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Save for Retirement
(132356051)

Created by: JFonseca JFonseca
Started: 11/2020
Stocks
Last trade: 14 days ago
Trading style: Equity Non-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
Non-hedged Equity
Category: Equity

Non-hedged Equity

Predominantly long equities, although some hedging with short sales of stocks and/or stock index options. Commonly known as "stock-pickers."
38.8%
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.

(30.4%)
Max Drawdown
426
Num Trades
69.0%
Win Trades
2.3 : 1
Profit Factor
75.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020                                                                      +4.1%+7.7%+12.1%
2021+10.1%+7.1%(6.2%)+4.8%(7.6%)+15.5%                                    +23.8%

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

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Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
3/22/21 12:25 APPN APPIAN CORPORATION CLASS A COMMON STOCK LONG 5 148.64 5/13 12:45 77.72 0.7%
Trade id #134769002
Max drawdown($358)
Time5/13/21 11:56
Quant open5
Worst price77.01
Drawdown as % of equity-0.70%
($355)
Includes Typical Broker Commissions trade costs of $0.10
12/10/20 11:05 FSLY FASTLY INC LONG 13 80.85 5/13/21 12:45 40.98 0.91%
Trade id #132744875
Max drawdown($528)
Time5/10/21 0:00
Quant open13
Worst price40.21
Drawdown as % of equity-0.91%
($518)
Includes Typical Broker Commissions trade costs of $0.26
3/22/21 9:31 FB FACEBOOK LONG 5 306.44 5/13 12:44 312.20 0.02%
Trade id #134761292
Max drawdown($12)
Time3/25/21 0:00
Quant open1
Worst price277.75
Drawdown as % of equity-0.02%
$29
Includes Typical Broker Commissions trade costs of $0.10
3/25/21 14:05 GDRX GOODRX HOLDINGS INC. CLASS A COMMON STOCK LONG 23 38.45 5/13 12:44 30.02 0.39%
Trade id #134866375
Max drawdown($202)
Time5/13/21 11:57
Quant open20
Worst price28.34
Drawdown as % of equity-0.39%
($194)
Includes Typical Broker Commissions trade costs of $0.46
3/25/21 13:58 NYT NEW YORK TIMES LONG 22 49.56 5/13 12:44 42.49 0.3%
Trade id #134866154
Max drawdown($156)
Time5/13/21 11:45
Quant open22
Worst price42.45
Drawdown as % of equity-0.30%
($155)
Includes Typical Broker Commissions trade costs of $0.44
3/22/21 9:31 BYND BEYOND MEAT INC. COMMON STOCK LONG 12 129.53 5/13 12:44 102.40 0.63%
Trade id #134761354
Max drawdown($344)
Time5/11/21 0:00
Quant open12
Worst price100.82
Drawdown as % of equity-0.63%
($326)
Includes Typical Broker Commissions trade costs of $0.24
3/22/21 9:31 BIDU BAIDU LONG 2 232.90 5/13 12:44 181.46 0.2%
Trade id #134761343
Max drawdown($111)
Time5/11/21 0:00
Quant open2
Worst price176.90
Drawdown as % of equity-0.20%
($103)
Includes Typical Broker Commissions trade costs of $0.04
12/10/20 13:17 OKTA OKTA INC. CL A COMMON STOCK LONG 3 241.10 5/13/21 12:44 250.67 0.17%
Trade id #132748226
Max drawdown($99)
Time3/5/21 0:00
Quant open2
Worst price199.08
Drawdown as % of equity-0.17%
$29
Includes Typical Broker Commissions trade costs of $0.06
3/22/21 14:02 PYPL PAYPAL HOLDINGS CORP LONG 3 247.52 5/13 12:44 255.34 0.03%
Trade id #134771259
Max drawdown($18)
Time3/25/21 0:00
Quant open1
Worst price227.52
Drawdown as % of equity-0.03%
$23
Includes Typical Broker Commissions trade costs of $0.06
3/17/21 9:31 TAK TAKEDA PHARMACEUTICAL CO LTD LONG 51 18.70 5/13 12:44 18.19 0.12%
Trade id #134669427
Max drawdown($65)
Time5/11/21 0:00
Quant open28
Worst price16.36
Drawdown as % of equity-0.12%
($27)
Includes Typical Broker Commissions trade costs of $1.02
3/22/21 15:17 VRTX VERTEX LONG 6 213.34 5/13 12:44 214.89 0.03%
Trade id #134772825
Max drawdown($20)
Time4/9/21 0:00
Quant open4
Worst price209.53
Drawdown as % of equity-0.03%
$9
Includes Typical Broker Commissions trade costs of $0.12
3/25/21 13:59 ECL ECOLAB LONG 5 214.42 5/13 12:44 223.27 0%
Trade id #134866170
Max drawdown($1)
Time3/25/21 14:15
Quant open1
Worst price206.22
Drawdown as % of equity-0.00%
$44
Includes Typical Broker Commissions trade costs of $0.10
3/22/21 9:31 CRSR CORSAIR GAMING INC. COMMON STOCK LONG 8 32.90 5/11 9:30 29.93 0.05%
Trade id #134761291
Max drawdown($27)
Time3/25/21 0:00
Quant open8
Worst price29.51
Drawdown as % of equity-0.05%
($24)
Includes Typical Broker Commissions trade costs of $0.16
3/22/21 9:31 CQQQ INVESCO CHINA TECHNOLOGY LONG 3 88.10 5/11 9:30 74.10 0.08%
Trade id #134761268
Max drawdown($42)
Time5/11/21 9:30
Quant open3
Worst price74.10
Drawdown as % of equity-0.08%
($42)
Includes Typical Broker Commissions trade costs of $0.06
3/22/21 9:31 DIS WALT DISNEY LONG 6 188.33 5/10 15:42 184.71 0.09%
Trade id #134761281
Max drawdown($56)
Time4/21/21 0:00
Quant open6
Worst price178.86
Drawdown as % of equity-0.09%
($22)
Includes Typical Broker Commissions trade costs of $0.12
5/7/21 9:32 AAPL APPLE LONG 5 129.87 5/10 15:42 127.33 0.03%
Trade id #135504444
Max drawdown($15)
Time5/10/21 14:50
Quant open5
Worst price126.82
Drawdown as % of equity-0.03%
($13)
Includes Typical Broker Commissions trade costs of $0.10
5/7/21 10:32 VXUS VANGUARD TOTAL INTL STOCK IDX LONG 9 65.95 5/10 15:42 65.63 0.01%
Trade id #135507606
Max drawdown($3)
Time5/10/21 14:56
Quant open9
Worst price65.58
Drawdown as % of equity-0.01%
($3)
Includes Typical Broker Commissions trade costs of $0.18
5/7/21 10:30 TTD THE TRADE DESK INC. CLASS A COMMON STOCK LONG 2 656.54 5/10 15:42 493.01 0.64%
Trade id #135507513
Max drawdown($352)
Time5/10/21 14:50
Quant open2
Worst price480.15
Drawdown as % of equity-0.64%
($327)
Includes Typical Broker Commissions trade costs of $0.04
5/7/21 9:55 NFLX NETFLIX LONG 1 503.72 5/10 15:42 488.97 0.03%
Trade id #135505903
Max drawdown($16)
Time5/10/21 15:26
Quant open1
Worst price487.48
Drawdown as % of equity-0.03%
($15)
Includes Typical Broker Commissions trade costs of $0.02
5/7/21 9:50 GOOG ALPHABET INC CLASS C LONG 1 2404.34 5/10 15:42 2348.81 0.13%
Trade id #135505639
Max drawdown($69)
Time5/10/21 10:53
Quant open1
Worst price2334.73
Drawdown as % of equity-0.13%
($56)
Includes Typical Broker Commissions trade costs of $0.02
5/7/21 9:43 EQIX EQUINIX INC. COMMON STOCK REI LONG 1 705.28 5/10 15:42 720.27 0.01%
Trade id #135505294
Max drawdown($6)
Time5/7/21 9:49
Quant open1
Worst price698.99
Drawdown as % of equity-0.01%
$15
Includes Typical Broker Commissions trade costs of $0.02
3/22/21 9:31 GDX VANECK VECTORS GOLD MINERS ETF LONG 8 33.56 5/10 9:30 38.00 0.03%
Trade id #134761316
Max drawdown($15)
Time3/30/21 0:00
Quant open8
Worst price31.65
Drawdown as % of equity-0.03%
$36
Includes Typical Broker Commissions trade costs of $0.16
3/22/21 9:31 UEIC UNIVERSAL ELECTRONICS LONG 5 58.57 5/7 10:02 51.84 0.06%
Trade id #134761264
Max drawdown($33)
Time5/7/21 10:02
Quant open5
Worst price51.83
Drawdown as % of equity-0.06%
($34)
Includes Typical Broker Commissions trade costs of $0.10
3/22/21 9:32 PLTR PALANTIR TECHNOLOGIES INC LONG 11 24.84 5/6 14:30 19.50 0.1%
Trade id #134761400
Max drawdown($59)
Time5/6/21 14:30
Quant open11
Worst price19.44
Drawdown as % of equity-0.10%
($59)
Includes Typical Broker Commissions trade costs of $0.22
4/30/21 10:50 NVCR NOVOCURE LIMITED ORDINARY SHARES LONG 5 204.04 5/6 11:19 192.17 0.12%
Trade id #135398756
Max drawdown($69)
Time5/6/21 11:03
Quant open5
Worst price190.10
Drawdown as % of equity-0.12%
($59)
Includes Typical Broker Commissions trade costs of $0.10
3/22/21 13:50 O REALTY INCOME LONG 4 62.08 5/6 11:19 67.54 n/a $22
Includes Typical Broker Commissions trade costs of $0.08
11/25/20 12:18 TTD THE TRADE DESK INC. CLASS A COMMON STOCK LONG 4 756.59 5/6/21 11:19 610.13 0.99%
Trade id #132459564
Max drawdown($590)
Time5/6/21 11:16
Quant open4
Worst price608.95
Drawdown as % of equity-0.99%
($586)
Includes Typical Broker Commissions trade costs of $0.08
4/30/21 10:49 GOOG ALPHABET INC CLASS C LONG 1 2411.32 5/6 11:18 2347.77 0.16%
Trade id #135398732
Max drawdown($99)
Time5/4/21 0:00
Quant open1
Worst price2311.70
Drawdown as % of equity-0.16%
($64)
Includes Typical Broker Commissions trade costs of $0.02
1/28/21 13:34 NFLX NETFLIX LONG 1 547.74 5/6 11:18 492.50 0.09%
Trade id #133674538
Max drawdown($56)
Time5/6/21 11:16
Quant open1
Worst price491.37
Drawdown as % of equity-0.09%
($55)
Includes Typical Broker Commissions trade costs of $0.02
3/19/21 15:02 ARKK ARK INNOVATION ETF LONG 2 122.20 5/6 11:18 106.74 0.05%
Trade id #134740165
Max drawdown($31)
Time5/6/21 11:14
Quant open2
Worst price106.37
Drawdown as % of equity-0.05%
($31)
Includes Typical Broker Commissions trade costs of $0.04

Statistics

  • Strategy began
    11/19/2020
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    217.5
  • Age
    7 months ago
  • What it trades
    Stocks
  • # Trades
    426
  • # Profitable
    294
  • % Profitable
    69.00%
  • Avg trade duration
    68.6 days
  • Max peak-to-valley drawdown
    30.41%
  • drawdown period
    Feb 19, 2021 - May 13, 2021
  • Cumul. Return
    38.8%
  • Avg win
    $92.74
  • Avg loss
    $90.11
  • Model Account Values (Raw)
  • Cash
    $2,717
  • Margin Used
    $0
  • Buying Power
    $12,497
  • Ratios
  • W:L ratio
    2.35:1
  • Sharpe Ratio
    1.58
  • Sortino Ratio
    2.17
  • Calmar Ratio
    2.89
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    19.71%
  • Correlation to SP500
    0.35920
  • Return Percent SP500 (cumu) during strategy life
    19.11%
  • Return Statistics
  • Ann Return (w trading costs)
    72.0%
  • Slump
  • Current Slump as Pcnt Equity
    3.90%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.58%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.388%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    78.5%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    30.00%
  • Chance of 20% account loss
    4.50%
  • Chance of 30% account loss
    0.50%
  • 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)
    477
  • Popularity (Last 6 weeks)
    927
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    869
  • Popularity (7 days, Percentile 1000 scale)
    802
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Strat abandoned?
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $93
  • Avg Win
    $111
  • Sum Trade PL (losers)
    $12,201.000
  • Age
  • Num Months filled monthly returns table
    8
  • Win / Loss
  • Sum Trade PL (winners)
    $32,606.000
  • # Winners
    295
  • Num Months Winners
    6
  • Dividends
  • Dividends Received in Model Acct
    338
  • Win / Loss
  • # Losers
    131
  • % Winners
    69.2%
  • Frequency
  • Avg Position Time (mins)
    98799.10
  • Avg Position Time (hrs)
    1646.65
  • Avg Trade Length
    68.6 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    1.55
  • Daily leverage (max)
    2.17
  • Regression
  • Alpha
    0.09
  • Beta
    0.80
  • Treynor Index
    0.19
  • 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)
    -0.13
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    2.623
  • 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
    0.536
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.524
  • Hold-and-Hope Ratio
    0.561
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.63801
  • SD
    0.42004
  • Sharpe ratio (Glass type estimate)
    1.51893
  • Sharpe ratio (Hedges UMVUE)
    1.31938
  • df
    6.00000
  • t
    1.16010
  • p
    0.14504
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.23665
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.16367
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.35318
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.99195
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.97610
  • Upside Potential Ratio
    4.81658
  • Upside part of mean
    1.03258
  • Downside part of mean
    -0.39456
  • Upside SD
    0.37309
  • Downside SD
    0.21438
  • N nonnegative terms
    5.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    7.00000
  • Mean of predictor
    0.27902
  • Mean of criterion
    0.63801
  • SD of predictor
    0.09005
  • SD of criterion
    0.42004
  • Covariance
    0.01984
  • r
    0.52445
  • b (slope, estimate of beta)
    2.44635
  • a (intercept, estimate of alpha)
    -0.04456
  • Mean Square Error
    0.15349
  • DF error
    5.00000
  • t(b)
    1.37730
  • p(b)
    0.11344
  • t(a)
    -0.06248
  • p(a)
    0.52370
  • Lowerbound of 95% confidence interval for beta
    -2.11968
  • Upperbound of 95% confidence interval for beta
    7.01239
  • Lowerbound of 95% confidence interval for alpha
    -1.87812
  • Upperbound of 95% confidence interval for alpha
    1.78899
  • Treynor index (mean / b)
    0.26080
  • Jensen alpha (a)
    -0.04456
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.54852
  • SD
    0.41464
  • Sharpe ratio (Glass type estimate)
    1.32288
  • Sharpe ratio (Hedges UMVUE)
    1.14909
  • df
    6.00000
  • t
    1.01037
  • p
    0.17566
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.39505
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.94188
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.49818
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.79636
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.41050
  • Upside Potential Ratio
    4.24956
  • Upside part of mean
    0.96701
  • Downside part of mean
    -0.41849
  • Upside SD
    0.34736
  • Downside SD
    0.22756
  • N nonnegative terms
    5.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    7.00000
  • Mean of predictor
    0.27193
  • Mean of criterion
    0.54852
  • SD of predictor
    0.08688
  • SD of criterion
    0.41464
  • Covariance
    0.01968
  • r
    0.54643
  • b (slope, estimate of beta)
    2.60796
  • a (intercept, estimate of alpha)
    -0.16067
  • Mean Square Error
    0.14471
  • DF error
    5.00000
  • t(b)
    1.45891
  • p(b)
    0.10220
  • t(a)
    -0.23085
  • p(a)
    0.58671
  • Lowerbound of 95% confidence interval for beta
    -1.98744
  • Upperbound of 95% confidence interval for beta
    7.20336
  • Lowerbound of 95% confidence interval for alpha
    -1.94981
  • Upperbound of 95% confidence interval for alpha
    1.62847
  • Treynor index (mean / b)
    0.21033
  • Jensen alpha (a)
    -0.16067
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.14030
  • Expected Shortfall on VaR
    0.18145
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.05261
  • Expected Shortfall on VaR
    0.10840
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    7.00000
  • Minimum
    0.87456
  • Quartile 1
    0.98605
  • Median
    1.09134
  • Quartile 3
    1.12960
  • Maximum
    1.19126
  • Mean of quarter 1
    0.88725
  • Mean of quarter 2
    1.08175
  • Mean of quarter 3
    1.11733
  • Mean of quarter 4
    1.16657
  • Inter Quartile Range
    0.14355
  • 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
    1.00000
  • Minimum
    0.14107
  • Quartile 1
    0.14107
  • Median
    0.14107
  • Quartile 3
    0.14107
  • Maximum
    0.14107
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • 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)
    0.68518
  • Compounded annual return (geometric extrapolation)
    0.77968
  • Calmar ratio (compounded annual return / max draw down)
    5.52703
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    4.29687
  • 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
    0.60349
  • SD
    0.28399
  • Sharpe ratio (Glass type estimate)
    2.12506
  • Sharpe ratio (Hedges UMVUE)
    2.11463
  • df
    153.00000
  • t
    1.62923
  • p
    0.41710
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.44586
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.68918
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.45278
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.68204
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.92617
  • Upside Potential Ratio
    10.19900
  • Upside part of mean
    2.10344
  • Downside part of mean
    -1.49995
  • Upside SD
    0.19744
  • Downside SD
    0.20624
  • N nonnegative terms
    101.00000
  • N negative terms
    53.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    154.00000
  • Mean of predictor
    0.27837
  • Mean of criterion
    0.60349
  • SD of predictor
    0.13108
  • SD of criterion
    0.28399
  • Covariance
    0.01250
  • r
    0.33593
  • b (slope, estimate of beta)
    0.72782
  • a (intercept, estimate of alpha)
    0.40100
  • Mean Square Error
    0.07202
  • DF error
    152.00000
  • t(b)
    4.39713
  • p(b)
    0.33204
  • t(a)
    1.13548
  • p(a)
    0.45414
  • Lowerbound of 95% confidence interval for beta
    0.40080
  • Upperbound of 95% confidence interval for beta
    1.05484
  • Lowerbound of 95% confidence interval for alpha
    -0.29664
  • Upperbound of 95% confidence interval for alpha
    1.09842
  • Treynor index (mean / b)
    0.82918
  • Jensen alpha (a)
    0.40089
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.56240
  • SD
    0.28579
  • Sharpe ratio (Glass type estimate)
    1.96787
  • Sharpe ratio (Hedges UMVUE)
    1.95821
  • df
    153.00000
  • t
    1.50871
  • p
    0.42311
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.60117
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.53062
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.60764
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.52406
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.67335
  • Upside Potential Ratio
    9.90634
  • Upside part of mean
    2.08402
  • Downside part of mean
    -1.52162
  • Upside SD
    0.19518
  • Downside SD
    0.21037
  • N nonnegative terms
    101.00000
  • N negative terms
    53.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    154.00000
  • Mean of predictor
    0.26966
  • Mean of criterion
    0.56240
  • SD of predictor
    0.13111
  • SD of criterion
    0.28579
  • Covariance
    0.01255
  • r
    0.33502
  • b (slope, estimate of beta)
    0.73028
  • a (intercept, estimate of alpha)
    0.36547
  • Mean Square Error
    0.07299
  • DF error
    152.00000
  • t(b)
    4.38369
  • p(b)
    0.33249
  • t(a)
    1.02882
  • p(a)
    0.45842
  • Lowerbound of 95% confidence interval for beta
    0.40115
  • Upperbound of 95% confidence interval for beta
    1.05941
  • Lowerbound of 95% confidence interval for alpha
    -0.33636
  • Upperbound of 95% confidence interval for alpha
    1.06730
  • Treynor index (mean / b)
    0.77011
  • Jensen alpha (a)
    0.36547
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02654
  • Expected Shortfall on VaR
    0.03367
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01014
  • Expected Shortfall on VaR
    0.02190
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    154.00000
  • Minimum
    0.93261
  • Quartile 1
    0.99396
  • Median
    1.00501
  • Quartile 3
    1.01404
  • Maximum
    1.04123
  • Mean of quarter 1
    0.97874
  • Mean of quarter 2
    1.00035
  • Mean of quarter 3
    1.00928
  • Mean of quarter 4
    1.02139
  • Inter Quartile Range
    0.02007
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.02597
  • Mean of outliers low
    0.94702
  • 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)
    -0.14186
  • VaR(95%) (moments method)
    0.01725
  • Expected Shortfall (moments method)
    0.02261
  • Extreme Value Index (regression method)
    -0.08616
  • VaR(95%) (regression method)
    0.01922
  • Expected Shortfall (regression method)
    0.02609
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00340
  • Quartile 1
    0.00650
  • Median
    0.00723
  • Quartile 3
    0.04259
  • Maximum
    0.27839
  • Mean of quarter 1
    0.00488
  • Mean of quarter 2
    0.00693
  • Mean of quarter 3
    0.03927
  • Mean of quarter 4
    0.16215
  • Inter Quartile Range
    0.03610
  • 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
    0.14286
  • Mean of outliers high
    0.27839
  • 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)
    0.70566
  • Compounded annual return (geometric extrapolation)
    0.80454
  • Calmar ratio (compounded annual return / max draw down)
    2.89001
  • Compounded annual return / average of 25% largest draw downs
    4.96168
  • Compounded annual return / Expected Shortfall lognormal
    23.89360
  • 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
    0.41152
  • SD
    0.30360
  • Sharpe ratio (Glass type estimate)
    1.35547
  • Sharpe ratio (Hedges UMVUE)
    1.34763
  • df
    130.00000
  • t
    0.95846
  • p
    0.45812
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.42377
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.12963
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.42901
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.12428
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.84246
  • Upside Potential Ratio
    9.64533
  • Upside part of mean
    2.15432
  • Downside part of mean
    -1.74280
  • Upside SD
    0.20550
  • Downside SD
    0.22335
  • N nonnegative terms
    80.00000
  • N negative terms
    51.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.27324
  • Mean of criterion
    0.41152
  • SD of predictor
    0.13588
  • SD of criterion
    0.30360
  • Covariance
    0.01459
  • r
    0.35364
  • b (slope, estimate of beta)
    0.79016
  • a (intercept, estimate of alpha)
    0.19562
  • Mean Square Error
    0.08127
  • DF error
    129.00000
  • t(b)
    4.29410
  • p(b)
    0.27965
  • t(a)
    0.48147
  • p(a)
    0.47304
  • Lowerbound of 95% confidence interval for beta
    0.42609
  • Upperbound of 95% confidence interval for beta
    1.15422
  • Lowerbound of 95% confidence interval for alpha
    -0.60823
  • Upperbound of 95% confidence interval for alpha
    0.99947
  • Treynor index (mean / b)
    0.52081
  • Jensen alpha (a)
    0.19562
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.36508
  • SD
    0.30554
  • Sharpe ratio (Glass type estimate)
    1.19489
  • Sharpe ratio (Hedges UMVUE)
    1.18799
  • df
    130.00000
  • t
    0.84492
  • p
    0.46305
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.58289
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.96821
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.58758
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.96355
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.60238
  • Upside Potential Ratio
    9.36325
  • Upside part of mean
    2.13331
  • Downside part of mean
    -1.76823
  • Upside SD
    0.20307
  • Downside SD
    0.22784
  • N nonnegative terms
    80.00000
  • N negative terms
    51.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.26391
  • Mean of criterion
    0.36508
  • SD of predictor
    0.13596
  • SD of criterion
    0.30554
  • Covariance
    0.01464
  • r
    0.35242
  • b (slope, estimate of beta)
    0.79195
  • a (intercept, estimate of alpha)
    0.15608
  • Mean Square Error
    0.08239
  • DF error
    129.00000
  • t(b)
    4.27710
  • p(b)
    0.28038
  • t(a)
    0.38174
  • p(a)
    0.47862
  • VAR (95 Confidence Intrvl)
    0.02700
  • Lowerbound of 95% confidence interval for beta
    0.42561
  • Upperbound of 95% confidence interval for beta
    1.15830
  • Lowerbound of 95% confidence interval for alpha
    -0.65287
  • Upperbound of 95% confidence interval for alpha
    0.96503
  • Treynor index (mean / b)
    0.46099
  • Jensen alpha (a)
    0.15608
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02922
  • Expected Shortfall on VaR
    0.03682
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01299
  • Expected Shortfall on VaR
    0.02660
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.93261
  • Quartile 1
    0.99101
  • Median
    1.00498
  • Quartile 3
    1.01444
  • Maximum
    1.04123
  • Mean of quarter 1
    0.97614
  • Mean of quarter 2
    0.99872
  • Mean of quarter 3
    1.00967
  • Mean of quarter 4
    1.02242
  • Inter Quartile Range
    0.02343
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.02290
  • Mean of outliers low
    0.94332
  • 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)
    -0.30650
  • VaR(95%) (moments method)
    0.02236
  • Expected Shortfall (moments method)
    0.02719
  • Extreme Value Index (regression method)
    -0.01701
  • VaR(95%) (regression method)
    0.02137
  • Expected Shortfall (regression method)
    0.02853
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00636
  • Quartile 1
    0.00723
  • Median
    0.03927
  • Quartile 3
    0.04592
  • Maximum
    0.27839
  • Mean of quarter 1
    0.00679
  • Mean of quarter 2
    0.03927
  • Mean of quarter 3
    0.04592
  • Mean of quarter 4
    0.27839
  • Inter Quartile Range
    0.03869
  • 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
    0.20000
  • Mean of outliers high
    0.27839
  • 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
  • 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?
    -292020000
  • Max Equity Drawdown (num days)
    83
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.43426
  • Compounded annual return (geometric extrapolation)
    0.48141
  • Calmar ratio (compounded annual return / max draw down)
    1.72927
  • Compounded annual return / average of 25% largest draw downs
    1.72927
  • Compounded annual return / Expected Shortfall lognormal
    13.07350

Strategy Description

This is where I put all my savings instead of using a savings account, buy ETFs or funds. In theory all the money in this account is money that I do not need in the next 3 to 5 years. I am not expecting to have huge returns in short periods of time. I am trading for the medium to long term and most of my stocks are bought with a time frame of 5 years, but probably I would hold on to them for life or until I need the money. This is a marathon, not a sprint!

I look for good companies, with solid value proposition and a unique advantage over competitors. And these are the majority of my holdings. From time to time I buy good companies that are at a discount and these can be easily identified because they have a profit target and stop loss.

I don't use stop losses and I have some positions that are on the red for long periods of time. NOT ALL POSITIONS CAN BE WINNERS. But I only sell the long term holdings when something has changed, either in the company or the environment, and I don't believe anymore that the company can outperform their competitors. Sometimes I also sell to raise funds to invest in a better opportunity. Because I have much more winners than losers and because a few winners have huge returns, my strategy is very profitable.

To follow my strategy please buy at least 10 of the stocks in my portfolio. Ideally you should add regularly positions to your portfolio, more or less of the same money value. Sometimes, instead of buying new companies I add to existing positions. Because I play for the long run the execution price is not very relevant.

Summary Statistics

Strategy began
2020-11-19
Suggested Minimum Capital
$35,000
Rank at C2 
#97
# Trades
426
# Profitable
294
% Profitable
69.0%
Net Dividends
Correlation S&P500
0.359
Sharpe Ratio
1.58
Sortino Ratio
2.17
Beta
0.80
Alpha
0.09
Leverage
1.55 Average
2.17 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

Collective2 calculates the maximum leverage used by a strategy in each day. We then display the average of these measurements (i.e. the average daily maximum leverage) and the greatest of these measurements (maximum daily leverage).

Leverage is the ratio of total notional value controlled by a strategy divided by its Model Account equity. Generally higher leverage implies greater risk.

Example of calculation:
The Strategy buys 100 shares of stock at $12 per share.
The Model Account equity during that day is $5,000.
The leverage is: $1200 / $5,000 = 0.24

This is a useful measurement, but it should be considered in context. This measurement doesn't take into account important factors, such as when multiple positions are held that are inversely correlated. Nor does the measurement take into account the volatility of the instruments being held.

In addition, certain asset classes are inherently more leveraged than others. For example, futures contracts are highly leveraged. Forex positions are often even more leveraged than futures.

Latest Activity

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subscribed on started simulation #SUBSCRIBEDDATE#

Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.

Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

Material assumptions and methods used when calculating results

The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.

  • Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
  • Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been re-scaled downward to make current go-forward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
  • All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any per-trade AutoTrade fees, plus estimated broker commissions if any.
  • "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.

Trading is risky

There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.

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Suggested Minimum Capital

This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.