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Featured Strategy Income Trades Followed by live capital $26,500 Hypothetical

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The Successful Investor
(126869697)

Created by: LONGTERM LONGTERM
Started: 01/2020
Stocks
Last trade: 1,235 days ago
Trading style: Equity Hedged Equity

Subscriptions not available

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

Subscription terms. Subscriptions to this system cost $99.00 per month.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

Trading Category: Equity
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.
20.7%
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.

(45.0%)
Max Drawdown
111
Num Trades
61.3%
Win Trades
4.0 : 1
Profit Factor
61.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020(0.5%)(1.1%)+5.4%+1.0%+1.5%+1.0%+0.7%(3.1%)(0.1%)(10.4%)+39.1%+9.3%+42.6%
2021(2.2%)+10.0%+3.4%+10.8%+1.0%+4.0%+4.2%+6.7%(3.8%)+7.0%+4.0%+3.7%+59.6%
2022(17.3%)+1.3%+10.5%(17.9%)(2%)(15.5%)+15.7%(7%)(13.9%)+8.1%+6.3%(8.3%)(38.5%)
2023+11.3%(5%)  -  +3.3%+6.7%+8.5%+8.2%(3.5%)(10.3%)(4.2%)+16.8%+9.0%+44.3%
2024+4.3%+7.0%+6.0%(5.7%)                                                

Model Account Details

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

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

Trading Record

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
12/11/20 15:59 QLD PROSHARES ULTRA QQQ LONG 624 106.32 12/14 15:59 108.05 n/a $1,075
Includes Typical Broker Commissions trade costs of $5.00
11/25/20 15:59 SSO PROSHARES ULTRA S&P 500 LONG 748 85.53 12/11 15:59 87.07 1.92%
Trade id #132465364
Max drawdown($1,264)
Time11/30/20 0:00
Quant open748
Worst price83.84
Drawdown as % of equity-1.92%
 $1,147
Includes Typical Broker Commissions trade costs of $5.00
11/24/20 15:59 QLD PROSHARES ULTRA QQQ LONG 621 101.48 11/25 15:59 102.69 n/a $746
Includes Typical Broker Commissions trade costs of $5.00
11/20/20 15:48 SSO PROSHARES ULTRA S&P 500 LONG 722 82.79 11/24 15:59 85.72 1.06%
Trade id #132379803
Max drawdown($657)
Time11/23/20 0:00
Quant open722
Worst price81.88
Drawdown as % of equity-1.06%
 $2,110
Includes Typical Broker Commissions trade costs of $5.00
11/9/20 15:59 QLD PROSHARES ULTRA QQQ LONG 599 97.47 11/20 15:47 99.52 5.15%
Trade id #132160982
Max drawdown($3,162)
Time11/10/20 0:00
Quant open599
Worst price92.19
Drawdown as % of equity-5.15%
 $1,223
Includes Typical Broker Commissions trade costs of $5.00
11/6/20 15:59 UWM PROSHARES ULTRA RUSSELL2000 LONG 877 62.54 11/9 15:59 67.04 n/a $3,942
Includes Typical Broker Commissions trade costs of $5.00
10/30/20 16:00 QLD PROSHARES ULTRA QQQ LONG 650 85.50 11/6 15:56 101.99 2.36%
Trade id #131997645
Max drawdown($1,105)
Time11/2/20 0:00
Quant open650
Worst price83.80
Drawdown as % of equity-2.36%
 $10,714
Includes Typical Broker Commissions trade costs of $5.00
10/29/20 15:59 SSO PROSHARES ULTRA S&P 500 LONG 764 71.16 10/30 15:59 69.53 5.45%
Trade id #131977374
Max drawdown($2,528)
Time10/30/20 14:45
Quant open764
Worst price67.85
Drawdown as % of equity-5.45%
 ($1,250)
Includes Typical Broker Commissions trade costs of $5.00
10/28/20 15:59 UWM PROSHARES ULTRA RUSSELL2000 LONG 994 55.06 10/29 15:59 56.41 2.27%
Trade id #131955214
Max drawdown($1,063)
Time10/29/20 0:00
Quant open994
Worst price53.99
Drawdown as % of equity-2.27%
 $1,337
Includes Typical Broker Commissions trade costs of $5.00
10/23/20 15:59 QLD PROSHARES ULTRA QQQ LONG 578 95.67 10/28 15:59 87.00 10.92%
Trade id #131874671
Max drawdown($5,184)
Time10/28/20 15:59
Quant open578
Worst price86.70
Drawdown as % of equity-10.92%
 ($5,016)
Includes Typical Broker Commissions trade costs of $5.00
10/22/20 15:58 SSO PROSHARES ULTRA S&P 500 LONG 670 77.52 10/23 15:59 78.05 0.71%
Trade id #131851786
Max drawdown($368)
Time10/23/20 12:20
Quant open670
Worst price76.97
Drawdown as % of equity-0.71%
 $350
Includes Typical Broker Commissions trade costs of $5.00
10/20/20 15:59 UWM PROSHARES ULTRA RUSSELL2000 LONG 905 60.77 10/22 15:58 61.60 2.18%
Trade id #131803183
Max drawdown($1,104)
Time10/22/20 10:44
Quant open905
Worst price59.55
Drawdown as % of equity-2.18%
 $746
Includes Typical Broker Commissions trade costs of $5.00
10/20/20 9:30 SSO PROSHARES ULTRA S&P 500 LONG 721 77.11 10/20 15:58 77.25 0.5%
Trade id #131790856
Max drawdown($252)
Time10/20/20 11:04
Quant open721
Worst price76.76
Drawdown as % of equity-0.50%
 $96
Includes Typical Broker Commissions trade costs of $5.00
10/16/20 15:59 GDX VANECK GOLD MINERS ETF LONG 1,290 39.90 10/19 15:59 39.15 1.93%
Trade id #131747420
Max drawdown($980)
Time10/19/20 15:59
Quant open1,290
Worst price39.14
Drawdown as % of equity-1.93%
 ($973)
Includes Typical Broker Commissions trade costs of $5.00
10/15/20 15:59 TLT ISHARES 20+ YEAR TREASURY BOND LONG 320 161.83 10/16 15:57 161.35 0.45%
Trade id #131724091
Max drawdown($233)
Time10/16/20 11:50
Quant open320
Worst price161.10
Drawdown as % of equity-0.45%
 ($160)
Includes Typical Broker Commissions trade costs of $6.40
10/1/20 15:59 TLT ISHARES 20+ YEAR TREASURY BOND LONG 320 163.42 10/14 15:59 162.15 2.98%
Trade id #131470424
Max drawdown($1,516)
Time10/6/20 0:00
Quant open320
Worst price158.68
Drawdown as % of equity-2.98%
 ($412)
Includes Typical Broker Commissions trade costs of $6.40
9/22/20 15:59 UWM PROSHARES ULTRA RUSSELL2000 LONG 959 52.01 9/28 15:36 52.95 8.66%
Trade id #131302101
Max drawdown($4,200)
Time9/24/20 0:00
Quant open959
Worst price47.63
Drawdown as % of equity-8.66%
 $896
Includes Typical Broker Commissions trade costs of $5.00
9/16/20 15:59 QLD PROSHARES ULTRA QQQ LONG 581 89.49 9/22 15:58 88.35 10.77%
Trade id #131209081
Max drawdown($5,292)
Time9/21/20 0:00
Quant open581
Worst price80.38
Drawdown as % of equity-10.77%
 ($667)
Includes Typical Broker Commissions trade costs of $5.00
9/15/20 9:30 SSO PROSHARES ULTRA S&P 500 LONG 707 75.79 9/16 15:58 74.83 1.5%
Trade id #131178571
Max drawdown($791)
Time9/16/20 15:56
Quant open707
Worst price74.67
Drawdown as % of equity-1.50%
 ($684)
Includes Typical Broker Commissions trade costs of $5.00
9/8/20 15:59 QLD PROSHARES ULTRA QQQ LONG 587 86.54 9/14 15:59 89.89 2.27%
Trade id #131073408
Max drawdown($1,174)
Time9/11/20 0:00
Quant open587
Worst price84.54
Drawdown as % of equity-2.27%
 $1,961
Includes Typical Broker Commissions trade costs of $5.00
9/2/20 15:59 GDX VANECK GOLD MINERS ETF LONG 1,248 41.75 9/8 15:59 40.62 6%
Trade id #130950728
Max drawdown($3,070)
Time9/8/20 9:50
Quant open1,248
Worst price39.29
Drawdown as % of equity-6.00%
 ($1,415)
Includes Typical Broker Commissions trade costs of $5.00
8/24/20 10:33 GDX VANECK GOLD MINERS ETF LONG 1,294 40.89 8/24 15:46 40.68 0.73%
Trade id #130757995
Max drawdown($388)
Time8/24/20 10:57
Quant open1,294
Worst price40.59
Drawdown as % of equity-0.73%
 ($277)
Includes Typical Broker Commissions trade costs of $5.00
8/12/20 9:30 GDX VANECK GOLD MINERS ETF LONG 1,410 40.33 8/12 15:54 39.36 2.97%
Trade id #130580076
Max drawdown($1,577)
Time8/12/20 15:49
Quant open1,410
Worst price39.22
Drawdown as % of equity-2.97%
 ($1,378)
Includes Typical Broker Commissions trade costs of $5.00
7/30/20 15:53 TLT ISHARES 20+ YEAR TREASURY BOND LONG 317 171.12 8/6 15:48 171.02 1.26%
Trade id #130372829
Max drawdown($681)
Time8/3/20 0:00
Quant open317
Worst price168.97
Drawdown as % of equity-1.26%
 ($38)
Includes Typical Broker Commissions trade costs of $6.34
4/27/20 9:31 WFC WELLS FARGO LONG 78 27.37 7/7 9:30 25.46 0.8%
Trade id #128750387
Max drawdown($418)
Time5/13/20 0:00
Quant open78
Worst price22.00
Drawdown as % of equity-0.80%
 ($151)
Includes Typical Broker Commissions trade costs of $1.56
4/27/20 9:31 HAS HASBRO LONG 28 75.70 7/7 9:30 75.52 0.84%
Trade id #128750389
Max drawdown($434)
Time5/14/20 0:00
Quant open28
Worst price60.20
Drawdown as % of equity-0.84%
 ($6)
Includes Typical Broker Commissions trade costs of $0.56
4/27/20 9:31 HON HONEYWELL INTERNATIONAL LONG 15 136.53 7/7 9:30 145.80 0.56%
Trade id #128750393
Max drawdown($291)
Time5/14/20 0:00
Quant open15
Worst price117.11
Drawdown as % of equity-0.56%
 $139
Includes Typical Broker Commissions trade costs of $0.30
4/27/20 9:31 MSM MSC INDUSTRIAL DIRECT CO LONG 37 57.39 7/7 9:30 73.41 0.08%
Trade id #128750385
Max drawdown($40)
Time5/14/20 0:00
Quant open37
Worst price56.29
Drawdown as % of equity-0.08%
 $592
Includes Typical Broker Commissions trade costs of $0.74
4/27/20 9:31 GLW CORNING LONG 101 21.02 7/7 9:30 26.37 0.43%
Trade id #128750401
Max drawdown($222)
Time5/14/20 0:00
Quant open101
Worst price18.82
Drawdown as % of equity-0.43%
 $539
Includes Typical Broker Commissions trade costs of $2.02
4/27/20 9:31 VFC VF LONG 38 55.43 7/7 9:30 62.03 0.35%
Trade id #128750398
Max drawdown($178)
Time5/14/20 0:00
Quant open38
Worst price50.72
Drawdown as % of equity-0.35%
 $250
Includes Typical Broker Commissions trade costs of $0.76
Next

Statistics

  • Strategy began
    1/5/2020
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    1575.15
  • Age
    53 months ago
  • What it trades
    Stocks
  • # Trades
    111
  • # Profitable
    68
  • % Profitable
    61.30%
  • Avg trade duration
    53.8 days
  • Max peak-to-valley drawdown
    44.97%
  • drawdown period
    Jan 01, 2022 - Oct 03, 2022
  • Annual Return (Compounded)
    20.7%
  • Avg win
    $1,243
  • Avg loss
    $498.19
  • Model Account Values (Raw)
  • Cash
    $38,082
  • Margin Used
    $0
  • Buying Power
    $82,154
  • Ratios
  • W:L ratio
    4.01:1
  • Sharpe Ratio
    0.62
  • Sortino Ratio
    0.9
  • Calmar Ratio
    1.482
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    67.76%
  • Correlation to SP500
    0.63610
  • Return Percent SP500 (cumu) during strategy life
    55.14%
  • Return Statistics
  • Ann Return (w trading costs)
    20.7%
  • Slump
  • Current Slump as Pcnt Equity
    6.00%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.01%
  • 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)
    0.207%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    21.1%
  • Automation
  • Percentage Signals Automated
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $498
  • Avg Win
    $1,243
  • Sum Trade PL (losers)
    $21,422.000
  • Age
  • Num Months filled monthly returns table
    52
  • Win / Loss
  • Sum Trade PL (winners)
    $84,531.000
  • # Winners
    68
  • Num Months Winners
    32
  • Dividends
  • Dividends Received in Model Acct
    1395
  • Win / Loss
  • # Losers
    43
  • % Winners
    61.3%
  • Frequency
  • Avg Position Time (mins)
    77535.40
  • Avg Position Time (hrs)
    1292.26
  • Avg Trade Length
    53.8 days
  • Last Trade Ago
    1231
  • Leverage
  • Daily leverage (average)
    1.26
  • Daily leverage (max)
    2.42
  • Regression
  • Alpha
    0.03
  • Beta
    0.81
  • Treynor Index
    0.07
  • 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)
    -3.94
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    1.441
  • 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
    0.02
  • Avg(MAE) / Avg(PL) - Winning trades
    0.402
  • Avg(MAE) / Avg(PL) - Losing trades
    -2.021
  • Hold-and-Hope Ratio
    0.109
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.49988
  • SD
    0.42396
  • Sharpe ratio (Glass type estimate)
    1.17907
  • Sharpe ratio (Hedges UMVUE)
    1.12615
  • df
    17.00000
  • t
    1.44406
  • p
    0.29346
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.48507
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.81078
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.51832
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.77061
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.95466
  • Upside Potential Ratio
    2.88784
  • Upside part of mean
    0.73852
  • Downside part of mean
    -0.23864
  • Upside SD
    0.35380
  • Downside SD
    0.25573
  • N nonnegative terms
    14.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    18.00000
  • Mean of predictor
    0.24392
  • Mean of criterion
    0.49988
  • SD of predictor
    0.28405
  • SD of criterion
    0.42396
  • Covariance
    0.08649
  • r
    0.71817
  • b (slope, estimate of beta)
    1.07190
  • a (intercept, estimate of alpha)
    0.23842
  • Mean Square Error
    0.09248
  • DF error
    16.00000
  • t(b)
    4.12820
  • p(b)
    0.14092
  • t(a)
    0.93044
  • p(a)
    0.38672
  • Lowerbound of 95% confidence interval for beta
    0.52146
  • Upperbound of 95% confidence interval for beta
    1.62234
  • Lowerbound of 95% confidence interval for alpha
    -0.30480
  • Upperbound of 95% confidence interval for alpha
    0.78163
  • Treynor index (mean / b)
    0.46635
  • Jensen alpha (a)
    0.23842
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.40240
  • SD
    0.44023
  • Sharpe ratio (Glass type estimate)
    0.91407
  • Sharpe ratio (Hedges UMVUE)
    0.87303
  • df
    17.00000
  • t
    1.11950
  • p
    0.33511
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.72791
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.53030
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.75395
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.50002
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.31823
  • Upside Potential Ratio
    2.23361
  • Upside part of mean
    0.68182
  • Downside part of mean
    -0.27942
  • Upside SD
    0.32148
  • Downside SD
    0.30526
  • N nonnegative terms
    14.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    18.00000
  • Mean of predictor
    0.20237
  • Mean of criterion
    0.40240
  • SD of predictor
    0.28995
  • SD of criterion
    0.44023
  • Covariance
    0.09357
  • r
    0.73303
  • b (slope, estimate of beta)
    1.11293
  • a (intercept, estimate of alpha)
    0.17718
  • Mean Square Error
    0.09527
  • DF error
    16.00000
  • t(b)
    4.31064
  • p(b)
    0.13349
  • t(a)
    0.68839
  • p(a)
    0.41520
  • Lowerbound of 95% confidence interval for beta
    0.56561
  • Upperbound of 95% confidence interval for beta
    1.66026
  • Lowerbound of 95% confidence interval for alpha
    -0.36844
  • Upperbound of 95% confidence interval for alpha
    0.72280
  • Treynor index (mean / b)
    0.36157
  • Jensen alpha (a)
    0.17718
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.16096
  • Expected Shortfall on VaR
    0.20349
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02300
  • Expected Shortfall on VaR
    0.06255
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    18.00000
  • Minimum
    0.69046
  • Quartile 1
    1.00900
  • Median
    1.01843
  • Quartile 3
    1.08958
  • Maximum
    1.26844
  • Mean of quarter 1
    0.93203
  • Mean of quarter 2
    1.01184
  • Mean of quarter 3
    1.03939
  • Mean of quarter 4
    1.18533
  • Inter Quartile Range
    0.08059
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.05556
  • Mean of outliers low
    0.69046
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.05556
  • Mean of outliers high
    1.26844
  • 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)
    1.15530
  • VaR(95%) (regression method)
    0.07223
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.03867
  • Quartile 1
    0.10639
  • Median
    0.17411
  • Quartile 3
    0.24182
  • Maximum
    0.30954
  • Mean of quarter 1
    0.03867
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.30954
  • Inter Quartile Range
    0.13543
  • 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)
    0.60457
  • Compounded annual return (geometric extrapolation)
    0.53773
  • Calmar ratio (compounded annual return / max draw down)
    1.73720
  • Compounded annual return / average of 25% largest draw downs
    1.73720
  • Compounded annual return / Expected Shortfall lognormal
    2.64255
  • 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
    0.58406
  • SD
    0.46284
  • Sharpe ratio (Glass type estimate)
    1.26191
  • Sharpe ratio (Hedges UMVUE)
    1.25956
  • df
    403.00000
  • t
    1.56700
  • p
    0.05895
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.31960
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.84194
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.32120
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.84032
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.86543
  • Upside Potential Ratio
    7.82733
  • Upside part of mean
    2.45072
  • Downside part of mean
    -1.86666
  • Upside SD
    0.34200
  • Downside SD
    0.31310
  • N nonnegative terms
    211.00000
  • N negative terms
    193.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    404.00000
  • Mean of predictor
    0.31167
  • Mean of criterion
    0.58406
  • SD of predictor
    0.35598
  • SD of criterion
    0.46284
  • Covariance
    0.10299
  • r
    0.62508
  • b (slope, estimate of beta)
    0.81271
  • a (intercept, estimate of alpha)
    0.33100
  • Mean Square Error
    0.13084
  • DF error
    402.00000
  • t(b)
    16.05590
  • p(b)
    0.00000
  • t(a)
    1.13383
  • p(a)
    0.12877
  • Lowerbound of 95% confidence interval for beta
    0.71320
  • Upperbound of 95% confidence interval for beta
    0.91222
  • Lowerbound of 95% confidence interval for alpha
    -0.24273
  • Upperbound of 95% confidence interval for alpha
    0.90426
  • Treynor index (mean / b)
    0.71866
  • Jensen alpha (a)
    0.33077
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.47655
  • SD
    0.46349
  • Sharpe ratio (Glass type estimate)
    1.02819
  • Sharpe ratio (Hedges UMVUE)
    1.02627
  • df
    403.00000
  • t
    1.27677
  • p
    0.10121
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.55240
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.60752
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.55368
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.60623
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.45912
  • Upside Potential Ratio
    7.33263
  • Upside part of mean
    2.39486
  • Downside part of mean
    -1.91830
  • Upside SD
    0.32937
  • Downside SD
    0.32660
  • N nonnegative terms
    211.00000
  • N negative terms
    193.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    404.00000
  • Mean of predictor
    0.24794
  • Mean of criterion
    0.47655
  • SD of predictor
    0.35759
  • SD of criterion
    0.46349
  • Covariance
    0.10266
  • r
    0.61943
  • b (slope, estimate of beta)
    0.80287
  • a (intercept, estimate of alpha)
    0.27749
  • Mean Square Error
    0.13272
  • DF error
    402.00000
  • t(b)
    15.82010
  • p(b)
    0.00000
  • t(a)
    0.94495
  • p(a)
    0.17263
  • Lowerbound of 95% confidence interval for beta
    0.70310
  • Upperbound of 95% confidence interval for beta
    0.90264
  • Lowerbound of 95% confidence interval for alpha
    -0.29980
  • Upperbound of 95% confidence interval for alpha
    0.85478
  • Treynor index (mean / b)
    0.59356
  • Jensen alpha (a)
    0.27749
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04427
  • Expected Shortfall on VaR
    0.05558
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01554
  • Expected Shortfall on VaR
    0.03399
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    404.00000
  • Minimum
    0.86383
  • Quartile 1
    0.99543
  • Median
    1.00067
  • Quartile 3
    1.00981
  • Maximum
    1.16425
  • Mean of quarter 1
    0.97288
  • Mean of quarter 2
    0.99885
  • Mean of quarter 3
    1.00469
  • Mean of quarter 4
    1.03292
  • Inter Quartile Range
    0.01438
  • Number outliers low
    36.00000
  • Percentage of outliers low
    0.08911
  • Mean of outliers low
    0.94411
  • Number of outliers high
    38.00000
  • Percentage of outliers high
    0.09406
  • Mean of outliers high
    1.05830
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.73936
  • VaR(95%) (moments method)
    0.02373
  • Expected Shortfall (moments method)
    0.10201
  • Extreme Value Index (regression method)
    0.27206
  • VaR(95%) (regression method)
    0.02214
  • Expected Shortfall (regression method)
    0.04066
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    29.00000
  • Minimum
    0.00045
  • Quartile 1
    0.00878
  • Median
    0.01797
  • Quartile 3
    0.03924
  • Maximum
    0.44268
  • Mean of quarter 1
    0.00325
  • Mean of quarter 2
    0.01295
  • Mean of quarter 3
    0.02631
  • Mean of quarter 4
    0.13656
  • Inter Quartile Range
    0.03046
  • 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
    0.10345
  • Mean of outliers high
    0.22537
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.33415
  • VaR(95%) (moments method)
    0.11875
  • Expected Shortfall (moments method)
    0.21630
  • Extreme Value Index (regression method)
    0.61376
  • VaR(95%) (regression method)
    0.16629
  • Expected Shortfall (regression method)
    0.48071
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.76319
  • Compounded annual return (geometric extrapolation)
    0.65609
  • Calmar ratio (compounded annual return / max draw down)
    1.48209
  • Compounded annual return / average of 25% largest draw downs
    4.80459
  • Compounded annual return / Expected Shortfall lognormal
    11.80340
  • 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
    1.00080
  • SD
    0.75048
  • Sharpe ratio (Glass type estimate)
    1.33354
  • Sharpe ratio (Hedges UMVUE)
    1.32584
  • df
    130.00000
  • t
    0.94296
  • p
    0.45879
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.44554
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.10755
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.45065
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.10232
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.94437
  • Upside Potential Ratio
    9.70590
  • Upside part of mean
    4.99578
  • Downside part of mean
    -3.99498
  • Upside SD
    0.54572
  • Downside SD
    0.51472
  • N nonnegative terms
    77.00000
  • N negative terms
    54.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.56823
  • Mean of criterion
    1.00080
  • SD of predictor
    0.38528
  • SD of criterion
    0.75048
  • Covariance
    0.26185
  • r
    0.90561
  • b (slope, estimate of beta)
    1.76404
  • a (intercept, estimate of alpha)
    -0.00158
  • Mean Square Error
    0.10209
  • DF error
    129.00000
  • t(b)
    24.25280
  • p(b)
    0.01716
  • t(a)
    -0.00349
  • p(a)
    0.50020
  • Lowerbound of 95% confidence interval for beta
    1.62013
  • Upperbound of 95% confidence interval for beta
    1.90795
  • Lowerbound of 95% confidence interval for alpha
    -0.89933
  • Upperbound of 95% confidence interval for alpha
    0.89617
  • Treynor index (mean / b)
    0.56733
  • Jensen alpha (a)
    -0.00158
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.71900
  • SD
    0.75297
  • Sharpe ratio (Glass type estimate)
    0.95489
  • Sharpe ratio (Hedges UMVUE)
    0.94937
  • df
    130.00000
  • t
    0.67521
  • p
    0.47044
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.82116
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.72732
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.82483
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.72358
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.33453
  • Upside Potential Ratio
    9.01002
  • Upside part of mean
    4.85431
  • Downside part of mean
    -4.13531
  • Upside SD
    0.52377
  • Downside SD
    0.53877
  • N nonnegative terms
    77.00000
  • N negative terms
    54.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.49402
  • Mean of criterion
    0.71900
  • SD of predictor
    0.38530
  • SD of criterion
    0.75297
  • Covariance
    0.26113
  • r
    0.90009
  • b (slope, estimate of beta)
    1.75896
  • a (intercept, estimate of alpha)
    -0.14995
  • Mean Square Error
    0.10847
  • DF error
    129.00000
  • t(b)
    23.46290
  • p(b)
    0.01867
  • t(a)
    -0.32094
  • p(a)
    0.51798
  • VAR (95 Confidence Intrvl)
    0.04400
  • Lowerbound of 95% confidence interval for beta
    1.61064
  • Upperbound of 95% confidence interval for beta
    1.90729
  • Lowerbound of 95% confidence interval for alpha
    -1.07439
  • Upperbound of 95% confidence interval for alpha
    0.77448
  • Treynor index (mean / b)
    0.40876
  • Jensen alpha (a)
    -0.14995
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07112
  • Expected Shortfall on VaR
    0.08886
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03093
  • Expected Shortfall on VaR
    0.06288
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.86383
  • Quartile 1
    0.97880
  • Median
    1.00531
  • Quartile 3
    1.02782
  • Maximum
    1.16425
  • Mean of quarter 1
    0.94518
  • Mean of quarter 2
    0.99562
  • Mean of quarter 3
    1.01726
  • Mean of quarter 4
    1.05805
  • Inter Quartile Range
    0.04902
  • Number outliers low
    6.00000
  • Percentage of outliers low
    0.04580
  • Mean of outliers low
    0.89037
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.02290
  • Mean of outliers high
    1.12977
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.02146
  • VaR(95%) (moments method)
    0.04989
  • Expected Shortfall (moments method)
    0.06698
  • Extreme Value Index (regression method)
    0.14259
  • VaR(95%) (regression method)
    0.04958
  • Expected Shortfall (regression method)
    0.07219
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.00351
  • Quartile 1
    0.01483
  • Median
    0.03924
  • Quartile 3
    0.07472
  • Maximum
    0.44268
  • Mean of quarter 1
    0.01051
  • Mean of quarter 2
    0.02997
  • Mean of quarter 3
    0.07012
  • Mean of quarter 4
    0.27154
  • Inter Quartile Range
    0.05989
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.11111
  • Mean of outliers high
    0.44268
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.55998
  • VaR(95%) (moments method)
    0.25540
  • Expected Shortfall (moments method)
    0.66146
  • Extreme Value Index (regression method)
    2.73730
  • VaR(95%) (regression method)
    0.90238
  • Last 4 Months - Pcnt Negative
    0.25%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -372948000
  • Max Equity Drawdown (num days)
    275
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.90549
  • Compounded annual return (geometric extrapolation)
    1.11047
  • Calmar ratio (compounded annual return / max draw down)
    2.50851
  • Compounded annual return / average of 25% largest draw downs
    4.08960
  • Compounded annual return / Expected Shortfall lognormal
    12.49640

Strategy Description

The goal is to beat the returns of the S & P 500 with less volatility of the index especially in times of market downturns, We attempt this by buying high quality, dividend bearing stocks. All stocks are from the S & P 500 & only the best of the best are chosen for this portfolio. With these high quality stocks the vision is to match or beat the market in times of sustained growth and play the defensive part in times of market downturns. We also short stocks that, in our opinion, are of poor quality. In times of market growth the vision is to still have moderate gains on these stocks. And in times of market downturns the vision is to have these stocks flourish and serve as the defensive catalyst. Our main objective of this system is capital preservation while sustaining moderate growth.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2020-01-05
Suggested Minimum Capital
$15,000
# Trades
111
# Profitable
68
% Profitable
61.3%
Net Dividends
$1,394
Correlation S&P500
0.636
Sharpe Ratio
0.62
Sortino Ratio
0.90
Beta
0.81
Alpha
0.03
Leverage
1.26 Average
2.42 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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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.