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fiveHedged
(120570047)

Created by: fiveHedged fiveHedged
Started: 10/2018
Stocks
Last trade: Yesterday
Trading style: Equity Hedged Equity

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

Subscription terms. Subscriptions to this system cost $139.00 per month.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

Trading Category: Equity
Hedged Equity
Category: Equity

Hedged Equity

Core holding of long equities hedged at all times with short sales of stocks and/or stock index options.
17.3%
Cumul. Return

Rate of Return Calculations

Overview

To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.

How Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.

All results are hypothetical.

(9.3%)
Max Drawdown
125
Num Trades
55.2%
Win Trades
1.5 : 1
Profit Factor
77.8%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2018                                                               +2.1%+1.5%+3.3%+7.0%
2019+1.8%(4%)+6.0%+9.0%(4.5%)+1.7%                                    +9.6%

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 228 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
6/17/19 9:55 LGF.A LIONS GATE ENTERTAINMENT CLASS A LONG 950 70.42 6/17 10:35 70.34 93.59%
Trade id #124107782
Max drawdown($55,691)
Time6/17/19 10:25
Quant open950
Worst price11.80
Drawdown as % of equity-93.59%
($83)
Includes Typical Broker Commissions trade costs of $5.00
6/10/19 10:06 VRS VERSO CORP LONG 652 17.85 6/17 9:42 17.82 1.28%
Trade id #124002933
Max drawdown($774)
Time6/11/19 12:21
Quant open652
Worst price16.66
Drawdown as % of equity-1.28%
($21)
Includes Typical Broker Commissions trade costs of $5.00
5/31/19 15:56 DXC DXC TECHNOLOGY CO LONG 240 47.54 6/14 15:57 51.81 0.43%
Trade id #123894345
Max drawdown($258)
Time6/3/19 15:33
Quant open240
Worst price46.46
Drawdown as % of equity-0.43%
$1,019
Includes Typical Broker Commissions trade costs of $4.80
6/3/19 10:44 LTRPA LIBERTY TRIPADVISOR HOLDINGS LONG 1,040 10.95 6/10 10:00 11.90 0.45%
Trade id #123913222
Max drawdown($272)
Time6/3/19 12:30
Quant open1,040
Worst price10.69
Drawdown as % of equity-0.45%
$981
Includes Typical Broker Commissions trade costs of $5.00
5/24/19 15:57 LDL LYDALL LONG 624 18.44 6/3 10:44 18.94 0.55%
Trade id #123818793
Max drawdown($328)
Time5/31/19 14:49
Quant open604
Worst price17.90
Drawdown as % of equity-0.55%
$306
Includes Typical Broker Commissions trade costs of $5.20
5/28/19 10:05 COHR COHERENT LONG 100 113.25 6/3 9:51 111.29 0.7%
Trade id #123843744
Max drawdown($419)
Time5/31/19 10:26
Quant open100
Worst price109.06
Drawdown as % of equity-0.70%
($198)
Includes Typical Broker Commissions trade costs of $2.00
5/17/19 13:16 COLL COLLEGIUM PHARMACEUTICAL INC. COMMON STOCK LONG 960 12.60 5/31 15:55 11.50 2.04%
Trade id #123716835
Max drawdown($1,214)
Time5/23/19 10:24
Quant open948
Worst price11.33
Drawdown as % of equity-2.04%
($1,062)
Includes Typical Broker Commissions trade costs of $5.12
5/20/19 10:00 CVLT COMMVAULT SYSTEMS LONG 234 48.89 5/28 10:02 47.83 0.68%
Trade id #123737359
Max drawdown($404)
Time5/23/19 10:14
Quant open234
Worst price47.16
Drawdown as % of equity-0.68%
($253)
Includes Typical Broker Commissions trade costs of $4.68
5/3/19 11:19 VIVO MERIDIAN BIOSCIENCE LONG 1,036 11.39 5/24 15:55 11.20 1.06%
Trade id #123521888
Max drawdown($642)
Time5/20/19 9:43
Quant open1,036
Worst price10.77
Drawdown as % of equity-1.06%
($202)
Includes Typical Broker Commissions trade costs of $5.00
5/10/19 15:04 LTRPA LIBERTY TRIPADVISOR HOLDINGS LONG 932 12.64 5/20 9:59 11.49 1.84%
Trade id #123626609
Max drawdown($1,117)
Time5/20/19 9:56
Quant open932
Worst price11.45
Drawdown as % of equity-1.84%
($1,078)
Includes Typical Broker Commissions trade costs of $5.00
5/10/19 13:48 SCSC SCANSOURCE LONG 366 32.26 5/17 15:57 30.97 1.31%
Trade id #123625276
Max drawdown($810)
Time5/14/19 12:26
Quant open366
Worst price30.04
Drawdown as % of equity-1.31%
($477)
Includes Typical Broker Commissions trade costs of $7.32
5/13/19 9:59 SYMC SYMANTEC LONG 608 19.36 5/17 13:12 19.92 0.58%
Trade id #123643033
Max drawdown($358)
Time5/13/19 11:29
Quant open608
Worst price18.77
Drawdown as % of equity-0.58%
$337
Includes Typical Broker Commissions trade costs of $5.00
5/10/19 15:58 OSUR ORASURE TECHNOLOGIES LONG 1,290 9.14 5/13 9:58 8.94 0.58%
Trade id #123627614
Max drawdown($362)
Time5/13/19 9:31
Quant open1,290
Worst price8.86
Drawdown as % of equity-0.58%
($270)
Includes Typical Broker Commissions trade costs of $5.00
4/26/19 12:18 PCMI PCM INC. COMMON STOCK LONG 426 27.73 5/10 15:57 28.89 0.86%
Trade id #123445355
Max drawdown($523)
Time4/29/19 11:58
Quant open426
Worst price26.50
Drawdown as % of equity-0.86%
$487
Includes Typical Broker Commissions trade costs of $8.52
5/3/19 14:00 COLL COLLEGIUM PHARMACEUTICAL INC. COMMON STOCK LONG 850 13.89 5/10 15:04 14.21 0.39%
Trade id #123524283
Max drawdown($244)
Time5/6/19 9:31
Quant open850
Worst price13.60
Drawdown as % of equity-0.39%
$266
Includes Typical Broker Commissions trade costs of $5.00
4/29/19 9:41 VHI VALHI LONG 4,600 2.62 5/10 13:47 2.39 2.75%
Trade id #123462430
Max drawdown($1,735)
Time5/9/19 10:32
Quant open4,600
Worst price2.24
Drawdown as % of equity-2.75%
($1,053)
Includes Typical Broker Commissions trade costs of $5.00
4/5/19 12:40 CRCM CARE.COM INC LONG 740 16.67 5/10 13:07 14.49 3.43%
Trade id #123222156
Max drawdown($2,115)
Time5/10/19 9:37
Quant open714
Worst price13.71
Drawdown as % of equity-3.43%
($1,620)
Includes Typical Broker Commissions trade costs of $6.26
4/12/19 12:53 SIGA SIGA TECHNOLOGIES INC. COMMON STOCK LONG 2,270 5.40 5/3 13:57 5.42 1.35%
Trade id #123298701
Max drawdown($799)
Time4/17/19 9:49
Quant open2,010
Worst price5.02
Drawdown as % of equity-1.35%
$42
Includes Typical Broker Commissions trade costs of $7.60
4/18/19 15:10 OSUR ORASURE TECHNOLOGIES LONG 1,200 9.51 5/3 11:18 9.79 1.5%
Trade id #123364398
Max drawdown($915)
Time4/29/19 10:23
Quant open1,200
Worst price8.75
Drawdown as % of equity-1.50%
$329
Includes Typical Broker Commissions trade costs of $5.00
4/18/19 15:00 COLL COLLEGIUM PHARMACEUTICAL INC. COMMON STOCK LONG 840 13.55 4/26 15:53 14.90 0.21%
Trade id #123364255
Max drawdown($126)
Time4/18/19 15:38
Quant open840
Worst price13.40
Drawdown as % of equity-0.21%
$1,128
Includes Typical Broker Commissions trade costs of $5.46
4/17/19 10:36 ANTM ANTHEM INC LONG 48 232.93 4/26 12:16 262.09 0.43%
Trade id #123343991
Max drawdown($253)
Time4/17/19 14:03
Quant open46
Worst price227.16
Drawdown as % of equity-0.43%
$1,399
Includes Typical Broker Commissions trade costs of $0.96
3/29/19 15:04 SGH SMART GLOBAL HOLDINGS INC. ORDINARY SHARES LONG 552 19.23 4/18 15:02 22.29 0.16%
Trade id #123133171
Max drawdown($91)
Time3/29/19 16:01
Quant open552
Worst price19.06
Drawdown as % of equity-0.16%
$1,682
Includes Typical Broker Commissions trade costs of $8.02
3/18/19 12:55 VHI VALHI LONG 4,580 2.35 4/18 14:57 2.72 2.04%
Trade id #122955793
Max drawdown($1,107)
Time3/20/19 12:25
Quant open4,580
Worst price2.11
Drawdown as % of equity-2.04%
$1,699
Includes Typical Broker Commissions trade costs of $5.70
4/12/19 15:44 HUM HUMANA LONG 42 252.92 4/17 10:34 231.90 1.88%
Trade id #123300715
Max drawdown($1,115)
Time4/17/19 9:51
Quant open42
Worst price226.35
Drawdown as % of equity-1.88%
($884)
Includes Typical Broker Commissions trade costs of $0.84
3/29/19 15:15 TITN TITAN MACHINERY LONG 690 15.35 4/12 15:43 16.82 n/a $1,007
Includes Typical Broker Commissions trade costs of $5.46
3/22/19 15:59 NCI NAVIGANT CONSULTING LONG 558 18.99 4/12 12:42 20.30 0.14%
Trade id #123041364
Max drawdown($77)
Time3/25/19 10:03
Quant open558
Worst price18.85
Drawdown as % of equity-0.14%
$726
Includes Typical Broker Commissions trade costs of $5.16
3/18/19 12:53 CCRN CROSS COUNTRY HEALTHCARE LONG 1,526 7.35 4/5 12:34 7.72 1.63%
Trade id #122955729
Max drawdown($886)
Time3/25/19 9:34
Quant open1,442
Worst price6.75
Drawdown as % of equity-1.63%
$563
Includes Typical Broker Commissions trade costs of $5.84
3/11/19 10:54 NVEE NV5 GLOBAL INC. COMMON STOC LONG 194 55.23 3/29 15:14 59.43 0.13%
Trade id #122864077
Max drawdown($67)
Time3/11/19 10:56
Quant open194
Worst price54.88
Drawdown as % of equity-0.13%
$811
Includes Typical Broker Commissions trade costs of $3.88
3/22/19 15:58 SYNA SYNAPTICS LONG 324 32.76 3/29 15:01 39.41 0.66%
Trade id #123041318
Max drawdown($359)
Time3/25/19 10:03
Quant open324
Worst price31.65
Drawdown as % of equity-0.66%
$2,149
Includes Typical Broker Commissions trade costs of $6.48
3/4/19 10:16 AMN AMN HEALTHCARE SERVICES LONG 228 48.86 3/22 15:57 48.33 1.32%
Trade id #122772198
Max drawdown($699)
Time3/11/19 10:55
Quant open212
Worst price45.75
Drawdown as % of equity-1.32%
($126)
Includes Typical Broker Commissions trade costs of $4.56

Statistics

  • Strategy began
    10/26/2018
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    235.13
  • Age
    8 months ago
  • What it trades
    Stocks
  • # Trades
    125
  • # Profitable
    69
  • % Profitable
    55.20%
  • Avg trade duration
    11.1 days
  • Max peak-to-valley drawdown
    9.33%
  • drawdown period
    Feb 13, 2019 - March 06, 2019
  • Cumul. Return
    17.3%
  • Avg win
    $506.57
  • Avg loss
    $426.16
  • Model Account Values (Raw)
  • Cash
    $16,039
  • Margin Used
    $0
  • Buying Power
    $12,912
  • Ratios
  • W:L ratio
    1.51:1
  • Sharpe Ratio
    1.29
  • Sortino Ratio
    2.01
  • Calmar Ratio
    4.078
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.04340
  • Return Statistics
  • Ann Return (w trading costs)
    27.6%
  • Ann Return (Compnd, No Fees)
    34.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    2.50%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    702
  • Popularity (Last 6 weeks)
    977
  • C2 Score
    87.4
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Loss
    $446
  • Avg Win
    $507
  • # Winners
    69
  • # Losers
    56
  • % Winners
    55.2%
  • Frequency
  • Avg Position Time (mins)
    15995.70
  • Avg Position Time (hrs)
    266.60
  • Avg Trade Length
    11.1 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    1.93
  • Daily leverage (max)
    3.03
  • Unknown
  • Alpha
    0.06
  • Beta
    0.04
  • Treynor Index
    1.62
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.28764
  • SD
    0.16094
  • Sharpe ratio (Glass type estimate)
    1.78726
  • Sharpe ratio (Hedges UMVUE)
    1.55246
  • df
    6.00000
  • t
    1.36504
  • p
    0.11060
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.02540
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.47447
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.15990
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.26482
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.35696
  • Upside Potential Ratio
    6.17294
  • Upside part of mean
    0.40753
  • Downside part of mean
    -0.11989
  • Upside SD
    0.15728
  • Downside SD
    0.06602
  • N nonnegative terms
    5.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    7.00000
  • Mean of predictor
    0.04655
  • Mean of criterion
    0.28764
  • SD of predictor
    0.18737
  • SD of criterion
    0.16094
  • Covariance
    0.00354
  • r
    0.11736
  • b (slope, estimate of beta)
    0.10081
  • a (intercept, estimate of alpha)
    0.28295
  • Mean Square Error
    0.03065
  • DF error
    5.00000
  • t(b)
    0.26426
  • p(b)
    0.40106
  • t(a)
    1.23062
  • p(a)
    0.13660
  • Lowerbound of 95% confidence interval for beta
    -0.87984
  • Upperbound of 95% confidence interval for beta
    1.08146
  • Lowerbound of 95% confidence interval for alpha
    -0.30812
  • Upperbound of 95% confidence interval for alpha
    0.87402
  • Treynor index (mean / b)
    2.85337
  • Jensen alpha (a)
    0.28295
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.27296
  • SD
    0.15788
  • Sharpe ratio (Glass type estimate)
    1.72895
  • Sharpe ratio (Hedges UMVUE)
    1.50181
  • df
    6.00000
  • t
    1.32051
  • p
    0.11740
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.07077
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.40622
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.20140
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.20502
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.06584
  • Upside Potential Ratio
    5.88062
  • Upside part of mean
    0.39480
  • Downside part of mean
    -0.12184
  • Upside SD
    0.15188
  • Downside SD
    0.06714
  • N nonnegative terms
    5.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    7.00000
  • Mean of predictor
    0.03126
  • Mean of criterion
    0.27296
  • SD of predictor
    0.18840
  • SD of criterion
    0.15788
  • Covariance
    0.00376
  • r
    0.12642
  • b (slope, estimate of beta)
    0.10594
  • a (intercept, estimate of alpha)
    0.26965
  • Mean Square Error
    0.02943
  • DF error
    5.00000
  • t(b)
    0.28497
  • p(b)
    0.39355
  • t(a)
    1.19885
  • p(a)
    0.14215
  • Lowerbound of 95% confidence interval for beta
    -0.84973
  • Upperbound of 95% confidence interval for beta
    1.06161
  • Lowerbound of 95% confidence interval for alpha
    -0.30856
  • Upperbound of 95% confidence interval for alpha
    0.84786
  • Treynor index (mean / b)
    2.57660
  • Jensen alpha (a)
    0.26965
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05088
  • Expected Shortfall on VaR
    0.06865
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01593
  • Expected Shortfall on VaR
    0.03310
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    7.00000
  • Minimum
    0.96040
  • Quartile 1
    0.99457
  • Median
    1.02993
  • Quartile 3
    1.06358
  • Maximum
    1.07747
  • Mean of quarter 1
    0.96736
  • Mean of quarter 2
    1.02237
  • Mean of quarter 3
    1.05011
  • Mean of quarter 4
    1.07726
  • Inter Quartile Range
    0.06901
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.02568
  • Quartile 1
    0.02916
  • Median
    0.03264
  • Quartile 3
    0.03612
  • Maximum
    0.03960
  • Mean of quarter 1
    0.02568
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.03960
  • Inter Quartile Range
    0.00696
  • 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)
    0.32889
  • Compounded annual return (geometric extrapolation)
    0.35103
  • Calmar ratio (compounded annual return / max draw down)
    8.86386
  • Compounded annual return / average of 25% largest draw downs
    8.86386
  • Compounded annual return / Expected Shortfall lognormal
    5.11339
  • 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
    0.25953
  • SD
    0.13321
  • Sharpe ratio (Glass type estimate)
    1.94822
  • Sharpe ratio (Hedges UMVUE)
    1.93930
  • df
    164.00000
  • t
    1.54607
  • p
    0.44007
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.53341
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.42410
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.53937
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.41797
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.09836
  • Upside Potential Ratio
    11.60800
  • Upside part of mean
    0.97232
  • Downside part of mean
    -0.71279
  • Upside SD
    0.10430
  • Downside SD
    0.08376
  • N nonnegative terms
    90.00000
  • N negative terms
    75.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    165.00000
  • Mean of predictor
    0.13376
  • Mean of criterion
    0.25953
  • SD of predictor
    0.16793
  • SD of criterion
    0.13321
  • Covariance
    0.00109
  • r
    0.04856
  • b (slope, estimate of beta)
    0.03852
  • a (intercept, estimate of alpha)
    0.25400
  • Mean Square Error
    0.01781
  • DF error
    163.00000
  • t(b)
    0.62068
  • p(b)
    0.46910
  • t(a)
    1.51070
  • p(a)
    0.42536
  • Lowerbound of 95% confidence interval for beta
    -0.08403
  • Upperbound of 95% confidence interval for beta
    0.16107
  • Lowerbound of 95% confidence interval for alpha
    -0.07812
  • Upperbound of 95% confidence interval for alpha
    0.58687
  • Treynor index (mean / b)
    6.73763
  • Jensen alpha (a)
    0.25438
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.25057
  • SD
    0.13304
  • Sharpe ratio (Glass type estimate)
    1.88349
  • Sharpe ratio (Hedges UMVUE)
    1.87487
  • df
    164.00000
  • t
    1.49471
  • p
    0.44204
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.59746
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.35888
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.60322
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.35296
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.97319
  • Upside Potential Ratio
    11.47180
  • Upside part of mean
    0.96683
  • Downside part of mean
    -0.71625
  • Upside SD
    0.10358
  • Downside SD
    0.08428
  • N nonnegative terms
    90.00000
  • N negative terms
    75.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    165.00000
  • Mean of predictor
    0.11973
  • Mean of criterion
    0.25057
  • SD of predictor
    0.16771
  • SD of criterion
    0.13304
  • Covariance
    0.00110
  • r
    0.04909
  • b (slope, estimate of beta)
    0.03894
  • a (intercept, estimate of alpha)
    0.24591
  • Mean Square Error
    0.01776
  • DF error
    163.00000
  • t(b)
    0.62754
  • p(b)
    0.46876
  • t(a)
    1.46275
  • p(a)
    0.42769
  • Lowerbound of 95% confidence interval for beta
    -0.08360
  • Upperbound of 95% confidence interval for beta
    0.16148
  • Lowerbound of 95% confidence interval for alpha
    -0.08606
  • Upperbound of 95% confidence interval for alpha
    0.57788
  • Treynor index (mean / b)
    6.43441
  • Jensen alpha (a)
    0.24591
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01248
  • Expected Shortfall on VaR
    0.01587
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00595
  • Expected Shortfall on VaR
    0.01133
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    165.00000
  • Minimum
    0.97986
  • Quartile 1
    0.99589
  • Median
    1.00089
  • Quartile 3
    1.00573
  • Maximum
    1.02114
  • Mean of quarter 1
    0.99090
  • Mean of quarter 2
    0.99867
  • Mean of quarter 3
    1.00318
  • Mean of quarter 4
    1.01189
  • Inter Quartile Range
    0.00985
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.00606
  • Mean of outliers low
    0.97986
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.00606
  • Mean of outliers high
    1.02114
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.24906
  • VaR(95%) (moments method)
    0.00899
  • Expected Shortfall (moments method)
    0.01097
  • Extreme Value Index (regression method)
    0.03335
  • VaR(95%) (regression method)
    0.00830
  • Expected Shortfall (regression method)
    0.01105
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    14.00000
  • Minimum
    0.00309
  • Quartile 1
    0.00747
  • Median
    0.01434
  • Quartile 3
    0.02581
  • Maximum
    0.07874
  • Mean of quarter 1
    0.00466
  • Mean of quarter 2
    0.01175
  • Mean of quarter 3
    0.01769
  • Mean of quarter 4
    0.04810
  • Inter Quartile Range
    0.01834
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.14286
  • Mean of outliers high
    0.06911
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.13695
  • VaR(95%) (moments method)
    0.05408
  • Expected Shortfall (moments method)
    0.07800
  • Extreme Value Index (regression method)
    1.85983
  • VaR(95%) (regression method)
    0.05994
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.30439
  • Compounded annual return (geometric extrapolation)
    0.32112
  • Calmar ratio (compounded annual return / max draw down)
    4.07827
  • Compounded annual return / average of 25% largest draw downs
    6.67647
  • Compounded annual return / Expected Shortfall lognormal
    20.24050
  • 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
    0.23985
  • SD
    0.13289
  • Sharpe ratio (Glass type estimate)
    1.80483
  • Sharpe ratio (Hedges UMVUE)
    1.79440
  • df
    130.00000
  • t
    1.27621
  • p
    0.44438
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.97903
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.58192
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.98597
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.57478
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.85218
  • Upside Potential Ratio
    11.50990
  • Upside part of mean
    0.96790
  • Downside part of mean
    -0.72806
  • Upside SD
    0.10331
  • Downside SD
    0.08409
  • N nonnegative terms
    71.00000
  • N negative terms
    60.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.17686
  • Mean of criterion
    0.23985
  • SD of predictor
    0.15965
  • SD of criterion
    0.13289
  • Covariance
    0.00064
  • r
    0.03025
  • b (slope, estimate of beta)
    0.02518
  • a (intercept, estimate of alpha)
    0.23539
  • Mean Square Error
    0.01778
  • DF error
    129.00000
  • t(b)
    0.34369
  • p(b)
    0.48075
  • t(a)
    1.24533
  • p(a)
    0.43075
  • Lowerbound of 95% confidence interval for beta
    -0.11976
  • Upperbound of 95% confidence interval for beta
    0.17012
  • Lowerbound of 95% confidence interval for alpha
    -0.13859
  • Upperbound of 95% confidence interval for alpha
    0.60938
  • Treynor index (mean / b)
    9.52610
  • Jensen alpha (a)
    0.23539
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.23097
  • SD
    0.13273
  • Sharpe ratio (Glass type estimate)
    1.74017
  • Sharpe ratio (Hedges UMVUE)
    1.73011
  • df
    130.00000
  • t
    1.23048
  • p
    0.44635
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.04297
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.51677
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.04966
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.50988
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.72991
  • Upside Potential Ratio
    11.37620
  • Upside part of mean
    0.96251
  • Downside part of mean
    -0.73154
  • Upside SD
    0.10261
  • Downside SD
    0.08461
  • N nonnegative terms
    71.00000
  • N negative terms
    60.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.16419
  • Mean of criterion
    0.23097
  • SD of predictor
    0.15914
  • SD of criterion
    0.13273
  • Covariance
    0.00067
  • r
    0.03179
  • b (slope, estimate of beta)
    0.02651
  • a (intercept, estimate of alpha)
    0.22662
  • Mean Square Error
    0.01774
  • DF error
    129.00000
  • t(b)
    0.36120
  • p(b)
    0.47977
  • t(a)
    1.20079
  • p(a)
    0.43319
  • Lowerbound of 95% confidence interval for beta
    -0.11871
  • Upperbound of 95% confidence interval for beta
    0.17173
  • Lowerbound of 95% confidence interval for alpha
    -0.14678
  • Upperbound of 95% confidence interval for alpha
    0.60001
  • Treynor index (mean / b)
    8.71225
  • Jensen alpha (a)
    0.22662
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01253
  • Expected Shortfall on VaR
    0.01590
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00612
  • Expected Shortfall on VaR
    0.01151
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97986
  • Quartile 1
    0.99511
  • Median
    1.00089
  • Quartile 3
    1.00573
  • Maximum
    1.02114
  • Mean of quarter 1
    0.99082
  • Mean of quarter 2
    0.99844
  • Mean of quarter 3
    1.00324
  • Mean of quarter 4
    1.01166
  • Inter Quartile Range
    0.01062
  • 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)
    0.02821
  • VaR(95%) (moments method)
    0.00938
  • Expected Shortfall (moments method)
    0.01234
  • Extreme Value Index (regression method)
    0.28502
  • VaR(95%) (regression method)
    0.00855
  • Expected Shortfall (regression method)
    0.01247
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    11.00000
  • Minimum
    0.00418
  • Quartile 1
    0.01043
  • Median
    0.01392
  • Quartile 3
    0.01916
  • Maximum
    0.07874
  • Mean of quarter 1
    0.00644
  • Mean of quarter 2
    0.01175
  • Mean of quarter 3
    0.01517
  • Mean of quarter 4
    0.05365
  • Inter Quartile Range
    0.00873
  • 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
    0.18182
  • Mean of outliers high
    0.06911
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -29.23030
  • VaR(95%) (moments method)
    0.04864
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -1.93102
  • VaR(95%) (regression method)
    0.10226
  • Expected Shortfall (regression method)
    0.10472
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.27638
  • Compounded annual return (geometric extrapolation)
    0.29547
  • Calmar ratio (compounded annual return / max draw down)
    3.75254
  • Compounded annual return / average of 25% largest draw downs
    5.50754
  • Compounded annual return / Expected Shortfall lognormal
    18.58300

Strategy Description

The fiveHedged strategy is based on a 12-rule stock-selection algorithm.
Tha algo combines both company fundamentals and technical timing.
Over 5,000 NYSE/Nasdaq stocks are rated (scored) on a weekly basis.
I buy and hold the top-five ranking stocks.
Every stock is fully hedged by the Russell-2000 inverse ETF (RWM).
In other words, I hold 5 stocks long (50% capital), and RWM hedge (50% capital).
The hedge delivers a market-neutral strategy, protecting against market-risk.

Additional Factors:
Very low margin used (maximum 2:1).
All five stocks trade on NYSE/Nasdaq (minimum market-cap $250m).
Avg turnover is apx 2 new trades/wk (which means 2 buys/2 sells/3 holds).

Summary Statistics

Strategy began
2018-10-26
Suggested Minimum Capital
$15,000
# Trades
125
# Profitable
69
% Profitable
55.2%
Net Dividends
Correlation S&P500
0.043
Sharpe Ratio
1.29
Sortino Ratio
2.01
Beta
0.04
Alpha
0.06
Leverage
1.93 Average
3.03 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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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.