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Blue HEDGE
(127381287)

Created by: ABN_ETF ABN_ETF
Started: 02/2020
Stocks
Last trade: 6 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 $50.00 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.
6.8%
Cumul. Return

Rate of Return Calculations

Overview

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

How Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

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

All results are hypothetical.

(22.3%)
Max Drawdown
70
Num Trades
54.3%
Win Trades
1.2 : 1
Profit Factor
42.9%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020       +1.5%(3.1%)(1.8%)+24.2%+8.2%(10.7%)(7.9%)                        +6.7%

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
7/21/20 9:33 VLO VALERO ENERGY SHORT 108 55.52 7/31 10:37 55.76 3.96%
Trade id #130186267
Max drawdown($457)
Time7/29/20 0:00
Quant open108
Worst price59.76
Drawdown as % of equity-3.96%
($28)
Includes Typical Broker Commissions trade costs of $2.16
7/21/20 9:32 COP CONOCOPHILLIPS SHORT 148 40.39 7/31 10:37 36.91 2.05%
Trade id #130186224
Max drawdown($250)
Time7/21/20 11:23
Quant open148
Worst price42.08
Drawdown as % of equity-2.05%
$512
Includes Typical Broker Commissions trade costs of $2.96
7/21/20 9:32 XLNX XILINX LONG 58 103.07 7/31 10:37 105.42 0.64%
Trade id #130186185
Max drawdown($76)
Time7/21/20 12:13
Quant open58
Worst price101.75
Drawdown as % of equity-0.64%
$135
Includes Typical Broker Commissions trade costs of $1.16
7/21/20 9:30 INTC INTEL LONG 98 61.52 7/31 10:37 47.42 11.7%
Trade id #130185983
Max drawdown($1,389)
Time7/31/20 10:33
Quant open98
Worst price47.34
Drawdown as % of equity-11.70%
($1,383)
Includes Typical Broker Commissions trade costs of $1.96
7/21/20 9:30 XLNX XILINX LONG 58 103.02 7/21 9:30 102.75 0.13%
Trade id #130185979
Max drawdown($16)
Time7/21/20 9:30
Quant open58
Worst price102.75
Drawdown as % of equity-0.13%
($17)
Includes Typical Broker Commissions trade costs of $1.16
7/9/20 14:41 DVY ISHARES DOW JONES SELECT DIVID SHORT 87 77.73 7/21 9:30 82.26 4.3%
Trade id #129998687
Max drawdown($530)
Time7/16/20 0:00
Quant open87
Worst price83.83
Drawdown as % of equity-4.30%
($396)
Includes Typical Broker Commissions trade costs of $1.74
7/9/20 14:41 XLF FINANCIAL SELECT SECTOR SPDR SHORT 300 22.70 7/21 9:30 24.00 4.14%
Trade id #129998676
Max drawdown($510)
Time7/16/20 0:00
Quant open300
Worst price24.40
Drawdown as % of equity-4.14%
($396)
Includes Typical Broker Commissions trade costs of $6.00
7/9/20 14:40 MTUM ISHARES EDGE MSCI USA MOMENTUM FACTOR ETF LONG 49 138.41 7/21 9:30 143.20 1.63%
Trade id #129998668
Max drawdown($206)
Time7/14/20 0:00
Quant open49
Worst price134.20
Drawdown as % of equity-1.63%
$234
Includes Typical Broker Commissions trade costs of $0.98
7/9/20 14:39 QQQ POWERSHARES QQQ LONG 26 261.57 7/15 12:12 257.78 1.81%
Trade id #129998664
Max drawdown($229)
Time7/14/20 0:00
Quant open26
Worst price252.76
Drawdown as % of equity-1.81%
($100)
Includes Typical Broker Commissions trade costs of $0.52
7/8/20 11:34 XLU UTILITIES SELECT SECTOR SPDR LONG 238 57.00 7/9 14:34 56.78 1.98%
Trade id #129970253
Max drawdown($260)
Time7/9/20 11:26
Quant open238
Worst price55.91
Drawdown as % of equity-1.98%
($57)
Includes Typical Broker Commissions trade costs of $4.76
7/8/20 11:33 XOM EXXON MOBIL SHORT 106 43.24 7/9 14:34 41.57 0.22%
Trade id #129970222
Max drawdown($29)
Time7/8/20 15:27
Quant open106
Worst price43.52
Drawdown as % of equity-0.22%
$175
Includes Typical Broker Commissions trade costs of $2.12
7/8/20 11:32 FISV FISERV SHORT 47 96.73 7/9 14:34 95.31 0.32%
Trade id #129970200
Max drawdown($42)
Time7/9/20 0:00
Quant open47
Worst price97.63
Drawdown as % of equity-0.32%
$66
Includes Typical Broker Commissions trade costs of $0.94
7/8/20 11:31 MDT MEDTRONIC PLC SHORT 49 90.81 7/9 14:34 90.40 0.37%
Trade id #129970184
Max drawdown($48)
Time7/9/20 0:00
Quant open49
Worst price91.79
Drawdown as % of equity-0.37%
$19
Includes Typical Broker Commissions trade costs of $0.98
6/24/20 15:23 AAPL APPLE LONG 6 361.32 7/8 10:06 379.71 0.46%
Trade id #129733886
Max drawdown($60)
Time6/29/20 0:00
Quant open6
Worst price351.28
Drawdown as % of equity-0.46%
$110
Includes Typical Broker Commissions trade costs of $0.12
7/2/20 12:33 BSX BOSTON SCIENTIFIC SHORT 90 35.46 7/8 10:06 34.49 0.35%
Trade id #129881516
Max drawdown($45)
Time7/6/20 0:00
Quant open90
Worst price35.96
Drawdown as % of equity-0.35%
$85
Includes Typical Broker Commissions trade costs of $1.80
6/24/20 15:23 ADBE ADOBE INC LONG 5 430.85 7/8 10:05 453.80 0.57%
Trade id #129733870
Max drawdown($74)
Time6/29/20 0:00
Quant open5
Worst price416.03
Drawdown as % of equity-0.57%
$115
Includes Typical Broker Commissions trade costs of $0.10
7/2/20 12:29 BAC BANK OF AMERICA CORP SHORT 153 23.41 7/8 10:05 23.19 0.8%
Trade id #129881481
Max drawdown($102)
Time7/6/20 0:00
Quant open153
Worst price24.08
Drawdown as % of equity-0.80%
$31
Includes Typical Broker Commissions trade costs of $3.06
6/26/20 11:23 ADSK AUTODESK LONG 9 233.53 7/8 10:05 241.37 0.4%
Trade id #129775984
Max drawdown($51)
Time6/29/20 0:00
Quant open9
Worst price227.75
Drawdown as % of equity-0.40%
$71
Includes Typical Broker Commissions trade costs of $0.18
6/24/20 15:25 DVN DEVON ENERGY SHORT 280 11.40 7/2 12:31 11.42 0.85%
Trade id #129733920
Max drawdown($110)
Time7/1/20 0:00
Quant open280
Worst price11.79
Drawdown as % of equity-0.85%
($12)
Includes Typical Broker Commissions trade costs of $5.60
6/24/20 15:25 PSA PUBLIC STORAGE SHORT 18 188.61 7/2 12:29 198.90 1.87%
Trade id #129733912
Max drawdown($241)
Time7/2/20 9:30
Quant open18
Worst price202.03
Drawdown as % of equity-1.87%
($185)
Includes Typical Broker Commissions trade costs of $0.36
6/24/20 15:24 CNP CENTERPOINT ENERGY LONG 122 18.41 6/26 11:22 17.68 0.73%
Trade id #129733903
Max drawdown($93)
Time6/26/20 11:22
Quant open122
Worst price17.64
Drawdown as % of equity-0.73%
($91)
Includes Typical Broker Commissions trade costs of $2.44
6/23/20 14:17 SLB SCHLUMBERGER SHORT 327 19.56 6/24 13:11 18.21 1.05%
Trade id #129709502
Max drawdown($134)
Time6/23/20 14:22
Quant open327
Worst price19.97
Drawdown as % of equity-1.05%
$434
Includes Typical Broker Commissions trade costs of $6.54
6/23/20 14:11 FB FACEBOOK LONG 27 243.90 6/24 13:11 235.59 2.34%
Trade id #129709357
Max drawdown($302)
Time6/24/20 11:49
Quant open27
Worst price232.68
Drawdown as % of equity-2.34%
($225)
Includes Typical Broker Commissions trade costs of $0.54
6/22/20 10:22 BA BOEING SHORT 34 184.72 6/24 13:11 178.79 1.46%
Trade id #129686664
Max drawdown($183)
Time6/23/20 0:00
Quant open34
Worst price190.12
Drawdown as % of equity-1.46%
$201
Includes Typical Broker Commissions trade costs of $0.68
6/15/20 14:10 TMUS T-MOBILE US INC. COMMON STOCK LONG 59 104.83 6/24 13:11 106.48 2.26%
Trade id #129562306
Max drawdown($278)
Time6/16/20 0:00
Quant open59
Worst price100.11
Drawdown as % of equity-2.26%
$96
Includes Typical Broker Commissions trade costs of $1.18
6/18/20 10:21 ANTM ANTHEM INC SHORT 24 261.98 6/23 14:05 269.90 2.1%
Trade id #129636027
Max drawdown($256)
Time6/19/20 0:00
Quant open24
Worst price272.65
Drawdown as % of equity-2.10%
($190)
Includes Typical Broker Commissions trade costs of $0.48
6/18/20 10:05 ADBE ADOBE INC LONG 15 417.89 6/23 14:05 442.66 0.44%
Trade id #129635735
Max drawdown($52)
Time6/18/20 10:33
Quant open15
Worst price414.38
Drawdown as % of equity-0.44%
$372
Includes Typical Broker Commissions trade costs of $0.30
6/18/20 10:25 BMY BRISTOL-MYERS SQUIBB SHORT 111 56.11 6/22 10:18 56.52 0.66%
Trade id #129636121
Max drawdown($79)
Time6/19/20 0:00
Quant open111
Worst price56.83
Drawdown as % of equity-0.66%
($48)
Includes Typical Broker Commissions trade costs of $2.22
6/15/20 14:10 T AT&T SHORT 204 30.51 6/18 10:24 30.31 1.61%
Trade id #129562324
Max drawdown($194)
Time6/16/20 0:00
Quant open204
Worst price31.46
Drawdown as % of equity-1.61%
$37
Includes Typical Broker Commissions trade costs of $4.08
6/15/20 14:16 RL RALPH LAUREN SHORT 83 74.49 6/18 10:20 75.51 3.04%
Trade id #129562497
Max drawdown($367)
Time6/16/20 0:00
Quant open83
Worst price78.92
Drawdown as % of equity-3.04%
($87)
Includes Typical Broker Commissions trade costs of $1.66

Statistics

  • Strategy began
    2/5/2020
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    183.23
  • Age
    6 months ago
  • What it trades
    Stocks
  • # Trades
    70
  • # Profitable
    38
  • % Profitable
    54.30%
  • Avg trade duration
    7.6 days
  • Max peak-to-valley drawdown
    22.26%
  • drawdown period
    March 19, 2020 - April 29, 2020
  • Cumul. Return
    6.8%
  • Avg win
    $312.55
  • Avg loss
    $366.78
  • Model Account Values (Raw)
  • Cash
    $16,171
  • Margin Used
    $15,106
  • Buying Power
    ($56)
  • Ratios
  • W:L ratio
    1.19:1
  • Sharpe Ratio
    0.43
  • Sortino Ratio
    0.59
  • Calmar Ratio
    1.407
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    6.31%
  • Correlation to SP500
    -0.29680
  • Return Percent SP500 (cumu) during strategy life
    0.43%
  • Return Statistics
  • Ann Return (w trading costs)
    13.6%
  • Slump
  • Current Slump as Pcnt Equity
    25.60%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.15%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.068%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    25.0%
  • Automation
  • Percentage Signals Automated
    n/a
  • Popularity
  • Popularity (Today)
    435
  • Popularity (Last 6 weeks)
    737
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    135
  • Popularity (7 days, Percentile 1000 scale)
    311
  • 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
    $367
  • Avg Win
    $315
  • Sum Trade PL (losers)
    $11,737.000
  • Age
  • Num Months filled monthly returns table
    7
  • Win / Loss
  • Sum Trade PL (winners)
    $11,966.000
  • # Winners
    38
  • Num Months Winners
    3
  • Dividends
  • Dividends Received in Model Acct
    965
  • Win / Loss
  • # Losers
    32
  • % Winners
    54.3%
  • Frequency
  • Avg Position Time (mins)
    10929.20
  • Avg Position Time (hrs)
    182.15
  • Avg Trade Length
    7.6 days
  • Last Trade Ago
    6
  • Leverage
  • Daily leverage (average)
    1.87
  • Daily leverage (max)
    2.88
  • Regression
  • Alpha
    0.06
  • Beta
    -0.25
  • Treynor Index
    -0.22
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.03
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.58
  • MAE:Equity, average, winning trades
    0.02
  • MAE:Equity, average, losing trades
    0.05
  • Avg(MAE) / Avg(PL) - All trades
    -2510.660
  • 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
    0.12
  • Avg(MAE) / Avg(PL) - Winning trades
    0.649
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.471
  • Hold-and-Hope Ratio
    0.007
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.25286
  • SD
    0.33307
  • Sharpe ratio (Glass type estimate)
    0.75918
  • Sharpe ratio (Hedges UMVUE)
    0.63828
  • df
    5.00000
  • t
    0.53682
  • p
    0.30720
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.08588
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.53275
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.16162
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.43817
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.05386
  • Upside Potential Ratio
    2.46807
  • Upside part of mean
    0.59218
  • Downside part of mean
    -0.33932
  • Upside SD
    0.20051
  • Downside SD
    0.23994
  • N nonnegative terms
    5.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    6.00000
  • Mean of predictor
    0.02723
  • Mean of criterion
    0.25286
  • SD of predictor
    0.33202
  • SD of criterion
    0.33307
  • Covariance
    -0.01625
  • r
    -0.14696
  • b (slope, estimate of beta)
    -0.14743
  • a (intercept, estimate of alpha)
    0.25687
  • Mean Square Error
    0.13567
  • DF error
    4.00000
  • t(b)
    -0.29716
  • p(b)
    0.60943
  • t(a)
    0.49296
  • p(a)
    0.32394
  • Lowerbound of 95% confidence interval for beta
    -1.52518
  • Upperbound of 95% confidence interval for beta
    1.23032
  • Lowerbound of 95% confidence interval for alpha
    -1.19017
  • Upperbound of 95% confidence interval for alpha
    1.70392
  • Treynor index (mean / b)
    -1.71514
  • Jensen alpha (a)
    0.25687
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.20083
  • SD
    0.35106
  • Sharpe ratio (Glass type estimate)
    0.57205
  • Sharpe ratio (Hedges UMVUE)
    0.48095
  • df
    5.00000
  • t
    0.40450
  • p
    0.35128
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.24835
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.33802
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.30684
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.26874
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.76575
  • Upside Potential Ratio
    2.17996
  • Upside part of mean
    0.57172
  • Downside part of mean
    -0.37089
  • Upside SD
    0.19309
  • Downside SD
    0.26226
  • N nonnegative terms
    5.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    6.00000
  • Mean of predictor
    -0.01925
  • Mean of criterion
    0.20083
  • SD of predictor
    0.33520
  • SD of criterion
    0.35106
  • Covariance
    -0.01978
  • r
    -0.16807
  • b (slope, estimate of beta)
    -0.17602
  • a (intercept, estimate of alpha)
    0.19744
  • Mean Square Error
    0.14971
  • DF error
    4.00000
  • t(b)
    -0.34098
  • p(b)
    0.62486
  • t(a)
    0.36077
  • p(a)
    0.36826
  • Lowerbound of 95% confidence interval for beta
    -1.60952
  • Upperbound of 95% confidence interval for beta
    1.25748
  • Lowerbound of 95% confidence interval for alpha
    -1.32234
  • Upperbound of 95% confidence interval for alpha
    1.71721
  • Treynor index (mean / b)
    -1.14093
  • Jensen alpha (a)
    0.19744
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.13926
  • Expected Shortfall on VaR
    0.17437
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02624
  • Expected Shortfall on VaR
    0.07201
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    6.00000
  • Minimum
    0.83267
  • Quartile 1
    1.03152
  • Median
    1.05641
  • Quartile 3
    1.07627
  • Maximum
    1.08880
  • Mean of quarter 1
    0.92886
  • Mean of quarter 2
    1.05093
  • Mean of quarter 3
    1.06189
  • Mean of quarter 4
    1.08493
  • Inter Quartile Range
    0.04474
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.16667
  • Mean of outliers low
    0.83267
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.16733
  • Quartile 1
    0.16733
  • Median
    0.16733
  • Quartile 3
    0.16733
  • Maximum
    0.16733
  • 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)
    0.24233
  • Compounded annual return (geometric extrapolation)
    0.25700
  • Calmar ratio (compounded annual return / max draw down)
    1.53590
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    1.47390
  • 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
    0.27125
  • SD
    0.37485
  • Sharpe ratio (Glass type estimate)
    0.72363
  • Sharpe ratio (Hedges UMVUE)
    0.71945
  • df
    130.00000
  • t
    0.51168
  • p
    0.47758
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.05090
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.49550
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.05374
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.49263
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.00249
  • Upside Potential Ratio
    7.82333
  • Upside part of mean
    2.11683
  • Downside part of mean
    -1.84558
  • Upside SD
    0.25789
  • Downside SD
    0.27058
  • N nonnegative terms
    76.00000
  • N negative terms
    55.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.08663
  • Mean of criterion
    0.27125
  • SD of predictor
    0.45967
  • SD of criterion
    0.37485
  • Covariance
    -0.04958
  • r
    -0.28776
  • b (slope, estimate of beta)
    -0.23466
  • a (intercept, estimate of alpha)
    0.29200
  • Mean Square Error
    0.12988
  • DF error
    129.00000
  • t(b)
    -3.41267
  • p(b)
    0.68063
  • t(a)
    0.57207
  • p(a)
    0.46799
  • Lowerbound of 95% confidence interval for beta
    -0.37071
  • Upperbound of 95% confidence interval for beta
    -0.09861
  • Lowerbound of 95% confidence interval for alpha
    -0.71686
  • Upperbound of 95% confidence interval for alpha
    1.30002
  • Treynor index (mean / b)
    -1.15594
  • Jensen alpha (a)
    0.29158
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.20083
  • SD
    0.37734
  • Sharpe ratio (Glass type estimate)
    0.53221
  • Sharpe ratio (Hedges UMVUE)
    0.52913
  • df
    130.00000
  • t
    0.37633
  • p
    0.48351
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.24132
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.30380
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.24342
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.30168
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.71788
  • Upside Potential Ratio
    7.45120
  • Upside part of mean
    2.08447
  • Downside part of mean
    -1.88364
  • Upside SD
    0.25139
  • Downside SD
    0.27975
  • N nonnegative terms
    76.00000
  • N negative terms
    55.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.01925
  • Mean of criterion
    0.20083
  • SD of predictor
    0.46325
  • SD of criterion
    0.37734
  • Covariance
    -0.05001
  • r
    -0.28612
  • b (slope, estimate of beta)
    -0.23306
  • a (intercept, estimate of alpha)
    0.19634
  • Mean Square Error
    0.13175
  • DF error
    129.00000
  • t(b)
    -3.39146
  • p(b)
    0.67963
  • t(a)
    0.38249
  • p(a)
    0.47858
  • Lowerbound of 95% confidence interval for beta
    -0.36902
  • Upperbound of 95% confidence interval for beta
    -0.09710
  • Lowerbound of 95% confidence interval for alpha
    -0.81927
  • Upperbound of 95% confidence interval for alpha
    1.21195
  • Treynor index (mean / b)
    -0.86169
  • Jensen alpha (a)
    0.19634
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03688
  • Expected Shortfall on VaR
    0.04618
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01423
  • Expected Shortfall on VaR
    0.03046
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.89468
  • Quartile 1
    0.99221
  • Median
    1.00238
  • Quartile 3
    1.01098
  • Maximum
    1.08950
  • Mean of quarter 1
    0.97433
  • Mean of quarter 2
    0.99833
  • Mean of quarter 3
    1.00662
  • Mean of quarter 4
    1.02546
  • Inter Quartile Range
    0.01877
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.03817
  • Mean of outliers low
    0.93078
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.03053
  • Mean of outliers high
    1.06627
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.09743
  • VaR(95%) (moments method)
    0.02132
  • Expected Shortfall (moments method)
    0.03145
  • Extreme Value Index (regression method)
    0.29043
  • VaR(95%) (regression method)
    0.02278
  • Expected Shortfall (regression method)
    0.03910
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    11.00000
  • Minimum
    0.00207
  • Quartile 1
    0.00731
  • Median
    0.01645
  • Quartile 3
    0.04370
  • Maximum
    0.18266
  • Mean of quarter 1
    0.00405
  • Mean of quarter 2
    0.01271
  • Mean of quarter 3
    0.02348
  • Mean of quarter 4
    0.13999
  • Inter Quartile Range
    0.03639
  • 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
    0.17979
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -2318.79000
  • VaR(95%) (moments method)
    0.12631
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -5.33925
  • VaR(95%) (regression method)
    0.44059
  • Expected Shortfall (regression method)
    0.44065
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.24233
  • Compounded annual return (geometric extrapolation)
    0.25700
  • Calmar ratio (compounded annual return / max draw down)
    1.40698
  • Compounded annual return / average of 25% largest draw downs
    1.83583
  • Compounded annual return / Expected Shortfall lognormal
    5.56499
  • 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
    0.27125
  • SD
    0.37485
  • Sharpe ratio (Glass type estimate)
    0.72363
  • Sharpe ratio (Hedges UMVUE)
    0.71945
  • df
    130.00000
  • t
    0.51168
  • p
    0.47758
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.05090
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.49550
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.05374
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.49263
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.00249
  • Upside Potential Ratio
    7.82333
  • Upside part of mean
    2.11683
  • Downside part of mean
    -1.84558
  • Upside SD
    0.25789
  • Downside SD
    0.27058
  • N nonnegative terms
    76.00000
  • N negative terms
    55.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.08663
  • Mean of criterion
    0.27125
  • SD of predictor
    0.45967
  • SD of criterion
    0.37485
  • Covariance
    -0.04958
  • r
    -0.28776
  • b (slope, estimate of beta)
    -0.23466
  • a (intercept, estimate of alpha)
    0.29158
  • Mean Square Error
    0.12988
  • DF error
    129.00000
  • t(b)
    -3.41267
  • p(b)
    0.68063
  • t(a)
    0.57207
  • p(a)
    0.46799
  • Lowerbound of 95% confidence interval for beta
    -0.37071
  • Upperbound of 95% confidence interval for beta
    -0.09861
  • Lowerbound of 95% confidence interval for alpha
    -0.71686
  • Upperbound of 95% confidence interval for alpha
    1.30002
  • Treynor index (mean / b)
    -1.15594
  • Jensen alpha (a)
    0.29158
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.20083
  • SD
    0.37734
  • Sharpe ratio (Glass type estimate)
    0.53221
  • Sharpe ratio (Hedges UMVUE)
    0.52913
  • df
    130.00000
  • t
    0.37633
  • p
    0.48351
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.24132
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.30380
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.24342
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.30168
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.71788
  • Upside Potential Ratio
    7.45120
  • Upside part of mean
    2.08447
  • Downside part of mean
    -1.88364
  • Upside SD
    0.25139
  • Downside SD
    0.27975
  • N nonnegative terms
    76.00000
  • N negative terms
    55.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.01925
  • Mean of criterion
    0.20083
  • SD of predictor
    0.46325
  • SD of criterion
    0.37734
  • Covariance
    -0.05001
  • r
    -0.28612
  • b (slope, estimate of beta)
    -0.23306
  • a (intercept, estimate of alpha)
    0.19634
  • Mean Square Error
    0.13175
  • DF error
    129.00000
  • t(b)
    -3.39146
  • p(b)
    0.67963
  • t(a)
    0.38249
  • p(a)
    0.47858
  • VAR (95 Confidence Intrvl)
    0.03700
  • Lowerbound of 95% confidence interval for beta
    -0.36902
  • Upperbound of 95% confidence interval for beta
    -0.09710
  • Lowerbound of 95% confidence interval for alpha
    -0.81927
  • Upperbound of 95% confidence interval for alpha
    1.21195
  • Treynor index (mean / b)
    -0.86169
  • Jensen alpha (a)
    0.19634
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03688
  • Expected Shortfall on VaR
    0.04618
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01423
  • Expected Shortfall on VaR
    0.03046
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.89468
  • Quartile 1
    0.99221
  • Median
    1.00238
  • Quartile 3
    1.01098
  • Maximum
    1.08950
  • Mean of quarter 1
    0.97433
  • Mean of quarter 2
    0.99833
  • Mean of quarter 3
    1.00662
  • Mean of quarter 4
    1.02546
  • Inter Quartile Range
    0.01877
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.03817
  • Mean of outliers low
    0.93078
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.03053
  • Mean of outliers high
    1.06627
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.09743
  • VaR(95%) (moments method)
    0.02132
  • Expected Shortfall (moments method)
    0.03145
  • Extreme Value Index (regression method)
    0.29043
  • VaR(95%) (regression method)
    0.02278
  • Expected Shortfall (regression method)
    0.03910
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    11.00000
  • Minimum
    0.00207
  • Quartile 1
    0.00731
  • Median
    0.01645
  • Quartile 3
    0.04370
  • Maximum
    0.18266
  • Mean of quarter 1
    0.00405
  • Mean of quarter 2
    0.01271
  • Mean of quarter 3
    0.02348
  • Mean of quarter 4
    0.13999
  • Inter Quartile Range
    0.03639
  • 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
    0.17979
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -2318.79000
  • VaR(95%) (moments method)
    0.12631
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -5.33925
  • VaR(95%) (regression method)
    0.44059
  • Last 4 Months - Pcnt Negative
    0.50%
  • Expected Shortfall (regression method)
    0.44065
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -265753000
  • Max Equity Drawdown (num days)
    41
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.24233
  • Compounded annual return (geometric extrapolation)
    0.25700
  • Calmar ratio (compounded annual return / max draw down)
    1.40698
  • Compounded annual return / average of 25% largest draw downs
    1.83583
  • Compounded annual return / Expected Shortfall lognormal
    5.56499

Strategy Description

This is a market neutral strategy based on ETFs and stocks. Long positions hedged with short positions. It can achieve profits in every market conditions.
Only equity ETFs and stocks. No leveraged or inverse ETFs.
The goal is to reach 40% per year with drawdown not bigger than 25%.

Of course these are goals only. No performance can be guaranteed, and the actual real-world results may be vastly different from these goals.

Summary Statistics

Strategy began
2020-02-05
Suggested Minimum Capital
$35,000
# Trades
70
# Profitable
38
% Profitable
54.3%
Net Dividends
Correlation S&P500
-0.297
Sharpe Ratio
0.43
Sortino Ratio
0.59
Beta
-0.25
Alpha
0.06
Leverage
1.87 Average
2.88 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.