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Featured Strategy IC Algotrading Trades-Own-Strategy Certified Trades-Own-Strategy Certification Hypothetical

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This is an archived track record. This track record was archived on 1/4/20 16:14 ET. (See latest track record)
These are hypothetical performance results that have certain inherent limitations. Learn more
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Journey to wealth
(121470191)

Created by: LONGTERM LONGTERM
Started: 12/2018
Stocks
Last trade: 1,565 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 $99.00 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."
29.6%
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.

(17.3%)
Max Drawdown
54
Num Trades
66.7%
Win Trades
2.5 : 1
Profit Factor
13.8%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2018                                                                             (8.9%)(8.9%)
2019+17.0%+5.0%+2.0%+13.8%(3.9%)+0.5%(0.9%)(7.9%)+3.3%(2.4%)+0.2%+10.9%+41.0%
2020+1.1%  -    -    -    -    -    -    -    -    -    -    -  +1.1%
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -    -                                                  0.0

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

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
12/9/19 9:31 APA APA CORP LONG 241 19.78 1/4/20 16:14 25.69 0.24%
Trade id #126540853
Max drawdown($57)
Time12/9/19 9:32
Quant open241
Worst price19.54
Drawdown as % of equity-0.24%
 $1,419
Includes Typical Broker Commissions trade costs of $4.82
12/9/19 9:31 LB L BRANDS INC LONG 271 17.75 1/4/20 16:14 18.86 0.87%
Trade id #126540849
Max drawdown($205)
Time12/10/19 0:00
Quant open271
Worst price16.99
Drawdown as % of equity-0.87%
 $296
Includes Typical Broker Commissions trade costs of $5.42
4/22/19 9:36 NLSN NIELSEN NV LONG 239 21.60 1/4/20 16:14 20.08 2.08%
Trade id #123384567
Max drawdown($516)
Time12/17/19 0:00
Quant open239
Worst price19.44
Drawdown as % of equity-2.08%
 ($369)
Includes Typical Broker Commissions trade costs of $4.78
4/11/19 15:04 NOV NATIONAL OILWELL VARCO INC. LONG 234 25.21 1/4/20 16:14 25.58 2.5%
Trade id #123286605
Max drawdown($583)
Time8/15/19 0:00
Quant open52
Worst price18.05
Drawdown as % of equity-2.50%
 $81
Includes Typical Broker Commissions trade costs of $4.68
4/11/19 15:03 HAL HALLIBURTON LONG 236 24.80 1/4/20 16:14 25.36 3.21%
Trade id #123286599
Max drawdown($732)
Time8/28/19 0:00
Quant open52
Worst price16.97
Drawdown as % of equity-3.21%
 $128
Includes Typical Broker Commissions trade costs of $4.72
4/22/19 9:36 TAP MOLSON COORS BEVERAGE CO LONG 25 61.49 12/9 9:31 51.06 1.24%
Trade id #123384565
Max drawdown($291)
Time12/3/19 0:00
Quant open25
Worst price49.82
Drawdown as % of equity-1.24%
 ($262)
Includes Typical Broker Commissions trade costs of $0.50
4/11/19 15:03 PRGO PERRIGO COMPANY PLC LONG 44 50.00 12/9 9:31 50.89 1.11%
Trade id #123286581
Max drawdown($279)
Time5/31/19 0:00
Quant open30
Worst price40.68
Drawdown as % of equity-1.11%
 $38
Includes Typical Broker Commissions trade costs of $0.88
4/22/19 9:36 GILD GILEAD SCIENCES LONG 24 62.78 12/9 9:31 67.18 0.19%
Trade id #123384563
Max drawdown($45)
Time10/3/19 0:00
Quant open24
Worst price60.89
Drawdown as % of equity-0.19%
 $106
Includes Typical Broker Commissions trade costs of $0.48
4/11/19 15:03 RRC RANGE RESOURCES LONG 211 10.29 12/9 9:31 5.64 4.44%
Trade id #123286586
Max drawdown($1,033)
Time10/9/19 0:00
Quant open147
Worst price3.26
Drawdown as % of equity-4.44%
 ($986)
Includes Typical Broker Commissions trade costs of $4.22
4/22/19 9:36 ADS ALLIANCE DATA SYSTEMS LONG 9 161.99 12/9 9:31 105.03 2.38%
Trade id #123384561
Max drawdown($565)
Time10/31/19 0:00
Quant open9
Worst price99.20
Drawdown as % of equity-2.38%
 ($513)
Includes Typical Broker Commissions trade costs of $0.18
4/11/19 15:02 BEN FRANKLIN RESOURCES INC LONG 64 34.98 12/9 9:31 29.59 1.77%
Trade id #123286544
Max drawdown($404)
Time8/28/19 0:00
Quant open43
Worst price25.57
Drawdown as % of equity-1.77%
 ($346)
Includes Typical Broker Commissions trade costs of $1.28
4/22/19 9:36 AGN ALLERGAN INC LONG 11 139.46 12/9 9:31 186.12 1.15%
Trade id #123384556
Max drawdown($277)
Time6/17/19 0:00
Quant open11
Worst price114.27
Drawdown as % of equity-1.15%
 $513
Includes Typical Broker Commissions trade costs of $0.22
4/11/19 15:03 F FORD MOTOR LONG 238 9.38 12/9 9:31 9.17 0.64%
Trade id #123286594
Max drawdown($151)
Time10/2/19 0:00
Quant open161
Worst price8.44
Drawdown as % of equity-0.64%
 ($56)
Includes Typical Broker Commissions trade costs of $4.76
4/11/19 15:03 COTY COTY INC LONG 200 11.18 5/17 14:51 12.84 0.23%
Trade id #123286570
Max drawdown($62)
Time4/30/19 14:22
Quant open135
Worst price10.72
Drawdown as % of equity-0.23%
 $327
Includes Typical Broker Commissions trade costs of $4.00
4/1/19 9:31 SSI STAGE STORES LONG 1,398 1.06 4/11 14:57 1.08 0.48%
Trade id #123150503
Max drawdown($111)
Time4/1/19 11:53
Quant open1,398
Worst price0.98
Drawdown as % of equity-0.48%
 $23
Includes Typical Broker Commissions trade costs of $5.00
4/1/19 9:31 SNCR SYNCHRONOSS LONG 237 6.10 4/11 14:56 5.63 0.59%
Trade id #123150480
Max drawdown($137)
Time4/8/19 11:52
Quant open237
Worst price5.52
Drawdown as % of equity-0.59%
 ($116)
Includes Typical Broker Commissions trade costs of $4.74
4/1/19 9:31 OMI OWENS & MINOR INC LONG 351 4.12 4/11 14:56 3.74 0.55%
Trade id #123150405
Max drawdown($150)
Time4/11/19 10:59
Quant open351
Worst price3.69
Drawdown as % of equity-0.55%
 ($140)
Includes Typical Broker Commissions trade costs of $7.02
4/1/19 9:30 NBR NABORS INDUSTRIES LONG 419 3.52 4/11 14:56 3.72 0.06%
Trade id #123150253
Max drawdown($14)
Time4/1/19 9:34
Quant open419
Worst price3.48
Drawdown as % of equity-0.06%
 $76
Includes Typical Broker Commissions trade costs of $8.38
4/1/19 9:31 MHLD MAIDEN HOLDINGS LONG 2,057 0.75 4/11 14:56 0.75 0.18%
Trade id #123150441
Max drawdown($41)
Time4/1/19 18:26
Quant open2,057
Worst price0.73
Drawdown as % of equity-0.18%
 ($1)
Includes Typical Broker Commissions trade costs of $5.00
4/1/19 9:30 HOS HORNBECK OFFSHORE SERVICE LONG 1,161 1.24 4/11 14:56 1.45 0.3%
Trade id #123150325
Max drawdown($69)
Time4/2/19 10:14
Quant open1,161
Worst price1.18
Drawdown as % of equity-0.30%
 $239
Includes Typical Broker Commissions trade costs of $5.00
4/1/19 9:31 FRED FRED'S LONG 583 2.51 4/11 14:56 1.98 1.52%
Trade id #123150492
Max drawdown($355)
Time4/8/19 11:32
Quant open583
Worst price1.90
Drawdown as % of equity-1.52%
 ($314)
Includes Typical Broker Commissions trade costs of $5.00
4/1/19 9:31 ESV ESNCO ROWAN PLC LONG 366 4.00 4/11 14:56 15.90 0.18%
Trade id #123150526
Max drawdown($40)
Time4/4/19 10:37
Quant open366
Worst price3.89
Drawdown as % of equity-0.18%
 $4,348
Includes Typical Broker Commissions trade costs of $7.32
4/1/19 9:30 DF DEAN FOODS LONG 475 3.06 4/11 14:56 2.14 2.03%
Trade id #123150369
Max drawdown($465)
Time4/10/19 13:55
Quant open475
Worst price2.08
Drawdown as % of equity-2.03%
 ($447)
Includes Typical Broker Commissions trade costs of $9.50
4/1/19 9:31 CYH COMMUNITY HEALTH SYSTEMS LONG 382 3.78 4/11 14:56 3.57 0.31%
Trade id #123150434
Max drawdown($84)
Time4/11/19 14:36
Quant open382
Worst price3.56
Drawdown as % of equity-0.31%
 ($88)
Includes Typical Broker Commissions trade costs of $7.64
4/1/19 9:31 AVP AVON PRODUCTS LONG 490 2.97 4/11 14:55 2.86 0.36%
Trade id #123150536
Max drawdown($83)
Time4/8/19 9:20
Quant open490
Worst price2.80
Drawdown as % of equity-0.36%
 ($64)
Includes Typical Broker Commissions trade costs of $9.80
2/11/19 9:30 APA APA CORP LONG 42 29.50 4/1 9:31 34.79 n/a $221
Includes Typical Broker Commissions trade costs of $0.84
2/11/19 9:30 F FORD MOTOR LONG 149 8.41 4/1 9:31 8.77 0.06%
Trade id #122454388
Max drawdown($13)
Time2/14/19 9:34
Quant open149
Worst price8.32
Drawdown as % of equity-0.06%
 $51
Includes Typical Broker Commissions trade costs of $2.98
2/11/19 9:30 FLR FLUOR LONG 36 34.41 4/1 9:31 37.35 n/a $105
Includes Typical Broker Commissions trade costs of $0.72
2/11/19 9:30 HAL HALLIBURTON LONG 42 29.52 4/1 9:31 29.41 0.47%
Trade id #122454397
Max drawdown($105)
Time3/8/19 9:42
Quant open42
Worst price27.01
Drawdown as % of equity-0.47%
 ($5)
Includes Typical Broker Commissions trade costs of $0.84
12/13/18 9:30 SRCL STERICYCLE LONG 41 41.88 4/1/19 9:31 50.63 0.59%
Trade id #121478000
Max drawdown($118)
Time1/14/19 11:24
Quant open41
Worst price38.98
Drawdown as % of equity-0.59%
 $358
Includes Typical Broker Commissions trade costs of $0.82
Next

Statistics

  • Strategy began
    12/12/2018
  • Suggested Minimum Cap
    $20,000
  • Strategy Age (days)
    1944.94
  • Age
    65 months ago
  • What it trades
    Stocks
  • # Trades
    54
  • # Profitable
    36
  • % Profitable
    66.70%
  • Avg trade duration
    80.4 days
  • Max peak-to-valley drawdown
    17.3%
  • drawdown period
    June 05, 2019 - Aug 27, 2019
  • Annual Return (Compounded)
    29.6%
  • Avg win
    $353.94
  • Avg loss
    $295.11
  • Model Account Values (Raw)
  • Cash
    $27,832
  • Margin Used
    $0
  • Buying Power
    $27,832
  • Ratios
  • W:L ratio
    2.47:1
  • Sharpe Ratio
    0.3
  • Sortino Ratio
    0.68
  • Calmar Ratio
    2.188
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    10.01%
  • Correlation to SP500
    0.10380
  • Return Percent SP500 (cumu) during strategy life
    89.44%
  • Return Statistics
  • Ann Return (w trading costs)
    29.6%
  • Slump
  • Current Slump as Pcnt Equity
    5.50%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.91%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.296%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    6.4%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    11.00%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    3.70%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    431
  • Popularity (Last 6 weeks)
    635
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    334
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $295
  • Avg Win
    $354
  • Sum Trade PL (losers)
    $5,312.000
  • Age
  • Num Months filled monthly returns table
    65
  • Win / Loss
  • Sum Trade PL (winners)
    $12,742.000
  • # Winners
    36
  • Num Months Winners
    9
  • Dividends
  • Dividends Received in Model Acct
    403
  • Win / Loss
  • # Losers
    18
  • % Winners
    66.7%
  • Frequency
  • Avg Position Time (mins)
    115794.00
  • Avg Position Time (hrs)
    1929.90
  • Avg Trade Length
    80.4 days
  • Last Trade Ago
    1557
  • Leverage
  • Daily leverage (average)
    0.77
  • Daily leverage (max)
    1.21
  • Regression
  • Alpha
    0.01
  • Beta
    0.05
  • Treynor Index
    0.19
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    30.45
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    60.87
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.13
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    2.447
  • 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
    0.412
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.190
  • Hold-and-Hope Ratio
    0.409
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.26440
  • SD
    0.24498
  • Sharpe ratio (Glass type estimate)
    1.07927
  • Sharpe ratio (Hedges UMVUE)
    0.98632
  • df
    9.00000
  • t
    0.98524
  • p
    0.17513
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.15120
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.25383
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.20853
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.18117
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.53628
  • Upside Potential Ratio
    4.31247
  • Upside part of mean
    0.44956
  • Downside part of mean
    -0.18516
  • Upside SD
    0.22129
  • Downside SD
    0.10425
  • N nonnegative terms
    6.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    10.00000
  • Mean of predictor
    0.18223
  • Mean of criterion
    0.26440
  • SD of predictor
    0.10691
  • SD of criterion
    0.24498
  • Covariance
    0.01457
  • r
    0.55614
  • b (slope, estimate of beta)
    1.27431
  • a (intercept, estimate of alpha)
    0.03218
  • Mean Square Error
    0.04663
  • DF error
    8.00000
  • t(b)
    1.89268
  • p(b)
    0.04752
  • t(a)
    0.12076
  • p(a)
    0.45343
  • Lowerbound of 95% confidence interval for beta
    -0.27829
  • Upperbound of 95% confidence interval for beta
    2.82692
  • Lowerbound of 95% confidence interval for alpha
    -0.58233
  • Upperbound of 95% confidence interval for alpha
    0.64669
  • Treynor index (mean / b)
    0.20748
  • Jensen alpha (a)
    0.03218
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.23573
  • SD
    0.23545
  • Sharpe ratio (Glass type estimate)
    1.00118
  • Sharpe ratio (Hedges UMVUE)
    0.91496
  • df
    9.00000
  • t
    0.91395
  • p
    0.19229
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.21984
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.16987
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.27329
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.10320
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.18173
  • Upside Potential Ratio
    3.94410
  • Upside part of mean
    0.42615
  • Downside part of mean
    -0.19042
  • Upside SD
    0.20700
  • Downside SD
    0.10805
  • N nonnegative terms
    6.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    10.00000
  • Mean of predictor
    0.17540
  • Mean of criterion
    0.23573
  • SD of predictor
    0.10618
  • SD of criterion
    0.23545
  • Covariance
    0.01444
  • r
    0.57753
  • b (slope, estimate of beta)
    1.28065
  • a (intercept, estimate of alpha)
    0.01110
  • Mean Square Error
    0.04157
  • DF error
    8.00000
  • t(b)
    2.00092
  • p(b)
    0.04020
  • t(a)
    0.04440
  • p(a)
    0.48284
  • Lowerbound of 95% confidence interval for beta
    -0.19527
  • Upperbound of 95% confidence interval for beta
    2.75658
  • Lowerbound of 95% confidence interval for alpha
    -0.56532
  • Upperbound of 95% confidence interval for alpha
    0.58752
  • Treynor index (mean / b)
    0.18407
  • Jensen alpha (a)
    0.01110
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.08804
  • Expected Shortfall on VaR
    0.11329
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03098
  • Expected Shortfall on VaR
    0.06110
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    10.00000
  • Minimum
    0.91747
  • Quartile 1
    0.98374
  • Median
    1.02027
  • Quartile 3
    1.04528
  • Maximum
    1.16734
  • Mean of quarter 1
    0.95550
  • Mean of quarter 2
    1.00338
  • Mean of quarter 3
    1.02504
  • Mean of quarter 4
    1.10676
  • Inter Quartile Range
    0.06153
  • 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
    1.16734
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -1.19744
  • VaR(95%) (moments method)
    0.04635
  • Expected Shortfall (moments method)
    0.05000
  • Extreme Value Index (regression method)
    0.69355
  • VaR(95%) (regression method)
    0.09244
  • Expected Shortfall (regression method)
    0.33652
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.11286
  • Quartile 1
    0.11286
  • Median
    0.11286
  • Quartile 3
    0.11286
  • Maximum
    0.11286
  • 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)
    0.29484
  • Compounded annual return (geometric extrapolation)
    0.30166
  • Calmar ratio (compounded annual return / max draw down)
    2.67291
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    2.66261
  • 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
    0.36193
  • SD
    0.23120
  • Sharpe ratio (Glass type estimate)
    1.56545
  • Sharpe ratio (Hedges UMVUE)
    1.56045
  • df
    235.00000
  • t
    1.48575
  • p
    0.06934
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.50611
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.63379
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.50947
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.63037
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.62696
  • Upside Potential Ratio
    11.68170
  • Upside part of mean
    1.16570
  • Downside part of mean
    -0.80377
  • Upside SD
    0.20921
  • Downside SD
    0.09979
  • N nonnegative terms
    124.00000
  • N negative terms
    112.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    236.00000
  • Mean of predictor
    0.20491
  • Mean of criterion
    0.36193
  • SD of predictor
    0.15385
  • SD of criterion
    0.23120
  • Covariance
    0.01166
  • r
    0.32787
  • b (slope, estimate of beta)
    0.49272
  • a (intercept, estimate of alpha)
    0.18500
  • Mean Square Error
    0.04791
  • DF error
    234.00000
  • t(b)
    5.30887
  • p(b)
    0.00000
  • t(a)
    1.12772
  • p(a)
    0.13030
  • Lowerbound of 95% confidence interval for beta
    0.30987
  • Upperbound of 95% confidence interval for beta
    0.67557
  • Lowerbound of 95% confidence interval for alpha
    -0.19495
  • Upperbound of 95% confidence interval for alpha
    0.71688
  • Treynor index (mean / b)
    0.73456
  • Jensen alpha (a)
    0.26097
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.33659
  • SD
    0.22122
  • Sharpe ratio (Glass type estimate)
    1.52153
  • Sharpe ratio (Hedges UMVUE)
    1.51667
  • df
    235.00000
  • t
    1.44406
  • p
    0.07503
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.54970
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.58961
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.55298
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.58632
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.34243
  • Upside Potential Ratio
    11.37320
  • Upside part of mean
    1.14532
  • Downside part of mean
    -0.80873
  • Upside SD
    0.19754
  • Downside SD
    0.10070
  • N nonnegative terms
    124.00000
  • N negative terms
    112.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    236.00000
  • Mean of predictor
    0.19304
  • Mean of criterion
    0.33659
  • SD of predictor
    0.15380
  • SD of criterion
    0.22122
  • Covariance
    0.01175
  • r
    0.34540
  • b (slope, estimate of beta)
    0.49680
  • a (intercept, estimate of alpha)
    0.24069
  • Mean Square Error
    0.04328
  • DF error
    234.00000
  • t(b)
    5.63010
  • p(b)
    0.00000
  • t(a)
    1.09470
  • p(a)
    0.13739
  • Lowerbound of 95% confidence interval for beta
    0.32296
  • Upperbound of 95% confidence interval for beta
    0.67065
  • Lowerbound of 95% confidence interval for alpha
    -0.19249
  • Upperbound of 95% confidence interval for alpha
    0.67387
  • Treynor index (mean / b)
    0.67752
  • Jensen alpha (a)
    0.24069
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02097
  • Expected Shortfall on VaR
    0.02654
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00685
  • Expected Shortfall on VaR
    0.01338
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    236.00000
  • Minimum
    0.96618
  • Quartile 1
    0.99579
  • Median
    1.00076
  • Quartile 3
    1.00570
  • Maximum
    1.16748
  • Mean of quarter 1
    0.98968
  • Mean of quarter 2
    0.99830
  • Mean of quarter 3
    1.00313
  • Mean of quarter 4
    1.01485
  • Inter Quartile Range
    0.00991
  • Number outliers low
    7.00000
  • Percentage of outliers low
    0.02966
  • Mean of outliers low
    0.97548
  • Number of outliers high
    8.00000
  • Percentage of outliers high
    0.03390
  • Mean of outliers high
    1.04339
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.08466
  • VaR(95%) (moments method)
    0.00977
  • Expected Shortfall (moments method)
    0.01382
  • Extreme Value Index (regression method)
    0.22643
  • VaR(95%) (regression method)
    0.00967
  • Expected Shortfall (regression method)
    0.01487
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    11.00000
  • Minimum
    0.00267
  • Quartile 1
    0.01735
  • Median
    0.02006
  • Quartile 3
    0.04073
  • Maximum
    0.11696
  • Mean of quarter 1
    0.01188
  • Mean of quarter 2
    0.01918
  • Mean of quarter 3
    0.02380
  • Mean of quarter 4
    0.09487
  • Inter Quartile Range
    0.02337
  • 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
    0.18182
  • Mean of outliers high
    0.11526
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -1319.32000
  • VaR(95%) (moments method)
    0.09502
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -5.13143
  • VaR(95%) (regression method)
    0.23976
  • Expected Shortfall (regression method)
    0.23980
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.43146
  • Compounded annual return (geometric extrapolation)
    0.43979
  • Calmar ratio (compounded annual return / max draw down)
    3.76015
  • Compounded annual return / average of 25% largest draw downs
    4.63598
  • Compounded annual return / Expected Shortfall lognormal
    16.57400
  • 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
    0.07990
  • SD
    0.12792
  • Sharpe ratio (Glass type estimate)
    0.62464
  • Sharpe ratio (Hedges UMVUE)
    0.62103
  • df
    130.00000
  • t
    0.44169
  • p
    0.48064
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.14930
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.39640
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.15181
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.39386
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.91239
  • Upside Potential Ratio
    8.71867
  • Upside part of mean
    0.76353
  • Downside part of mean
    -0.68363
  • Upside SD
    0.09270
  • Downside SD
    0.08757
  • N nonnegative terms
    67.00000
  • N negative terms
    64.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.21442
  • Mean of criterion
    0.07990
  • SD of predictor
    0.14726
  • SD of criterion
    0.12792
  • Covariance
    0.00822
  • r
    0.43632
  • b (slope, estimate of beta)
    0.37901
  • a (intercept, estimate of alpha)
    -0.00136
  • Mean Square Error
    0.01335
  • DF error
    129.00000
  • t(b)
    5.50751
  • p(b)
    0.23131
  • t(a)
    -0.00832
  • p(a)
    0.50047
  • Lowerbound of 95% confidence interval for beta
    0.24285
  • Upperbound of 95% confidence interval for beta
    0.51517
  • Lowerbound of 95% confidence interval for alpha
    -0.32598
  • Upperbound of 95% confidence interval for alpha
    0.32325
  • Treynor index (mean / b)
    0.21082
  • Jensen alpha (a)
    -0.00136
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.07176
  • SD
    0.12795
  • Sharpe ratio (Glass type estimate)
    0.56086
  • Sharpe ratio (Hedges UMVUE)
    0.55762
  • df
    130.00000
  • t
    0.39659
  • p
    0.48262
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.21275
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.33254
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.21502
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.33025
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.81163
  • Upside Potential Ratio
    8.58654
  • Upside part of mean
    0.75920
  • Downside part of mean
    -0.68744
  • Upside SD
    0.09191
  • Downside SD
    0.08842
  • N nonnegative terms
    67.00000
  • N negative terms
    64.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.20351
  • Mean of criterion
    0.07176
  • SD of predictor
    0.14776
  • SD of criterion
    0.12795
  • Covariance
    0.00830
  • r
    0.43883
  • b (slope, estimate of beta)
    0.37999
  • a (intercept, estimate of alpha)
    -0.00557
  • Mean Square Error
    0.01332
  • DF error
    129.00000
  • t(b)
    5.54675
  • p(b)
    0.22988
  • t(a)
    -0.03399
  • p(a)
    0.50191
  • VAR (95 Confidence Intrvl)
    0.01700
  • Lowerbound of 95% confidence interval for beta
    0.24445
  • Upperbound of 95% confidence interval for beta
    0.51554
  • Lowerbound of 95% confidence interval for alpha
    -0.32969
  • Upperbound of 95% confidence interval for alpha
    0.31855
  • Treynor index (mean / b)
    0.18885
  • Jensen alpha (a)
    -0.00557
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01265
  • Expected Shortfall on VaR
    0.01590
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00592
  • Expected Shortfall on VaR
    0.01169
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96618
  • Quartile 1
    0.99732
  • Median
    1.00034
  • Quartile 3
    1.00373
  • Maximum
    1.02883
  • Mean of quarter 1
    0.99135
  • Mean of quarter 2
    0.99851
  • Mean of quarter 3
    1.00225
  • Mean of quarter 4
    1.00959
  • Inter Quartile Range
    0.00641
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.02290
  • Mean of outliers low
    0.97583
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.04580
  • Mean of outliers high
    1.02050
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.34192
  • VaR(95%) (moments method)
    0.00734
  • Expected Shortfall (moments method)
    0.00896
  • Extreme Value Index (regression method)
    -0.01983
  • VaR(95%) (regression method)
    0.00755
  • Expected Shortfall (regression method)
    0.01042
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.01107
  • Quartile 1
    0.01400
  • Median
    0.01692
  • Quartile 3
    0.05837
  • Maximum
    0.09983
  • Mean of quarter 1
    0.01107
  • Mean of quarter 2
    0.01692
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.09983
  • Inter Quartile Range
    0.04438
  • 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
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -264764000
  • Max Equity Drawdown (num days)
    83
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.10219
  • Compounded annual return (geometric extrapolation)
    0.10480
  • Calmar ratio (compounded annual return / max draw down)
    1.04987
  • Compounded annual return / average of 25% largest draw downs
    1.04987
  • Compounded annual return / Expected Shortfall lognormal
    6.59178

Strategy Description

We buy grossly undervalued stocks with great profit potential. Every trade will have a calculated target. Strick system rules are adhered to. We will not force trades. If there are no buy candidates after we sell a stock we will wait until something comes into value. We also evaluate the overall market and base our percentage of capital on this market evaluation. In extremely bullish market conditions we will be fully invested. And in extremely bearish conditions we will be totally out of the market. Margin is never used so the system is well suited for IRA accounts. Of course these are goals only. No performance can be guaranteed, and the actual real-world results may be vastly different from these goals.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2018-12-12
Suggested Minimum Capital
$15,000
# Trades
54
# Profitable
36
% Profitable
66.7%
Net Dividends
$402
Correlation S&P500
0.104
Sharpe Ratio
0.30
Sortino Ratio
0.68
Beta
0.05
Alpha
0.01
Leverage
0.77 Average
1.21 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.