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

CoveredPutsPro
(130086534)

Created by: MarkEriksson MarkEriksson
Started: 07/2020
Stocks
Last trade: 8 days ago
Trading style: Equity Hedged Equity
Subscriptions not currently available.

Subscriptions not available

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

Subscription terms. Subscriptions to this system cost $400.00 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.
14.3%
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.

(70.1%)
Max Drawdown
938
Num Trades
67.4%
Win Trades
1.3 : 1
Profit Factor
53.3%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020                                          (0.5%)+4.3%(2.1%)+1.9%+20.0%(3.3%)+20.2%
2021+22.3%+2.9%(0.7%)+11.9%(2.9%)+0.3%+4.5%+0.2%(10%)+9.6%(0.1%)+8.5%+52.5%
2022(9.8%)(3.8%)(3.7%)(31.8%)(3.1%)(11.6%)+3.8%(3.8%)(13.6%)+0.2%+8.9%+2.2%(53.1%)
2023+3.1%(5.4%)+23.8%(12.4%)(1.9%)+2.0%+1.1%(5.6%)(7.8%)(23%)+50.8%+17.0%+26.2%
2024+9.4%+27.6%+8.3%                                                      +51.2%

Model Account Details

A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.

Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.

System developer has asked us to delay this information by 24 hours.

Trading Record

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
12/30/23 9:35 SPY SPDR S&P 500 LONG 400 443.48 2/27/24 12:48 505.28 n/a $24,714
Includes Typical Broker Commissions trade costs of $8.00
2/26/24 15:38 SOUN SOUNDHOUND AI INC CLASS A COMMON STOCK LONG 1,000 5.49 2/27 9:44 6.99 n/a $1,495
Includes Typical Broker Commissions trade costs of $5.00
2/21/24 11:19 SOUN SOUNDHOUND AI INC CLASS A COMMON STOCK LONG 600 3.72 2/26 15:38 5.49 0.12%
Trade id #147398351
Max drawdown($156)
Time2/21/24 12:29
Quant open600
Worst price3.46
Drawdown as % of equity-0.12%
$1,057
Includes Typical Broker Commissions trade costs of $5.00
2/21/24 15:32 SOXL DIREXION DAILY SEMICONDCT BULL LONG 6 37.77 2/22 13:55 41.72 n/a $24
Includes Typical Broker Commissions trade costs of $0.12
2/6/24 10:15 CMI CUMMINS LONG 25 240.11 2/22 11:20 260.60 0.03%
Trade id #147237736
Max drawdown($34)
Time2/6/24 10:21
Quant open25
Worst price238.72
Drawdown as % of equity-0.03%
$512
Includes Typical Broker Commissions trade costs of $0.50
8/30/23 9:36 TXN TEXAS INSTRUMENTS LONG 282 162.44 2/22/24 11:20 164.59 9.22%
Trade id #145686745
Max drawdown($5,395)
Time10/30/23 0:00
Quant open204
Worst price139.48
Drawdown as % of equity-9.22%
$602
Includes Typical Broker Commissions trade costs of $5.64
2/21/24 11:09 NVDA2423N600 NVDA Feb23'24 600 put SHORT 10 6.21 2/22 9:35 0.06 1.04%
Trade id #147398049
Max drawdown($1,410)
Time2/21/24 12:24
Quant open6
Worst price8.30
Drawdown as % of equity-1.04%
$6,136
Includes Typical Broker Commissions trade costs of $14.00
2/5/24 9:31 ABT ABBOTT LABORATORIES LONG 100 112.02 2/21 15:41 117.64 0.1%
Trade id #147226663
Max drawdown($144)
Time2/13/24 0:00
Quant open100
Worst price110.58
Drawdown as % of equity-0.10%
$560
Includes Typical Broker Commissions trade costs of $2.00
2/6/24 10:15 UPS UNITED PARCEL SERVICE LONG 25 144.35 2/21 15:21 147.13 0.02%
Trade id #147237745
Max drawdown($26)
Time2/13/24 0:00
Quant open25
Worst price143.30
Drawdown as % of equity-0.02%
$70
Includes Typical Broker Commissions trade costs of $0.50
2/6/24 10:09 NVDA2409N660 NVDA Feb9'24 660 put SHORT 1 4.85 2/10 9:35 0.00 0.46%
Trade id #147237617
Max drawdown($605)
Time2/6/24 12:21
Quant open1
Worst price10.90
Drawdown as % of equity-0.46%
$484
Includes Typical Broker Commissions trade costs of $1.00
2/6/24 10:04 ADBE2409N597.5 ADBE Feb9'24 597.5 put SHORT 1 2.04 2/10 9:35 0.00 0.13%
Trade id #147237514
Max drawdown($171)
Time2/6/24 15:37
Quant open1
Worst price3.75
Drawdown as % of equity-0.13%
$203
Includes Typical Broker Commissions trade costs of $1.00
2/5/24 11:18 TSLA2409N170 TSLA Feb9'24 170 put SHORT 6 1.42 2/6 9:57 0.36 n/a $625
Includes Typical Broker Commissions trade costs of $8.40
2/5/24 10:58 TSLA2409N175 TSLA Feb9'24 175 put SHORT 6 3.38 2/6 9:57 0.85 0.02%
Trade id #147228454
Max drawdown($30)
Time2/5/24 11:02
Quant open3
Worst price3.80
Drawdown as % of equity-0.02%
$1,507
Includes Typical Broker Commissions trade costs of $8.40
9/7/23 14:41 MU MICRON TECHNOLOGY LONG 1,000 69.83 1/19/24 14:31 79.90 7.58%
Trade id #145763411
Max drawdown($6,000)
Time9/28/23 0:00
Quant open1,000
Worst price63.83
Drawdown as % of equity-7.58%
$10,058
Includes Typical Broker Commissions trade costs of $12.50
10/2/23 13:35 SPY2329L425 SPY Dec29'23 425 call LONG 13 17.53 12/30 9:35 14.32 25.08%
Trade id #145997494
Max drawdown($14,809)
Time10/27/23 0:00
Quant open13
Worst price6.14
Drawdown as % of equity-25.08%
($4,187)
Includes Typical Broker Commissions trade costs of $16.10
2/9/22 12:36 ATVI ACTIVISION BLIZZARD LONG 1,700 80.09 10/23/23 9:30 79.13 21.08%
Trade id #139323086
Max drawdown($15,551)
Time11/7/22 0:00
Quant open1,700
Worst price70.94
Drawdown as % of equity-21.08%
($1,637)
Includes Typical Broker Commissions trade costs of $7.51
9/7/23 14:42 RMBS RAMBUS LONG 1,000 55.80 10/19 11:54 56.40 2.32%
Trade id #145763422
Max drawdown($1,845)
Time9/26/23 0:00
Quant open500
Worst price52.11
Drawdown as % of equity-2.32%
$583
Includes Typical Broker Commissions trade costs of $12.50
7/29/22 15:49 INTC INTEL LONG 713 37.21 9/18/23 10:54 37.16 0.12%
Trade id #141235896
Max drawdown($111)
Time8/1/22 0:00
Quant open300
Worst price36.05
Drawdown as % of equity-0.12%
($48)
Includes Typical Broker Commissions trade costs of $11.65
9/7/23 13:25 BABA ALIBABA GROUP HOLDING LIMITED LONG 200 90.00 9/18 10:50 87.00 1.11%
Trade id #145762774
Max drawdown($921)
Time9/18/23 9:32
Quant open200
Worst price85.39
Drawdown as % of equity-1.11%
($604)
Includes Typical Broker Commissions trade costs of $4.00
9/12/23 9:30 ORCL ORACLE CORP LONG 400 112.27 9/18 10:50 113.55 2.35%
Trade id #145796247
Max drawdown($1,988)
Time9/12/23 14:19
Quant open400
Worst price107.30
Drawdown as % of equity-2.35%
$504
Includes Typical Broker Commissions trade costs of $8.00
2/6/23 9:30 AMZN AMAZON.COM LONG 303 125.77 9/12 9:30 128.51 0.02%
Trade id #143468309
Max drawdown($17)
Time2/6/23 9:36
Quant open100
Worst price102.75
Drawdown as % of equity-0.02%
$824
Includes Typical Broker Commissions trade costs of $6.06
2/11/22 9:30 EL ESTEE LAUDER COS LONG 200 308.40 9/7/23 14:50 307.76 0.87%
Trade id #139352846
Max drawdown($1,365)
Time2/14/22 0:00
Quant open100
Worst price299.65
Drawdown as % of equity-0.87%
($133)
Includes Typical Broker Commissions trade costs of $4.00
3/31/22 9:55 HPQ HEWLETT-PACKARD LONG 222 36.47 9/7/23 14:49 36.35 0.06%
Trade id #139978520
Max drawdown($86)
Time3/31/22 10:05
Quant open202
Worst price35.81
Drawdown as % of equity-0.06%
($30)
Includes Typical Broker Commissions trade costs of $4.44
2/11/22 9:30 PINS PINTEREST INC LONG 1,008 25.78 9/7/23 14:49 25.99 1.62%
Trade id #139352818
Max drawdown($2,422)
Time2/24/22 0:00
Quant open700
Worst price22.31
Drawdown as % of equity-1.62%
$204
Includes Typical Broker Commissions trade costs of $8.17
9/1/22 15:36 UPS UNITED PARCEL SERVICE LONG 100 196.10 9/7/23 14:49 195.93 0.55%
Trade id #141628656
Max drawdown($479)
Time9/6/22 0:00
Quant open100
Worst price191.31
Drawdown as % of equity-0.55%
($19)
Includes Typical Broker Commissions trade costs of $2.00
1/31/22 9:30 PETS PETMED EXPRESS LONG 118 25.64 9/7/23 14:49 25.44 0.02%
Trade id #139169659
Max drawdown($14)
Time9/7/23 10:55
Quant open1
Worst price10.80
Drawdown as % of equity-0.02%
($26)
Includes Typical Broker Commissions trade costs of $2.36
5/22/23 9:30 WBD WARNER BROS. DISCOVERY INC. SERIES A LONG 1,200 12.22 9/7 14:48 12.23 1.79%
Trade id #144707336
Max drawdown($1,584)
Time6/1/23 0:00
Quant open1,200
Worst price10.90
Drawdown as % of equity-1.79%
$6
Includes Typical Broker Commissions trade costs of $5.01
9/7/23 13:26 VOO VANGUARD S&P 500 ETF SHORT 1 408.79 9/7 13:26 408.84 n/a $0
Includes Typical Broker Commissions trade costs of $0.02
2/7/22 9:30 VOO VANGUARD S&P 500 ETF LONG 302 412.52 9/7/23 13:26 412.98 0.16%
Trade id #139283593
Max drawdown($248)
Time2/7/22 12:39
Quant open100
Worst price410.75
Drawdown as % of equity-0.16%
$131
Includes Typical Broker Commissions trade costs of $6.04
3/31/22 9:54 AMD ADVANCED MICRO DEVICES INC. C LONG 388 111.80 9/7/23 13:25 108.31 4%
Trade id #139978488
Max drawdown($3,153)
Time8/25/23 0:00
Quant open258
Worst price99.58
Drawdown as % of equity-4.00%
($1,364)
Includes Typical Broker Commissions trade costs of $7.76

Statistics

  • Strategy began
    7/15/2020
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    1352.72
  • Age
    45 months ago
  • What it trades
    Stocks
  • # Trades
    938
  • # Profitable
    632
  • % Profitable
    67.40%
  • Avg trade duration
    22.4 days
  • Max peak-to-valley drawdown
    70.1%
  • drawdown period
    Dec 31, 2021 - Oct 27, 2023
  • Annual Return (Compounded)
    14.3%
  • Avg win
    $468.09
  • Avg loss
    $752.95
  • Model Account Values (Raw)
  • Cash
    $55,458
  • Margin Used
    $0
  • Buying Power
    $94,183
  • Ratios
  • W:L ratio
    1.33:1
  • Sharpe Ratio
    0.43
  • Sortino Ratio
    0.62
  • Calmar Ratio
    0.328
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    1.43%
  • Correlation to SP500
    0.43640
  • Return Percent SP500 (cumu) during strategy life
    62.85%
  • Return Statistics
  • Ann Return (w trading costs)
    14.3%
  • Slump
  • Current Slump as Pcnt Equity
    18.10%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.60%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    0.87%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.143%
  • Instruments
  • Percent Trades Options
    0.07%
  • Percent Trades Stocks
    0.93%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    18.7%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    83.00%
  • Chance of 20% account loss
    58.00%
  • Chance of 30% account loss
    42.00%
  • Chance of 40% account loss
    26.00%
  • Chance of 60% account loss (Monte Carlo)
    6.50%
  • Chance of 70% account loss (Monte Carlo)
    1.50%
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    28.01%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    11.00%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    335
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    325
  • Popularity (7 days, Percentile 1000 scale)
    329
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $753
  • Avg Win
    $497
  • Sum Trade PL (losers)
    $230,403.000
  • Age
  • Num Months filled monthly returns table
    45
  • Win / Loss
  • Sum Trade PL (winners)
    $313,913.000
  • # Winners
    632
  • Num Months Winners
    24
  • Dividends
  • Dividends Received in Model Acct
    5179
  • Win / Loss
  • # Losers
    306
  • % Winners
    67.4%
  • Frequency
  • Avg Position Time (mins)
    32212.20
  • Avg Position Time (hrs)
    536.87
  • Avg Trade Length
    22.4 days
  • Last Trade Ago
    9
  • Leverage
  • Daily leverage (average)
    1.77
  • Daily leverage (max)
    10.42
  • Regression
  • Alpha
    0.02
  • Beta
    0.88
  • Treynor Index
    0.06
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    1.25
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    22.619
  • 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
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    1.106
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.563
  • Hold-and-Hope Ratio
    0.057
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.22002
  • SD
    0.41557
  • Sharpe ratio (Glass type estimate)
    0.52945
  • Sharpe ratio (Hedges UMVUE)
    0.51993
  • df
    42.00000
  • t
    1.00223
  • p
    0.16099
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.51516
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.56789
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.52142
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.56127
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.93969
  • Upside Potential Ratio
    2.59737
  • Upside part of mean
    0.60816
  • Downside part of mean
    -0.38813
  • Upside SD
    0.34335
  • Downside SD
    0.23414
  • N nonnegative terms
    25.00000
  • N negative terms
    18.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    43.00000
  • Mean of predictor
    0.10969
  • Mean of criterion
    0.22002
  • SD of predictor
    0.14524
  • SD of criterion
    0.41557
  • Covariance
    0.04074
  • r
    0.67496
  • b (slope, estimate of beta)
    1.93127
  • a (intercept, estimate of alpha)
    0.00818
  • Mean Square Error
    0.09631
  • DF error
    41.00000
  • t(b)
    5.85736
  • p(b)
    0.00000
  • t(a)
    0.04872
  • p(a)
    0.48069
  • Lowerbound of 95% confidence interval for beta
    1.26539
  • Upperbound of 95% confidence interval for beta
    2.59715
  • Lowerbound of 95% confidence interval for alpha
    -0.33088
  • Upperbound of 95% confidence interval for alpha
    0.34724
  • Treynor index (mean / b)
    0.11393
  • Jensen alpha (a)
    0.00818
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.13784
  • SD
    0.40364
  • Sharpe ratio (Glass type estimate)
    0.34148
  • Sharpe ratio (Hedges UMVUE)
    0.33534
  • df
    42.00000
  • t
    0.64641
  • p
    0.26076
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.69845
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.37743
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.70253
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.37321
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.52937
  • Upside Potential Ratio
    2.13756
  • Upside part of mean
    0.55657
  • Downside part of mean
    -0.41873
  • Upside SD
    0.30483
  • Downside SD
    0.26038
  • N nonnegative terms
    25.00000
  • N negative terms
    18.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    43.00000
  • Mean of predictor
    0.09869
  • Mean of criterion
    0.13784
  • SD of predictor
    0.14557
  • SD of criterion
    0.40364
  • Covariance
    0.04079
  • r
    0.69423
  • b (slope, estimate of beta)
    1.92495
  • a (intercept, estimate of alpha)
    -0.05213
  • Mean Square Error
    0.08646
  • DF error
    41.00000
  • t(b)
    6.17601
  • p(b)
    0.00000
  • t(a)
    -0.32923
  • p(a)
    0.62817
  • Lowerbound of 95% confidence interval for beta
    1.29550
  • Upperbound of 95% confidence interval for beta
    2.55441
  • Lowerbound of 95% confidence interval for alpha
    -0.37193
  • Upperbound of 95% confidence interval for alpha
    0.26766
  • Treynor index (mean / b)
    0.07160
  • Jensen alpha (a)
    -0.05213
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.16487
  • Expected Shortfall on VaR
    0.20383
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.06627
  • Expected Shortfall on VaR
    0.13453
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    43.00000
  • Minimum
    0.72503
  • Quartile 1
    0.95997
  • Median
    1.01425
  • Quartile 3
    1.05492
  • Maximum
    1.38400
  • Mean of quarter 1
    0.88813
  • Mean of quarter 2
    0.99292
  • Mean of quarter 3
    1.03114
  • Mean of quarter 4
    1.17142
  • Inter Quartile Range
    0.09495
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.02326
  • Mean of outliers low
    0.72503
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.06977
  • Mean of outliers high
    1.29753
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.10410
  • VaR(95%) (moments method)
    0.10411
  • Expected Shortfall (moments method)
    0.13617
  • Extreme Value Index (regression method)
    0.12742
  • VaR(95%) (regression method)
    0.09817
  • Expected Shortfall (regression method)
    0.13997
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00174
  • Quartile 1
    0.06707
  • Median
    0.06952
  • Quartile 3
    0.07588
  • Maximum
    0.56727
  • Mean of quarter 1
    0.03440
  • Mean of quarter 2
    0.06952
  • Mean of quarter 3
    0.07588
  • Mean of quarter 4
    0.56727
  • Inter Quartile Range
    0.00881
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.20000
  • Mean of outliers low
    0.00174
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.20000
  • Mean of outliers high
    0.56727
  • 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)
    0.22634
  • Compounded annual return (geometric extrapolation)
    0.18027
  • Calmar ratio (compounded annual return / max draw down)
    0.31778
  • Compounded annual return / average of 25% largest draw downs
    0.31778
  • Compounded annual return / Expected Shortfall lognormal
    0.88440
  • 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
    0.19346
  • SD
    0.30123
  • Sharpe ratio (Glass type estimate)
    0.64222
  • Sharpe ratio (Hedges UMVUE)
    0.64172
  • df
    955.00000
  • t
    1.22677
  • p
    0.11010
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.38440
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.66852
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.38474
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.66817
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.92567
  • Upside Potential Ratio
    7.66710
  • Upside part of mean
    1.60238
  • Downside part of mean
    -1.40892
  • Upside SD
    0.21705
  • Downside SD
    0.20899
  • N nonnegative terms
    503.00000
  • N negative terms
    453.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    956.00000
  • Mean of predictor
    0.12065
  • Mean of criterion
    0.19346
  • SD of predictor
    0.17248
  • SD of criterion
    0.30123
  • Covariance
    0.02295
  • r
    0.44180
  • b (slope, estimate of beta)
    0.77160
  • a (intercept, estimate of alpha)
    0.10000
  • Mean Square Error
    0.07311
  • DF error
    954.00000
  • t(b)
    15.21070
  • p(b)
    0.00000
  • t(a)
    0.70842
  • p(a)
    0.23943
  • Lowerbound of 95% confidence interval for beta
    0.67205
  • Upperbound of 95% confidence interval for beta
    0.87115
  • Lowerbound of 95% confidence interval for alpha
    -0.17767
  • Upperbound of 95% confidence interval for alpha
    0.37841
  • Treynor index (mean / b)
    0.25073
  • Jensen alpha (a)
    0.10037
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.14791
  • SD
    0.30214
  • Sharpe ratio (Glass type estimate)
    0.48956
  • Sharpe ratio (Hedges UMVUE)
    0.48918
  • df
    955.00000
  • t
    0.93516
  • p
    0.17497
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.53683
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.51575
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.53711
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.51546
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.68481
  • Upside Potential Ratio
    7.31271
  • Upside part of mean
    1.57949
  • Downside part of mean
    -1.43158
  • Upside SD
    0.21124
  • Downside SD
    0.21599
  • N nonnegative terms
    503.00000
  • N negative terms
    453.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    956.00000
  • Mean of predictor
    0.10573
  • Mean of criterion
    0.14791
  • SD of predictor
    0.17264
  • SD of criterion
    0.30214
  • Covariance
    0.02302
  • r
    0.44135
  • b (slope, estimate of beta)
    0.77242
  • a (intercept, estimate of alpha)
    0.06624
  • Mean Square Error
    0.07358
  • DF error
    954.00000
  • t(b)
    15.19160
  • p(b)
    0.00000
  • t(a)
    0.46614
  • p(a)
    0.32061
  • Lowerbound of 95% confidence interval for beta
    0.67264
  • Upperbound of 95% confidence interval for beta
    0.87220
  • Lowerbound of 95% confidence interval for alpha
    -0.21264
  • Upperbound of 95% confidence interval for alpha
    0.34512
  • Treynor index (mean / b)
    0.19149
  • Jensen alpha (a)
    0.06624
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02969
  • Expected Shortfall on VaR
    0.03720
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01179
  • Expected Shortfall on VaR
    0.02486
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    956.00000
  • Minimum
    0.86091
  • Quartile 1
    0.99384
  • Median
    1.00071
  • Quartile 3
    1.00794
  • Maximum
    1.12483
  • Mean of quarter 1
    0.98108
  • Mean of quarter 2
    0.99766
  • Mean of quarter 3
    1.00368
  • Mean of quarter 4
    1.02096
  • Inter Quartile Range
    0.01410
  • Number outliers low
    40.00000
  • Percentage of outliers low
    0.04184
  • Mean of outliers low
    0.95285
  • Number of outliers high
    41.00000
  • Percentage of outliers high
    0.04289
  • Mean of outliers high
    1.04758
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.37468
  • VaR(95%) (moments method)
    0.01828
  • Expected Shortfall (moments method)
    0.03432
  • Extreme Value Index (regression method)
    0.27422
  • VaR(95%) (regression method)
    0.01696
  • Expected Shortfall (regression method)
    0.02839
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    24.00000
  • Minimum
    0.00144
  • Quartile 1
    0.00627
  • Median
    0.01838
  • Quartile 3
    0.05053
  • Maximum
    0.58556
  • Mean of quarter 1
    0.00393
  • Mean of quarter 2
    0.01065
  • Mean of quarter 3
    0.03274
  • Mean of quarter 4
    0.18264
  • Inter Quartile Range
    0.04427
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.12500
  • Mean of outliers high
    0.28991
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.54022
  • VaR(95%) (moments method)
    0.17666
  • Expected Shortfall (moments method)
    0.44055
  • Extreme Value Index (regression method)
    0.36548
  • VaR(95%) (regression method)
    0.15752
  • Expected Shortfall (regression method)
    0.29159
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.24649
  • Compounded annual return (geometric extrapolation)
    0.19222
  • Calmar ratio (compounded annual return / max draw down)
    0.32827
  • Compounded annual return / average of 25% largest draw downs
    1.05247
  • Compounded annual return / Expected Shortfall lognormal
    5.16671
  • 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
    1.31328
  • SD
    0.38356
  • Sharpe ratio (Glass type estimate)
    3.42396
  • Sharpe ratio (Hedges UMVUE)
    3.40417
  • df
    130.00000
  • t
    2.42110
  • p
    0.39614
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.61473
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.22037
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.60164
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.20669
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.11785
  • Upside Potential Ratio
    12.90990
  • Upside part of mean
    2.77128
  • Downside part of mean
    -1.45800
  • Upside SD
    0.32633
  • Downside SD
    0.21466
  • N nonnegative terms
    80.00000
  • N negative terms
    51.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.37076
  • Mean of criterion
    1.31328
  • SD of predictor
    0.11716
  • SD of criterion
    0.38356
  • Covariance
    0.02875
  • r
    0.63983
  • b (slope, estimate of beta)
    2.09471
  • a (intercept, estimate of alpha)
    0.53664
  • Mean Square Error
    0.08756
  • DF error
    129.00000
  • t(b)
    9.45594
  • p(b)
    0.12249
  • t(a)
    1.25835
  • p(a)
    0.43004
  • Lowerbound of 95% confidence interval for beta
    1.65642
  • Upperbound of 95% confidence interval for beta
    2.53300
  • Lowerbound of 95% confidence interval for alpha
    -0.30713
  • Upperbound of 95% confidence interval for alpha
    1.38041
  • Treynor index (mean / b)
    0.62695
  • Jensen alpha (a)
    0.53664
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.23819
  • SD
    0.37939
  • Sharpe ratio (Glass type estimate)
    3.26365
  • Sharpe ratio (Hedges UMVUE)
    3.24479
  • df
    130.00000
  • t
    2.30775
  • p
    0.40081
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.45751
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.05761
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.44506
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.04451
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.63041
  • Upside Potential Ratio
    12.36790
  • Upside part of mean
    2.71983
  • Downside part of mean
    -1.48164
  • Upside SD
    0.31674
  • Downside SD
    0.21991
  • N nonnegative terms
    80.00000
  • N negative terms
    51.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.36367
  • Mean of criterion
    1.23819
  • SD of predictor
    0.11702
  • SD of criterion
    0.37939
  • Covariance
    0.02844
  • r
    0.64064
  • b (slope, estimate of beta)
    2.07697
  • a (intercept, estimate of alpha)
    0.48286
  • Mean Square Error
    0.08552
  • DF error
    129.00000
  • t(b)
    9.47634
  • p(b)
    0.12209
  • t(a)
    1.14646
  • p(a)
    0.43617
  • VAR (95 Confidence Intrvl)
    0.03000
  • Lowerbound of 95% confidence interval for beta
    1.64333
  • Upperbound of 95% confidence interval for beta
    2.51062
  • Lowerbound of 95% confidence interval for alpha
    -0.35045
  • Upperbound of 95% confidence interval for alpha
    1.31617
  • Treynor index (mean / b)
    0.59615
  • Jensen alpha (a)
    0.48286
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03326
  • Expected Shortfall on VaR
    0.04265
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01066
  • Expected Shortfall on VaR
    0.02313
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.92650
  • Quartile 1
    0.99453
  • Median
    1.00348
  • Quartile 3
    1.01410
  • Maximum
    1.10922
  • Mean of quarter 1
    0.97952
  • Mean of quarter 2
    0.99942
  • Mean of quarter 3
    1.00893
  • Mean of quarter 4
    1.03273
  • Inter Quartile Range
    0.01956
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.03817
  • Mean of outliers low
    0.94685
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.05344
  • Mean of outliers high
    1.06578
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.30049
  • VaR(95%) (moments method)
    0.01794
  • Expected Shortfall (moments method)
    0.03183
  • Extreme Value Index (regression method)
    0.28109
  • VaR(95%) (regression method)
    0.02253
  • Expected Shortfall (regression method)
    0.04064
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    20.00000
  • Minimum
    0.00029
  • Quartile 1
    0.00554
  • Median
    0.01657
  • Quartile 3
    0.02256
  • Maximum
    0.28419
  • Mean of quarter 1
    0.00214
  • Mean of quarter 2
    0.01234
  • Mean of quarter 3
    0.01869
  • Mean of quarter 4
    0.09048
  • Inter Quartile Range
    0.01703
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.15000
  • Mean of outliers high
    0.12947
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.77738
  • VaR(95%) (moments method)
    0.09481
  • Expected Shortfall (moments method)
    0.44315
  • Extreme Value Index (regression method)
    1.36126
  • VaR(95%) (regression method)
    0.09429
  • 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?
    -326889000
  • Max Equity Drawdown (num days)
    665
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.76668
  • Compounded annual return (geometric extrapolation)
    2.54697
  • Calmar ratio (compounded annual return / max draw down)
    8.96216
  • Compounded annual return / average of 25% largest draw downs
    28.14900
  • Compounded annual return / Expected Shortfall lognormal
    59.72170

Strategy Description

Slow and Conservative

Summary Statistics

Strategy began
2020-07-15
Suggested Minimum Capital
$35,000
# Trades
938
# Profitable
632
% Profitable
67.4%
Net Dividends
Correlation S&P500
0.436
Sharpe Ratio
0.43
Sortino Ratio
0.62
Beta
0.88
Alpha
0.02
Leverage
1.77 Average
10.42 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.