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This is an archived track record. This track record was archived on 2/24/21 13:34 ET. (See latest track record)
These are hypothetical performance results that have certain inherent limitations. Learn more
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Sharpe Alpha
(133451090)

Created by: JamesThornton2 JamesThornton2
Started: 01/2021
Stocks
Last trade: 1,151 days ago
Trading style: Equity Hedged Equity Sector Rotation

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 $125.00 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.
Sector Rotation
Category: Equity

Sector Rotation

Uses the proceeds from the sale of securities related to a particular investment sector for the purchase of securities in another sector. This strategy is used as a method for capturing returns from market cycles and diversifying holdings over a specified holding period.
1.7%
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.

(11.9%)
Max Drawdown
66
Num Trades
50.0%
Win Trades
1.1 : 1
Profit Factor
7.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2021+6.8%+1.8%+0.1%  -    -    -    -    -    -    -    -    -  +8.8%
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
2/22/21 11:17 APPF APPFOLIO INC. CLASS A COMMON STOCK LONG 6 168.93 2/24 13:34 166.63 0.21%
Trade id #134195277
Max drawdown($104)
Time2/23/21 0:00
Quant open6
Worst price151.51
Drawdown as % of equity-0.21%
 ($14)
Includes Typical Broker Commissions trade costs of $0.12
2/22/21 11:17 ABBV ABBVIE INC LONG 9 106.50 2/24 13:34 109.04 0.01%
Trade id #134195266
Max drawdown($6)
Time2/22/21 11:37
Quant open9
Worst price105.80
Drawdown as % of equity-0.01%
 $23
Includes Typical Broker Commissions trade costs of $0.18
2/16/21 10:16 GSY INVESCO ULTRA SHORT DURA LONG 86 50.57 2/24 13:34 50.55 0%
Trade id #134084358
Max drawdown($1)
Time2/23/21 0:00
Quant open86
Worst price50.55
Drawdown as % of equity-0.00%
 ($3)
Includes Typical Broker Commissions trade costs of $1.72
2/16/21 10:14 STZ CONSTELLATION BRANDS LONG 4 233.27 2/24 13:34 223.72 0.1%
Trade id #134084267
Max drawdown($52)
Time2/23/21 0:00
Quant open4
Worst price220.20
Drawdown as % of equity-0.10%
 ($38)
Includes Typical Broker Commissions trade costs of $0.08
2/16/21 10:14 RIOT RIOT BLOCKCHAIN INC. COMMON STOCK LONG 11 58.74 2/24 13:34 59.04 0.19%
Trade id #134084230
Max drawdown($96)
Time2/23/21 0:00
Quant open7
Worst price45.02
Drawdown as % of equity-0.19%
 $3
Includes Typical Broker Commissions trade costs of $0.22
2/8/21 9:48 SCCO SOUTHERN COPPER LONG 22 72.24 2/24 13:34 76.92 0.12%
Trade id #133910535
Max drawdown($62)
Time2/9/21 0:00
Quant open21
Worst price69.38
Drawdown as % of equity-0.12%
 $103
Includes Typical Broker Commissions trade costs of $0.44
2/8/21 9:48 SBSW SIBANYE-STILLWATER LONG 117 17.57 2/24 13:34 19.78 0.05%
Trade id #133910519
Max drawdown($25)
Time2/9/21 0:00
Quant open90
Worst price16.92
Drawdown as % of equity-0.05%
 $257
Includes Typical Broker Commissions trade costs of $2.34
2/8/21 9:47 ETHE GRAYSCALE ETHEREUM TR ETH COMMON UNITS OF FRACTION LONG 80 19.96 2/24 13:34 19.26 0.24%
Trade id #133910503
Max drawdown($123)
Time2/23/21 0:00
Quant open25
Worst price15.00
Drawdown as % of equity-0.24%
 ($58)
Includes Typical Broker Commissions trade costs of $1.60
2/1/21 13:13 AWK AMERICAN WATER WORKS LONG 10 163.02 2/24 13:34 156.37 0.15%
Trade id #133762405
Max drawdown($74)
Time2/23/21 0:00
Quant open6
Worst price150.63
Drawdown as % of equity-0.15%
 ($67)
Includes Typical Broker Commissions trade costs of $0.20
2/1/21 12:47 VIXM PROSHARES VIX MID-TERM FUTURES LONG 347 41.73 2/24 13:34 40.96 1.07%
Trade id #133760813
Max drawdown($560)
Time2/4/21 0:00
Quant open190
Worst price39.23
Drawdown as % of equity-1.07%
 ($273)
Includes Typical Broker Commissions trade costs of $6.94
2/1/21 12:47 FIZZ NATIONAL BEVERAGE LONG 30 62.04 2/24 13:34 51.25 0.63%
Trade id #133760803
Max drawdown($320)
Time2/23/21 0:00
Quant open20
Worst price46.00
Drawdown as % of equity-0.63%
 ($325)
Includes Typical Broker Commissions trade costs of $0.60
2/1/21 12:46 WPM WHEATON PRECIOUS METALS CORP LONG 54 42.02 2/24 13:34 40.08 0.48%
Trade id #133760742
Max drawdown($254)
Time2/19/21 0:00
Quant open53
Worst price37.22
Drawdown as % of equity-0.48%
 ($106)
Includes Typical Broker Commissions trade costs of $1.08
2/1/21 12:45 SVM SILVERCORP METALS INC LONG 252 7.37 2/24 13:34 6.42 0.67%
Trade id #133760650
Max drawdown($369)
Time2/12/21 0:00
Quant open252
Worst price5.91
Drawdown as % of equity-0.67%
 ($246)
Includes Typical Broker Commissions trade costs of $5.04
2/1/21 12:45 RGLD ROYAL GOLD LONG 19 108.16 2/24 13:34 108.38 0.13%
Trade id #133760582
Max drawdown($68)
Time2/4/21 0:00
Quant open14
Worst price102.44
Drawdown as % of equity-0.13%
 $4
Includes Typical Broker Commissions trade costs of $0.38
2/1/21 12:43 IIPR INNOVATIVE INDUSTRIAL PROPERTIES INC LONG 8 191.82 2/24 13:34 218.09 0.02%
Trade id #133760414
Max drawdown($8)
Time2/23/21 0:00
Quant open5
Worst price190.06
Drawdown as % of equity-0.02%
 $210
Includes Typical Broker Commissions trade costs of $0.16
2/1/21 12:43 GRWG GROWGENERATION CORP. COMMON STOCK LONG 38 45.87 2/24 13:34 54.34 0.07%
Trade id #133760400
Max drawdown($33)
Time2/23/21 0:00
Quant open18
Worst price44.01
Drawdown as % of equity-0.07%
 $321
Includes Typical Broker Commissions trade costs of $0.76
1/19/21 9:55 ZSL PROSHARES ULTRASHORT SILVER LONG 623 6.55 2/24 13:34 5.62 1.76%
Trade id #133454511
Max drawdown($868)
Time2/1/21 0:00
Quant open338
Worst price4.82
Drawdown as % of equity-1.76%
 ($593)
Includes Typical Broker Commissions trade costs of $9.79
1/19/21 9:54 YUMC YUM CHINA HOLDINGS INC LONG 27 58.83 2/24 13:34 61.54 0.19%
Trade id #133454499
Max drawdown($97)
Time2/4/21 0:00
Quant open26
Worst price55.03
Drawdown as % of equity-0.19%
 $72
Includes Typical Broker Commissions trade costs of $0.54
1/19/21 9:54 WCN WASTE CONNECTIONS LONG 17 100.73 2/24 13:34 98.83 0.09%
Trade id #133454477
Max drawdown($43)
Time1/29/21 0:00
Quant open10
Worst price97.69
Drawdown as % of equity-0.09%
 ($32)
Includes Typical Broker Commissions trade costs of $0.34
1/19/21 9:53 VIPS VIPSHOP HOLDINGS LONG 69 30.07 2/24 13:34 33.69 0.39%
Trade id #133454457
Max drawdown($195)
Time1/28/21 0:00
Quant open66
Worst price26.95
Drawdown as % of equity-0.39%
 $249
Includes Typical Broker Commissions trade costs of $1.38
1/19/21 9:52 TYL TYLER TECHNOLOGIES LONG 4 425.99 2/24 13:34 465.34 0.06%
Trade id #133454409
Max drawdown($31)
Time2/5/21 0:00
Quant open4
Worst price418.20
Drawdown as % of equity-0.06%
 $157
Includes Typical Broker Commissions trade costs of $0.08
1/19/21 9:52 TSM TAIWAN SEMICONDUCTOR LONG 23 129.79 2/24 13:34 130.29 0.42%
Trade id #133454365
Max drawdown($212)
Time1/29/21 0:00
Quant open23
Worst price120.55
Drawdown as % of equity-0.42%
 $12
Includes Typical Broker Commissions trade costs of $0.46
1/19/21 9:51 TAL TAL EDUCATION GROUP LONG 22 68.01 2/24 13:34 83.09 0.13%
Trade id #133454349
Max drawdown($62)
Time1/21/21 0:00
Quant open22
Worst price65.15
Drawdown as % of equity-0.13%
 $332
Includes Typical Broker Commissions trade costs of $0.44
1/19/21 9:51 SQ BLOCK INC LONG 9 225.68 2/24 13:34 243.21 0.5%
Trade id #133454327
Max drawdown($251)
Time1/27/21 0:00
Quant open9
Worst price197.70
Drawdown as % of equity-0.50%
 $158
Includes Typical Broker Commissions trade costs of $0.18
1/19/21 9:51 SEDG SOLAREDGE TECHNOLOGIES INC. C LONG 5 297.28 2/24 13:34 321.96 0.25%
Trade id #133454232
Max drawdown($128)
Time1/27/21 0:00
Quant open4
Worst price266.01
Drawdown as % of equity-0.25%
 $123
Includes Typical Broker Commissions trade costs of $0.10
1/19/21 9:50 ROL ROLLINS LONG 43 36.92 2/24 13:34 36.29 0.18%
Trade id #133454154
Max drawdown($90)
Time1/27/21 0:00
Quant open27
Worst price34.09
Drawdown as % of equity-0.18%
 ($28)
Includes Typical Broker Commissions trade costs of $0.86
1/19/21 9:50 PYPL PAYPAL HOLDINGS CORP LONG 8 251.81 2/24 13:34 280.63 0.14%
Trade id #133454102
Max drawdown($69)
Time1/27/21 0:00
Quant open4
Worst price225.00
Drawdown as % of equity-0.14%
 $231
Includes Typical Broker Commissions trade costs of $0.16
1/19/21 9:49 PALL ABRDN PHYSICAL PALLADIUM SHARES ETF LONG 18 222.35 2/24 13:34 215.93 0.58%
Trade id #133453954
Max drawdown($291)
Time1/29/21 0:00
Quant open18
Worst price206.17
Drawdown as % of equity-0.58%
 ($116)
Includes Typical Broker Commissions trade costs of $0.36
1/19/21 9:48 ODFL OLD DOMINION FREIGHT LNS LONG 10 211.08 2/24 13:34 211.31 0.36%
Trade id #133453894
Max drawdown($183)
Time1/27/21 0:00
Quant open10
Worst price192.76
Drawdown as % of equity-0.36%
 $2
Includes Typical Broker Commissions trade costs of $0.20
1/19/21 9:48 NVDA NVIDIA LONG 5 537.98 2/24 13:34 576.27 0.07%
Trade id #133453861
Max drawdown($34)
Time1/27/21 0:00
Quant open4
Worst price511.75
Drawdown as % of equity-0.07%
 $191
Includes Typical Broker Commissions trade costs of $0.10
Next

Statistics

  • Strategy began
    1/19/2021
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    1182.12
  • Age
    40 months ago
  • What it trades
    Stocks
  • # Trades
    66
  • # Profitable
    33
  • % Profitable
    50.00%
  • Avg trade duration
    27.0 days
  • Max peak-to-valley drawdown
    11.87%
  • drawdown period
    Feb 16, 2021 - Feb 23, 2021
  • Cumul. Return
    0.2%
  • Avg win
    $208.61
  • Avg loss
    $186.36
  • Model Account Values (Raw)
  • Cash
    $50,815
  • Margin Used
    $0
  • Buying Power
    $50,815
  • Ratios
  • W:L ratio
    1.13:1
  • Sharpe Ratio
    0.13
  • Sortino Ratio
    0.23
  • Calmar Ratio
    1.734
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.05380
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -2.82%
  • Return Percent SP500 (cumu) during strategy life
    30.75%
  • Verified
  • C2Star
    0
  • Return Statistics
  • Ann Return (w trading costs)
    1.7%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.98%
  • Instruments
  • Percent Trades Stocks
    1.00%
  • Slump
  • Current Slump as Pcnt Equity
    11.00%
  • 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)
    0.002%
  • Instruments
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    0.5%
  • Automation
  • Percentage Signals Automated
    14.86%
  • Popularity
  • Popularity (Today)
    589
  • Popularity (Last 6 weeks)
    837
  • Popularity (7 days, Percentile 1000 scale)
    722
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Win
    $209
  • Avg Loss
    $186
  • Sum Trade PL (losers)
    $6,150.000
  • Sum Trade PL (winners)
    $6,884.000
  • # Winners
    33
  • Dividends
  • Dividends Received in Model Acct
    81
  • Win / Loss
  • Num Months Winners
    3
  • Age
  • Num Months filled monthly returns table
    40
  • Win / Loss
  • # Losers
    33
  • % Winners
    50.0%
  • Frequency
  • Avg Position Time (mins)
    38856.40
  • Avg Position Time (hrs)
    647.61
  • Avg Trade Length
    27.0 days
  • Last Trade Ago
    1146
  • Leverage
  • Daily leverage (average)
    2.40
  • Daily leverage (max)
    2.56
  • Regression
  • Alpha
    0.00
  • Beta
    0.02
  • Treynor Index
    0.13
  • Maximum Adverse Excursion (MAE)
  • MAE:PL (avg, all trades)
    2.41
  • MAE:Equity, average, all trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    -13.170
  • 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
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL - worst single value for strategy
    -
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • MAE:PL (avg, losing trades)
    -
  • Avg(MAE) / Avg(PL) - Winning trades
    0.622
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.387
  • Hold-and-Hope Ratio
    -0.076
  • Analysis based on DAILY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to linear regression on benchmark
  • a (intercept, estimate of alpha)
    0.13000
  • Analysis based on DAILY values, last 6 months only
  • Ratio statistics of excess log return rates
  • VAR (95 Confidence Intrvl)
    0.01200
  • DRAW DOWN STATISTICS
  • Risk estimates based on draw downs (based on Extreme Value T
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • Max Equity Drawdown (num days)
    7
  • Last 4 Months - Pcnt Negative
    n/a
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -313500000

Strategy Description

The portfolio attempts to take advantage of both bull and bear markets by tactically allocating between strategic equity, fixed income, cash, currencies, commodities, crypto and alternatives investment positions. Looking to capitalize on the non-correlation between various economic sectors and asset classes. The portfolio attempts to assess which asset class and sectors will provide the best opportunity in light of prevailing market conditions. When the equity markets become indecisive, the portfolio may rotate into alternative assets and sectors to maximize long-term capital gain potential while primarily focusing on portfolio volatility and draw-down.

The portfolio is managed throughout each trading day and it is strongly recommended to own all positions within the portfolio as each position is strategically owned to minimize portfolio risk while maximizing long-term capital appreciation.

Please feel free to contact me with questions at anytime.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2021-01-19
Suggested Minimum Capital
$35,000
# Trades
66
# Profitable
33
% Profitable
50.0%
Net Dividends
$81
Correlation S&P500
0.054
Sharpe Ratio
0.13
Sortino Ratio
0.23
Beta
0.02
Alpha
0.00
Leverage
2.40 Average
2.56 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

#PERSONNAME#
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.