0.86598
  • Mean of quarter 2
    1.06524
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    1.10303
  • Inter Quartile Range
    0.11853
  • 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
    1.00000
  • Minimum
    0.13403
  • Quartile 1
    0.13403
  • Median
    0.13403
  • Quartile 3
    0.13403
  • Maximum
    0.13403
  • 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)
    0.07008
  • Compounded annual return (geometric extrapolation)
    0.07194
  • Calmar ratio (compounded annual return / max draw down)
    0.53679
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    0.30885
  • 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
    -0.00608
  • SD
    0.24529
  • Sharpe ratio (Glass type estimate)
    -0.02479
  • Sharpe ratio (Hedges UMVUE)
    -0.02452
  • df
    70.00000
  • t
    -0.01290
  • p
    0.50513
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.78983
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.74025
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.78956
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.74052
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.03402
  • Upside Potential Ratio
    9.03190
  • Upside part of mean
    1.61425
  • Downside part of mean
    -1.62033
  • Upside SD
    0.16545
  • Downside SD
    0.17873
  • N nonnegative terms
    39.00000
  • N negative terms
    32.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    71.00000
  • Mean of predictor
    -0.08939
  • Mean of criterion
    -0.00608
  • SD of predictor
    0.17560
  • SD of criterion
    0.24529
  • Covariance
    0.01811
  • r
    0.42041
  • b (slope, estimate of beta)
    0.58724
  • a (intercept, estimate of alpha)
    0.04600
  • Mean Square Error
    0.05025
  • DF error
    69.00000
  • t(b)
    3.84887
  • p(b)
    0.00013
  • t(a)
    0.10773
  • p(a)
    0.45726
  • Lowerbound of 95% confidence interval for beta
    0.28286
  • Upperbound of 95% confidence interval for beta
    0.89162
  • Lowerbound of 95% confidence interval for alpha
    -0.81307
  • Upperbound of 95% confidence interval for alpha
    0.90590
  • Treynor index (mean / b)
    -0.01035
  • Jensen alpha (a)
    0.04641
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.03580
  • SD
    0.24569
  • Sharpe ratio (Glass type estimate)
    -0.14572
  • Sharpe ratio (Hedges UMVUE)
    -0.14415
  • df
    70.00000
  • t
    -0.07586
  • p
    0.53012
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.91039
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.61985
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.90926
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.62096
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.19793
  • Upside Potential Ratio
    8.84892
  • Upside part of mean
    1.60059
  • Downside part of mean
    -1.63639
  • Upside SD
    0.16371
  • Downside SD
    0.18088
  • N nonnegative terms
    39.00000
  • N negative terms
    32.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    71.00000
  • Mean of predictor
    -0.10460
  • Mean of criterion
    -0.03580
  • SD of predictor
    0.17563
  • SD of criterion
    0.24569
  • Covariance
    0.01815
  • r
    0.42068
  • b (slope, estimate of beta)
    0.58849
  • a (intercept, estimate of alpha)
    0.02576
  • Mean Square Error
    0.05040
  • DF error
    69.00000
  • t(b)
    3.85183
  • p(b)
    0.00013
  • t(a)
    0.05968
  • p(a)
    0.47629
  • Lowerbound of 95% confidence interval for beta
    0.28370
  • Upperbound of 95% confidence interval for beta
    0.89329
  • Lowerbound of 95% confidence interval for alpha
    -0.83519
  • Upperbound of 95% confidence interval for alpha
    0.88670
  • Treynor index (mean / b)
    -0.06084
  • Jensen alpha (a)
    0.02576
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02479
  • Expected Shortfall on VaR
    0.03094
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01355
  • Expected Shortfall on VaR
    0.02478
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    71.00000
  • Minimum
    0.96249
  • Quartile 1
    0.98926
  • Median
    1.00266
  • Quartile 3
    1.01067
  • Maximum
    1.03381
  • Mean of quarter 1
    0.98013
  • Mean of quarter 2
    0.99598
  • Mean of quarter 3
    1.00598
  • Mean of quarter 4
    1.01857
  • Inter Quartile Range
    0.02141
  • 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)
    -0.74141
  • VaR(95%) (moments method)
    0.02112
  • Expected Shortfall (moments method)
    0.02308
  • Extreme Value Index (regression method)
    -0.05947
  • VaR(95%) (regression method)
    0.02132
  • Expected Shortfall (regression method)
    0.02708
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.01663
  • Quartile 1
    0.04915
  • Median
    0.08166
  • Quartile 3
    0.14526
  • Maximum
    0.20886
  • Mean of quarter 1
    0.01663
  • Mean of quarter 2
    0.08166
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.20886
  • Inter Quartile Range
    0.09611
  • 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)
    -0.00789
  • Compounded annual return (geometric extrapolation)
    -0.00786
  • Calmar ratio (compounded annual return / max draw down)
    -0.03765
  • Compounded annual return / average of 25% largest draw downs
    -0.03765
  • Compounded annual return / Expected Shortfall lognormal
    -0.25414
  • 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)
    0.02500
  • 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?
    -328459000
  • Max Equity Drawdown (num days)
    43

Strategy Description

Welcome potential new subscriber,

Our MicroCap Deep Value portfolio is designed to capture excess returns from the bottom of the stock market where the smallest stocks reside, a place where most fund managers and investors can’t or aren’t allowed to venture into. Because of this, often many smaller and quality companies go overlooked and can trade at steep discounts to their fair value providing for fantastic investment opportunities for smaller investors who have the patience and commitment to this space.

Our quantitative and qualitative process identifies companies with market capitalizations less than $300 million that have quality and profitable businesses that are also severely undervalued by the market, hence the term Deep Value in the strategy name. Some of these businesses are decades old and family run, however due to their small size most of Wall Street doesn't notice them because they aren't big enough to invest in, however as small investors this is one of our few advantages that we have, being able to invest in these small businesses without too much price slippage on our trades.

We invest in stocks often trading at less than $10 per share that also have low levels of liquidity, sometimes there is a wide bid-ask spread to trade the stocks so it’s not recommended for large portfolios, however due to our long average holding periods you can accumulate and exit positions over several days to minimize slippage.

We have a unique discounted cashflow valuation model used to identify what a fair value should be for each stock, and we typically hold positions until they reach our dynamic fair value level, which is usually between several months to several years after entering a position. We actively monitor all our positions and their underlying businesses so we may exit positions earlier if the business quality deteriorates and/or a much better opportunity comes along to replace with in our portfolio.

The portfolio always holds open 20 positions, with 5% of the current account value placed into each position at the time of opening. No leverage is used with this strategy. We always carry a diversified portfolio of stocks with limits on how much sector and industry concentration is allowed.

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.

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 portfolio turnover is a positive feature of this strategy that keeps trading costs to a minimum.

Due to the liquidity restraints inherent with investing in MicroCap stocks, we’ve limited this strategy to a maximum of 100 subscribers allowed to follow, after that number is reached this strategy will then be closed to new subscribers in order to preserve available liquidity for current members.

We keep our subscribers updated with a monthly performance report that we send out at the end of every month, providing commentary on the markets and how our MicroCap Deep Value 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 MicroCap Deep Value strategy as we believe it will deliver high returns over the long term.

Regards,
Jared
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2022-12-13
Suggested Minimum Capital
$15,000
Rank at C2 
#317
# Trades
33
# Profitable
14
% Profitable
42.4%
Net Dividends
$67
Correlation S&P500
0.418
Sharpe Ratio
-0.14
Sortino Ratio
-0.20
Beta
0.60
Alpha
0.00
Leverage
0.93 Average
1.11 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.