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These are hypothetical performance results that have certain inherent limitations. Learn more

Long Term Profit
(121469965)

Created by: LONGTERM LONGTERM
Started: 12/2018
Stocks
Last trade: 5 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 $100.00 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.
22.5%
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.

(14.5%)
Max Drawdown
128
Num Trades
65.6%
Win Trades
2.3 : 1
Profit Factor
57.1%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2018                                                                             (0.2%)(0.2%)
2019+15.8%+9.8%+4.3%(3.4%)(2.9%)+0.7%(1.6%)(6.6%)+5.5%+3.6%+2.8%+7.1%+38.6%
2020(1.4%)(4.7%)+6.3%  -  +0.7%+0.6%+0.7%(0.6%)                        +1.3%

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.

Trading Record

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Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
7/9/20 15:32 T AT&T LONG 1 29.53 7/9 15:32 29.51 n/a $0
Includes Typical Broker Commissions trade costs of $0.02
4/27/20 9:30 VFC VF LONG 55 55.43 7/7 9:30 62.03 0.35%
Trade id #128750299
Max drawdown($259)
Time5/14/20 0:00
Quant open55
Worst price50.72
Drawdown as % of equity-0.35%
$362
Includes Typical Broker Commissions trade costs of $1.10
4/27/20 9:30 HON HONEYWELL INTERNATIONAL LONG 22 136.53 7/7 9:30 145.79 0.58%
Trade id #128750328
Max drawdown($427)
Time5/14/20 0:00
Quant open22
Worst price117.11
Drawdown as % of equity-0.58%
$204
Includes Typical Broker Commissions trade costs of $0.44
4/28/20 15:36 MSM MSC INDUSTRIAL DIRECT CO LONG 49 61.46 7/7 9:30 73.35 0.34%
Trade id #128775958
Max drawdown($253)
Time5/14/20 0:00
Quant open49
Worst price56.29
Drawdown as % of equity-0.34%
$582
Includes Typical Broker Commissions trade costs of $0.98
4/28/20 15:35 EMN EASTMAN CHEMICAL LONG 49 60.73 7/7 9:30 70.65 0.23%
Trade id #128775956
Max drawdown($168)
Time5/14/20 0:00
Quant open49
Worst price57.30
Drawdown as % of equity-0.23%
$485
Includes Typical Broker Commissions trade costs of $0.98
1/24/20 13:40 UPS UNITED PARCEL SERVICE LONG 55 114.92 7/7 9:30 105.88 1.63%
Trade id #127212420
Max drawdown($1,156)
Time2/26/20 0:00
Quant open50
Worst price93.18
Drawdown as % of equity-1.63%
($498)
Includes Typical Broker Commissions trade costs of $1.10
4/27/20 9:30 JPM JPMORGAN CHASE LONG 33 91.94 7/7 9:30 94.27 0.43%
Trade id #128750323
Max drawdown($314)
Time5/14/20 0:00
Quant open33
Worst price82.40
Drawdown as % of equity-0.43%
$76
Includes Typical Broker Commissions trade costs of $0.66
4/28/20 15:35 WFC WELLS FARGO LONG 103 29.05 7/7 9:30 25.47 0.98%
Trade id #128775952
Max drawdown($726)
Time5/13/20 0:00
Quant open103
Worst price22.00
Drawdown as % of equity-0.98%
($371)
Includes Typical Broker Commissions trade costs of $2.06
4/27/20 9:30 ABBV ABBVIE INC LONG 36 84.03 7/7 9:30 99.06 0.17%
Trade id #128750314
Max drawdown($127)
Time5/1/20 0:00
Quant open36
Worst price80.50
Drawdown as % of equity-0.17%
$540
Includes Typical Broker Commissions trade costs of $0.72
1/24/20 13:38 DIS WALT DISNEY LONG 69 128.36 7/7 9:30 114.70 3.17%
Trade id #127212375
Max drawdown($2,365)
Time3/18/20 0:00
Quant open48
Worst price79.07
Drawdown as % of equity-3.17%
($944)
Includes Typical Broker Commissions trade costs of $1.38
4/28/20 15:34 NHI NATIONAL HEALTH INVESTORS LONG 55 55.12 7/7 9:30 61.52 0.81%
Trade id #128775931
Max drawdown($596)
Time5/14/20 0:00
Quant open55
Worst price44.27
Drawdown as % of equity-0.81%
$351
Includes Typical Broker Commissions trade costs of $1.10
4/27/20 9:30 LAZ LAZARD LONG 125 24.33 7/7 9:30 29.00 0.19%
Trade id #128750307
Max drawdown($143)
Time5/14/20 0:00
Quant open125
Worst price23.18
Drawdown as % of equity-0.19%
$582
Includes Typical Broker Commissions trade costs of $2.50
4/28/20 15:33 GLW CORNING LONG 134 22.38 7/7 9:30 26.37 0.65%
Trade id #128775928
Max drawdown($477)
Time5/14/20 0:00
Quant open134
Worst price18.82
Drawdown as % of equity-0.65%
$532
Includes Typical Broker Commissions trade costs of $2.68
7/2/20 15:58 UWM PROSHARES ULTRA RUSSELL2000 LONG 780 47.86 7/7 9:30 47.92 0.2%
Trade id #129885246
Max drawdown($156)
Time7/7/20 9:30
Quant open780
Worst price47.66
Drawdown as % of equity-0.20%
$42
Includes Typical Broker Commissions trade costs of $5.00
4/27/20 9:30 HAS HASBRO LONG 40 75.70 7/7 9:30 75.52 0.84%
Trade id #128750303
Max drawdown($620)
Time5/14/20 0:00
Quant open40
Worst price60.20
Drawdown as % of equity-0.84%
($8)
Includes Typical Broker Commissions trade costs of $0.80
4/28/20 15:32 GEO GEO GROUP LONG 234 12.83 7/7 9:30 11.79 0.87%
Trade id #128775920
Max drawdown($645)
Time5/15/20 0:00
Quant open234
Worst price10.07
Drawdown as % of equity-0.87%
($247)
Includes Typical Broker Commissions trade costs of $4.68
7/1/20 15:59 SSO PROSHARES ULTRA S&P500 LONG 291 126.62 7/2 15:57 127.55 n/a $265
Includes Typical Broker Commissions trade costs of $5.82
4/27/20 9:31 CMP COMPASS MINERALS SHORT 68 44.61 7/2 15:39 49.73 0.95%
Trade id #128750334
Max drawdown($722)
Time6/8/20 0:00
Quant open68
Worst price55.23
Drawdown as % of equity-0.95%
($349)
Includes Typical Broker Commissions trade costs of $1.36
4/27/20 9:30 DFS DISCOVER FINANCIAL SHORT 83 37.00 7/2 15:39 49.47 3.28%
Trade id #128750313
Max drawdown($2,470)
Time6/5/20 0:00
Quant open83
Worst price66.77
Drawdown as % of equity-3.28%
($1,037)
Includes Typical Broker Commissions trade costs of $1.66
4/27/20 9:30 IVZ INVESCO SHORT 386 7.90 7/2 15:39 10.65 2%
Trade id #128750312
Max drawdown($1,493)
Time6/23/20 0:00
Quant open386
Worst price11.77
Drawdown as % of equity-2.00%
($1,071)
Includes Typical Broker Commissions trade costs of $7.72
4/27/20 9:30 PM PHILIP MORRIS SHORT 41 74.05 7/2 15:39 70.80 0.24%
Trade id #128750311
Max drawdown($180)
Time4/28/20 0:00
Quant open41
Worst price78.46
Drawdown as % of equity-0.24%
$132
Includes Typical Broker Commissions trade costs of $0.82
4/3/20 9:30 HP HELMERICH & PAYNE SHORT 169 17.18 7/2 15:38 18.80 2.62%
Trade id #128403506
Max drawdown($1,988)
Time6/8/20 0:00
Quant open169
Worst price28.94
Drawdown as % of equity-2.62%
($277)
Includes Typical Broker Commissions trade costs of $3.38
2/26/20 9:31 AROC ARCHROCK INC SHORT 323 7.51 7/2 15:38 6.68 0.04%
Trade id #127718772
Max drawdown($29)
Time2/26/20 10:39
Quant open323
Worst price7.60
Drawdown as % of equity-0.04%
$262
Includes Typical Broker Commissions trade costs of $6.46
2/26/20 9:31 GIS GENERAL MILLS SHORT 50 53.39 7/2 15:38 61.40 0.74%
Trade id #127718763
Max drawdown($546)
Time5/14/20 0:00
Quant open50
Worst price64.31
Drawdown as % of equity-0.74%
($402)
Includes Typical Broker Commissions trade costs of $1.00
2/26/20 9:31 K KELLOGG SHORT 47 63.86 7/2 15:38 66.41 0.34%
Trade id #127718754
Max drawdown($255)
Time3/18/20 0:00
Quant open38
Worst price70.36
Drawdown as % of equity-0.34%
($121)
Includes Typical Broker Commissions trade costs of $0.94
2/26/20 9:31 IBM INTERNATIONAL BUSINESS MACHINE SHORT 24 137.84 7/2 15:38 120.01 0.03%
Trade id #127718752
Max drawdown($19)
Time2/26/20 10:53
Quant open17
Worst price144.06
Drawdown as % of equity-0.03%
$428
Includes Typical Broker Commissions trade costs of $0.48
2/26/20 9:31 EXPE EXPEDIA SHORT 45 87.91 7/2 15:38 85.60 0%
Trade id #127718750
Max drawdown($3)
Time2/26/20 9:44
Quant open22
Worst price109.54
Drawdown as % of equity-0.00%
$103
Includes Typical Broker Commissions trade costs of $0.90
2/26/20 9:31 TAP MOLSON COORS BEVERAGE CO SHORT 70 48.80 7/2 15:38 35.60 0.1%
Trade id #127718746
Max drawdown($74)
Time2/26/20 11:27
Quant open47
Worst price53.13
Drawdown as % of equity-0.10%
$923
Includes Typical Broker Commissions trade costs of $1.40
4/27/20 9:31 AOS A.O.SMITH CORP LONG 75 40.63 4/28 15:30 43.50 n/a $214
Includes Typical Broker Commissions trade costs of $1.50
12/13/19 11:51 JNJ JOHNSON & JOHNSON LONG 75 143.26 4/28/20 15:30 150.08 1.99%
Trade id #126617510
Max drawdown($1,398)
Time3/23/20 0:00
Quant open41
Worst price109.16
Drawdown as % of equity-1.99%
$511
Includes Typical Broker Commissions trade costs of $1.50

Statistics

  • Strategy began
    12/12/2018
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    600.64
  • Age
    20 months ago
  • What it trades
    Stocks
  • # Trades
    128
  • # Profitable
    84
  • % Profitable
    65.60%
  • Avg trade duration
    62.1 days
  • Max peak-to-valley drawdown
    14.47%
  • drawdown period
    April 08, 2019 - Aug 27, 2019
  • Annual Return (Compounded)
    22.5%
  • Avg win
    $525.52
  • Avg loss
    $484.70
  • Model Account Values (Raw)
  • Cash
    $40,345
  • Margin Used
    $0
  • Buying Power
    $40,408
  • Ratios
  • W:L ratio
    2.32:1
  • Sharpe Ratio
    1.32
  • Sortino Ratio
    2.15
  • Calmar Ratio
    2.151
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    15.65%
  • Correlation to SP500
    0.36630
  • Return Percent SP500 (cumu) during strategy life
    24.27%
  • Return Statistics
  • Ann Return (w trading costs)
    22.5%
  • Slump
  • Current Slump as Pcnt Equity
    2.30%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.05%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.225%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    24.9%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    n/a
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    556
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    765
  • Popularity (7 days, Percentile 1000 scale)
    493
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Strat abandoned?
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $485
  • Avg Win
    $531
  • Sum Trade PL (losers)
    $21,842.000
  • Age
  • Num Months filled monthly returns table
    21
  • Win / Loss
  • Sum Trade PL (winners)
    $44,085.000
  • # Winners
    83
  • Num Months Winners
    12
  • Dividends
  • Dividends Received in Model Acct
    1661
  • Win / Loss
  • # Losers
    45
  • % Winners
    64.8%
  • Frequency
  • Avg Position Time (mins)
    89480.80
  • Avg Position Time (hrs)
    1491.35
  • Avg Trade Length
    62.1 days
  • Last Trade Ago
    5
  • Leverage
  • Daily leverage (average)
    0.90
  • Daily leverage (max)
    2.01
  • Regression
  • Alpha
    0.05
  • Beta
    0.16
  • Treynor Index
    0.33
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    26.19
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    36.73
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    6.50
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    3.934
  • 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
    0.376
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.892
  • Hold-and-Hope Ratio
    0.262
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.26175
  • SD
    0.23745
  • Sharpe ratio (Glass type estimate)
    1.10235
  • Sharpe ratio (Hedges UMVUE)
    1.04972
  • df
    16.00000
  • t
    1.31206
  • p
    0.34416
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.60359
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.77586
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.63667
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.73610
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.99945
  • Upside Potential Ratio
    5.34101
  • Upside part of mean
    0.34955
  • Downside part of mean
    -0.08780
  • Upside SD
    0.23343
  • Downside SD
    0.06545
  • N nonnegative terms
    11.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    17.00000
  • Mean of predictor
    0.12429
  • Mean of criterion
    0.26175
  • SD of predictor
    0.20867
  • SD of criterion
    0.23745
  • Covariance
    0.01678
  • r
    0.33865
  • b (slope, estimate of beta)
    0.38536
  • a (intercept, estimate of alpha)
    0.21385
  • Mean Square Error
    0.05324
  • DF error
    15.00000
  • t(b)
    1.39394
  • p(b)
    0.28861
  • t(a)
    1.08618
  • p(a)
    0.33021
  • Lowerbound of 95% confidence interval for beta
    -0.20389
  • Upperbound of 95% confidence interval for beta
    0.97460
  • Lowerbound of 95% confidence interval for alpha
    -0.20580
  • Upperbound of 95% confidence interval for alpha
    0.63351
  • Treynor index (mean / b)
    0.67924
  • Jensen alpha (a)
    0.21385
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.23524
  • SD
    0.21676
  • Sharpe ratio (Glass type estimate)
    1.08523
  • Sharpe ratio (Hedges UMVUE)
    1.03341
  • df
    16.00000
  • t
    1.29168
  • p
    0.34635
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.61916
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.75768
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.65176
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.71859
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.49717
  • Upside Potential Ratio
    4.83240
  • Upside part of mean
    0.32505
  • Downside part of mean
    -0.08981
  • Upside SD
    0.21050
  • Downside SD
    0.06727
  • N nonnegative terms
    11.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    17.00000
  • Mean of predictor
    0.10162
  • Mean of criterion
    0.23524
  • SD of predictor
    0.21974
  • SD of criterion
    0.21676
  • Covariance
    0.01605
  • r
    0.33694
  • b (slope, estimate of beta)
    0.33238
  • a (intercept, estimate of alpha)
    0.20146
  • Mean Square Error
    0.04443
  • DF error
    15.00000
  • t(b)
    1.38602
  • p(b)
    0.28963
  • t(a)
    1.12699
  • p(a)
    0.32447
  • Lowerbound of 95% confidence interval for beta
    -0.17876
  • Upperbound of 95% confidence interval for beta
    0.84351
  • Lowerbound of 95% confidence interval for alpha
    -0.17956
  • Upperbound of 95% confidence interval for alpha
    0.58248
  • Treynor index (mean / b)
    0.70774
  • Jensen alpha (a)
    0.20146
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07995
  • Expected Shortfall on VaR
    0.10345
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01292
  • Expected Shortfall on VaR
    0.02928
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    17.00000
  • Minimum
    0.93619
  • Quartile 1
    1.00038
  • Median
    1.00557
  • Quartile 3
    1.01810
  • Maximum
    1.25768
  • Mean of quarter 1
    0.97766
  • Mean of quarter 2
    1.00359
  • Mean of quarter 3
    1.01489
  • Mean of quarter 4
    1.11204
  • Inter Quartile Range
    0.01773
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.11765
  • Mean of outliers low
    0.94957
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.23529
  • Mean of outliers high
    1.11204
  • 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)
    0.58927
  • VaR(95%) (regression method)
    0.04334
  • Expected Shortfall (regression method)
    0.14196
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.00315
  • Quartile 1
    0.02852
  • Median
    0.05388
  • Quartile 3
    0.07925
  • Maximum
    0.10462
  • Mean of quarter 1
    0.00315
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.10462
  • Inter Quartile Range
    0.05074
  • 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)
    0.31890
  • Compounded annual return (geometric extrapolation)
    0.30101
  • Calmar ratio (compounded annual return / max draw down)
    2.87721
  • Compounded annual return / average of 25% largest draw downs
    2.87721
  • Compounded annual return / Expected Shortfall lognormal
    2.90974
  • 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
    0.23020
  • SD
    0.13144
  • Sharpe ratio (Glass type estimate)
    1.75139
  • Sharpe ratio (Hedges UMVUE)
    1.74797
  • df
    384.00000
  • t
    2.12306
  • p
    0.01719
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.12870
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.37186
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.12640
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.36953
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.90038
  • Upside Potential Ratio
    10.20240
  • Upside part of mean
    0.80976
  • Downside part of mean
    -0.57956
  • Upside SD
    0.10552
  • Downside SD
    0.07937
  • N nonnegative terms
    190.00000
  • N negative terms
    195.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    385.00000
  • Mean of predictor
    0.16365
  • Mean of criterion
    0.23020
  • SD of predictor
    0.29452
  • SD of criterion
    0.13144
  • Covariance
    0.01254
  • r
    0.32387
  • b (slope, estimate of beta)
    0.14453
  • a (intercept, estimate of alpha)
    0.20700
  • Mean Square Error
    0.01550
  • DF error
    383.00000
  • t(b)
    6.69933
  • p(b)
    0.00000
  • t(a)
    2.00963
  • p(a)
    0.02259
  • Lowerbound of 95% confidence interval for beta
    0.10211
  • Upperbound of 95% confidence interval for beta
    0.18695
  • Lowerbound of 95% confidence interval for alpha
    0.00447
  • Upperbound of 95% confidence interval for alpha
    0.40863
  • Treynor index (mean / b)
    1.59271
  • Jensen alpha (a)
    0.20655
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.22151
  • SD
    0.13098
  • Sharpe ratio (Glass type estimate)
    1.69120
  • Sharpe ratio (Hedges UMVUE)
    1.68789
  • df
    384.00000
  • t
    2.05010
  • p
    0.02052
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.06886
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.31139
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.06665
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.30914
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.76487
  • Upside Potential Ratio
    10.03800
  • Upside part of mean
    0.80419
  • Downside part of mean
    -0.58269
  • Upside SD
    0.10430
  • Downside SD
    0.08011
  • N nonnegative terms
    190.00000
  • N negative terms
    195.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    385.00000
  • Mean of predictor
    0.11999
  • Mean of criterion
    0.22151
  • SD of predictor
    0.29645
  • SD of criterion
    0.13098
  • Covariance
    0.01257
  • r
    0.32372
  • b (slope, estimate of beta)
    0.14303
  • a (intercept, estimate of alpha)
    0.20434
  • Mean Square Error
    0.01540
  • DF error
    383.00000
  • t(b)
    6.69595
  • p(b)
    0.00000
  • t(a)
    1.99567
  • p(a)
    0.02334
  • Lowerbound of 95% confidence interval for beta
    0.10103
  • Upperbound of 95% confidence interval for beta
    0.18502
  • Lowerbound of 95% confidence interval for alpha
    0.00302
  • Upperbound of 95% confidence interval for alpha
    0.40567
  • Treynor index (mean / b)
    1.54873
  • Jensen alpha (a)
    0.20434
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01239
  • Expected Shortfall on VaR
    0.01572
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00510
  • Expected Shortfall on VaR
    0.01034
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    385.00000
  • Minimum
    0.96445
  • Quartile 1
    0.99716
  • Median
    1.00008
  • Quartile 3
    1.00461
  • Maximum
    1.04181
  • Mean of quarter 1
    0.99242
  • Mean of quarter 2
    0.99900
  • Mean of quarter 3
    1.00204
  • Mean of quarter 4
    1.01056
  • Inter Quartile Range
    0.00745
  • Number outliers low
    12.00000
  • Percentage of outliers low
    0.03117
  • Mean of outliers low
    0.97950
  • Number of outliers high
    12.00000
  • Percentage of outliers high
    0.03117
  • Mean of outliers high
    1.02747
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.27057
  • VaR(95%) (moments method)
    0.00742
  • Expected Shortfall (moments method)
    0.01225
  • Extreme Value Index (regression method)
    0.26356
  • VaR(95%) (regression method)
    0.00665
  • Expected Shortfall (regression method)
    0.01059
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    16.00000
  • Minimum
    0.00045
  • Quartile 1
    0.00310
  • Median
    0.01300
  • Quartile 3
    0.02358
  • Maximum
    0.13171
  • Mean of quarter 1
    0.00162
  • Mean of quarter 2
    0.00796
  • Mean of quarter 3
    0.01610
  • Mean of quarter 4
    0.06842
  • Inter Quartile Range
    0.02048
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.12500
  • Mean of outliers high
    0.10543
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.37965
  • VaR(95%) (moments method)
    0.07375
  • Expected Shortfall (moments method)
    0.13990
  • Extreme Value Index (regression method)
    2.64085
  • VaR(95%) (regression method)
    0.08883
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.30125
  • Compounded annual return (geometric extrapolation)
    0.28327
  • Calmar ratio (compounded annual return / max draw down)
    2.15071
  • Compounded annual return / average of 25% largest draw downs
    4.14048
  • Compounded annual return / Expected Shortfall lognormal
    18.02430
  • 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
    0.03067
  • SD
    0.12321
  • Sharpe ratio (Glass type estimate)
    0.24891
  • Sharpe ratio (Hedges UMVUE)
    0.24747
  • df
    130.00000
  • t
    0.17601
  • p
    0.49228
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.52342
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.02052
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.52450
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.01944
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.31601
  • Upside Potential Ratio
    6.77677
  • Upside part of mean
    0.65768
  • Downside part of mean
    -0.62701
  • Upside SD
    0.07517
  • Downside SD
    0.09705
  • 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
    0.09127
  • Mean of criterion
    0.03067
  • SD of predictor
    0.46051
  • SD of criterion
    0.12321
  • Covariance
    0.02086
  • r
    0.36770
  • b (slope, estimate of beta)
    0.09838
  • a (intercept, estimate of alpha)
    0.02169
  • Mean Square Error
    0.01323
  • DF error
    129.00000
  • t(b)
    4.49084
  • p(b)
    0.27130
  • t(a)
    0.13333
  • p(a)
    0.49253
  • Lowerbound of 95% confidence interval for beta
    0.05504
  • Upperbound of 95% confidence interval for beta
    0.14172
  • Lowerbound of 95% confidence interval for alpha
    -0.30018
  • Upperbound of 95% confidence interval for alpha
    0.34356
  • Treynor index (mean / b)
    0.31174
  • Jensen alpha (a)
    0.02169
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.02307
  • SD
    0.12394
  • Sharpe ratio (Glass type estimate)
    0.18616
  • Sharpe ratio (Hedges UMVUE)
    0.18508
  • df
    130.00000
  • t
    0.13163
  • p
    0.49423
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.58598
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.95782
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.58682
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.95698
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.23475
  • Upside Potential Ratio
    6.66203
  • Upside part of mean
    0.65481
  • Downside part of mean
    -0.63174
  • Upside SD
    0.07474
  • Downside SD
    0.09829
  • 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
    -0.01499
  • Mean of criterion
    0.02307
  • SD of predictor
    0.46409
  • SD of criterion
    0.12394
  • Covariance
    0.02089
  • r
    0.36322
  • b (slope, estimate of beta)
    0.09700
  • a (intercept, estimate of alpha)
    0.02453
  • Mean Square Error
    0.01344
  • DF error
    129.00000
  • t(b)
    4.42777
  • p(b)
    0.27396
  • t(a)
    0.14961
  • p(a)
    0.49162
  • VAR (95 Confidence Intrvl)
    0.01200
  • Lowerbound of 95% confidence interval for beta
    0.05366
  • Upperbound of 95% confidence interval for beta
    0.14035
  • Lowerbound of 95% confidence interval for alpha
    -0.29984
  • Upperbound of 95% confidence interval for alpha
    0.34889
  • Treynor index (mean / b)
    0.23786
  • Jensen alpha (a)
    0.02453
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01243
  • Expected Shortfall on VaR
    0.01558
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00555
  • Expected Shortfall on VaR
    0.01173
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96445
  • Quartile 1
    0.99746
  • Median
    1.00000
  • Quartile 3
    1.00391
  • Maximum
    1.01927
  • Mean of quarter 1
    0.99160
  • Mean of quarter 2
    0.99911
  • Mean of quarter 3
    1.00183
  • Mean of quarter 4
    1.00839
  • Inter Quartile Range
    0.00645
  • Number outliers low
    7.00000
  • Percentage of outliers low
    0.05344
  • Mean of outliers low
    0.97773
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.02290
  • Mean of outliers high
    1.01759
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.56801
  • VaR(95%) (moments method)
    0.00859
  • Expected Shortfall (moments method)
    0.02183
  • Extreme Value Index (regression method)
    0.33806
  • VaR(95%) (regression method)
    0.00767
  • Expected Shortfall (regression method)
    0.01384
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00248
  • Quartile 1
    0.00656
  • Median
    0.01151
  • Quartile 3
    0.02711
  • Maximum
    0.07832
  • Mean of quarter 1
    0.00430
  • Mean of quarter 2
    0.00787
  • Mean of quarter 3
    0.01515
  • Mean of quarter 4
    0.05471
  • Inter Quartile Range
    0.02055
  • 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
    0.16667
  • Mean of outliers high
    0.07832
  • 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?
    -260538000
  • Max Equity Drawdown (num days)
    141
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.05164
  • Compounded annual return (geometric extrapolation)
    0.05230
  • Calmar ratio (compounded annual return / max draw down)
    0.66782
  • Compounded annual return / average of 25% largest draw downs
    0.95604
  • Compounded annual return / Expected Shortfall lognormal
    3.35701

Strategy Description

The goal is to beat the returns of the S & P 500 with less volatility of the index especially in times of market downturns, We attempt this by buying high quality, dividend bearing stocks. All stocks are from the S & P 500 & only the best of the best are chosen for this portfolio. With these high quality stocks the vision is to match or beat the market in times of sustained growth and play the defensive part in times of market downturns. We also short stocks that, in our opinion, are of poor quality. In times of market growth the vision is to still have moderate gains on these stocks. And in times of market downturns the vision is to have these stocks flourish and serve as the defensive catalyst. Our main objective of this system is capital preservation while sustaining moderate growth.

Summary Statistics

Strategy began
2018-12-12
Suggested Minimum Capital
$35,000
Rank at C2 
#148
# Trades
128
# Profitable
84
% Profitable
65.6%
Net Dividends
Correlation S&P500
0.366
Sharpe Ratio
1.32
Sortino Ratio
2.15
Beta
0.16
Alpha
0.05
Leverage
0.90 Average
2.01 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

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

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

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

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

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

Latest Activity

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subscribed on started simulation #SUBSCRIBEDDATE#

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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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.