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UnicornIndex
(129575948)

Created by: MarkEriksson MarkEriksson
Started: 06/2020
Stocks
Last trade: Yesterday
Trading style: Equity Event-driven Sector: Technology

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 $499.00 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
Event-driven
Category: Equity

Event-driven

Seeks to exploit pricing inefficiencies that may occur before or after a corporate event, such as an earnings call, bankruptcy, merger, acquisition, or spinoff.
Sector: Technology
Category: Equity

Sector: Technology

Focuses primarily on stocks of technology companies.
43.5%
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.

(81.1%)
Max Drawdown
3504
Num Trades
72.9%
Win Trades
1.7 : 1
Profit Factor
58.3%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020                                   (0.5%)+4.7%+7.3%(0.1%)(6.5%)+27.8%(7.7%)+23.3%
2021+38.3%+10.7%+1.5%+10.9%+2.4%+45.2%+4.9%(0.6%)+0.2%+6.6%(11.8%)+11.0%+179.5%
2022+9.6%(3.4%)+7.5%(35.5%)(8.9%)(35.4%)+31.9%(6.4%)(17.2%)+7.0%(16.4%)(20.9%)(68.7%)
2023+78.1%+11.5%+18.7%(15.2%)+23.2%+6.3%+11.5%(11.9%)(6.9%)(15.5%)+35.0%+26.1%+244.5%
2024(6.6%)+7.8%+6.1%(6.3%)+9.9%                                          +10.1%

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.

Trading Record

This strategy has placed 11,643 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
5/7/24 10:10 SMCI2410Q780 SMCI May10'24 780 put SHORT 1 8.60 5/7 13:56 7.00 n/a $158
Includes Typical Broker Commissions trade costs of $2.00
4/30/24 9:30 GOOG ALPHABET INC CLASS C LONG 120 168.98 5/7 9:58 171.79 0.28%
Trade id #148049132
Max drawdown($525)
Time4/30/24 15:57
Quant open115
Worst price164.50
Drawdown as % of equity-0.28%
 $335
Includes Typical Broker Commissions trade costs of $2.40
5/3/24 9:42 NYCB NEW YORK COMMUNITY BANCORP INC LONG 1,000 3.58 5/7 9:41 3.65 0.06%
Trade id #148083482
Max drawdown($120)
Time5/3/24 13:59
Quant open1,000
Worst price3.46
Drawdown as % of equity-0.06%
 $60
Includes Typical Broker Commissions trade costs of $5.00
5/3/24 14:00 AMAT APPLIED MATERIALS LONG 40 205.48 5/7 9:30 208.62 0%
Trade id #148087965
Max drawdown($2)
Time5/3/24 15:02
Quant open20
Worst price203.84
Drawdown as % of equity-0.00%
 $125
Includes Typical Broker Commissions trade costs of $0.80
4/30/24 9:30 MSFT MICROSOFT LONG 90 406.75 5/7 9:30 410.88 0.05%
Trade id #148049148
Max drawdown($86)
Time4/30/24 15:59
Quant open10
Worst price389.17
Drawdown as % of equity-0.05%
 $369
Includes Typical Broker Commissions trade costs of $1.80
4/30/24 9:30 NVDA NVIDIA LONG 36 896.12 5/6 10:11 910.23 0.16%
Trade id #148049117
Max drawdown($299)
Time5/1/24 0:00
Quant open5
Worst price812.55
Drawdown as % of equity-0.16%
 $507
Includes Typical Broker Commissions trade costs of $0.72
5/3/24 9:35 SMCI2403Q740 SMCI May3'24 740 put SHORT 1 0.95 5/4 9:35 0.00 n/a $94
Includes Typical Broker Commissions trade costs of $1.00
5/3/24 9:35 SMCI2403Q745 SMCI May3'24 745 put SHORT 1 1.30 5/3 12:41 0.20 n/a $108
Includes Typical Broker Commissions trade costs of $2.00
5/1/24 9:41 AMD2403Q146 AMD May3'24 146 put SHORT 1 1.22 5/3 12:40 0.04 0.2%
Trade id #148061429
Max drawdown($388)
Time5/2/24 0:00
Quant open1
Worst price5.10
Drawdown as % of equity-0.20%
 $116
Includes Typical Broker Commissions trade costs of $2.00
5/1/24 9:40 AMD2403Q142 AMD May3'24 142 put SHORT 1 0.45 5/3 12:40 0.02 0.11%
Trade id #148061410
Max drawdown($207)
Time5/1/24 12:00
Quant open1
Worst price2.52
Drawdown as % of equity-0.11%
 $41
Includes Typical Broker Commissions trade costs of $2.00
5/1/24 10:22 SMCI SUPER MICRO COMPUTER LONG 30 782.53 5/3 12:39 788.99 0.01%
Trade id #148062049
Max drawdown($28)
Time5/1/24 11:17
Quant open1
Worst price700.00
Drawdown as % of equity-0.01%
 $193
Includes Typical Broker Commissions trade costs of $0.60
4/5/24 9:52 AMZN AMAZON.COM LONG 260 182.90 5/3 9:33 184.95 0.31%
Trade id #147819197
Max drawdown($605)
Time4/30/24 0:00
Quant open80
Worst price174.80
Drawdown as % of equity-0.31%
 $527
Includes Typical Broker Commissions trade costs of $5.20
5/2/24 13:14 SMCI2403Q710 SMCI May3'24 710 put LONG 1 4.20 5/2 15:54 1.15 0.14%
Trade id #148076484
Max drawdown($288)
Time5/2/24 15:54
Quant open1
Worst price1.32
Drawdown as % of equity-0.14%
 ($307)
Includes Typical Broker Commissions trade costs of $2.00
3/7/24 11:42 QCOM QUALCOMM LONG 190 173.80 5/2 10:01 177.49 0.82%
Trade id #147566492
Max drawdown($1,444)
Time4/19/24 0:00
Quant open80
Worst price156.34
Drawdown as % of equity-0.82%
 $697
Includes Typical Broker Commissions trade costs of $3.80
5/1/24 10:29 SMCI2403Q700 SMCI May3'24 700 put SHORT 1 13.50 5/1 14:22 6.00 0.53%
Trade id #148062108
Max drawdown($990)
Time5/1/24 11:18
Quant open1
Worst price23.40
Drawdown as % of equity-0.53%
 $748
Includes Typical Broker Commissions trade costs of $2.00
3/15/24 10:06 NYCB NEW YORK COMMUNITY BANCORP INC LONG 300 3.35 5/1 10:49 3.58 0.08%
Trade id #147648304
Max drawdown($160)
Time4/30/24 0:00
Quant open200
Worst price2.62
Drawdown as % of equity-0.08%
 $60
Includes Typical Broker Commissions trade costs of $6.00
5/1/24 10:28 SMCI2403Q710 SMCI May3'24 710 put LONG 1 17.10 5/1 10:28 15.80 0.07%
Trade id #148062095
Max drawdown($130)
Time5/1/24 10:28
Quant open1
Worst price15.80
Drawdown as % of equity-0.07%
 ($132)
Includes Typical Broker Commissions trade costs of $2.00
5/1/24 9:54 PINS PINTEREST INC LONG 100 39.44 5/1 10:22 39.78 0.04%
Trade id #148061639
Max drawdown($70)
Time5/1/24 9:59
Quant open100
Worst price38.74
Drawdown as % of equity-0.04%
 $32
Includes Typical Broker Commissions trade costs of $2.00
3/26/24 10:34 PINS PINTEREST INC LONG 610 35.56 5/1 9:47 39.10 1.55%
Trade id #147736201
Max drawdown($2,897)
Time4/25/24 0:00
Quant open560
Worst price30.56
Drawdown as % of equity-1.55%
 $2,152
Includes Typical Broker Commissions trade costs of $12.20
4/30/24 9:30 KO COCA-COLA LONG 320 62.36 4/30 10:00 62.64 0%
Trade id #148049108
Max drawdown($9)
Time4/30/24 9:33
Quant open80
Worst price61.98
Drawdown as % of equity-0.00%
 $84
Includes Typical Broker Commissions trade costs of $6.40
2/27/24 9:49 TSLA TESLA INC. LONG 1,290 176.95 4/30 9:35 181.64 14.94%
Trade id #147459936
Max drawdown($25,320)
Time4/22/24 0:00
Quant open710
Worst price138.80
Drawdown as % of equity-14.94%
 $6,024
Includes Typical Broker Commissions trade costs of $25.80
4/11/24 13:59 PYPL PAYPAL HOLDINGS CORP LONG 340 65.59 4/29 10:40 66.29 0.42%
Trade id #147875774
Max drawdown($734)
Time4/19/24 0:00
Quant open205
Worst price61.73
Drawdown as % of equity-0.42%
 $229
Includes Typical Broker Commissions trade costs of $6.80
3/21/24 11:30 AMAT APPLIED MATERIALS LONG 210 202.64 4/29 10:29 202.89 0.67%
Trade id #147704326
Max drawdown($1,140)
Time4/22/24 0:00
Quant open50
Worst price186.85
Drawdown as % of equity-0.67%
 $48
Includes Typical Broker Commissions trade costs of $4.20
4/12/24 10:12 AAPL APPLE LONG 400 173.35 4/29 10:21 175.14 1.28%
Trade id #147885279
Max drawdown($2,245)
Time4/19/24 0:00
Quant open250
Worst price164.07
Drawdown as % of equity-1.28%
 $708
Includes Typical Broker Commissions trade costs of $8.00
4/25/24 15:38 META2426P435 META Apr26'24 435 put SHORT 1 2.68 4/26 9:45 2.08 0.07%
Trade id #148014139
Max drawdown($127)
Time4/25/24 15:41
Quant open1
Worst price3.95
Drawdown as % of equity-0.07%
 $58
Includes Typical Broker Commissions trade costs of $2.00
4/25/24 11:16 NVDA NVIDIA LONG 10 814.71 4/25 13:00 822.54 0.03%
Trade id #148009898
Max drawdown($46)
Time4/25/24 11:33
Quant open10
Worst price810.11
Drawdown as % of equity-0.03%
 $78
Includes Typical Broker Commissions trade costs of $0.20
4/17/24 9:30 MBLY MOBILEYE GLOBAL INC. CLASS A LONG 220 31.44 4/25 9:30 31.60 0.14%
Trade id #147932642
Max drawdown($244)
Time4/22/24 0:00
Quant open130
Worst price29.66
Drawdown as % of equity-0.14%
 $32
Includes Typical Broker Commissions trade costs of $4.40
4/22/24 11:39 ARM ARM HOLDINGS PLC ADS LONG 60 92.12 4/23 10:19 97.42 0.02%
Trade id #147975885
Max drawdown($32)
Time4/22/24 11:45
Quant open50
Worst price90.53
Drawdown as % of equity-0.02%
 $317
Includes Typical Broker Commissions trade costs of $1.20
4/10/24 10:03 GOOG ALPHABET INC CLASS C LONG 40 158.93 4/23 9:44 159.44 0.09%
Trade id #147859141
Max drawdown($151)
Time4/19/24 0:00
Quant open30
Worst price153.91
Drawdown as % of equity-0.09%
 $19
Includes Typical Broker Commissions trade costs of $0.80
4/23/24 9:33 SPOT SPOTIFY TECHNOLOGY SA LONG 10 301.13 4/23 9:43 310.20 n/a $91
Includes Typical Broker Commissions trade costs of $0.20
Next

Statistics

  • Strategy began
    6/16/2020
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    1421.98
  • Age
    47 months ago
  • What it trades
    Stocks
  • # Trades
    3504
  • # Profitable
    2553
  • % Profitable
    72.90%
  • Avg trade duration
    5.5 days
  • Max peak-to-valley drawdown
    81.06%
  • drawdown period
    March 29, 2022 - June 03, 2022
  • Annual Return (Compounded)
    43.5%
  • Avg win
    $184.36
  • Avg loss
    $299.07
  • Model Account Values (Raw)
  • Cash
    $98,678
  • Margin Used
    $0
  • Buying Power
    $82,087
  • Ratios
  • W:L ratio
    1.72:1
  • Sharpe Ratio
    0.72
  • Sortino Ratio
    1.16
  • Calmar Ratio
    0.757
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    242.93%
  • Correlation to SP500
    0.48390
  • Return Percent SP500 (cumu) during strategy life
    66.02%
  • Return Statistics
  • Ann Return (w trading costs)
    43.5%
  • Slump
  • Current Slump as Pcnt Equity
    2.30%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.00%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    1.79%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.434%
  • Instruments
  • Percent Trades Options
    0.01%
  • Percent Trades Stocks
    0.99%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    50.0%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    82.00%
  • Chance of 20% account loss
    65.50%
  • Chance of 30% account loss
    59.50%
  • Chance of 40% account loss
    41.50%
  • Chance of 60% account loss (Monte Carlo)
    24.50%
  • Chance of 70% account loss (Monte Carlo)
    10.50%
  • Chance of 80% account loss (Monte Carlo)
    2.50%
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 100% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    8.70%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    38.50%
  • Popularity
  • Popularity (Today)
    415
  • Popularity (Last 6 weeks)
    736
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    976
  • Popularity (7 days, Percentile 1000 scale)
    758
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $303
  • Avg Win
    $185
  • Sum Trade PL (losers)
    $287,760.000
  • Age
  • Num Months filled monthly returns table
    48
  • Win / Loss
  • Sum Trade PL (winners)
    $471,243.000
  • # Winners
    2554
  • Num Months Winners
    29
  • Dividends
  • Dividends Received in Model Acct
    9710
  • AUM
  • AUM (AutoTrader live capital)
    23006
  • Win / Loss
  • # Losers
    950
  • % Winners
    72.9%
  • Frequency
  • Avg Position Time (mins)
    7959.73
  • Avg Position Time (hrs)
    132.66
  • Avg Trade Length
    5.5 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    2.37
  • Daily leverage (max)
    10.20
  • Regression
  • Alpha
    0.09
  • Beta
    1.72
  • Treynor Index
    0.08
  • 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)
    0.83
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    16.701
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    2.019
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.813
  • Hold-and-Hope Ratio
    0.065
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.53858
  • SD
    0.60060
  • Sharpe ratio (Glass type estimate)
    0.89673
  • Sharpe ratio (Hedges UMVUE)
    0.88168
  • df
    45.00000
  • t
    1.75569
  • p
    0.04297
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.12604
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.90989
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.13581
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.89918
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.83429
  • Upside Potential Ratio
    3.52415
  • Upside part of mean
    1.03475
  • Downside part of mean
    -0.49617
  • Upside SD
    0.53930
  • Downside SD
    0.29362
  • N nonnegative terms
    27.00000
  • N negative terms
    19.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    46.00000
  • Mean of predictor
    0.10970
  • Mean of criterion
    0.53858
  • SD of predictor
    0.13608
  • SD of criterion
    0.60060
  • Covariance
    0.04328
  • r
    0.52957
  • b (slope, estimate of beta)
    2.33726
  • a (intercept, estimate of alpha)
    0.28218
  • Mean Square Error
    0.26546
  • DF error
    44.00000
  • t(b)
    4.14109
  • p(b)
    0.00008
  • t(a)
    1.04378
  • p(a)
    0.15114
  • Lowerbound of 95% confidence interval for beta
    1.19977
  • Upperbound of 95% confidence interval for beta
    3.47474
  • Lowerbound of 95% confidence interval for alpha
    -0.26266
  • Upperbound of 95% confidence interval for alpha
    0.82701
  • Treynor index (mean / b)
    0.23043
  • Jensen alpha (a)
    0.28218
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.36941
  • SD
    0.56357
  • Sharpe ratio (Glass type estimate)
    0.65549
  • Sharpe ratio (Hedges UMVUE)
    0.64449
  • df
    45.00000
  • t
    1.28337
  • p
    0.10297
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.35818
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.66206
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.36539
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.65436
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.10474
  • Upside Potential Ratio
    2.73796
  • Upside part of mean
    0.91554
  • Downside part of mean
    -0.54613
  • Upside SD
    0.45855
  • Downside SD
    0.33439
  • N nonnegative terms
    27.00000
  • N negative terms
    19.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    46.00000
  • Mean of predictor
    0.09989
  • Mean of criterion
    0.36941
  • SD of predictor
    0.13692
  • SD of criterion
    0.56357
  • Covariance
    0.04474
  • r
    0.57973
  • b (slope, estimate of beta)
    2.38614
  • a (intercept, estimate of alpha)
    0.13107
  • Mean Square Error
    0.21566
  • DF error
    44.00000
  • t(b)
    4.71949
  • p(b)
    0.00001
  • t(a)
    0.54046
  • p(a)
    0.29580
  • Lowerbound of 95% confidence interval for beta
    1.36718
  • Upperbound of 95% confidence interval for beta
    3.40509
  • Lowerbound of 95% confidence interval for alpha
    -0.35768
  • Upperbound of 95% confidence interval for alpha
    0.61981
  • Treynor index (mean / b)
    0.15482
  • Jensen alpha (a)
    0.13107
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.21086
  • Expected Shortfall on VaR
    0.26142
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.08418
  • Expected Shortfall on VaR
    0.16964
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    46.00000
  • Minimum
    0.66819
  • Quartile 1
    0.94773
  • Median
    1.04220
  • Quartile 3
    1.11322
  • Maximum
    1.49390
  • Mean of quarter 1
    0.85867
  • Mean of quarter 2
    0.99544
  • Mean of quarter 3
    1.06637
  • Mean of quarter 4
    1.26564
  • Inter Quartile Range
    0.16550
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.02174
  • Mean of outliers low
    0.66819
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.08696
  • Mean of outliers high
    1.44950
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.26021
  • VaR(95%) (moments method)
    0.13165
  • Expected Shortfall (moments method)
    0.16369
  • Extreme Value Index (regression method)
    -0.19812
  • VaR(95%) (regression method)
    0.17024
  • Expected Shortfall (regression method)
    0.22081
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.00517
  • Quartile 1
    0.02869
  • Median
    0.05092
  • Quartile 3
    0.08898
  • Maximum
    0.64874
  • Mean of quarter 1
    0.01349
  • Mean of quarter 2
    0.03959
  • Mean of quarter 3
    0.07105
  • Mean of quarter 4
    0.36961
  • Inter Quartile Range
    0.06029
  • 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
    0.12500
  • Mean of outliers high
    0.64874
  • 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)
    0.93554
  • Compounded annual return (geometric extrapolation)
    0.48783
  • Calmar ratio (compounded annual return / max draw down)
    0.75197
  • Compounded annual return / average of 25% largest draw downs
    1.31984
  • Compounded annual return / Expected Shortfall lognormal
    1.86611
  • 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
    0.50615
  • SD
    0.50214
  • Sharpe ratio (Glass type estimate)
    1.00797
  • Sharpe ratio (Hedges UMVUE)
    1.00722
  • df
    1011.00000
  • t
    1.98102
  • p
    0.46044
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00953
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.00595
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00900
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.00545
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.61307
  • Upside Potential Ratio
    8.86666
  • Upside part of mean
    2.78218
  • Downside part of mean
    -2.27603
  • Upside SD
    0.39296
  • Downside SD
    0.31378
  • N nonnegative terms
    544.00000
  • N negative terms
    468.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1012.00000
  • Mean of predictor
    0.11805
  • Mean of criterion
    0.50615
  • SD of predictor
    0.17131
  • SD of criterion
    0.50214
  • Covariance
    0.04193
  • r
    0.48737
  • b (slope, estimate of beta)
    1.42854
  • a (intercept, estimate of alpha)
    0.33800
  • Mean Square Error
    0.19245
  • DF error
    1010.00000
  • t(b)
    17.73800
  • p(b)
    0.25632
  • t(a)
    1.51070
  • p(a)
    0.47626
  • Lowerbound of 95% confidence interval for beta
    1.27050
  • Upperbound of 95% confidence interval for beta
    1.58657
  • Lowerbound of 95% confidence interval for alpha
    -0.10090
  • Upperbound of 95% confidence interval for alpha
    0.77592
  • Treynor index (mean / b)
    0.35431
  • Jensen alpha (a)
    0.33751
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.38177
  • SD
    0.49682
  • Sharpe ratio (Glass type estimate)
    0.76841
  • Sharpe ratio (Hedges UMVUE)
    0.76784
  • df
    1011.00000
  • t
    1.51019
  • p
    0.46981
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.22960
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.76605
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.22998
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.76566
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.16340
  • Upside Potential Ratio
    8.25781
  • Upside part of mean
    2.70978
  • Downside part of mean
    -2.32801
  • Upside SD
    0.37345
  • Downside SD
    0.32815
  • N nonnegative terms
    544.00000
  • N negative terms
    468.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1012.00000
  • Mean of predictor
    0.10334
  • Mean of criterion
    0.38177
  • SD of predictor
    0.17148
  • SD of criterion
    0.49682
  • Covariance
    0.04226
  • r
    0.49600
  • b (slope, estimate of beta)
    1.43702
  • a (intercept, estimate of alpha)
    0.23327
  • Mean Square Error
    0.18629
  • DF error
    1010.00000
  • t(b)
    18.15350
  • p(b)
    0.25200
  • t(a)
    1.06144
  • p(a)
    0.48331
  • Lowerbound of 95% confidence interval for beta
    1.28168
  • Upperbound of 95% confidence interval for beta
    1.59235
  • Lowerbound of 95% confidence interval for alpha
    -0.19798
  • Upperbound of 95% confidence interval for alpha
    0.66452
  • Treynor index (mean / b)
    0.26566
  • Jensen alpha (a)
    0.23327
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04785
  • Expected Shortfall on VaR
    0.05992
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01887
  • Expected Shortfall on VaR
    0.03885
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1012.00000
  • Minimum
    0.79771
  • Quartile 1
    0.98860
  • Median
    1.00135
  • Quartile 3
    1.01339
  • Maximum
    1.24072
  • Mean of quarter 1
    0.96998
  • Mean of quarter 2
    0.99557
  • Mean of quarter 3
    1.00651
  • Mean of quarter 4
    1.03610
  • Inter Quartile Range
    0.02478
  • Number outliers low
    29.00000
  • Percentage of outliers low
    0.02866
  • Mean of outliers low
    0.91966
  • Number of outliers high
    40.00000
  • Percentage of outliers high
    0.03953
  • Mean of outliers high
    1.09236
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.30852
  • VaR(95%) (moments method)
    0.03001
  • Expected Shortfall (moments method)
    0.05125
  • Extreme Value Index (regression method)
    0.17357
  • VaR(95%) (regression method)
    0.02893
  • Expected Shortfall (regression method)
    0.04403
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    50.00000
  • Minimum
    0.00015
  • Quartile 1
    0.00682
  • Median
    0.02283
  • Quartile 3
    0.05211
  • Maximum
    0.66908
  • Mean of quarter 1
    0.00312
  • Mean of quarter 2
    0.01469
  • Mean of quarter 3
    0.03740
  • Mean of quarter 4
    0.14909
  • Inter Quartile Range
    0.04529
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.10000
  • Mean of outliers high
    0.25743
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.44106
  • VaR(95%) (moments method)
    0.15226
  • Expected Shortfall (moments method)
    0.30869
  • Extreme Value Index (regression method)
    0.67025
  • VaR(95%) (regression method)
    0.14902
  • Expected Shortfall (regression method)
    0.44196
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.00104
  • Compounded annual return (geometric extrapolation)
    0.50632
  • Calmar ratio (compounded annual return / max draw down)
    0.75674
  • Compounded annual return / average of 25% largest draw downs
    3.39619
  • Compounded annual return / Expected Shortfall lognormal
    8.44991
  • 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
    0.86712
  • SD
    0.24891
  • Sharpe ratio (Glass type estimate)
    3.48373
  • Sharpe ratio (Hedges UMVUE)
    3.46359
  • df
    130.00000
  • t
    2.46337
  • p
    0.39441
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.67329
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.28110
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.65999
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.26719
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.68592
  • Upside Potential Ratio
    15.20110
  • Upside part of mean
    1.97149
  • Downside part of mean
    -1.10437
  • Upside SD
    0.21801
  • Downside SD
    0.12969
  • N nonnegative terms
    74.00000
  • N negative terms
    57.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.32700
  • Mean of criterion
    0.86712
  • SD of predictor
    0.11254
  • SD of criterion
    0.24891
  • Covariance
    0.01159
  • r
    0.41385
  • b (slope, estimate of beta)
    0.91529
  • a (intercept, estimate of alpha)
    0.56782
  • Mean Square Error
    0.05174
  • DF error
    129.00000
  • t(b)
    5.16332
  • p(b)
    0.24426
  • t(a)
    1.73716
  • p(a)
    0.40412
  • Lowerbound of 95% confidence interval for beta
    0.56456
  • Upperbound of 95% confidence interval for beta
    1.26602
  • Lowerbound of 95% confidence interval for alpha
    -0.07889
  • Upperbound of 95% confidence interval for alpha
    1.21454
  • Treynor index (mean / b)
    0.94737
  • Jensen alpha (a)
    0.56782
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.83525
  • SD
    0.24696
  • Sharpe ratio (Glass type estimate)
    3.38217
  • Sharpe ratio (Hedges UMVUE)
    3.36262
  • df
    130.00000
  • t
    2.39155
  • p
    0.39736
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.57382
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.17796
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.56084
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.16440
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.37507
  • Upside Potential Ratio
    14.86840
  • Upside part of mean
    1.94802
  • Downside part of mean
    -1.11278
  • Upside SD
    0.21452
  • Downside SD
    0.13102
  • N nonnegative terms
    74.00000
  • N negative terms
    57.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.32049
  • Mean of criterion
    0.83525
  • SD of predictor
    0.11241
  • SD of criterion
    0.24696
  • Covariance
    0.01153
  • r
    0.41525
  • b (slope, estimate of beta)
    0.91228
  • a (intercept, estimate of alpha)
    0.54287
  • Mean Square Error
    0.05086
  • DF error
    129.00000
  • t(b)
    5.18450
  • p(b)
    0.24345
  • t(a)
    1.67609
  • p(a)
    0.40739
  • VAR (95 Confidence Intrvl)
    0.04800
  • Lowerbound of 95% confidence interval for beta
    0.56413
  • Upperbound of 95% confidence interval for beta
    1.26042
  • Lowerbound of 95% confidence interval for alpha
    -0.09795
  • Upperbound of 95% confidence interval for alpha
    1.18369
  • Treynor index (mean / b)
    0.91556
  • Jensen alpha (a)
    0.54287
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02167
  • Expected Shortfall on VaR
    0.02787
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00897
  • Expected Shortfall on VaR
    0.01719
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96403
  • Quartile 1
    0.99274
  • Median
    1.00230
  • Quartile 3
    1.01217
  • Maximum
    1.05614
  • Mean of quarter 1
    0.98595
  • Mean of quarter 2
    0.99794
  • Mean of quarter 3
    1.00619
  • Mean of quarter 4
    1.02368
  • Inter Quartile Range
    0.01943
  • 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
    1.05097
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.01729
  • VaR(95%) (moments method)
    0.01431
  • Expected Shortfall (moments method)
    0.01866
  • Extreme Value Index (regression method)
    0.09742
  • VaR(95%) (regression method)
    0.01529
  • Expected Shortfall (regression method)
    0.02100
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    14.00000
  • Minimum
    0.00131
  • Quartile 1
    0.00938
  • Median
    0.01508
  • Quartile 3
    0.02528
  • Maximum
    0.12334
  • Mean of quarter 1
    0.00397
  • Mean of quarter 2
    0.01170
  • Mean of quarter 3
    0.02008
  • Mean of quarter 4
    0.06292
  • Inter Quartile Range
    0.01590
  • 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
    0.14286
  • Mean of outliers high
    0.09795
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.15671
  • VaR(95%) (moments method)
    0.06436
  • Expected Shortfall (moments method)
    0.09967
  • Extreme Value Index (regression method)
    0.98999
  • VaR(95%) (regression method)
    0.10187
  • Last 4 Months - Pcnt Negative
    0.25%
  • Expected Shortfall (regression method)
    9.42386
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -370177000
  • Max Equity Drawdown (num days)
    66
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.07937
  • Compounded annual return (geometric extrapolation)
    1.37063
  • Calmar ratio (compounded annual return / max draw down)
    11.11260
  • Compounded annual return / average of 25% largest draw downs
    21.78430
  • Compounded annual return / Expected Shortfall lognormal
    49.17740

Strategy Description

Actual intrinsic value trading.
Not for trading with margin accounts. Trading for serious investors only.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2020-06-16
Suggested Minimum Capital
$100,000
Rank at C2 %
Top 2.4%
Rank # 
#20
# Trades
3504
# Profitable
2553
% Profitable
72.9%
Net Dividends
$9,709
Correlation S&P500
0.484
Sharpe Ratio
0.72
Sortino Ratio
1.16
Beta
1.72
Alpha
0.09
Leverage
2.37 Average
10.20 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.