Collective2 Collective2
Featured Strategy Cryptoverse +51.0% Annual Return (Compounded) since Jun 13, 2022 Hypothetical

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These are hypothetical performance results that have certain inherent limitations. Learn more
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Trades-Own-Strategy Certification

This system has earned Trades-Own-Strategy (TOS) Certification. This means that the manager of this system trades his own strategy in a real-life, funded brokerage account.

Trades-Own-Strategy (TOS) Certification Details
Certification process started 10/23/2023
Most recent certification approved 10/23/23 9:58 ET
Trades at broker Israel Interactive Trading
Scaling percentage used 100%
# trading signals issued by system since certification 22
# trading signals executed in manager's Israel Interactive Trading account 22
Percent signals followed since 10/23/2023 100%
This information was last updated 12/21/24 8:39 ET

Warning: System trading results are still hypothetical.

Even though the system developer is currently trading his own system in a real-life brokerage account, the trading results presented on this Web site must still be regarded as purely hypothetical results. This is because (among other reasons) the system developer may not have traded all signals, particularly those that occurred before 10/23/2023, and the system developer's results may not match the system results presented here. In addition, not all subscribers have received the same trades or prices as the system manager has. For these reasons, and others, it is extremely important you remember the following:

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. Hypothetical performance results have many inherent limitations, some of which are described below. No representation is being made that any account will or is likely to achieve profits or losses similar to those shown. In fact, there are frequently sharp differences between hypothetical performance results and the actual results subsequently achieved by any particular trading program.

One of the limitations of hypothetical performance results is that they are generally prepared with the benefit of hindsight. 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.

You may be interested to learn more technical details about how Collective2 calculates the hypothetical results you see on this web site.

Fundsmith Principles
(146158230)

Powered by BrokerTransmit.
Read important disclosures.

Created by: eli_dayan eli_dayan
Started: 10/2023
Stocks
Last trade: 242 days ago

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 $20.00 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.

24.6%
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.

(8.1%)
Max Drawdown
14
Num Trades
85.7%
Win Trades
13.0 : 1
Profit Factor
73.3%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2023                                                                 -  +2.0%+1.5%+3.5%
2024+0.9%(0.3%)+0.7%(3.5%)+4.6%+2.0%+6.0%+1.7%+2.7%(2.5%)+8.2%+3.0%+25.5%

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 21 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
Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
2/29/24 10:53: Rescaled downward to 50% of previous Model Account size
10/26/23 9:30 MA MASTERCARD LONG 3 371.06 2/29/24 10:48 474.86 0.23%
Trade id #146242999
Max drawdown($33)
Time10/27/23 0:00
Quant open3
Worst price359.77
Drawdown as % of equity-0.23%
 $311
Includes Typical Broker Commissions trade costs of $0.06
12/8/23 11:34 CP CANADIAN PACIFIC RAILWAY LONG 7.500000000 73.52 2/29/24 10:47 85.39 0.06%
Trade id #146645937
Max drawdown($9)
Time12/11/23 0:00
Quant open8
Worst price72.22
Drawdown as % of equity-0.06%
 $89
Includes Typical Broker Commissions trade costs of $0.14
2/15/24 13:23 TSLA TESLA INC. LONG 3 198.04 2/29 10:46 200.88 0.17%
Trade id #147347815
Max drawdown($26)
Time2/20/24 0:00
Quant open3
Worst price189.13
Drawdown as % of equity-0.17%
 $9
Includes Typical Broker Commissions trade costs of $0.06
12/7/23 11:59 INMD INMODE LTD. ORDINARY SHARES LONG 25 20.43 2/29/24 10:46 21.83 0.12%
Trade id #146636969
Max drawdown($18)
Time2/20/24 0:00
Quant open25
Worst price19.70
Drawdown as % of equity-0.12%
 $35
Includes Typical Broker Commissions trade costs of $0.50
10/31/23 9:48 MSCI MSCI LONG 1.500000000 468.80 2/29/24 10:46 565.68 0.1%
Trade id #146287021
Max drawdown($14)
Time11/1/23 0:00
Quant open2
Worst price458.99
Drawdown as % of equity-0.10%
 $145
Includes Typical Broker Commissions trade costs of $0.02
10/23/23 9:58 SPGI S & P GLOBAL INC LONG 2 350.48 2/29/24 10:46 431.65 0.13%
Trade id #146204724
Max drawdown($19)
Time10/30/23 0:00
Quant open2
Worst price340.49
Drawdown as % of equity-0.13%
 $162
Includes Typical Broker Commissions trade costs of $0.04
Next

Statistics

  • Strategy began
    10/18/2023
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    430.15
  • Age
    14 months ago
  • What it trades
    Stocks
  • # Trades
    14
  • # Profitable
    12
  • % Profitable
    85.70%
  • Avg trade duration
    205.0 days
  • Max peak-to-valley drawdown
    8.08%
  • drawdown period
    July 23, 2024 - Aug 05, 2024
  • Annual Return (Compounded)
    24.6%
  • Avg win
    $455.67
  • Avg loss
    $214.50
  • Model Account Values (Raw)
  • Cash
    $7,802
  • Margin Used
    $0
  • Buying Power
    $12,092
  • Ratios
  • W:L ratio
    12.98:1
  • Sharpe Ratio
    1.73
  • Sortino Ratio
    2.55
  • Calmar Ratio
    5.335
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -7.55%
  • Correlation to SP500
    0.55360
  • Return Percent SP500 (cumu) during strategy life
    37.46%
  • Return Statistics
  • Ann Return (w trading costs)
    24.6%
  • Slump
  • Current Slump as Pcnt Equity
    3.50%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.01%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.246%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    28.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    n/a
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    933
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    446
  • Popularity (7 days, Percentile 1000 scale)
    823
  • Trades-Own-System Certification
  • Trades Own System?
    Yes
  • TOS percent
    100%
  • Win / Loss
  • Avg Loss
    $214
  • Avg Win
    $456
  • Sum Trade PL (losers)
    $429.000
  • Age
  • Num Months filled monthly returns table
    15
  • Win / Loss
  • Sum Trade PL (winners)
    $5,468.000
  • # Winners
    12
  • Num Months Winners
    12
  • Dividends
  • Dividends Received in Model Acct
    100
  • AUM
  • AUM (AutoTrader live capital)
    162522
  • Win / Loss
  • # Losers
    2
  • % Winners
    85.7%
  • Frequency
  • Avg Position Time (mins)
    295222.00
  • Avg Position Time (hrs)
    4920.36
  • Avg Trade Length
    205.0 days
  • Last Trade Ago
    242
  • Leverage
  • Daily leverage (average)
    0.65
  • Daily leverage (max)
    1.12
  • Regression
  • Alpha
    0.02
  • Beta
    0.46
  • Treynor Index
    0.13
  • 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)
    0.27
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    0.402
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    0.256
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.235
  • Hold-and-Hope Ratio
    6.090
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.29330
  • SD
    0.09744
  • Sharpe ratio (Glass type estimate)
    3.00994
  • Sharpe ratio (Hedges UMVUE)
    2.79912
  • df
    11.00000
  • t
    3.00994
  • p
    0.00593
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.64126
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.28248
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.51668
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.08157
  • Statistics related to Sortino ratio
  • Sortino ratio
    10.80690
  • Upside Potential Ratio
    11.93050
  • Upside part of mean
    0.32379
  • Downside part of mean
    -0.03049
  • Upside SD
    0.12303
  • Downside SD
    0.02714
  • N nonnegative terms
    10.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    12.00000
  • Mean of predictor
    0.32631
  • Mean of criterion
    0.29330
  • SD of predictor
    0.11131
  • SD of criterion
    0.09744
  • Covariance
    0.00437
  • r
    0.40325
  • b (slope, estimate of beta)
    0.35302
  • a (intercept, estimate of alpha)
    0.17810
  • Mean Square Error
    0.00875
  • DF error
    10.00000
  • t(b)
    1.39351
  • p(b)
    0.09683
  • t(a)
    1.42690
  • p(a)
    0.09204
  • Lowerbound of 95% confidence interval for beta
    -0.21144
  • Upperbound of 95% confidence interval for beta
    0.91747
  • Lowerbound of 95% confidence interval for alpha
    -0.10001
  • Upperbound of 95% confidence interval for alpha
    0.45622
  • Treynor index (mean / b)
    0.83083
  • Jensen alpha (a)
    0.17810
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.28498
  • SD
    0.09495
  • Sharpe ratio (Glass type estimate)
    3.00148
  • Sharpe ratio (Hedges UMVUE)
    2.79125
  • df
    11.00000
  • t
    3.00148
  • p
    0.00602
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.63474
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.27225
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.51049
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.07202
  • Statistics related to Sortino ratio
  • Sortino ratio
    10.38500
  • Upside Potential Ratio
    11.50720
  • Upside part of mean
    0.31577
  • Downside part of mean
    -0.03079
  • Upside SD
    0.11949
  • Downside SD
    0.02744
  • N nonnegative terms
    10.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    12.00000
  • Mean of predictor
    0.31578
  • Mean of criterion
    0.28498
  • SD of predictor
    0.10930
  • SD of criterion
    0.09495
  • Covariance
    0.00442
  • r
    0.42552
  • b (slope, estimate of beta)
    0.36965
  • a (intercept, estimate of alpha)
    0.16825
  • Mean Square Error
    0.00812
  • DF error
    10.00000
  • t(b)
    1.48693
  • p(b)
    0.08393
  • t(a)
    1.40779
  • p(a)
    0.09476
  • Lowerbound of 95% confidence interval for beta
    -0.18426
  • Upperbound of 95% confidence interval for beta
    0.92355
  • Lowerbound of 95% confidence interval for alpha
    -0.09804
  • Upperbound of 95% confidence interval for alpha
    0.43454
  • Treynor index (mean / b)
    0.77094
  • Jensen alpha (a)
    0.16825
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02111
  • Expected Shortfall on VaR
    0.03221
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00226
  • Expected Shortfall on VaR
    0.00658
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    12.00000
  • Minimum
    0.97543
  • Quartile 1
    1.01311
  • Median
    1.01736
  • Quartile 3
    1.04527
  • Maximum
    1.07126
  • Mean of quarter 1
    0.99533
  • Mean of quarter 2
    1.01526
  • Mean of quarter 3
    1.03237
  • Mean of quarter 4
    1.06412
  • Inter Quartile Range
    0.03215
  • 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)
    -0.16720
  • VaR(95%) (regression method)
    0.02598
  • Expected Shortfall (regression method)
    0.04456
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.00126
  • Quartile 1
    0.00709
  • Median
    0.01292
  • Quartile 3
    0.01875
  • Maximum
    0.02457
  • Mean of quarter 1
    0.00126
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.02457
  • Inter Quartile Range
    0.01166
  • 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)
    0.36736
  • Compounded annual return (geometric extrapolation)
    0.36736
  • Calmar ratio (compounded annual return / max draw down)
    14.94980
  • Compounded annual return / average of 25% largest draw downs
    14.94980
  • Compounded annual return / Expected Shortfall lognormal
    11.40670
  • 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
    0.26585
  • SD
    0.10503
  • Sharpe ratio (Glass type estimate)
    2.53131
  • Sharpe ratio (Hedges UMVUE)
    2.52422
  • df
    268.00000
  • t
    2.56491
  • p
    0.00543
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.58288
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.47514
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.57816
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.47029
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.82736
  • Upside Potential Ratio
    10.69030
  • Upside part of mean
    0.74256
  • Downside part of mean
    -0.47671
  • Upside SD
    0.08021
  • Downside SD
    0.06946
  • N nonnegative terms
    156.00000
  • N negative terms
    113.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    269.00000
  • Mean of predictor
    0.29057
  • Mean of criterion
    0.26585
  • SD of predictor
    0.12984
  • SD of criterion
    0.10503
  • Covariance
    0.00745
  • r
    0.54629
  • b (slope, estimate of beta)
    0.44189
  • a (intercept, estimate of alpha)
    0.13700
  • Mean Square Error
    0.00777
  • DF error
    267.00000
  • t(b)
    10.65740
  • p(b)
    -0.00000
  • t(a)
    1.56537
  • p(a)
    0.05934
  • Lowerbound of 95% confidence interval for beta
    0.36025
  • Upperbound of 95% confidence interval for beta
    0.52353
  • Lowerbound of 95% confidence interval for alpha
    -0.03543
  • Upperbound of 95% confidence interval for alpha
    0.31034
  • Treynor index (mean / b)
    0.60163
  • Jensen alpha (a)
    0.13745
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.26020
  • SD
    0.10509
  • Sharpe ratio (Glass type estimate)
    2.47591
  • Sharpe ratio (Hedges UMVUE)
    2.46897
  • df
    268.00000
  • t
    2.50877
  • p
    0.00635
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.52804
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.41928
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.52342
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.41453
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.71603
  • Upside Potential Ratio
    10.55840
  • Upside part of mean
    0.73929
  • Downside part of mean
    -0.47910
  • Upside SD
    0.07974
  • Downside SD
    0.07002
  • N nonnegative terms
    156.00000
  • N negative terms
    113.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    269.00000
  • Mean of predictor
    0.28198
  • Mean of criterion
    0.26020
  • SD of predictor
    0.12994
  • SD of criterion
    0.10509
  • Covariance
    0.00749
  • r
    0.54884
  • b (slope, estimate of beta)
    0.44388
  • a (intercept, estimate of alpha)
    0.13503
  • Mean Square Error
    0.00775
  • DF error
    267.00000
  • t(b)
    10.72820
  • p(b)
    -0.00000
  • t(a)
    1.54076
  • p(a)
    0.06228
  • Lowerbound of 95% confidence interval for beta
    0.36241
  • Upperbound of 95% confidence interval for beta
    0.52534
  • Lowerbound of 95% confidence interval for alpha
    -0.03752
  • Upperbound of 95% confidence interval for alpha
    0.30759
  • Treynor index (mean / b)
    0.58619
  • Jensen alpha (a)
    0.13503
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00964
  • Expected Shortfall on VaR
    0.01232
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00368
  • Expected Shortfall on VaR
    0.00786
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    269.00000
  • Minimum
    0.97162
  • Quartile 1
    0.99844
  • Median
    1.00109
  • Quartile 3
    1.00434
  • Maximum
    1.02162
  • Mean of quarter 1
    0.99333
  • Mean of quarter 2
    0.99983
  • Mean of quarter 3
    1.00258
  • Mean of quarter 4
    1.00887
  • Inter Quartile Range
    0.00590
  • Number outliers low
    11.00000
  • Percentage of outliers low
    0.04089
  • Mean of outliers low
    0.98401
  • Number of outliers high
    10.00000
  • Percentage of outliers high
    0.03717
  • Mean of outliers high
    1.01644
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.26097
  • VaR(95%) (moments method)
    0.00480
  • Expected Shortfall (moments method)
    0.00609
  • Extreme Value Index (regression method)
    0.06231
  • VaR(95%) (regression method)
    0.00635
  • Expected Shortfall (regression method)
    0.00967
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    25.00000
  • Minimum
    0.00048
  • Quartile 1
    0.00170
  • Median
    0.00431
  • Quartile 3
    0.02266
  • Maximum
    0.06258
  • Mean of quarter 1
    0.00094
  • Mean of quarter 2
    0.00277
  • Mean of quarter 3
    0.01425
  • Mean of quarter 4
    0.03682
  • Inter Quartile Range
    0.02096
  • 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
    0.04000
  • Mean of outliers high
    0.06258
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.19008
  • VaR(95%) (moments method)
    0.04006
  • Expected Shortfall (moments method)
    0.05591
  • Extreme Value Index (regression method)
    0.41269
  • VaR(95%) (regression method)
    0.03554
  • Expected Shortfall (regression method)
    0.05361
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.33524
  • Compounded annual return (geometric extrapolation)
    0.33389
  • Calmar ratio (compounded annual return / max draw down)
    5.33537
  • Compounded annual return / average of 25% largest draw downs
    9.06909
  • Compounded annual return / Expected Shortfall lognormal
    27.10240
  • 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
    0.40048
  • SD
    0.12590
  • Sharpe ratio (Glass type estimate)
    3.18087
  • Sharpe ratio (Hedges UMVUE)
    3.16249
  • df
    130.00000
  • t
    2.24922
  • p
    0.40323
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.37638
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.97355
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.36415
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.96082
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.66378
  • Upside Potential Ratio
    11.30310
  • Upside part of mean
    0.97059
  • Downside part of mean
    -0.57012
  • Upside SD
    0.09470
  • Downside SD
    0.08587
  • N nonnegative terms
    82.00000
  • N negative terms
    49.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.14272
  • Mean of criterion
    0.40048
  • SD of predictor
    0.14146
  • SD of criterion
    0.12590
  • Covariance
    0.01111
  • r
    0.62387
  • b (slope, estimate of beta)
    0.55526
  • a (intercept, estimate of alpha)
    0.32123
  • Mean Square Error
    0.00976
  • DF error
    129.00000
  • t(b)
    9.06663
  • p(b)
    0.13036
  • t(a)
    2.29509
  • p(a)
    0.37474
  • Lowerbound of 95% confidence interval for beta
    0.43409
  • Upperbound of 95% confidence interval for beta
    0.67643
  • Lowerbound of 95% confidence interval for alpha
    0.04431
  • Upperbound of 95% confidence interval for alpha
    0.59815
  • Treynor index (mean / b)
    0.72125
  • Jensen alpha (a)
    0.32123
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.39225
  • SD
    0.12614
  • Sharpe ratio (Glass type estimate)
    3.10966
  • Sharpe ratio (Hedges UMVUE)
    3.09169
  • df
    130.00000
  • t
    2.19886
  • p
    0.40532
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.30648
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.90128
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.29452
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.88885
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.52502
  • Upside Potential Ratio
    11.14420
  • Upside part of mean
    0.96604
  • Downside part of mean
    -0.57379
  • Upside SD
    0.09414
  • Downside SD
    0.08669
  • N nonnegative terms
    82.00000
  • N negative terms
    49.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.13271
  • Mean of criterion
    0.39225
  • SD of predictor
    0.14181
  • SD of criterion
    0.12614
  • Covariance
    0.01120
  • r
    0.62637
  • b (slope, estimate of beta)
    0.55716
  • a (intercept, estimate of alpha)
    0.31831
  • Mean Square Error
    0.00974
  • DF error
    129.00000
  • t(b)
    9.12634
  • p(b)
    0.12912
  • t(a)
    2.27639
  • p(a)
    0.37570
  • VAR (95 Confidence Intrvl)
    0.01000
  • Lowerbound of 95% confidence interval for beta
    0.43637
  • Upperbound of 95% confidence interval for beta
    0.67795
  • Lowerbound of 95% confidence interval for alpha
    0.04165
  • Upperbound of 95% confidence interval for alpha
    0.59497
  • Treynor index (mean / b)
    0.70402
  • Jensen alpha (a)
    0.31831
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01126
  • Expected Shortfall on VaR
    0.01447
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00404
  • Expected Shortfall on VaR
    0.00889
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97162
  • Quartile 1
    0.99848
  • Median
    1.00199
  • Quartile 3
    1.00608
  • Maximum
    1.01959
  • Mean of quarter 1
    0.99189
  • Mean of quarter 2
    1.00029
  • Mean of quarter 3
    1.00396
  • Mean of quarter 4
    1.01048
  • Inter Quartile Range
    0.00760
  • Number outliers low
    6.00000
  • Percentage of outliers low
    0.04580
  • Mean of outliers low
    0.98025
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.01527
  • Mean of outliers high
    1.01868
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.05361
  • VaR(95%) (moments method)
    0.00510
  • Expected Shortfall (moments method)
    0.00712
  • Extreme Value Index (regression method)
    0.05673
  • VaR(95%) (regression method)
    0.00820
  • Expected Shortfall (regression method)
    0.01277
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    16.00000
  • Minimum
    0.00068
  • Quartile 1
    0.00176
  • Median
    0.00569
  • Quartile 3
    0.02335
  • Maximum
    0.06258
  • Mean of quarter 1
    0.00105
  • Mean of quarter 2
    0.00348
  • Mean of quarter 3
    0.01628
  • Mean of quarter 4
    0.03572
  • Inter Quartile Range
    0.02159
  • 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
    0.06250
  • Mean of outliers high
    0.06258
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.44633
  • VaR(95%) (moments method)
    0.04148
  • Expected Shortfall (moments method)
    0.07049
  • Extreme Value Index (regression method)
    2.16656
  • VaR(95%) (regression method)
    0.04207
  • 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?
    -431752000
  • Max Equity Drawdown (num days)
    13
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.46755
  • Compounded annual return (geometric extrapolation)
    0.52221
  • Calmar ratio (compounded annual return / max draw down)
    8.34447
  • Compounded annual return / average of 25% largest draw downs
    14.61790
  • Compounded annual return / Expected Shortfall lognormal
    36.09480

Strategy Description

In crafting my investment strategy, I draw inspiration from the time-tested principles championed by Terry Smith. These guiding principles, which have proven to be effective in achieving long-term success, form the cornerstone of my approach to the stock market:

1. Long-Term Vision: I firmly believe in adopting a long-term perspective when it comes to investments. Similar to Mr. Smith, I understand that the true potential of quality stocks often unfolds over the years, allowing for the power of compounding to work its magic.

2. Quality is Key: Quality, in the form of companies with enduring competitive advantages, exceptional management teams, and consistent profitability, is paramount. This focus on quality, a core tenet of Terry Smith's philosophy, helps mitigate risk while offering the potential for sustainable returns.

3. Minimal Trading: I share Mr. Smith's belief in minimal trading. Frequent buying and selling can lead to increased costs and potentially dilute returns. Instead, I advocate for a buy-and-hold strategy, letting quality investments mature over time.

4. Cash Flow-Centric: Cash flow analysis, another principle drawn from Terry Smith's wisdom, plays a central role in my strategy. Companies with robust cash flow generation are often indicators of financial health and are better positioned to reward shareholders.

5. Defensive Focus for Market Outperformance: In line with the wisdom of investing legends like Warren Buffett, I advocate for a defensive and focused portfolio strategy. Diversification, as Buffett has noted, is often a tactic employed by non-professional investors. Instead, I follow the principle that when you possess quality stocks, the key to outperforming the market lies in maintaining a highly focused portfolio.

This defensive approach is aimed at mitigating volatility and preserving capital while still achieving market-beating returns. By selecting a concentrated number of quality stocks, we can delve deeply into each investment, gaining a more profound understanding of their potential and positioning ourselves for superior performance compared to broader, less-focused portfolios.

6. Transparent Communication: Clear and transparent communication with my investors is a cornerstone of my strategy. Just as Terry Smith provides comprehensive insights into Fundsmith's holdings and decisions, I strive to ensure that my investors understand the rationale behind each investment choice.

7. High Conviction: I maintain a high conviction in my stock selections, holding a select number of carefully chosen companies. This focused approach allows for a deep understanding of each investment and enhances the potential for significant returns.

8. No Speculation, Only Investment Principles: I never engage in speculative trading. My approach is rooted in solid investment principles, focused on selecting the best companies in the stock market. This commitment to principled investing aligns with my dedication to achieving sustainable and consistent returns.

My portfolio is designed for investors who seek returns akin to those of professional investors, typically ranging between 12-25% annually. If you're looking for returns of 40% or more, I may not be the right fit.

Incorporating these principles into my investment strategy, I aim to provide my clients with a pathway to long-term financial success while minimizing unnecessary risk. Just as Terry Smith's philosophy has stood the test of time, I am confident that these principles can contribute to our collective prosperity in the world of investing."

Summary Statistics

Strategy began
2023-10-18
Suggested Minimum Capital
$15,000
# Trades
14
# Profitable
12
% Profitable
85.7%
Net Dividends
$100
Correlation S&P500
0.554
Sharpe Ratio
1.73
Sortino Ratio
2.55
Beta
0.46
Alpha
0.02
Leverage
0.65 Average
1.12 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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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.