Collective2 Collective2
Featured Strategy Lazy Trading ES +44.1% Cumul. Return since Sep 25, 2024 Hypothetical

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Right Risk Right Reward
(145856898)

Created by: AnthonyTobin AnthonyTobin
Started: 09/2023
Stocks
Last trade: 129 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 $150.00 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.

110.4%
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.

(28.0%)
Max Drawdown
30
Num Trades
73.3%
Win Trades
3.8 : 1
Profit Factor
66.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2023                                                        +1.5%(12.4%)+42.8%+24.8%+58.4%
2024(7.2%)+29.7%+0.7%(5.5%)+15.7%+3.7%+18.7%(17.4%)(6%)+4.7%+13.3%      +50.4%

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 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/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
1/8/24 11:09 ENVX ENOVIX CORP LONG 800 12.51 7/15 11:50 18.11 12.88%
Trade id #146932660
Max drawdown($5,448)
Time4/25/24 0:00
Quant open800
Worst price5.70
Drawdown as % of equity-12.88%
 $4,475
Includes Typical Broker Commissions trade costs of $5.00
2/8/24 10:07 BIDU BAIDU LONG 95 104.24 5/17 10:02 110.50 2.25%
Trade id #147257094
Max drawdown($949)
Time4/17/24 0:00
Quant open95
Worst price94.25
Drawdown as % of equity-2.25%
 $593
Includes Typical Broker Commissions trade costs of $1.90
1/5/24 14:23 BABA ALIBABA GROUP HOLDING LIMITED LONG 135 73.26 5/17 10:02 87.42 2.44%
Trade id #146920244
Max drawdown($895)
Time1/22/24 0:00
Quant open135
Worst price66.63
Drawdown as % of equity-2.44%
 $1,908
Includes Typical Broker Commissions trade costs of $2.70
3/15/24 11:47 HEPS D-MARKET ELECTRONIC SERVICES & TRADING ADS LONG 5,000 1.62 5/14 11:57 1.62 3.88%
Trade id #147650565
Max drawdown($1,828)
Time4/12/24 0:00
Quant open5,000
Worst price1.25
Drawdown as % of equity-3.88%
 $36
Includes Typical Broker Commissions trade costs of $5.00
1/23/24 10:09 LAC LITHIUM AMERICAS INC LONG 2,000 4.76 4/2 10:39 6.88 4.82%
Trade id #147098155
Max drawdown($1,900)
Time2/5/24 0:00
Quant open2,000
Worst price3.81
Drawdown as % of equity-4.82%
 $4,235
Includes Typical Broker Commissions trade costs of $5.00
1/5/24 12:55 APP APPLOVIN CORPORATION CLASS A LONG 260 38.43 3/18 10:29 66.30 0.32%
Trade id #146919209
Max drawdown($124)
Time1/8/24 0:00
Quant open260
Worst price37.95
Drawdown as % of equity-0.32%
 $7,241
Includes Typical Broker Commissions trade costs of $5.20
2/8/24 10:03 PYPL PAYPAL HOLDINGS CORP LONG 170 57.44 3/15 11:44 63.06 0.68%
Trade id #147257013
Max drawdown($283)
Time2/8/24 15:47
Quant open170
Worst price55.77
Drawdown as % of equity-0.68%
 $953
Includes Typical Broker Commissions trade costs of $3.40
1/8/24 10:30 GCT GIGACLOUD TECHNOLOGY INC CLASS A LONG 450 21.58 2/8 10:06 28.26 4.08%
Trade id #146931950
Max drawdown($1,602)
Time1/11/24 0:00
Quant open450
Worst price18.02
Drawdown as % of equity-4.08%
 $2,997
Includes Typical Broker Commissions trade costs of $9.00
1/5/24 4:58: Rescaled downward to 25% of previous Model Account size
11/20/23 14:34 ML MONEYLION INC LONG 137.500000000 34.11 1/4/24 10:27 54.30 0.13%
Trade id #146492680
Max drawdown($37)
Time11/21/23 0:00
Quant open34
Worst price33.01
Drawdown as % of equity-0.13%
 $2,773
Includes Typical Broker Commissions trade costs of $2.76
11/20/23 14:35 SURG SURGEPAYS INC COMMON STOCK LONG 750 6.43 1/4/24 10:27 7.52 0.8%
Trade id #146492692
Max drawdown($270)
Time12/12/23 0:00
Quant open188
Worst price4.99
Drawdown as % of equity-0.80%
 $813
Includes Typical Broker Commissions trade costs of $5.00
11/10/23 10:00 ENVX ENOVIX CORP LONG 450 10.67 1/4/24 10:26 13.11 0.23%
Trade id #146396279
Max drawdown($63)
Time11/13/23 0:00
Quant open112
Worst price10.11
Drawdown as % of equity-0.23%
 $1,088
Includes Typical Broker Commissions trade costs of $9.00
12/12/23 12:11 HEPS D-MARKET ELECTRONIC SERVICES & TRADING ADS LONG 1,500 1.64 1/4/24 10:26 1.71 0.15%
Trade id #146673065
Max drawdown($56)
Time12/20/23 0:00
Quant open375
Worst price1.49
Drawdown as % of equity-0.15%
 $100
Includes Typical Broker Commissions trade costs of $5.00
12/20/23 9:57 BABA ALIBABA GROUP HOLDING LIMITED LONG 33.750000000 74.83 1/4/24 10:26 75.39 0.03%
Trade id #146758151
Max drawdown($12)
Time12/20/23 15:59
Quant open8
Worst price73.33
Drawdown as % of equity-0.03%
 $18
Includes Typical Broker Commissions trade costs of $0.68
12/28/23 9:52 APP APPLOVIN CORPORATION CLASS A LONG 62.500000000 40.59 1/4/24 10:25 37.68 0.13%
Trade id #146831469
Max drawdown($49)
Time1/4/24 9:47
Quant open16
Worst price37.40
Drawdown as % of equity-0.13%
 ($183)
Includes Typical Broker Commissions trade costs of $1.24
9/19/23 12:11 RBLX ROBLOX CORP LONG 187.500000000 26.61 1/2/24 10:52 44.63 0.34%
Trade id #145868897
Max drawdown($81)
Time9/25/23 0:00
Quant open47
Worst price24.88
Drawdown as % of equity-0.34%
 $3,374
Includes Typical Broker Commissions trade costs of $3.75
10/10/23 14:21 DOCU DOCUSIGN INC. COMMON STOCK LONG 148.750000000 42.56 1/2/24 10:51 60.09 0.75%
Trade id #146091715
Max drawdown($165)
Time10/30/23 0:00
Quant open37
Worst price38.11
Drawdown as % of equity-0.75%
 $2,604
Includes Typical Broker Commissions trade costs of $2.98
11/27/23 10:47 DESP DESPEGAR.COM CORP LONG 450 8.19 12/20 11:13 9.74 0.13%
Trade id #146543346
Max drawdown($40)
Time11/30/23 0:00
Quant open112
Worst price7.83
Drawdown as % of equity-0.13%
 $689
Includes Typical Broker Commissions trade costs of $9.00
9/19/23 11:58 SHOP SHOPIFY INC LONG 86.250000000 58.03 12/8 10:48 72.26 1.23%
Trade id #145868713
Max drawdown($270)
Time10/31/23 0:00
Quant open22
Worst price45.50
Drawdown as % of equity-1.23%
 $1,225
Includes Typical Broker Commissions trade costs of $1.72
9/18/23 11:40 SWKS SKYWORKS SOLUTIONS LONG 50 98.79 12/7 14:55 102.42 0.77%
Trade id #145856955
Max drawdown($171)
Time11/1/23 0:00
Quant open12
Worst price85.06
Drawdown as % of equity-0.77%
 $181
Includes Typical Broker Commissions trade costs of $1.00
9/25/23 10:31 SNOW SNOWFLAKE INC LONG 33.750000000 149.89 12/7 14:53 187.78 0.43%
Trade id #145923826
Max drawdown($96)
Time10/26/23 0:00
Quant open8
Worst price138.40
Drawdown as % of equity-0.43%
 $1,278
Includes Typical Broker Commissions trade costs of $0.68
10/10/23 14:24 GRBK GREEN BRICK PARTNERS INC LONG 148.750000000 41.64 11/22 15:22 47.36 0.72%
Trade id #146091727
Max drawdown($161)
Time11/1/23 0:00
Quant open37
Worst price37.31
Drawdown as % of equity-0.72%
 $848
Includes Typical Broker Commissions trade costs of $2.98
10/11/23 11:25 BABA ALIBABA GROUP HOLDING LIMITED LONG 57.500000000 87.96 11/20 14:33 78.31 0.56%
Trade id #146100324
Max drawdown($163)
Time11/20/23 9:32
Quant open14
Worst price76.56
Drawdown as % of equity-0.56%
 ($556)
Includes Typical Broker Commissions trade costs of $1.16
9/25/23 10:33 DDOG DATADOG INC. LONG 57.500000000 87.86 11/10 9:58 103.30 0.64%
Trade id #145923856
Max drawdown($144)
Time11/2/23 0:00
Quant open14
Worst price77.81
Drawdown as % of equity-0.64%
 $887
Includes Typical Broker Commissions trade costs of $1.16
9/18/23 11:45 SBOW SILVERBOW RESOURCES INC LONG 137.500000000 35.71 10/26 13:28 33.62 0.72%
Trade id #145857317
Max drawdown($173)
Time10/4/23 0:00
Quant open34
Worst price30.65
Drawdown as % of equity-0.72%
 ($290)
Includes Typical Broker Commissions trade costs of $2.76
Next

Statistics

  • Strategy began
    9/18/2023
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    422.39
  • Age
    14 months ago
  • What it trades
    Stocks
  • # Trades
    30
  • # Profitable
    22
  • % Profitable
    73.30%
  • Avg trade duration
    89.5 days
  • Max peak-to-valley drawdown
    27.98%
  • drawdown period
    July 16, 2024 - Oct 03, 2024
  • Annual Return (Compounded)
    110.4%
  • Avg win
    $1,992
  • Avg loss
    $1,442
  • Model Account Values (Raw)
  • Cash
    $30,108
  • Margin Used
    $0
  • Buying Power
    $25,037
  • Ratios
  • W:L ratio
    3.81:1
  • Sharpe Ratio
    1.77
  • Sortino Ratio
    3.18
  • Calmar Ratio
    5.314
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    103.74%
  • Correlation to SP500
    0.49660
  • Return Percent SP500 (cumu) during strategy life
    33.57%
  • Return Statistics
  • Ann Return (w trading costs)
    110.4%
  • Slump
  • Current Slump as Pcnt Equity
    11.50%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.28%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    1.104%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    113.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    35.50%
  • Chance of 20% account loss
    7.00%
  • Chance of 30% account loss
    1.00%
  • 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)
    419
  • Popularity (Last 6 weeks)
    812
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    656
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $1,212
  • Avg Win
    $1,937
  • Sum Trade PL (losers)
    $8,486.000
  • Age
  • Num Months filled monthly returns table
    15
  • Win / Loss
  • Sum Trade PL (winners)
    $44,556.000
  • # Winners
    23
  • Num Months Winners
    10
  • Dividends
  • Dividends Received in Model Acct
    34
  • Win / Loss
  • # Losers
    7
  • % Winners
    76.7%
  • Frequency
  • Avg Position Time (mins)
    128305.00
  • Avg Position Time (hrs)
    2138.42
  • Avg Trade Length
    89.1 days
  • Last Trade Ago
    121
  • Leverage
  • Daily leverage (average)
    1.20
  • Daily leverage (max)
    2.13
  • Regression
  • Alpha
    0.12
  • Beta
    1.45
  • Treynor Index
    0.15
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.03
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    3.23
  • MAE:Equity, average, winning trades
    0.02
  • MAE:Equity, average, losing trades
    0.04
  • Avg(MAE) / Avg(PL) - All trades
    1.049
  • 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
    0.06
  • Avg(MAE) / Avg(PL) - Winning trades
    0.477
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.629
  • Hold-and-Hope Ratio
    1.074
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.90880
  • SD
    0.64745
  • Sharpe ratio (Glass type estimate)
    1.40367
  • Sharpe ratio (Hedges UMVUE)
    1.30535
  • df
    11.00000
  • t
    1.40367
  • p
    0.09401
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.66911
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.41862
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.72910
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.33980
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.65890
  • Upside Potential Ratio
    5.69097
  • Upside part of mean
    1.41353
  • Downside part of mean
    -0.50473
  • Upside SD
    0.62562
  • Downside SD
    0.24838
  • N nonnegative terms
    6.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    12.00000
  • Mean of predictor
    0.22765
  • Mean of criterion
    0.90880
  • SD of predictor
    0.11288
  • SD of criterion
    0.64745
  • Covariance
    0.04879
  • r
    0.66756
  • b (slope, estimate of beta)
    3.82901
  • a (intercept, estimate of alpha)
    0.03711
  • Mean Square Error
    0.25562
  • DF error
    10.00000
  • t(b)
    2.83527
  • p(b)
    0.00885
  • t(a)
    0.06272
  • p(a)
    0.47561
  • Lowerbound of 95% confidence interval for beta
    0.81992
  • Upperbound of 95% confidence interval for beta
    6.83810
  • Lowerbound of 95% confidence interval for alpha
    -1.28135
  • Upperbound of 95% confidence interval for alpha
    1.35557
  • Treynor index (mean / b)
    0.23735
  • Jensen alpha (a)
    0.03711
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.70930
  • SD
    0.59913
  • Sharpe ratio (Glass type estimate)
    1.18388
  • Sharpe ratio (Hedges UMVUE)
    1.10096
  • df
    11.00000
  • t
    1.18388
  • p
    0.13071
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.86111
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.17892
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.91227
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.11419
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.65529
  • Upside Potential Ratio
    4.66740
  • Upside part of mean
    1.24678
  • Downside part of mean
    -0.53749
  • Upside SD
    0.54737
  • Downside SD
    0.26713
  • N nonnegative terms
    6.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    12.00000
  • Mean of predictor
    0.21931
  • Mean of criterion
    0.70930
  • SD of predictor
    0.11193
  • SD of criterion
    0.59913
  • Covariance
    0.04504
  • r
    0.67158
  • b (slope, estimate of beta)
    3.59486
  • a (intercept, estimate of alpha)
    -0.07909
  • Mean Square Error
    0.21677
  • DF error
    10.00000
  • t(b)
    2.86631
  • p(b)
    0.00839
  • t(a)
    -0.14626
  • p(a)
    0.55669
  • Lowerbound of 95% confidence interval for beta
    0.80038
  • Upperbound of 95% confidence interval for beta
    6.38934
  • Lowerbound of 95% confidence interval for alpha
    -1.28397
  • Upperbound of 95% confidence interval for alpha
    1.12579
  • Treynor index (mean / b)
    0.19731
  • Jensen alpha (a)
    -0.07909
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.20178
  • Expected Shortfall on VaR
    0.25595
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.09828
  • Expected Shortfall on VaR
    0.17099
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    12.00000
  • Minimum
    0.83452
  • Quartile 1
    0.93302
  • Median
    1.02527
  • Quartile 3
    1.24917
  • Maximum
    1.36679
  • Mean of quarter 1
    0.86904
  • Mean of quarter 2
    0.96738
  • Mean of quarter 3
    1.16063
  • Mean of quarter 4
    1.31520
  • Inter Quartile Range
    0.31616
  • 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)
    -23.31120
  • VaR(95%) (moments method)
    0.13781
  • Expected Shortfall (moments method)
    0.13781
  • Extreme Value Index (regression method)
    -2.12679
  • VaR(95%) (regression method)
    0.20242
  • Expected Shortfall (regression method)
    0.20558
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00602
  • Quartile 1
    0.03143
  • Median
    0.08668
  • Quartile 3
    0.16548
  • Maximum
    0.19265
  • Mean of quarter 1
    0.01873
  • Mean of quarter 2
    0.08668
  • Mean of quarter 3
    0.16548
  • Mean of quarter 4
    0.19265
  • Inter Quartile Range
    0.13405
  • 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)
    1.09008
  • Compounded annual return (geometric extrapolation)
    1.09008
  • Calmar ratio (compounded annual return / max draw down)
    5.65849
  • Compounded annual return / average of 25% largest draw downs
    5.65849
  • Compounded annual return / Expected Shortfall lognormal
    4.25900
  • 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
    0.92751
  • SD
    0.40374
  • Sharpe ratio (Glass type estimate)
    2.29729
  • Sharpe ratio (Hedges UMVUE)
    2.29083
  • df
    267.00000
  • t
    2.32345
  • p
    0.01045
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.34754
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.24283
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.34322
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.23845
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.21256
  • Upside Potential Ratio
    12.84080
  • Upside part of mean
    2.82726
  • Downside part of mean
    -1.89974
  • Upside SD
    0.34235
  • Downside SD
    0.22018
  • N nonnegative terms
    144.00000
  • N negative terms
    124.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    268.00000
  • Mean of predictor
    0.27084
  • Mean of criterion
    0.92751
  • SD of predictor
    0.13886
  • SD of criterion
    0.40374
  • Covariance
    0.02804
  • r
    0.50010
  • b (slope, estimate of beta)
    1.45408
  • a (intercept, estimate of alpha)
    0.53400
  • Mean Square Error
    0.12270
  • DF error
    266.00000
  • t(b)
    9.41880
  • p(b)
    0.00000
  • t(a)
    1.52983
  • p(a)
    0.06362
  • Lowerbound of 95% confidence interval for beta
    1.15011
  • Upperbound of 95% confidence interval for beta
    1.75804
  • Lowerbound of 95% confidence interval for alpha
    -0.15318
  • Upperbound of 95% confidence interval for alpha
    1.22056
  • Treynor index (mean / b)
    0.63787
  • Jensen alpha (a)
    0.53369
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.84652
  • SD
    0.39729
  • Sharpe ratio (Glass type estimate)
    2.13075
  • Sharpe ratio (Hedges UMVUE)
    2.12476
  • df
    267.00000
  • t
    2.15501
  • p
    0.01603
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.18249
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.07511
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.17850
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.07102
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.78356
  • Upside Potential Ratio
    12.38430
  • Upside part of mean
    2.77082
  • Downside part of mean
    -1.92430
  • Upside SD
    0.33155
  • Downside SD
    0.22374
  • N nonnegative terms
    144.00000
  • N negative terms
    124.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    268.00000
  • Mean of predictor
    0.26110
  • Mean of criterion
    0.84652
  • SD of predictor
    0.13860
  • SD of criterion
    0.39729
  • Covariance
    0.02752
  • r
    0.49968
  • b (slope, estimate of beta)
    1.43227
  • a (intercept, estimate of alpha)
    0.47255
  • Mean Square Error
    0.11887
  • DF error
    266.00000
  • t(b)
    9.40837
  • p(b)
    0.00000
  • t(a)
    1.37688
  • p(a)
    0.08485
  • Lowerbound of 95% confidence interval for beta
    1.13254
  • Upperbound of 95% confidence interval for beta
    1.73201
  • Lowerbound of 95% confidence interval for alpha
    -0.20319
  • Upperbound of 95% confidence interval for alpha
    1.14830
  • Treynor index (mean / b)
    0.59103
  • Jensen alpha (a)
    0.47255
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03646
  • Expected Shortfall on VaR
    0.04625
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01606
  • Expected Shortfall on VaR
    0.03024
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    268.00000
  • Minimum
    0.95248
  • Quartile 1
    0.98808
  • Median
    1.00296
  • Quartile 3
    1.01434
  • Maximum
    1.12943
  • Mean of quarter 1
    0.97550
  • Mean of quarter 2
    0.99587
  • Mean of quarter 3
    1.00775
  • Mean of quarter 4
    1.03547
  • Inter Quartile Range
    0.02626
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    8.00000
  • Percentage of outliers high
    0.02985
  • Mean of outliers high
    1.08400
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.19681
  • VaR(95%) (moments method)
    0.02461
  • Expected Shortfall (moments method)
    0.03026
  • Extreme Value Index (regression method)
    -0.43566
  • VaR(95%) (regression method)
    0.02383
  • Expected Shortfall (regression method)
    0.02738
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    19.00000
  • Minimum
    0.00271
  • Quartile 1
    0.02399
  • Median
    0.04452
  • Quartile 3
    0.08190
  • Maximum
    0.26300
  • Mean of quarter 1
    0.00899
  • Mean of quarter 2
    0.03770
  • Mean of quarter 3
    0.06078
  • Mean of quarter 4
    0.15484
  • Inter Quartile Range
    0.05791
  • 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
    0.10526
  • Mean of outliers high
    0.22190
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.78413
  • VaR(95%) (moments method)
    0.16910
  • Expected Shortfall (moments method)
    0.18728
  • Extreme Value Index (regression method)
    -0.11457
  • VaR(95%) (regression method)
    0.22419
  • Expected Shortfall (regression method)
    0.29599
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.41361
  • Compounded annual return (geometric extrapolation)
    1.39749
  • Calmar ratio (compounded annual return / max draw down)
    5.31370
  • Compounded annual return / average of 25% largest draw downs
    9.02554
  • Compounded annual return / Expected Shortfall lognormal
    30.21490
  • 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
    0.49804
  • SD
    0.39802
  • Sharpe ratio (Glass type estimate)
    1.25128
  • Sharpe ratio (Hedges UMVUE)
    1.24405
  • df
    130.00000
  • t
    0.88479
  • p
    0.46132
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.52699
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.02497
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.53188
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.01998
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.22043
  • Upside Potential Ratio
    11.23020
  • Upside part of mean
    2.51892
  • Downside part of mean
    -2.02088
  • Upside SD
    0.32841
  • Downside SD
    0.22430
  • N nonnegative terms
    64.00000
  • N negative terms
    67.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.24509
  • Mean of criterion
    0.49804
  • SD of predictor
    0.15793
  • SD of criterion
    0.39802
  • Covariance
    0.03472
  • r
    0.55232
  • b (slope, estimate of beta)
    1.39202
  • a (intercept, estimate of alpha)
    0.15687
  • Mean Square Error
    0.11095
  • DF error
    129.00000
  • t(b)
    7.52505
  • p(b)
    0.16718
  • t(a)
    0.33149
  • p(a)
    0.48143
  • Lowerbound of 95% confidence interval for beta
    1.02603
  • Upperbound of 95% confidence interval for beta
    1.75802
  • Lowerbound of 95% confidence interval for alpha
    -0.77943
  • Upperbound of 95% confidence interval for alpha
    1.09318
  • Treynor index (mean / b)
    0.35778
  • Jensen alpha (a)
    0.15687
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.42074
  • SD
    0.39153
  • Sharpe ratio (Glass type estimate)
    1.07461
  • Sharpe ratio (Hedges UMVUE)
    1.06840
  • df
    130.00000
  • t
    0.75986
  • p
    0.46675
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.70233
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.84744
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.70645
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.84324
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.84557
  • Upside Potential Ratio
    10.82200
  • Upside part of mean
    2.46711
  • Downside part of mean
    -2.04637
  • Upside SD
    0.31753
  • Downside SD
    0.22797
  • N nonnegative terms
    64.00000
  • N negative terms
    67.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.23262
  • Mean of criterion
    0.42074
  • SD of predictor
    0.15754
  • SD of criterion
    0.39153
  • Covariance
    0.03378
  • r
    0.54761
  • b (slope, estimate of beta)
    1.36098
  • a (intercept, estimate of alpha)
    0.10415
  • Mean Square Error
    0.10816
  • DF error
    129.00000
  • t(b)
    7.43320
  • p(b)
    0.16969
  • t(a)
    0.22299
  • p(a)
    0.48750
  • VAR (95 Confidence Intrvl)
    0.03600
  • Lowerbound of 95% confidence interval for beta
    0.99872
  • Upperbound of 95% confidence interval for beta
    1.72324
  • Lowerbound of 95% confidence interval for alpha
    -0.81991
  • Upperbound of 95% confidence interval for alpha
    1.02820
  • Treynor index (mean / b)
    0.30914
  • Jensen alpha (a)
    0.10415
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03746
  • Expected Shortfall on VaR
    0.04710
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01821
  • Expected Shortfall on VaR
    0.03285
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.95248
  • Quartile 1
    0.98735
  • Median
    0.99928
  • Quartile 3
    1.01140
  • Maximum
    1.12943
  • Mean of quarter 1
    0.97568
  • Mean of quarter 2
    0.99393
  • Mean of quarter 3
    1.00558
  • Mean of quarter 4
    1.03295
  • Inter Quartile Range
    0.02406
  • 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
    0.03817
  • Mean of outliers high
    1.07460
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.09504
  • VaR(95%) (moments method)
    0.02539
  • Expected Shortfall (moments method)
    0.03470
  • Extreme Value Index (regression method)
    -0.22278
  • VaR(95%) (regression method)
    0.02392
  • Expected Shortfall (regression method)
    0.02854
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.01298
  • Quartile 1
    0.02132
  • Median
    0.07367
  • Quartile 3
    0.15346
  • Maximum
    0.26300
  • Mean of quarter 1
    0.01321
  • Mean of quarter 2
    0.04495
  • Mean of quarter 3
    0.10239
  • Mean of quarter 4
    0.21674
  • Inter Quartile Range
    0.13214
  • 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
  • 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?
    -334263000
  • Max Equity Drawdown (num days)
    79
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.50295
  • Compounded annual return (geometric extrapolation)
    0.56619
  • Calmar ratio (compounded annual return / max draw down)
    2.15283
  • Compounded annual return / average of 25% largest draw downs
    2.61232
  • Compounded annual return / Expected Shortfall lognormal
    12.02030

Strategy Description

My stock trading strategy that aims to provide a favourable risk-reward ratio is the "Value Investing" approach. Value investing involves identifying stocks that are undervalued relative to their intrinsic or fundamental value. The idea is to buy these stocks at a discounted price, hold them for the medium to long term, and sell when the market recognizes their true worth.

Here are the key steps in implementing a low-risk value investing strategy:

Fundamental Analysis:
Margin of Safety:
Diversification:
Long-Term Perspective:
Risk Management:
Continuous Monitoring:

I Regularly monitor the financial health and performance of the companies in this portfolio and am ready to adjust holdings if there are changes in the fundamentals or if the stock is no longer undervalued.

Summary Statistics

Strategy began
2023-09-18
Suggested Minimum Capital
$15,000
# Trades
30
# Profitable
22
% Profitable
73.3%
Net Dividends
$34
Correlation S&P500
0.497
Sharpe Ratio
1.77
Sortino Ratio
3.18
Beta
1.45
Alpha
0.12
Leverage
1.20 Average
2.13 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.