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

Positive Skewness Equity
(139879248)

Created by: _Aaron _Aaron
Started: 03/2022
Stocks
Last trade: 8 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.
4.1%
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.

(2.7%)
Max Drawdown
55
Num Trades
50.9%
Win Trades
1.7 : 1
Profit Factor
50.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022              (1.2%)+1.7%(0.4%)+2.8%(1.2%)+2.3%+2.6%(2.5%)            +4.1%

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 168 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
8/29/22 9:35 WY WEYERHAEUSER SHORT 85 35.13 9/26 15:45 28.27 0.05%
Trade id #141575128
Max drawdown($25)
Time8/29/22 13:45
Quant open85
Worst price35.43
Drawdown as % of equity-0.05%
$581
Includes Typical Broker Commissions trade costs of $1.70
8/19/22 11:36 DPZ DOMINO'S PIZZA SHORT 9 405.30 9/23 11:17 334.56 0.05%
Trade id #141477482
Max drawdown($28)
Time8/19/22 12:03
Quant open9
Worst price408.43
Drawdown as % of equity-0.05%
$637
Includes Typical Broker Commissions trade costs of $0.18
8/29/22 9:35 CELH CELSIUS HOLDINGS INC. COMMON STOCK LONG 27 108.90 9/23 9:30 86.16 1.16%
Trade id #141575157
Max drawdown($618)
Time9/23/22 9:30
Quant open27
Worst price86.01
Drawdown as % of equity-1.16%
($615)
Includes Typical Broker Commissions trade costs of $0.54
6/14/22 9:33 LCID LUCID GROUP INC SHORT 150 16.35 9/14 10:30 16.20 1.62%
Trade id #140760361
Max drawdown($814)
Time7/21/22 0:00
Quant open150
Worst price21.78
Drawdown as % of equity-1.62%
$20
Includes Typical Broker Commissions trade costs of $3.00
5/18/22 14:15 RTX RAYTHEON TECHNOLOGIES CORP LONG 21 92.78 8/31 10:04 90.70 0.21%
Trade id #140521737
Max drawdown($108)
Time6/17/22 0:00
Quant open21
Worst price87.61
Drawdown as % of equity-0.21%
($44)
Includes Typical Broker Commissions trade costs of $0.42
7/29/22 14:17 WWE WORLD WRESTLING LONG 42 69.95 8/29 9:30 67.03 0.24%
Trade id #141234604
Max drawdown($123)
Time8/29/22 9:30
Quant open42
Worst price67.00
Drawdown as % of equity-0.24%
($124)
Includes Typical Broker Commissions trade costs of $0.84
6/16/22 10:47 TCEHY TENCENT HOLDINGS ADR SHORT 102 43.57 8/25 9:31 41.49 0.38%
Trade id #140785552
Max drawdown($192)
Time6/24/22 0:00
Quant open54
Worst price49.38
Drawdown as % of equity-0.38%
$211
Includes Typical Broker Commissions trade costs of $2.04
5/3/22 10:26 NFE NEW FORTRESS ENERGY LLC LONG 48 41.37 8/17 11:47 58.97 0.48%
Trade id #140347967
Max drawdown($245)
Time7/6/22 0:00
Quant open48
Worst price36.26
Drawdown as % of equity-0.48%
$844
Includes Typical Broker Commissions trade costs of $0.96
5/18/22 14:01 TECK TECK RESOURCES LTD SHORT 51 38.97 7/29 14:07 29.08 0.71%
Trade id #140521597
Max drawdown($353)
Time6/7/22 0:00
Quant open51
Worst price45.90
Drawdown as % of equity-0.71%
$503
Includes Typical Broker Commissions trade costs of $1.02
4/18/22 13:57 GE GENERAL ELECTRIC SHORT 49 80.92 7/29 14:05 73.74 0.13%
Trade id #140172504
Max drawdown($63)
Time4/21/22 0:00
Quant open22
Worst price93.78
Drawdown as % of equity-0.13%
$351
Includes Typical Broker Commissions trade costs of $0.98
6/21/22 12:56 UFPI UFP INDUSTRIES INC SHORT 30 65.92 7/22 9:41 80.81 1.05%
Trade id #140822465
Max drawdown($526)
Time7/22/22 9:34
Quant open30
Worst price83.46
Drawdown as % of equity-1.05%
($448)
Includes Typical Broker Commissions trade costs of $0.60
4/4/22 9:33 POOL POOL SHORT 15 404.87 7/6 9:37 372.71 0.49%
Trade id #140015336
Max drawdown($244)
Time4/21/22 0:00
Quant open5
Worst price473.98
Drawdown as % of equity-0.49%
$482
Includes Typical Broker Commissions trade costs of $0.30
6/14/22 13:17 DWAC DIGITAL WORLD ACQUISITION CORP. CLASS A SHORT 66 30.00 7/1 9:40 24.19 0.19%
Trade id #140765441
Max drawdown($95)
Time6/15/22 0:00
Quant open66
Worst price31.45
Drawdown as % of equity-0.19%
$382
Includes Typical Broker Commissions trade costs of $1.32
6/1/22 10:05 CBRE CBRE GROUP SHORT 24 81.74 6/14 11:32 70.46 0.04%
Trade id #140647632
Max drawdown($18)
Time6/2/22 0:00
Quant open24
Worst price82.49
Drawdown as % of equity-0.04%
$271
Includes Typical Broker Commissions trade costs of $0.48
6/1/22 10:05 JLL JONES LANG LASALLE LONG 10 194.24 6/14 11:31 163.44 0.66%
Trade id #140647660
Max drawdown($332)
Time6/13/22 0:00
Quant open10
Worst price161.02
Drawdown as % of equity-0.66%
($308)
Includes Typical Broker Commissions trade costs of $0.20
5/18/22 9:47 FL FOOT LOCKER SHORT 65 30.71 6/10 9:34 30.84 0.41%
Trade id #140516323
Max drawdown($206)
Time5/20/22 0:00
Quant open65
Worst price33.89
Drawdown as % of equity-0.41%
($9)
Includes Typical Broker Commissions trade costs of $1.30
5/6/22 10:03 ILMN ILLUMINA LONG 8 245.33 6/10 9:34 200.76 0.78%
Trade id #140392603
Max drawdown($388)
Time6/10/22 9:33
Quant open8
Worst price196.81
Drawdown as % of equity-0.78%
($357)
Includes Typical Broker Commissions trade costs of $0.16
5/6/22 10:02 BIIB BIOGEN INC. COMMON STOCK SHORT 10 196.31 6/10 9:34 198.89 0.24%
Trade id #140392586
Max drawdown($121)
Time6/8/22 0:00
Quant open10
Worst price208.49
Drawdown as % of equity-0.24%
($26)
Includes Typical Broker Commissions trade costs of $0.20
5/18/22 9:47 URBN URBAN OUTFITTERS LONG 91 21.87 6/10 9:33 21.32 0.74%
Trade id #140516338
Max drawdown($369)
Time5/25/22 0:00
Quant open91
Worst price17.81
Drawdown as % of equity-0.74%
($52)
Includes Typical Broker Commissions trade costs of $1.82
5/3/22 12:45 LAMR LAMAR ADVERTISING COMPANY CLAS LONG 18 107.66 5/24 10:31 90.97 0.61%
Trade id #140351052
Max drawdown($302)
Time5/24/22 10:27
Quant open18
Worst price90.83
Drawdown as % of equity-0.61%
($300)
Includes Typical Broker Commissions trade costs of $0.36
5/3/22 12:45 VICI VICI PPTYS INC COMMON STOCK SHORT 66 29.85 5/24 10:30 28.54 0.12%
Trade id #140351058
Max drawdown($62)
Time5/5/22 0:00
Quant open66
Worst price30.80
Drawdown as % of equity-0.12%
$85
Includes Typical Broker Commissions trade costs of $1.32
4/26/22 9:59 ORLY O'REILLY AUTOMOTIVE LONG 2 717.49 5/20 13:22 563.76 0.62%
Trade id #140265313
Max drawdown($308)
Time5/20/22 13:19
Quant open2
Worst price563.46
Drawdown as % of equity-0.62%
($307)
Includes Typical Broker Commissions trade costs of $0.04
4/26/22 9:59 MUSA MURPHY USA INC SHORT 8 236.78 5/20 13:22 236.35 0.41%
Trade id #140265300
Max drawdown($206)
Time5/17/22 0:00
Quant open8
Worst price262.58
Drawdown as % of equity-0.41%
$3
Includes Typical Broker Commissions trade costs of $0.16
5/17/22 11:25 WMT WALMART INC LONG 14 134.00 5/18 9:55 126.37 0.22%
Trade id #140503112
Max drawdown($110)
Time5/18/22 9:46
Quant open14
Worst price126.08
Drawdown as % of equity-0.22%
($107)
Includes Typical Broker Commissions trade costs of $0.28
5/17/22 11:24 DG DOLLAR GENERAL SHORT 8 227.42 5/18 9:55 200.10 0.02%
Trade id #140503094
Max drawdown($12)
Time5/17/22 11:55
Quant open8
Worst price228.98
Drawdown as % of equity-0.02%
$219
Includes Typical Broker Commissions trade costs of $0.16
5/3/22 9:47 DRH DIAMONDROCK HOSPITALITY SHORT 189 10.52 5/10 9:31 9.81 0.03%
Trade id #140346726
Max drawdown($13)
Time5/4/22 0:00
Quant open189
Worst price10.59
Drawdown as % of equity-0.03%
$130
Includes Typical Broker Commissions trade costs of $3.78
5/3/22 9:47 XHR XENIA HOTELS & RESORTS INC LONG 104 19.12 5/10 9:31 17.99 0.36%
Trade id #140346704
Max drawdown($185)
Time5/9/22 0:00
Quant open104
Worst price17.34
Drawdown as % of equity-0.36%
($120)
Includes Typical Broker Commissions trade costs of $2.08
4/1/22 9:40 PATH UIPATH INC LONG 91 21.86 5/6 11:14 17.43 1.04%
Trade id #139990512
Max drawdown($524)
Time5/6/22 9:50
Quant open91
Worst price16.10
Drawdown as % of equity-1.04%
($405)
Includes Typical Broker Commissions trade costs of $1.82
4/1/22 9:40 MQ MARQETA INC. CLASS A COMMON STOCK SHORT 180 10.99 5/6 11:14 8.40 0.38%
Trade id #139990495
Max drawdown($187)
Time4/5/22 0:00
Quant open180
Worst price12.03
Drawdown as % of equity-0.38%
$462
Includes Typical Broker Commissions trade costs of $3.60
4/8/22 9:38 VRTS VIRTUS INVESTMENT LONG 9 204.80 5/3 13:04 177.53 0.54%
Trade id #140072325
Max drawdown($268)
Time5/3/22 9:50
Quant open9
Worst price174.95
Drawdown as % of equity-0.54%
($245)
Includes Typical Broker Commissions trade costs of $0.18

Statistics

  • Strategy began
    3/22/2022
  • Suggested Minimum Cap
    $5,000
  • Strategy Age (days)
    195.95
  • Age
    7 months ago
  • What it trades
    Stocks
  • # Trades
    55
  • # Profitable
    28
  • % Profitable
    50.90%
  • Avg trade duration
    32.8 days
  • Max peak-to-valley drawdown
    2.71%
  • drawdown period
    Sept 20, 2022 - Oct 04, 2022
  • Cumul. Return
    4.1%
  • Avg win
    $293.71
  • Avg loss
    $184.89
  • Model Account Values (Raw)
  • Cash
    $71,075
  • Margin Used
    $33,701
  • Buying Power
    $37,992
  • Ratios
  • W:L ratio
    1.68:1
  • Sharpe Ratio
    1.04
  • Sortino Ratio
    1.59
  • Calmar Ratio
    6.702
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    20.35%
  • Correlation to SP500
    -0.37900
  • Return Percent SP500 (cumu) during strategy life
    -16.34%
  • Verified
  • C2Star
    2
  • Return Statistics
  • Ann Return (w trading costs)
    7.7%
  • Slump
  • Current Slump as Pcnt Equity
    2.80%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.07%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.041%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    12.2%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    n/a
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    748
  • Popularity (Last 6 weeks)
    921
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    906
  • Popularity (7 days, Percentile 1000 scale)
    886
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $184
  • Avg Win
    $294
  • Sum Trade PL (losers)
    $4,956.000
  • Age
  • Num Months filled monthly returns table
    8
  • Win / Loss
  • Sum Trade PL (winners)
    $8,219.000
  • # Winners
    28
  • Num Months Winners
    4
  • Dividends
  • Dividends Received in Model Acct
    -46
  • Win / Loss
  • # Losers
    27
  • % Winners
    50.9%
  • Frequency
  • Avg Position Time (mins)
    47185.00
  • Avg Position Time (hrs)
    786.42
  • Avg Trade Length
    32.8 days
  • Last Trade Ago
    8
  • Leverage
  • Daily leverage (average)
    0.46
  • Daily leverage (max)
    0.86
  • Regression
  • Alpha
    0.01
  • Beta
    -0.09
  • Treynor Index
    -0.23
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.54
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    3.295
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    0.415
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.510
  • Hold-and-Hope Ratio
    0.301
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.14353
  • SD
    0.05639
  • Sharpe ratio (Glass type estimate)
    2.54518
  • Sharpe ratio (Hedges UMVUE)
    2.13986
  • df
    5.00000
  • t
    1.79972
  • p
    0.06590
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.71504
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.62075
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.93291
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.21263
  • Statistics related to Sortino ratio
  • Sortino ratio
    10.73640
  • Upside Potential Ratio
    12.61430
  • Upside part of mean
    0.16864
  • Downside part of mean
    -0.02511
  • Upside SD
    0.06472
  • Downside SD
    0.01337
  • N nonnegative terms
    4.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    6.00000
  • Mean of predictor
    -0.35053
  • Mean of criterion
    0.14353
  • SD of predictor
    0.22291
  • SD of criterion
    0.05639
  • Covariance
    -0.00470
  • r
    -0.37380
  • b (slope, estimate of beta)
    -0.09457
  • a (intercept, estimate of alpha)
    0.11038
  • Mean Square Error
    0.00342
  • DF error
    4.00000
  • t(b)
    -0.80604
  • p(b)
    0.76729
  • t(a)
    1.19510
  • p(a)
    0.14903
  • Lowerbound of 95% confidence interval for beta
    -0.42037
  • Upperbound of 95% confidence interval for beta
    0.23124
  • Lowerbound of 95% confidence interval for alpha
    -0.14611
  • Upperbound of 95% confidence interval for alpha
    0.36688
  • Treynor index (mean / b)
    -1.51779
  • Jensen alpha (a)
    0.11038
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.14106
  • SD
    0.05566
  • Sharpe ratio (Glass type estimate)
    2.53441
  • Sharpe ratio (Hedges UMVUE)
    2.13080
  • df
    5.00000
  • t
    1.79210
  • p
    0.06655
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.72252
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.60713
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.93955
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.20115
  • Statistics related to Sortino ratio
  • Sortino ratio
    10.53510
  • Upside Potential Ratio
    12.41240
  • Upside part of mean
    0.16620
  • Downside part of mean
    -0.02514
  • Upside SD
    0.06372
  • Downside SD
    0.01339
  • N nonnegative terms
    4.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    6.00000
  • Mean of predictor
    -0.37652
  • Mean of criterion
    0.14106
  • SD of predictor
    0.22703
  • SD of criterion
    0.05566
  • Covariance
    -0.00472
  • r
    -0.37356
  • b (slope, estimate of beta)
    -0.09158
  • a (intercept, estimate of alpha)
    0.10658
  • Mean Square Error
    0.00333
  • DF error
    4.00000
  • t(b)
    -0.80542
  • p(b)
    0.76714
  • t(a)
    1.15624
  • p(a)
    0.15597
  • Lowerbound of 95% confidence interval for beta
    -0.40733
  • Upperbound of 95% confidence interval for beta
    0.22417
  • Lowerbound of 95% confidence interval for alpha
    -0.14940
  • Upperbound of 95% confidence interval for alpha
    0.36256
  • Treynor index (mean / b)
    -1.54031
  • Jensen alpha (a)
    0.10658
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01457
  • Expected Shortfall on VaR
    0.02114
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00375
  • Expected Shortfall on VaR
    0.00739
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    6.00000
  • Minimum
    0.99375
  • Quartile 1
    1.00116
  • Median
    1.01587
  • Quartile 3
    1.02702
  • Maximum
    1.03325
  • Mean of quarter 1
    0.99605
  • Mean of quarter 2
    1.00959
  • Mean of quarter 3
    1.02214
  • Mean of quarter 4
    1.03095
  • Inter Quartile Range
    0.02586
  • 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 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
    2.00000
  • Minimum
    0.00165
  • Quartile 1
    0.00280
  • Median
    0.00395
  • Quartile 3
    0.00510
  • Maximum
    0.00625
  • Mean of quarter 1
    0.00165
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00625
  • Inter Quartile Range
    0.00230
  • 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)
    0.17631
  • Compounded annual return (geometric extrapolation)
    0.18408
  • Calmar ratio (compounded annual return / max draw down)
    29.46470
  • Compounded annual return / average of 25% largest draw downs
    29.46470
  • Compounded annual return / Expected Shortfall lognormal
    8.70678
  • 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
    0.10239
  • SD
    0.05939
  • Sharpe ratio (Glass type estimate)
    1.72409
  • Sharpe ratio (Hedges UMVUE)
    1.71477
  • df
    139.00000
  • t
    1.26030
  • p
    0.43246
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.96785
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.40992
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.97403
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.40357
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.75651
  • Upside Potential Ratio
    11.07600
  • Upside part of mean
    0.41140
  • Downside part of mean
    -0.30901
  • Upside SD
    0.04650
  • Downside SD
    0.03714
  • N nonnegative terms
    77.00000
  • N negative terms
    63.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    140.00000
  • Mean of predictor
    -0.32791
  • Mean of criterion
    0.10239
  • SD of predictor
    0.25113
  • SD of criterion
    0.05939
  • Covariance
    -0.00581
  • r
    -0.38955
  • b (slope, estimate of beta)
    -0.09212
  • a (intercept, estimate of alpha)
    0.07200
  • Mean Square Error
    0.00301
  • DF error
    138.00000
  • t(b)
    -4.96875
  • p(b)
    0.69478
  • t(a)
    0.95808
  • p(a)
    0.45936
  • Lowerbound of 95% confidence interval for beta
    -0.12877
  • Upperbound of 95% confidence interval for beta
    -0.05546
  • Lowerbound of 95% confidence interval for alpha
    -0.07679
  • Upperbound of 95% confidence interval for alpha
    0.22115
  • Treynor index (mean / b)
    -1.11147
  • Jensen alpha (a)
    0.07218
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.10061
  • SD
    0.05933
  • Sharpe ratio (Glass type estimate)
    1.69580
  • Sharpe ratio (Hedges UMVUE)
    1.68663
  • df
    139.00000
  • t
    1.23962
  • p
    0.43355
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.99578
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.38149
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.00192
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.37519
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.70101
  • Upside Potential Ratio
    11.01480
  • Upside part of mean
    0.41028
  • Downside part of mean
    -0.30967
  • Upside SD
    0.04632
  • Downside SD
    0.03725
  • N nonnegative terms
    77.00000
  • N negative terms
    63.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    140.00000
  • Mean of predictor
    -0.35958
  • Mean of criterion
    0.10061
  • SD of predictor
    0.25212
  • SD of criterion
    0.05933
  • Covariance
    -0.00582
  • r
    -0.38934
  • b (slope, estimate of beta)
    -0.09162
  • a (intercept, estimate of alpha)
    0.06766
  • Mean Square Error
    0.00301
  • DF error
    138.00000
  • t(b)
    -4.96551
  • p(b)
    0.69467
  • t(a)
    0.89836
  • p(a)
    0.46187
  • Lowerbound of 95% confidence interval for beta
    -0.12810
  • Upperbound of 95% confidence interval for beta
    -0.05513
  • Lowerbound of 95% confidence interval for alpha
    -0.08126
  • Upperbound of 95% confidence interval for alpha
    0.21659
  • Treynor index (mean / b)
    -1.09812
  • Jensen alpha (a)
    0.06766
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00563
  • Expected Shortfall on VaR
    0.00715
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00256
  • Expected Shortfall on VaR
    0.00494
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    140.00000
  • Minimum
    0.99136
  • Quartile 1
    0.99804
  • Median
    1.00035
  • Quartile 3
    1.00275
  • Maximum
    1.01241
  • Mean of quarter 1
    0.99604
  • Mean of quarter 2
    0.99948
  • Mean of quarter 3
    1.00141
  • Mean of quarter 4
    1.00506
  • Inter Quartile Range
    0.00472
  • 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
    0.01429
  • Mean of outliers high
    1.01169
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.08378
  • VaR(95%) (moments method)
    0.00401
  • Expected Shortfall (moments method)
    0.00552
  • Extreme Value Index (regression method)
    -0.33599
  • VaR(95%) (regression method)
    0.00361
  • Expected Shortfall (regression method)
    0.00419
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    13.00000
  • Minimum
    0.00022
  • Quartile 1
    0.00359
  • Median
    0.00607
  • Quartile 3
    0.01261
  • Maximum
    0.02046
  • Mean of quarter 1
    0.00158
  • Mean of quarter 2
    0.00599
  • Mean of quarter 3
    0.01191
  • Mean of quarter 4
    0.01785
  • Inter Quartile Range
    0.00903
  • 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)
    -1.93584
  • VaR(95%) (moments method)
    0.01873
  • Expected Shortfall (moments method)
    0.01895
  • Extreme Value Index (regression method)
    -1.12065
  • VaR(95%) (regression method)
    0.02089
  • Expected Shortfall (regression method)
    0.02162
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.13303
  • Compounded annual return (geometric extrapolation)
    0.13714
  • Calmar ratio (compounded annual return / max draw down)
    6.70235
  • Compounded annual return / average of 25% largest draw downs
    7.68238
  • Compounded annual return / Expected Shortfall lognormal
    19.18080
  • 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
    0.12996
  • SD
    0.06042
  • Sharpe ratio (Glass type estimate)
    2.15117
  • Sharpe ratio (Hedges UMVUE)
    2.13874
  • df
    130.00000
  • t
    1.52111
  • p
    0.43388
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.63694
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.93117
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.64523
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.92271
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.48399
  • Upside Potential Ratio
    11.63560
  • Upside part of mean
    0.43405
  • Downside part of mean
    -0.30408
  • Upside SD
    0.04791
  • Downside SD
    0.03730
  • N nonnegative terms
    75.00000
  • N negative terms
    56.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.38071
  • Mean of criterion
    0.12996
  • SD of predictor
    0.25578
  • SD of criterion
    0.06042
  • Covariance
    -0.00620
  • r
    -0.40098
  • b (slope, estimate of beta)
    -0.09471
  • a (intercept, estimate of alpha)
    0.09391
  • Mean Square Error
    0.00309
  • DF error
    129.00000
  • t(b)
    -4.97138
  • p(b)
    0.74825
  • t(a)
    1.19007
  • p(a)
    0.43378
  • Lowerbound of 95% confidence interval for beta
    -0.13241
  • Upperbound of 95% confidence interval for beta
    -0.05702
  • Lowerbound of 95% confidence interval for alpha
    -0.06221
  • Upperbound of 95% confidence interval for alpha
    0.25003
  • Treynor index (mean / b)
    -1.37220
  • Jensen alpha (a)
    0.09391
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.12811
  • SD
    0.06036
  • Sharpe ratio (Glass type estimate)
    2.12260
  • Sharpe ratio (Hedges UMVUE)
    2.11033
  • df
    130.00000
  • t
    1.50091
  • p
    0.43474
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.66519
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.90239
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.67332
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.89398
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.42442
  • Upside Potential Ratio
    11.57040
  • Upside part of mean
    0.43286
  • Downside part of mean
    -0.30475
  • Upside SD
    0.04773
  • Downside SD
    0.03741
  • N nonnegative terms
    75.00000
  • N negative terms
    56.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.41361
  • Mean of criterion
    0.12811
  • SD of predictor
    0.25679
  • SD of criterion
    0.06036
  • Covariance
    -0.00621
  • r
    -0.40065
  • b (slope, estimate of beta)
    -0.09417
  • a (intercept, estimate of alpha)
    0.08916
  • Mean Square Error
    0.00308
  • DF error
    129.00000
  • t(b)
    -4.96663
  • p(b)
    0.74807
  • t(a)
    1.13007
  • p(a)
    0.43707
  • VAR (95 Confidence Intrvl)
    0.00600
  • Lowerbound of 95% confidence interval for beta
    -0.13168
  • Upperbound of 95% confidence interval for beta
    -0.05666
  • Lowerbound of 95% confidence interval for alpha
    -0.06694
  • Upperbound of 95% confidence interval for alpha
    0.24526
  • Treynor index (mean / b)
    -1.36041
  • Jensen alpha (a)
    0.08916
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00563
  • Expected Shortfall on VaR
    0.00718
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00243
  • Expected Shortfall on VaR
    0.00478
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.99136
  • Quartile 1
    0.99822
  • Median
    1.00045
  • Quartile 3
    1.00295
  • Maximum
    1.01241
  • Mean of quarter 1
    0.99604
  • Mean of quarter 2
    0.99963
  • Mean of quarter 3
    1.00158
  • Mean of quarter 4
    1.00519
  • Inter Quartile Range
    0.00473
  • 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
    0.01527
  • Mean of outliers high
    1.01169
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.08707
  • VaR(95%) (moments method)
    0.00398
  • Expected Shortfall (moments method)
    0.00552
  • Extreme Value Index (regression method)
    -0.42452
  • VaR(95%) (regression method)
    0.00364
  • Expected Shortfall (regression method)
    0.00417
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    15.00000
  • Minimum
    0.00022
  • Quartile 1
    0.00244
  • Median
    0.00601
  • Quartile 3
    0.01156
  • Maximum
    0.02046
  • Mean of quarter 1
    0.00074
  • Mean of quarter 2
    0.00472
  • Mean of quarter 3
    0.00787
  • Mean of quarter 4
    0.01606
  • Inter Quartile Range
    0.00912
  • 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)
    -0.17533
  • VaR(95%) (moments method)
    0.01790
  • Expected Shortfall (moments method)
    0.02077
  • Extreme Value Index (regression method)
    3.69591
  • VaR(95%) (regression method)
    0.01646
  • Last 4 Months - Pcnt Negative
    0.50%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -362778000
  • Max Equity Drawdown (num days)
    14
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.16226
  • Compounded annual return (geometric extrapolation)
    0.16885
  • Calmar ratio (compounded annual return / max draw down)
    8.25210
  • Compounded annual return / average of 25% largest draw downs
    10.51610
  • Compounded annual return / Expected Shortfall lognormal
    23.53070

Strategy Description

Briefly Description:
This portfolio utilizes a long/short strategy and focuses on the stocks of mid-cap to mega-cap listed companies.
Professional level portfolio management techniques restrict all positions; it could refer to Beta Hedge, Portfolio Correlation & Volatility etc.
The maximum positions won't be able excess over 12 positions due to they won't be too diversified otherwise could affect the portfolio return.
Its trading timeframe is within 90 trading days. 90% of the time, I won't do day trading - no gambling.
Not a chart trader, 85% of my time is spent on fundamental analysis.

Summary Statistics

Strategy began
2022-03-22
Suggested Minimum Capital
$5,000
Rank at C2 %
Top 9.4%
Rank # 
#77
# Trades
55
# Profitable
28
% Profitable
50.9%
Net Dividends
Correlation S&P500
-0.379
Sharpe Ratio
1.04
Sortino Ratio
1.59
Beta
-0.09
Alpha
0.01
Leverage
0.46 Average
0.86 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.