SQT Stocks Long Short Portfolio
- hypothetical · Annual Return (Compounded)
- 31.3%
- Max Drawdown
- 7.1%
- Trades
- 4563
- Win Trades
- 49.8%
- Profit Factor
- 1.30
- Win Months
- 70.6%
About this strategy
STRATEGY OVERVIEW
SQT Stocks Long Short Portfolio is an institutional-style, fully automated long/short equity strategy designed to pursue consistent risk-adjusted returns with an emphasis on capital preservation and drawdown control.
The strategy maintains a diversified portfolio of 50 long and 25 short positions selected from the S&P 500 Index constituents, with daily rebalancing.
By combining long and short positions, the strategy aims to reduce overall market exposure and dependence on market direction, providing a more defensive approach to equity investing.
INVESTMENT APPROACH
Portfolio construction is driven by a proprietary Machine Learning Ranking Engine that evaluates and ranks S&P 500 stocks using multiple quantitative factors.
Separate long and short models identify opportunities on both sides of the market, seeking to generate returns from stock selection rather than relying solely on rising equity markets.
The portfolio follows an equal-weight allocation approach, targeting $2,000 per position, equivalent to 2% of a $100,000 model account. This results in approximately 100% long exposure and 50% short exposure, with a net long exposure of 50%.
All investment decisions, portfolio adjustments, and trading signals are generated automatically, without discretionary intervention.
PORTFOLIO MANAGEMENT
The strategy follows a systematic portfolio management approach:
- 50 long and 25 short positions selected from the S&P 500 universe.
- Equal position sizing, targeting 2% of model account equity per position.
- Daily rebalancing based on updated model rankings.
- Holding periods ranging from one trading day to several months.
- 100% automated portfolio management and signal generation.
The relatively high number of reported trades reflects systematic portfolio rotation and daily rebalancing rather than short-term speculative trading.
CAPITAL REQUIREMENTS
The recommended minimum account capital is $100,000, matching the strategy's reference model size.
An account of approximately $75,000 may also support the full portfolio, provided sufficient margin is available to maintain gross exposure close to 2x.
Scaling the strategy down is not recommended, as smaller account sizes may result in:
- Incomplete execution of target positions due to minimum share quantities.
- Deviations from the model portfolio and intended position weights.
- Greater proportional impact of trading commissions and transaction costs.
Maintaining adequate capital is important for accurate portfolio replication and consistent execution.
RISK PROFILE
This is a moderate-risk, long/short equity strategy focused on capital preservation, controlled drawdowns, and balanced risk-adjusted returns.
The combination of long and short positions is designed to reduce sensitivity to broad market movements and provide additional protection during market downturns.
However, the strategy is not fully market-neutral, and significant losses remain possible during unfavorable market conditions.
DISCLAIMER
All trading involves risk of loss, including substantial drawdowns. Short positions carry additional risks. Collective2 performance results may be hypothetical and may differ from actual investor results. Past performance does not guarantee future returns.
SQT Stocks Long Short Portfolio is an institutional-style, fully automated long/short equity strategy designed to pursue consistent risk-adjusted returns with an emphasis on capital preservation and drawdown control.
The strategy maintains a diversified portfolio of 50 long and 25 short positions selected from the S&P 500 Index constituents, with daily rebalancing.
By combining long and short positions, the strategy aims to reduce overall market exposure and dependence on market direction, providing a more defensive approach to equity investing.
INVESTMENT APPROACH
Portfolio construction is driven by a proprietary Machine Learning Ranking Engine that evaluates and ranks S&P 500 stocks using multiple quantitative factors.
Separate long and short models identify opportunities on both sides of the market, seeking to generate returns from stock selection rather than relying solely on rising equity markets.
The portfolio follows an equal-weight allocation approach, targeting $2,000 per position, equivalent to 2% of a $100,000 model account. This results in approximately 100% long exposure and 50% short exposure, with a net long exposure of 50%.
All investment decisions, portfolio adjustments, and trading signals are generated automatically, without discretionary intervention.
PORTFOLIO MANAGEMENT
The strategy follows a systematic portfolio management approach:
- 50 long and 25 short positions selected from the S&P 500 universe.
- Equal position sizing, targeting 2% of model account equity per position.
- Daily rebalancing based on updated model rankings.
- Holding periods ranging from one trading day to several months.
- 100% automated portfolio management and signal generation.
The relatively high number of reported trades reflects systematic portfolio rotation and daily rebalancing rather than short-term speculative trading.
CAPITAL REQUIREMENTS
The recommended minimum account capital is $100,000, matching the strategy's reference model size.
An account of approximately $75,000 may also support the full portfolio, provided sufficient margin is available to maintain gross exposure close to 2x.
Scaling the strategy down is not recommended, as smaller account sizes may result in:
- Incomplete execution of target positions due to minimum share quantities.
- Deviations from the model portfolio and intended position weights.
- Greater proportional impact of trading commissions and transaction costs.
Maintaining adequate capital is important for accurate portfolio replication and consistent execution.
RISK PROFILE
This is a moderate-risk, long/short equity strategy focused on capital preservation, controlled drawdowns, and balanced risk-adjusted returns.
The combination of long and short positions is designed to reduce sensitivity to broad market movements and provide additional protection during market downturns.
However, the strategy is not fully market-neutral, and significant losses remain possible during unfavorable market conditions.
DISCLAIMER
All trading involves risk of loss, including substantial drawdowns. Short positions carry additional risks. Collective2 performance results may be hypothetical and may differ from actual investor results. Past performance does not guarantee future returns.
Hedged Equity
Hypothetical Monthly Returns (includes fees/commissions)
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2025 | 5.2 | 2.5 | 0.0 | 3.2 | 0.7 | 0.7 | -1.2 | 11.6 | |||||
| 2026 | 6.9 | 6.9 | -4.6 | 6.9 | 5.0 | 6.6 | -4.7 | -1.4 | 5.6 | 0.2 | 29.8 |
Statistics
Overview
| Strategy began | 6/13/2025 |
|---|---|
| Suggested Minimum Capital | $35,000 |
| Age | 16 months |
| C2 Rank | 994 |
| Rank at C2 % | Top 0.6% |
| Rank # | #4 |
| What it trades | Stocks |
| # Trades | 4563 |
| # Profitable | 2274 |
| % Profitable | 49.8% |
| Avg trade duration | 8.0 days |
| Max peak-to-valley drawdown | 7.1% |
| drawdown period | Feb 25, 2026 - March 09, 2026 |
| Annual Return (Compounded) | 31.3% |
| Avg win | $84 |
| Avg loss | $63 |
Ratios
| W:L ratio | 1.33 |
|---|---|
| Sharpe Ratio | 1.90 |
| Sortino Ratio | 2.98 |
| Calmar Ratio | 5.60 |
CORRELATION STATISTICS
| Correlation to SP500 | 0.31 |
|---|---|
| Return Percent SP500 (cumu) during strategy life | 29.6% |
| Return of Strat Pcnt - Return of SP500 Pcnt (cumu) | 14.9% |
Return Statistics
| Ann Return (w trading costs) | 31.3% |
|---|---|
| Return Pcnt (Compound or Annual, age-based, NFA compliant) | 0.3% |
| Return Pcnt Since TOS Status | 0.0% |
| Ann Return (Compnd, No Fees) | 33.3% |
Slump
| Current Slump as Pcnt Equity | 1.9% |
|---|---|
| Current Slump, time of slump as pcnt of strategy life | 0.0% |
Instruments
| Percent Trades Forex | 0.0% |
|---|---|
| Percent Trades Futures | 0.0% |
| Percent Trades Options | 0.0% |
| Short Options - Percent Covered | 100.0% |
| Percent Trades Stocks | 1.0% |
Automation
| Percentage Signals Automated | 100.0% |
|---|
Popularity
| Popularity (Today) | 888 |
|---|---|
| Popularity (Last 6 weeks) | 707 |
| C2 Score | 994 |
| Popularity (7 days, Percentile 1000 scale) | 534 |
Trading Style
| Any stock shorts? 0/1 | 1 |
|---|
Trades-Own-System Certification
| Trades Own System? | 0 |
|---|---|
| TOS percent | 0.0% |
Win / Loss
| Avg Loss | $63 |
|---|---|
| Avg Win | $84 |
| # Winners | 2274 |
| Sum Trade PL (losers) | $143,363 |
| Sum Trade PL (winners) | $189,882 |
| Num Months Winners | 13 |
| # Losers | 2289 |
| % Winners | 49.8% |
Dividends
| Dividends Received in Model Acct | 730 |
|---|
Age
| Num Months filled monthly returns table | 17 |
|---|
Frequency
| Avg Position Time (mins) | 11506.38 |
|---|---|
| Avg Position Time (hrs) | 191.77 |
| Avg Trade Length | 8 |
| Last Trade Ago | 1 |
Leverage
| Daily leverage (average) | 1.25 |
|---|---|
| Daily leverage (max) | 1.45 |
Regression
| Alpha | 0.06 |
|---|---|
| Beta | 0.30 |
| Treynor Index | 0.24 |
Maximum Adverse Excursion (MAE)
| MAE:Equity, average, all trades | 0 |
|---|---|
| MAE:Equity, 95th Percentile Value for this strat | 0 |
| MAE:Equity, average, losing trades | 0 |
| MAE:Equity, losing trades only, 95th Percentile Value for this strat | — |
| MAE:Equity, average, winning trades | 0 |
| MAE:Equity, win trades only, 95th Percentile Value for this strat | — |
| Avg(MAE) / Avg(PL) - All trades | -29.02 |
| MAE:PL (avg, all trades) | -0.68 |
| MAE:PL (avg, losing trades) | — |
| MAE:PL (avg, winning trades) | — |
| MAE:PL - worst single value for strategy | — |
| Avg(MAE) / Avg(PL) - Winning trades | 0.47 |
| Avg(MAE) / Avg(PL) - Losing trades | -1.48 |
| Hold-and-Hope Ratio | -0.03 |
RATIO STATISTICS
| Mean | 0.29 |
|---|---|
| SD | 0.11 |
| Sharpe ratio (Glass type estimate) | 2.71 |
| Sharpe ratio (Hedges UMVUE) | 2.56 |
| df | 14 |
| t | 3.03 |
| p | 0.19 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | 0.66 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 4.69 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.57 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 4.55 |
| Sortino ratio | 13.62 |
| Upside Potential Ratio | 15.32 |
| Upside part of mean | 0.33 |
| Downside part of mean | -0.04 |
| Upside SD | 0.13 |
| Downside SD | 0.02 |
| N nonnegative terms | 10 |
| N negative terms | 5 |
| N of observations | 15 |
| Mean of predictor | 0.18 |
| Mean of criterion | 0.29 |
| SD of predictor | 0.10 |
| SD of criterion | 0.11 |
| Covariance | 0.00 |
| r | 0.03 |
| b (slope, estimate of beta) | 0.04 |
| a (intercept, estimate of alpha) | 0.28 |
| Mean Square Error | 0.01 |
| DF error | 13 |
| t(b) | 0.12 |
| p(b) | 0.48 |
| t(a) | 2.50 |
| p(a) | 0.16 |
| Lowerbound of 95% confidence interval for beta | -0.64 |
| Upperbound of 95% confidence interval for beta | 0.71 |
| Lowerbound of 95% confidence interval for alpha | 0.04 |
| Upperbound of 95% confidence interval for alpha | 0.53 |
| Treynor index (mean / b) | 7.56 |
| Jensen alpha (a) | 0.28 |
| Mean | 0.28 |
| SD | 0.10 |
| Sharpe ratio (Glass type estimate) | 2.70 |
| Sharpe ratio (Hedges UMVUE) | 2.55 |
| df | 14 |
| t | 3.02 |
| p | 0.19 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | 0.65 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 4.68 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.56 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 4.54 |
| Sortino ratio | 13.13 |
| Upside Potential Ratio | 14.83 |
| Upside part of mean | 0.32 |
| Downside part of mean | -0.04 |
| Upside SD | 0.13 |
| Downside SD | 0.02 |
| N nonnegative terms | 10 |
| N negative terms | 5 |
| N of observations | 15 |
| Mean of predictor | 0.17 |
| Mean of criterion | 0.28 |
| SD of predictor | 0.09 |
| SD of criterion | 0.10 |
| Covariance | 0.00 |
| r | 0.04 |
| b (slope, estimate of beta) | 0.04 |
| a (intercept, estimate of alpha) | 0.27 |
| Mean Square Error | 0.01 |
| DF error | 13 |
| t(b) | 0.14 |
| p(b) | 0.47 |
| t(a) | 2.49 |
| p(a) | 0.16 |
| Lowerbound of 95% confidence interval for beta | -0.62 |
| Upperbound of 95% confidence interval for beta | 0.71 |
| Lowerbound of 95% confidence interval for alpha | 0.04 |
| Upperbound of 95% confidence interval for alpha | 0.51 |
| Treynor index (mean / b) | 6.31 |
| Jensen alpha (a) | 0.27 |
| VaR(95%) | 0.03 |
| Expected Shortfall on VaR | 0.04 |
| VaR(95%) | 0.01 |
| Expected Shortfall on VaR | 0.01 |
| Mean | 0.28 |
| SD | 0.11 |
| Sharpe ratio (Glass type estimate) | 2.47 |
| Sharpe ratio (Hedges UMVUE) | 2.47 |
| df | 337 |
| t | 2.81 |
| p | 0.00 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | 0.74 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 4.21 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.73 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 4.20 |
| Sortino ratio | 3.85 |
| Upside Potential Ratio | 11.29 |
| Upside part of mean | 0.82 |
| Downside part of mean | -0.54 |
| Upside SD | 0.09 |
| Downside SD | 0.07 |
| N nonnegative terms | 199 |
| N negative terms | 139 |
| N of observations | 338 |
| Mean of predictor | 0.18 |
| Mean of criterion | 0.28 |
| SD of predictor | 0.12 |
| SD of criterion | 0.11 |
| Covariance | 0.00 |
| r | 0.29 |
| b (slope, estimate of beta) | 0.27 |
| a (intercept, estimate of alpha) | 0.23 |
| Mean Square Error | 0.01 |
| DF error | 336 |
| t(b) | 5.50 |
| p(b) | 0 |
| t(a) | 2.42 |
| p(a) | 0.01 |
| Lowerbound of 95% confidence interval for beta | 0.17 |
| Upperbound of 95% confidence interval for beta | 0.36 |
| Lowerbound of 95% confidence interval for alpha | 0.04 |
| Upperbound of 95% confidence interval for alpha | 0.42 |
| Treynor index (mean / b) | 1.06 |
| Jensen alpha (a) | 0.23 |
| Mean | 0.27 |
| SD | 0.11 |
| Sharpe ratio (Glass type estimate) | 2.42 |
| Sharpe ratio (Hedges UMVUE) | 2.41 |
| df | 337 |
| t | 2.75 |
| p | 0.00 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | 0.68 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 4.15 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.68 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 4.15 |
| Sortino ratio | 3.73 |
| Upside Potential Ratio | 11.16 |
| Upside part of mean | 0.82 |
| Downside part of mean | -0.54 |
| Upside SD | 0.09 |
| Downside SD | 0.07 |
| N nonnegative terms | 199 |
| N negative terms | 139 |
| N of observations | 338 |
| Mean of predictor | 0.17 |
| Mean of criterion | 0.27 |
| SD of predictor | 0.12 |
| SD of criterion | 0.11 |
| Covariance | 0.00 |
| r | 0.29 |
| b (slope, estimate of beta) | 0.27 |
| a (intercept, estimate of alpha) | 0.23 |
| Mean Square Error | 0.01 |
| DF error | 336 |
| t(b) | 5.51 |
| p(b) | 0 |
| t(a) | 2.37 |
| p(a) | 0.01 |
| Lowerbound of 95% confidence interval for beta | 0.17 |
| Upperbound of 95% confidence interval for beta | 0.36 |
| Lowerbound of 95% confidence interval for alpha | 0.04 |
| Upperbound of 95% confidence interval for alpha | 0.42 |
| Treynor index (mean / b) | 1.03 |
| Jensen alpha (a) | 0.23 |
| VaR(95%) | 0.01 |
| Expected Shortfall on VaR | 0.01 |
| VaR(95%) | 0.00 |
| Expected Shortfall on VaR | 0.01 |
| Mean | 0.33 |
| SD | 0.14 |
| Sharpe ratio (Glass type estimate) | 2.35 |
| Sharpe ratio (Hedges UMVUE) | 2.34 |
| df | 130 |
| t | 1.66 |
| p | 0.43 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.44 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 5.13 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.45 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 5.12 |
| Sortino ratio | 3.77 |
| Upside Potential Ratio | 11.51 |
| Upside part of mean | 1.00 |
| Downside part of mean | -0.67 |
| Upside SD | 0.11 |
| Downside SD | 0.09 |
| N nonnegative terms | 74 |
| N negative terms | 57 |
| N of observations | 131 |
| Mean of predictor | 0.31 |
| Mean of criterion | 0.33 |
| SD of predictor | 0.13 |
| SD of criterion | 0.14 |
| Covariance | 0.01 |
| r | 0.30 |
| b (slope, estimate of beta) | 0.33 |
| a (intercept, estimate of alpha) | 0.23 |
| Mean Square Error | 0.02 |
| DF error | 129 |
| t(b) | 3.56 |
| p(b) | 0.31 |
| t(a) | 1.19 |
| p(a) | 0.43 |
| Lowerbound of 95% confidence interval for beta | 0.15 |
| Upperbound of 95% confidence interval for beta | 0.51 |
| Lowerbound of 95% confidence interval for alpha | -0.15 |
| Upperbound of 95% confidence interval for alpha | 0.60 |
| Treynor index (mean / b) | 0.99 |
| Jensen alpha (a) | 0.23 |
| Mean | 0.32 |
| SD | 0.14 |
| Sharpe ratio (Glass type estimate) | 2.28 |
| Sharpe ratio (Hedges UMVUE) | 2.27 |
| df | 130 |
| t | 1.62 |
| p | 0.43 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.51 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 5.07 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.51 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 5.06 |
| Sortino ratio | 3.63 |
| Upside Potential Ratio | 11.35 |
| Upside part of mean | 0.99 |
| Downside part of mean | -0.67 |
| Upside SD | 0.11 |
| Downside SD | 0.09 |
| N nonnegative terms | 74 |
| N negative terms | 57 |
| N of observations | 131 |
| Mean of predictor | 0.30 |
| Mean of criterion | 0.32 |
| SD of predictor | 0.13 |
| SD of criterion | 0.14 |
| Covariance | 0.01 |
| r | 0.30 |
| b (slope, estimate of beta) | 0.33 |
| a (intercept, estimate of alpha) | 0.22 |
| Mean Square Error | 0.02 |
| DF error | 129 |
| t(b) | 3.56 |
| p(b) | 0.31 |
| t(a) | 1.15 |
| p(a) | 0.44 |
| Lowerbound of 95% confidence interval for beta | 0.15 |
| VAR (95 Confidence Intrvl) | 0.01 |
| Upperbound of 95% confidence interval for beta | 0.51 |
| Lowerbound of 95% confidence interval for alpha | -0.16 |
| Upperbound of 95% confidence interval for alpha | 0.59 |
| Treynor index (mean / b) | 0.96 |
| Jensen alpha (a) | 0.22 |
| VaR(95%) | 0.01 |
| Expected Shortfall on VaR | 0.02 |
| VaR(95%) | 0.01 |
| Expected Shortfall on VaR | 0.01 |
ORDER STATISTICS
| Number of observations | 15 |
|---|---|
| Minimum | 0.99 |
| Quartile 1 | 1.00 |
| Median | 1.02 |
| Quartile 3 | 1.05 |
| Maximum | 1.08 |
| Mean of quarter 1 | 0.99 |
| Mean of quarter 2 | 1.01 |
| Mean of quarter 3 | 1.04 |
| Mean of quarter 4 | 1.07 |
| Inter Quartile Range | 0.05 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 0 |
| Percentage of outliers high | 0 |
| Mean of outliers high | 0 |
| Extreme Value Index (moments method) | -409.68 |
| VaR(95%) (moments method) | 0.00 |
| Expected Shortfall (moments method) | 0 |
| Extreme Value Index (regression method) | -1.82 |
| VaR(95%) (regression method) | 0.01 |
| Expected Shortfall (regression method) | 0.01 |
| Number of observations | 338 |
| Minimum | 0.98 |
| Quartile 1 | 1.00 |
| Median | 1.00 |
| Quartile 3 | 1.00 |
| Maximum | 1.03 |
| Mean of quarter 1 | 0.99 |
| Mean of quarter 2 | 1.00 |
| Mean of quarter 3 | 1.00 |
| Mean of quarter 4 | 1.01 |
| Inter Quartile Range | 0.01 |
| Number outliers low | 13 |
| Percentage of outliers low | 0.04 |
| Mean of outliers low | 0.98 |
| Number of outliers high | 8 |
| Percentage of outliers high | 0.02 |
| Mean of outliers high | 1.02 |
| Extreme Value Index (moments method) | 0.18 |
| VaR(95%) (moments method) | 0.01 |
| Expected Shortfall (moments method) | 0.01 |
| Extreme Value Index (regression method) | -0.17 |
| VaR(95%) (regression method) | 0.01 |
| Expected Shortfall (regression method) | 0.01 |
| Number of observations | 131 |
| Minimum | 0.98 |
| Quartile 1 | 1.00 |
| Median | 1.00 |
| Quartile 3 | 1.01 |
| Maximum | 1.03 |
| Mean of quarter 1 | 0.99 |
| Mean of quarter 2 | 1.00 |
| Mean of quarter 3 | 1.00 |
| Mean of quarter 4 | 1.01 |
| Inter Quartile Range | 0.01 |
| Number outliers low | 3 |
| Percentage of outliers low | 0.02 |
| Mean of outliers low | 0.98 |
| Number of outliers high | 5 |
| Percentage of outliers high | 0.04 |
| Mean of outliers high | 1.02 |
| Extreme Value Index (moments method) | 0.14 |
| VaR(95%) (moments method) | 0.01 |
| Expected Shortfall (moments method) | 0.01 |
| Extreme Value Index (regression method) | -0.14 |
| VaR(95%) (regression method) | 0.01 |
| Expected Shortfall (regression method) | 0.01 |
DRAW DOWN STATISTICS
| Number of observations | 3 |
|---|---|
| Minimum | 0.00 |
| Quartile 1 | 0.01 |
| Median | 0.01 |
| Quartile 3 | 0.02 |
| Maximum | 0.02 |
| Mean of quarter 1 | 0.00 |
| Mean of quarter 2 | 0.01 |
| Mean of quarter 3 | 0 |
| Mean of quarter 4 | 0.02 |
| Inter Quartile Range | 0.01 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 0 |
| Percentage of outliers high | 0 |
| Mean of outliers high | 0 |
| Extreme Value Index (moments method) | 0 |
| VaR(95%) (moments method) | 0 |
| Expected Shortfall (moments method) | 0 |
| Extreme Value Index (regression method) | 0 |
| VaR(95%) (regression method) | 0 |
| Expected Shortfall (regression method) | 0 |
| Number of observations | 31 |
| Minimum | 0.00 |
| Quartile 1 | 0.00 |
| Median | 0.01 |
| Quartile 3 | 0.02 |
| Maximum | 0.06 |
| Mean of quarter 1 | 0.00 |
| Mean of quarter 2 | 0.01 |
| Mean of quarter 3 | 0.01 |
| Mean of quarter 4 | 0.03 |
| Inter Quartile Range | 0.02 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 2 |
| Percentage of outliers high | 0.06 |
| Mean of outliers high | 0.06 |
| Extreme Value Index (moments method) | -0.20 |
| VaR(95%) (moments method) | 0.04 |
| Expected Shortfall (moments method) | 0.04 |
| Extreme Value Index (regression method) | 0.32 |
| VaR(95%) (regression method) | 0.04 |
| Expected Shortfall (regression method) | 0.06 |
| Number of observations | 12 |
| Minimum | 0.00 |
| Quartile 1 | 0.00 |
| Median | 0.01 |
| Quartile 3 | 0.03 |
| Maximum | 0.05 |
| Mean of quarter 1 | 0.00 |
| Mean of quarter 2 | 0.01 |
| Mean of quarter 3 | 0.02 |
| Mean of quarter 4 | 0.04 |
| Inter Quartile Range | 0.02 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 0 |
| Percentage of outliers high | 0 |
| Mean of outliers high | 0 |
| Extreme Value Index (moments method) | -2.78 |
| VaR(95%) (moments method) | 0.04 |
| Expected Shortfall (moments method) | 0.04 |
| Extreme Value Index (regression method) | -0.30 |
| VaR(95%) (regression method) | 0.05 |
| Expected Shortfall (regression method) | 0.07 |
| Strat Max DD how much worse than SP500 max DD during strat life? | -421307456 |
| Max Equity Drawdown (num days) | 12 |
| Last 4 Months - Pcnt Negative | 0.5% |
COMBINED STATISTICS
| Annualized return (arithmetic extrapolation) | 0.38 |
|---|---|
| Compounded annual return (geometric extrapolation) | 0.36 |
| Calmar ratio (compounded annual return / max draw down) | 15.79 |
| Compounded annual return / average of 25% largest draw downs | 15.79 |
| Compounded annual return / Expected Shortfall lognormal | 9.58 |
| j156mfCOMBRisPar | 0 |
| j157mfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | 0.37 |
| Compounded annual return (geometric extrapolation) | 0.35 |
| Calmar ratio (compounded annual return / max draw down) | 5.60 |
| Compounded annual return / average of 25% largest draw downs | 10.31 |
| Compounded annual return / Expected Shortfall lognormal | 26.48 |
| j313dfCOMBRisPar | 0 |
| j314dfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | 0.38 |
| Compounded annual return (geometric extrapolation) | 0.41 |
| Calmar ratio (compounded annual return / max draw down) | 7.83 |
| Compounded annual return / average of 25% largest draw downs | 10.80 |
| Compounded annual return / Expected Shortfall lognormal | 25.22 |
Trading record
Placed 1522 trades in real-life brokerage accounts.
| Symbol | Side | Qty | Opened | Closed | P/L |
|---|---|---|---|---|---|
| APTV | long | 44 | Oct 15, 2026 | Oct 15, 2026 | ($1) |
| AKAM | long | 21 | Oct 15, 2026 | Oct 15, 2026 | ($0) |
| A | long | 11 | Oct 15, 2026 | Oct 15, 2026 | ($1) |
| ABNB | long | 12 | Oct 12, 2026 | Oct 15, 2026 | $130 |
| AJG | short | 8 | Oct 8, 2026 | Oct 15, 2026 | ($175) |
| CTVA | long | 137 | Oct 8, 2026 | Oct 15, 2026 | ($192) |
| BNY | long | 14 | Oct 8, 2026 | Oct 15, 2026 | ($0) |
| APTV | long | 45 | Oct 12, 2026 | Oct 12, 2026 | ($3) |
| AKAM | long | 19 | Oct 12, 2026 | Oct 12, 2026 | ($1) |
| A | long | 11 | Oct 12, 2026 | Oct 12, 2026 | ($0) |
| ARES | short | 17 | Oct 8, 2026 | Oct 12, 2026 | ($57) |
| DLTR | long | 17 | Oct 8, 2026 | Oct 12, 2026 | $27 |
| CRM | long | 8 | Oct 8, 2026 | Oct 12, 2026 | $65 |
| APTV | long | 45 | Oct 9, 2026 | Oct 9, 2026 | ($1) |
| AKAM | long | 18 | Oct 9, 2026 | Oct 9, 2026 | ($1) |
| A | long | 11 | Oct 9, 2026 | Oct 9, 2026 | ($1) |
| ACN | short | 9 | Oct 8, 2026 | Oct 9, 2026 | $4 |
| CB | long | 5 | Oct 8, 2026 | Oct 9, 2026 | ($11) |
| ABNB | long | 12 | Oct 8, 2026 | Oct 9, 2026 | $68 |
| APTV | long | 45 | Oct 8, 2026 | Oct 8, 2026 | ($2) |
| AKAM | long | 19 | Oct 8, 2026 | Oct 8, 2026 | ($1) |
| A | long | 11 | Oct 8, 2026 | Oct 8, 2026 | ($1) |
| AMZN | long | 7 | Oct 8, 2026 | Oct 8, 2026 | ($39) |
| AIG | short | 26 | Oct 8, 2026 | Oct 8, 2026 | ($34) |
| A | long | 11 | Oct 8, 2026 | Oct 8, 2026 | ($0) |
| APTV | long | 45 | Oct 8, 2026 | Oct 8, 2026 | ($1) |
| ACN | long | 10 | Oct 8, 2026 | Oct 8, 2026 | ($0) |
| AKAM | long | 19 | Oct 8, 2026 | Oct 8, 2026 | ($0) |
| HOOD | short | 17 | Oct 7, 2026 | Oct 8, 2026 | $18 |
| MLM | short | 4 | Oct 7, 2026 | Oct 8, 2026 | $39 |
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.