Collective2 Collective2
Featured Strategy Lazy Trading ES +41.9% Cumul. Return since Sep 25, 2024 Hypothetical

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Collectibles Fund 1
(63353169)

Created by: PeterHovis PeterHovis
Started: 07/2011
Stocks
Last trade: 4,887 days ago
Trading style: Equity Trend-following
Subscriptions not currently available.

Subscriptions not available

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

Subscription terms. Subscriptions to this system cost $79.00 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
Trend-following
Category: Equity

Trend-following

Tries to take advantage of long, medium or short-term moves that seem to play out in various markets. Typically, trend-following analysis is backward looking; that is, it attempts to recognize and profit from already-established trends.
9.4%
Annual Return (Compounded)

Rate of Return Calculations

Overview

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

How Annualized (Compounded) Rate of Return is calculated

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

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

All results are hypothetical.

(26.5%)
Max Drawdown
20
Num Trades
80.0%
Win Trades
37.2 : 1
Profit Factor
59.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2011                                          (2%)(2.1%)(2.7%)+4.7%(1.5%)+1.5%(2.2%)
2012+0.1%+3.8%+2.0%(0.7%)(0.8%)+3.4%+2.1%(0.5%)+2.3%(0.1%)+1.7%(1.2%)+12.7%
2013+6.2%+2.4%+6.1%+2.9%(0.5%)+2.7%+4.3%(2.9%)+4.9%+4.4%+2.6%+1.2%+39.9%
2014(5.3%)+5.3%+1.6%(2.6%)+2.3%+0.9%(1.9%)+1.0%+0.1%+3.9%+4.2%+0.1%+9.6%
2015(1.4%)+4.9%+1.4%(1.5%)+0.2%(0.3%)+1.8%(7%)(0.7%)+6.3%(0.2%)+0.7%+3.6%
2016(3.4%)(0.2%)+3.9%+0.3%(0.1%)(1.7%)+4.0%(0.4%)(1.5%)(1.9%)+2.6%+2.0%+3.3%
2017(1.1%)+3.4%(0.7%)+0.9%+1.3%(2%)+0.7%(2.4%)+0.8%+0.6%+3.2%+1.1%+5.8%
2018+1.8%(0.9%)(3.6%)(1.2%)  -  +6.4%+2.1%+3.6%+2.4%(3.8%)+1.7%(11.1%)(3.7%)
2019+6.0%+2.4%+0.8%+6.0%(1.4%)+2.0%+2.0%+1.5%+0.2%(1.2%)+3.4%+1.9%+26.0%
2020+0.4%(7.3%)(8.3%)+8.9%+3.8%(2%)+7.0%+4.6%(1.3%)(3.6%)+8.0%+2.7%+11.7%
2021(2.6%)+3.0%+5.6%+1.5%(0.6%)(0.5%)+2.2%+0.3%(15.6%)+17.0%(2.8%)+6.7%+11.6%
2022(4.2%)(0.7%)+2.7%(1%)(5.5%)(0.1%)+3.0%(0.5%)(9%)+6.6%+5.4%(2.5%)(6.6%)
2023+2.6%(1.3%)+0.1%+2.8%(1.6%)+1.2%+1.8%(1.8%)(1.1%)(5.9%)+6.3%+2.9%+5.5%
2024+1.6%+2.4%+5.0%(2.7%)(1%)(1.8%)+2.9%+2.9%+3.2%(1.6%)+5.4%      +17.2%

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.

Statistics

  • Strategy began
    7/11/2011
  • Suggested Minimum Cap
    $320,000
  • Strategy Age (days)
    4886.72
  • Age
    163 months ago
  • What it trades
    Stocks
  • # Trades
    20
  • # Profitable
    16
  • % Profitable
    80.00%
  • Avg trade duration
    2485.5 days
  • Max peak-to-valley drawdown
    26.46%
  • drawdown period
    Feb 19, 2020 - March 23, 2020
  • Annual Return (Compounded)
    9.4%
  • Avg win
    $12,339
  • Avg loss
    $1,617
  • Model Account Values (Raw)
  • Cash
    $101,676
  • Margin Used
    $0
  • Buying Power
    $292,636
  • Ratios
  • W:L ratio
    37.21:1
  • Sharpe Ratio
    0.51
  • Sortino Ratio
    0.72
  • Calmar Ratio
    0.67
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -119.53%
  • Correlation to SP500
    0.54080
  • Return Percent SP500 (cumu) during strategy life
    355.66%
  • Return Statistics
  • Ann Return (w trading costs)
    9.4%
  • Slump
  • Current Slump as Pcnt Equity
    n/a
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    n/a
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.094%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    9.4%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    50.50%
  • Chance of 20% account loss
    22.50%
  • Chance of 30% account loss
    7.00%
  • Chance of 40% account loss
    2.50%
  • 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
  • Chance of 100% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $1,618
  • Avg Win
    $12,339
  • Sum Trade PL (losers)
    $6,471.000
  • Age
  • Num Months filled monthly returns table
    161
  • Win / Loss
  • Sum Trade PL (winners)
    $197,429.000
  • # Winners
    16
  • Num Months Winners
    96
  • Dividends
  • Dividends Received in Model Acct
    43346
  • Win / Loss
  • # Losers
    4
  • % Winners
    80.0%
  • Frequency
  • Avg Position Time (mins)
    7036240.00
  • Avg Position Time (hrs)
    117271.00
  • Avg Trade Length
    4886.3 days
  • Last Trade Ago
    4886
  • Regression
  • Alpha
    0.01
  • Beta
    0.42
  • Treynor Index
    0.05
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    1.43
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    10.66
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.37
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    0.090
  • 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
    0.02
  • Avg(MAE) / Avg(PL) - Winning trades
    0.052
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.650
  • Hold-and-Hope Ratio
    18.405
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.12255
  • SD
    0.11900
  • Sharpe ratio (Glass type estimate)
    1.02989
  • Sharpe ratio (Hedges UMVUE)
    1.02138
  • df
    91.00000
  • t
    2.85163
  • p
    0.00269
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.30372
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.75064
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.29813
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.74462
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.57930
  • Upside Potential Ratio
    2.93518
  • Upside part of mean
    0.22777
  • Downside part of mean
    -0.10522
  • Upside SD
    0.09611
  • Downside SD
    0.07760
  • N nonnegative terms
    63.00000
  • N negative terms
    29.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    92.00000
  • Mean of predictor
    0.17623
  • Mean of criterion
    0.12255
  • SD of predictor
    0.17247
  • SD of criterion
    0.11900
  • Covariance
    0.01501
  • r
    0.73151
  • b (slope, estimate of beta)
    0.50471
  • a (intercept, estimate of alpha)
    0.03361
  • Mean Square Error
    0.00666
  • DF error
    90.00000
  • t(b)
    10.17810
  • p(b)
    0.00000
  • t(a)
    1.09346
  • p(a)
    0.13856
  • Lowerbound of 95% confidence interval for beta
    0.40620
  • Upperbound of 95% confidence interval for beta
    0.60323
  • Lowerbound of 95% confidence interval for alpha
    -0.02745
  • Upperbound of 95% confidence interval for alpha
    0.09466
  • Treynor index (mean / b)
    0.24282
  • Jensen alpha (a)
    0.03361
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.11463
  • SD
    0.12001
  • Sharpe ratio (Glass type estimate)
    0.95512
  • Sharpe ratio (Hedges UMVUE)
    0.94723
  • df
    91.00000
  • t
    2.64461
  • p
    0.00482
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.23132
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.67390
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.22612
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.66834
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.41436
  • Upside Potential Ratio
    2.74886
  • Upside part of mean
    0.22279
  • Downside part of mean
    -0.10816
  • Upside SD
    0.09367
  • Downside SD
    0.08105
  • N nonnegative terms
    63.00000
  • N negative terms
    29.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    92.00000
  • Mean of predictor
    0.15987
  • Mean of criterion
    0.11463
  • SD of predictor
    0.17378
  • SD of criterion
    0.12001
  • Covariance
    0.01563
  • r
    0.74957
  • b (slope, estimate of beta)
    0.51767
  • a (intercept, estimate of alpha)
    0.03187
  • Mean Square Error
    0.00638
  • DF error
    90.00000
  • t(b)
    10.74310
  • p(b)
    0.00000
  • t(a)
    1.06725
  • p(a)
    0.14436
  • Lowerbound of 95% confidence interval for beta
    0.42194
  • Upperbound of 95% confidence interval for beta
    0.61340
  • Lowerbound of 95% confidence interval for alpha
    -0.02745
  • Upperbound of 95% confidence interval for alpha
    0.09119
  • Treynor index (mean / b)
    0.22143
  • Jensen alpha (a)
    0.03187
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04633
  • Expected Shortfall on VaR
    0.05996
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01423
  • Expected Shortfall on VaR
    0.03287
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    92.00000
  • Minimum
    0.86684
  • Quartile 1
    0.99499
  • Median
    1.01487
  • Quartile 3
    1.03520
  • Maximum
    1.07604
  • Mean of quarter 1
    0.96845
  • Mean of quarter 2
    1.00570
  • Mean of quarter 3
    1.02494
  • Mean of quarter 4
    1.05108
  • Inter Quartile Range
    0.04020
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.02174
  • Mean of outliers low
    0.89400
  • 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)
    0.42900
  • VaR(95%) (moments method)
    0.02456
  • Expected Shortfall (moments method)
    0.05285
  • Extreme Value Index (regression method)
    0.17700
  • VaR(95%) (regression method)
    0.03353
  • Expected Shortfall (regression method)
    0.05744
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    19.00000
  • Minimum
    0.00395
  • Quartile 1
    0.00880
  • Median
    0.01561
  • Quartile 3
    0.04983
  • Maximum
    0.16265
  • Mean of quarter 1
    0.00609
  • Mean of quarter 2
    0.01226
  • Mean of quarter 3
    0.03194
  • Mean of quarter 4
    0.08543
  • Inter Quartile Range
    0.04103
  • 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
    0.05263
  • Mean of outliers high
    0.16265
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.20600
  • VaR(95%) (moments method)
    0.09600
  • Expected Shortfall (moments method)
    0.14022
  • Extreme Value Index (regression method)
    0.58342
  • VaR(95%) (regression method)
    0.06500
  • Expected Shortfall (regression method)
    0.09417
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.25859
  • Compounded annual return (geometric extrapolation)
    0.15319
  • Calmar ratio (compounded annual return / max draw down)
    0.94188
  • Compounded annual return / average of 25% largest draw downs
    1.79314
  • Compounded annual return / Expected Shortfall lognormal
    2.55511
  • 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
    0.14434
  • SD
    0.17868
  • Sharpe ratio (Glass type estimate)
    0.80781
  • Sharpe ratio (Hedges UMVUE)
    0.80751
  • df
    2028.00000
  • t
    2.24802
  • p
    0.01234
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.10298
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.51245
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.10277
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.51225
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.15926
  • Upside Potential Ratio
    6.41269
  • Upside part of mean
    0.79843
  • Downside part of mean
    -0.65409
  • Upside SD
    0.12840
  • Downside SD
    0.12451
  • N nonnegative terms
    1138.00000
  • N negative terms
    891.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    2029.00000
  • Mean of predictor
    0.19249
  • Mean of criterion
    0.14434
  • SD of predictor
    0.22290
  • SD of criterion
    0.17868
  • Covariance
    0.02132
  • r
    0.53543
  • b (slope, estimate of beta)
    0.42920
  • a (intercept, estimate of alpha)
    0.06200
  • Mean Square Error
    0.02278
  • DF error
    2027.00000
  • t(b)
    28.54250
  • p(b)
    -0.00000
  • t(a)
    1.13625
  • p(a)
    0.12799
  • Lowerbound of 95% confidence interval for beta
    0.39971
  • Upperbound of 95% confidence interval for beta
    0.45869
  • Lowerbound of 95% confidence interval for alpha
    -0.04481
  • Upperbound of 95% confidence interval for alpha
    0.16824
  • Treynor index (mean / b)
    0.33629
  • Jensen alpha (a)
    0.06172
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.12831
  • SD
    0.17898
  • Sharpe ratio (Glass type estimate)
    0.71692
  • Sharpe ratio (Hedges UMVUE)
    0.71665
  • df
    2028.00000
  • t
    1.99507
  • p
    0.02308
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.01221
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.42150
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.01201
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.42130
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.99433
  • Upside Potential Ratio
    6.12554
  • Upside part of mean
    0.79046
  • Downside part of mean
    -0.66215
  • Upside SD
    0.12421
  • Downside SD
    0.12904
  • N nonnegative terms
    1138.00000
  • N negative terms
    891.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    2029.00000
  • Mean of predictor
    0.16739
  • Mean of criterion
    0.12831
  • SD of predictor
    0.22430
  • SD of criterion
    0.17898
  • Covariance
    0.02173
  • r
    0.54140
  • b (slope, estimate of beta)
    0.43200
  • a (intercept, estimate of alpha)
    0.05600
  • Mean Square Error
    0.02265
  • DF error
    2027.00000
  • t(b)
    28.99130
  • p(b)
    -0.00000
  • t(a)
    1.03429
  • p(a)
    0.15056
  • Lowerbound of 95% confidence interval for beta
    0.40277
  • Upperbound of 95% confidence interval for beta
    0.46122
  • Lowerbound of 95% confidence interval for alpha
    -0.05018
  • Upperbound of 95% confidence interval for alpha
    0.16218
  • Treynor index (mean / b)
    0.29702
  • Jensen alpha (a)
    0.05600
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01754
  • Expected Shortfall on VaR
    0.02206
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00509
  • Expected Shortfall on VaR
    0.01160
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    2029.00000
  • Minimum
    0.86435
  • Quartile 1
    0.99780
  • Median
    1.00071
  • Quartile 3
    1.00379
  • Maximum
    1.15141
  • Mean of quarter 1
    0.99094
  • Mean of quarter 2
    0.99938
  • Mean of quarter 3
    1.00212
  • Mean of quarter 4
    1.01021
  • Inter Quartile Range
    0.00599
  • Number outliers low
    106.00000
  • Percentage of outliers low
    0.05224
  • Mean of outliers low
    0.97605
  • Number of outliers high
    96.00000
  • Percentage of outliers high
    0.04731
  • Mean of outliers high
    1.02561
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.60470
  • VaR(95%) (moments method)
    0.00846
  • Expected Shortfall (moments method)
    0.02385
  • Extreme Value Index (regression method)
    0.43865
  • VaR(95%) (regression method)
    0.00735
  • Expected Shortfall (regression method)
    0.01530
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    112.00000
  • Minimum
    0.00005
  • Quartile 1
    0.00298
  • Median
    0.00914
  • Quartile 3
    0.02630
  • Maximum
    0.25218
  • Mean of quarter 1
    0.00128
  • Mean of quarter 2
    0.00541
  • Mean of quarter 3
    0.01684
  • Mean of quarter 4
    0.06858
  • Inter Quartile Range
    0.02332
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    9.00000
  • Percentage of outliers high
    0.08036
  • Mean of outliers high
    0.13361
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.55258
  • VaR(95%) (moments method)
    0.07623
  • Expected Shortfall (moments method)
    0.18161
  • Extreme Value Index (regression method)
    0.32703
  • VaR(95%) (regression method)
    0.06733
  • Expected Shortfall (regression method)
    0.11579
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.30381
  • Compounded annual return (geometric extrapolation)
    0.16908
  • Calmar ratio (compounded annual return / max draw down)
    0.67048
  • Compounded annual return / average of 25% largest draw downs
    2.46527
  • Compounded annual return / Expected Shortfall lognormal
    7.66369
  • 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
    0.37438
  • SD
    0.25110
  • Sharpe ratio (Glass type estimate)
    1.49094
  • Sharpe ratio (Hedges UMVUE)
    1.48232
  • df
    130.00000
  • t
    1.05425
  • p
    0.45396
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.28957
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.26588
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.29534
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.25998
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.23049
  • Upside Potential Ratio
    9.85165
  • Upside part of mean
    1.65355
  • Downside part of mean
    -1.27918
  • Upside SD
    0.18690
  • Downside SD
    0.16784
  • N nonnegative terms
    77.00000
  • N negative terms
    54.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.70765
  • Mean of criterion
    0.37438
  • SD of predictor
    0.36787
  • SD of criterion
    0.25110
  • Covariance
    0.06635
  • r
    0.71827
  • b (slope, estimate of beta)
    0.49028
  • a (intercept, estimate of alpha)
    0.02743
  • Mean Square Error
    0.03076
  • DF error
    129.00000
  • t(b)
    11.72530
  • p(b)
    0.08586
  • t(a)
    0.10981
  • p(a)
    0.49384
  • Lowerbound of 95% confidence interval for beta
    0.40755
  • Upperbound of 95% confidence interval for beta
    0.57301
  • Lowerbound of 95% confidence interval for alpha
    -0.46678
  • Upperbound of 95% confidence interval for alpha
    0.52164
  • Treynor index (mean / b)
    0.76360
  • Jensen alpha (a)
    0.02743
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.34286
  • SD
    0.25088
  • Sharpe ratio (Glass type estimate)
    1.36662
  • Sharpe ratio (Hedges UMVUE)
    1.35872
  • df
    130.00000
  • t
    0.96635
  • p
    0.45777
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.41270
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.14086
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.41800
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.13544
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.01485
  • Upside Potential Ratio
    9.61568
  • Upside part of mean
    1.63624
  • Downside part of mean
    -1.29338
  • Upside SD
    0.18426
  • Downside SD
    0.17016
  • N nonnegative terms
    77.00000
  • N negative terms
    54.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.63943
  • Mean of criterion
    0.34286
  • SD of predictor
    0.36860
  • SD of criterion
    0.25088
  • Covariance
    0.06647
  • r
    0.71879
  • b (slope, estimate of beta)
    0.48923
  • a (intercept, estimate of alpha)
    0.03002
  • Mean Square Error
    0.03066
  • DF error
    129.00000
  • t(b)
    11.74280
  • p(b)
    0.08563
  • t(a)
    0.12056
  • p(a)
    0.49324
  • VAR (95 Confidence Intrvl)
    0.01800
  • Lowerbound of 95% confidence interval for beta
    0.40680
  • Upperbound of 95% confidence interval for beta
    0.57166
  • Lowerbound of 95% confidence interval for alpha
    -0.46272
  • Upperbound of 95% confidence interval for alpha
    0.52277
  • Treynor index (mean / b)
    0.70080
  • Jensen alpha (a)
    0.03002
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02390
  • Expected Shortfall on VaR
    0.03018
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00988
  • Expected Shortfall on VaR
    0.02026
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96159
  • Quartile 1
    0.99437
  • Median
    1.00182
  • Quartile 3
    1.00734
  • Maximum
    1.04712
  • Mean of quarter 1
    0.98203
  • Mean of quarter 2
    0.99918
  • Mean of quarter 3
    1.00473
  • Mean of quarter 4
    1.02029
  • Inter Quartile Range
    0.01297
  • Number outliers low
    10.00000
  • Percentage of outliers low
    0.07634
  • Mean of outliers low
    0.96881
  • Number of outliers high
    8.00000
  • Percentage of outliers high
    0.06107
  • Mean of outliers high
    1.03507
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.06019
  • VaR(95%) (moments method)
    0.01587
  • Expected Shortfall (moments method)
    0.02265
  • Extreme Value Index (regression method)
    -0.28736
  • VaR(95%) (regression method)
    0.01577
  • Expected Shortfall (regression method)
    0.01939
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.00263
  • Quartile 1
    0.00369
  • Median
    0.02283
  • Quartile 3
    0.04890
  • Maximum
    0.13186
  • Mean of quarter 1
    0.00295
  • Mean of quarter 2
    0.01121
  • Mean of quarter 3
    0.03157
  • Mean of quarter 4
    0.09050
  • Inter Quartile Range
    0.04521
  • 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
    0.10000
  • Mean of outliers high
    0.13186
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -3.99375
  • VaR(95%) (moments method)
    0.09944
  • Expected Shortfall (moments method)
    0.09959
  • Extreme Value Index (regression method)
    -0.50292
  • VaR(95%) (regression method)
    0.14443
  • Last 4 Months - Pcnt Negative
    0.25%
  • Expected Shortfall (regression method)
    0.16700
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -408770000
  • Max Equity Drawdown (num days)
    33
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.40735
  • Compounded annual return (geometric extrapolation)
    0.44884
  • Calmar ratio (compounded annual return / max draw down)
    3.40396
  • Compounded annual return / average of 25% largest draw downs
    4.95956
  • Compounded annual return / Expected Shortfall lognormal
    14.87170

Strategy Description

Welcome to the The Collectibles Fund 1. The Fund takes positions in securities and/or financial instruments that are involved directly or indirectly in the collectibles field/industry.

Past performance does not guarantee future results. Return calculations do not reflect taxes that a shareholder would pay on fund distributions or on the redemption of fund shares. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and net asset value will fluctuate so that an investor's shares, when redeemed, may be more or less than the original cost.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2011-07-11
Suggested Minimum Capital
$320,000
# Trades
20
# Profitable
16
% Profitable
80.0%
Net Dividends
$43,345
Correlation S&P500
0.541
Sharpe Ratio
0.51
Sortino Ratio
0.72
Beta
0.42
Alpha
0.01

Latest Activity

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subscribed on started simulation #SUBSCRIBEDDATE#

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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