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fiveHedged
(120570047)

Created by: fiveHedged fiveHedged
Started: 10/2018
Stocks
Last trade: 2 days ago
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.
11.1%
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.

(16.5%)
Max Drawdown
158
Num Trades
53.2%
Win Trades
1.2 : 1
Profit Factor
66.7%
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%)+3.6%(2%)(9.5%)+4.9%                  +3.8%

Model Account Details

A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.

Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.

Trading Record

This strategy has placed 301 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
9/6/19 15:20 INGN INOGEN INC COMMON STOCK LONG 248 43.83 9/16 11:25 49.84 0.63%
Trade id #125253574
Max drawdown($349)
Time9/10/19 0:00
Quant open248
Worst price42.42
Drawdown as % of equity-0.63%
$1,485
Includes Typical Broker Commissions trade costs of $4.96
9/6/19 13:08 MRC MRC GLOBAL LONG 904 11.81 9/16 11:23 13.71 0.13%
Trade id #125250509
Max drawdown($67)
Time9/6/19 13:20
Quant open884
Worst price11.72
Drawdown as % of equity-0.13%
$1,717
Includes Typical Broker Commissions trade costs of $5.20
9/3/19 9:54 NXGN NEXTGEN HEALTHCARE INC LONG 752 14.24 9/9 12:04 14.73 0.46%
Trade id #125194976
Max drawdown($240)
Time9/4/19 0:00
Quant open730
Worst price13.90
Drawdown as % of equity-0.46%
$366
Includes Typical Broker Commissions trade costs of $5.22
9/3/19 9:59 OSUR ORASURE TECHNOLOGIES LONG 1,598 6.50 9/6 15:15 6.88 0.46%
Trade id #125195132
Max drawdown($239)
Time9/3/19 10:49
Quant open1,598
Worst price6.35
Drawdown as % of equity-0.46%
$602
Includes Typical Broker Commissions trade costs of $5.00
9/3/19 10:04 NVEE NV5 GLOBAL INC. COMMON STOC LONG 168 61.28 9/6 13:06 64.63 0.15%
Trade id #125195602
Max drawdown($80)
Time9/3/19 10:08
Quant open168
Worst price60.80
Drawdown as % of equity-0.15%
$560
Includes Typical Broker Commissions trade costs of $3.36
8/23/19 15:25 LTRPA LIBERTY TRIPADVISOR HOLDINGS LONG 1,252 8.30 9/3 9:52 8.69 0.89%
Trade id #125065913
Max drawdown($472)
Time8/27/19 0:00
Quant open1,252
Worst price7.92
Drawdown as % of equity-0.89%
$490
Includes Typical Broker Commissions trade costs of $5.84
8/30/19 13:50 VRS VERSO CORP LONG 1,014 10.25 9/3 9:52 10.13 0.52%
Trade id #125164718
Max drawdown($273)
Time9/3/19 9:31
Quant open1,014
Worst price9.98
Drawdown as % of equity-0.52%
($127)
Includes Typical Broker Commissions trade costs of $5.00
8/12/19 11:04 ANGI ANGI HOMESVCS LONG 1,350 8.72 9/3 9:48 7.82 2.78%
Trade id #124883196
Max drawdown($1,471)
Time9/3/19 9:31
Quant open1,350
Worst price7.63
Drawdown as % of equity-2.78%
($1,221)
Includes Typical Broker Commissions trade costs of $6.22
8/12/19 11:36 INGN INOGEN INC COMMON STOCK LONG 238 45.65 8/30 13:48 46.31 1.87%
Trade id #124884237
Max drawdown($981)
Time8/21/19 0:00
Quant open238
Worst price41.53
Drawdown as % of equity-1.87%
$152
Includes Typical Broker Commissions trade costs of $4.76
11/21/18 13:15 RWM PROSHARES SHORT RUSSELL2000 LONG 3,898 42.61 8/23/19 15:26 42.96 10.12%
Trade id #121106257
Max drawdown($6,134)
Time5/6/19 0:00
Quant open1,380
Worst price38.75
Drawdown as % of equity-10.12%
$1,306
Includes Typical Broker Commissions trade costs of $57.02
8/19/19 10:17 GTES GATES INDUSTRIAL CORP PLC LONG 1,308 7.98 8/23 15:24 8.36 0.05%
Trade id #124987789
Max drawdown($26)
Time8/19/19 10:18
Quant open1,308
Worst price7.96
Drawdown as % of equity-0.05%
$495
Includes Typical Broker Commissions trade costs of $5.00
8/16/19 15:31 FORR FORRESTER RESEARCH LONG 312 33.30 8/19 10:16 32.84 0.51%
Trade id #124971246
Max drawdown($265)
Time8/19/19 10:02
Quant open312
Worst price32.45
Drawdown as % of equity-0.51%
($150)
Includes Typical Broker Commissions trade costs of $6.24
8/2/19 15:19 HI HILLENBRAND LONG 390 30.67 8/19 10:12 28.05 2.87%
Trade id #124748398
Max drawdown($1,535)
Time8/15/19 0:00
Quant open390
Worst price26.73
Drawdown as % of equity-2.87%
($1,027)
Includes Typical Broker Commissions trade costs of $7.80
8/2/19 13:15 VRS VERSO CORP LONG 916 14.14 8/16 15:28 11.16 5.13%
Trade id #124745271
Max drawdown($2,986)
Time8/2/19 13:15
Quant open916
Worst price10.88
Drawdown as % of equity-5.13%
($2,733)
Includes Typical Broker Commissions trade costs of $6.26
7/31/19 15:58 FIX COMFORT SYSTEMS LONG 280 42.09 8/12 11:35 38.57 1.69%
Trade id #124704790
Max drawdown($994)
Time7/31/19 15:58
Quant open280
Worst price38.54
Drawdown as % of equity-1.69%
($991)
Includes Typical Broker Commissions trade costs of $5.60
8/2/19 13:42 BDC BELDEN LONG 252 45.31 8/12 11:33 44.05 0.75%
Trade id #124746550
Max drawdown($434)
Time8/2/19 13:42
Quant open252
Worst price43.59
Drawdown as % of equity-0.75%
($324)
Includes Typical Broker Commissions trade costs of $5.04
8/2/19 13:03 USM UNITED STATES CELLULAR LONG 308 36.72 8/12 11:02 35.44 0.85%
Trade id #124744899
Max drawdown($498)
Time8/2/19 13:03
Quant open308
Worst price35.10
Drawdown as % of equity-0.85%
($398)
Includes Typical Broker Commissions trade costs of $6.16
7/26/19 13:39 NXGN NEXTGEN HEALTHCARE INC LONG 706 16.15 8/2 15:18 16.09 0.23%
Trade id #124637780
Max drawdown($137)
Time7/26/19 13:39
Quant open706
Worst price15.96
Drawdown as % of equity-0.23%
($47)
Includes Typical Broker Commissions trade costs of $5.00
7/1/19 10:05 CRCM CARE.COM INC LONG 1,064 11.47 8/2 13:24 10.60 1.72%
Trade id #124288632
Max drawdown($1,027)
Time7/1/19 10:05
Quant open1,064
Worst price10.50
Drawdown as % of equity-1.72%
($930)
Includes Typical Broker Commissions trade costs of $5.26
7/15/19 13:03 COLL COLLEGIUM PHARMACEUTICAL INC. COMMON STOCK LONG 1,108 11.30 8/2 13:10 10.41 2.41%
Trade id #124464409
Max drawdown($1,424)
Time7/15/19 13:03
Quant open1,108
Worst price10.01
Drawdown as % of equity-2.41%
($986)
Includes Typical Broker Commissions trade costs of $5.64
7/8/19 11:24 RLGT RADIANT LOGISTICS LONG 2,248 5.74 8/2 13:01 5.31 2.63%
Trade id #124373548
Max drawdown($1,565)
Time7/8/19 11:24
Quant open2,074
Worst price5.02
Drawdown as % of equity-2.63%
($974)
Includes Typical Broker Commissions trade costs of $7.80
7/17/19 12:06 HI HILLENBRAND LONG 330 35.62 7/31 15:57 33.78 1.18%
Trade id #124500027
Max drawdown($692)
Time7/17/19 12:06
Quant open330
Worst price33.52
Drawdown as % of equity-1.18%
($614)
Includes Typical Broker Commissions trade costs of $6.60
7/19/19 15:53 DNOW NOW INC LONG 960 12.07 7/26 13:38 12.47 0.22%
Trade id #124544608
Max drawdown($126)
Time7/19/19 15:53
Quant open960
Worst price11.94
Drawdown as % of equity-0.22%
$386
Includes Typical Broker Commissions trade costs of $5.26
6/24/19 10:28 KFY KORN FERRY LONG 304 39.80 7/19 15:52 39.25 0.8%
Trade id #124203584
Max drawdown($469)
Time6/24/19 10:28
Quant open304
Worst price38.26
Drawdown as % of equity-0.80%
($174)
Includes Typical Broker Commissions trade costs of $6.08
7/1/19 10:07 HSII HEIDRICK & STRUGGLES LONG 406 30.70 7/17 12:04 30.05 1.37%
Trade id #124288663
Max drawdown($821)
Time7/1/19 10:07
Quant open406
Worst price28.68
Drawdown as % of equity-1.37%
($271)
Includes Typical Broker Commissions trade costs of $8.12
5/10/19 13:08 ACLS AXCELIS TECHNOLOGIES LONG 848 17.01 7/15 13:02 15.02 4.01%
Trade id #123624271
Max drawdown($2,430)
Time5/10/19 13:08
Quant open780
Worst price13.99
Drawdown as % of equity-4.01%
($1,696)
Includes Typical Broker Commissions trade costs of $7.28
6/21/19 15:49 LGF.A LIONS GATE ENTERTAINMENT CLASS A LONG 942 12.10 7/8 11:23 12.56 1.16%
Trade id #124186697
Max drawdown($678)
Time6/21/19 15:49
Quant open942
Worst price11.38
Drawdown as % of equity-1.16%
$428
Includes Typical Broker Commissions trade costs of $5.00
6/24/19 9:38 RLGT RADIANT LOGISTICS LONG 2,018 5.72 7/1 10:06 6.35 0.24%
Trade id #124202589
Max drawdown($137)
Time6/24/19 9:38
Quant open2,018
Worst price5.66
Drawdown as % of equity-0.24%
$1,260
Includes Typical Broker Commissions trade costs of $5.00
6/21/19 15:48 XPER XPERI CORPORATION COMMON STOCK LONG 590 19.32 7/1 10:04 20.98 0.42%
Trade id #124186665
Max drawdown($244)
Time6/21/19 15:48
Quant open590
Worst price18.91
Drawdown as % of equity-0.42%
$972
Includes Typical Broker Commissions trade costs of $5.00
5/17/19 15:58 SYNA SYNAPTICS LONG 416 29.47 6/24 10:27 28.37 2.21%
Trade id #123721175
Max drawdown($1,303)
Time5/17/19 15:58
Quant open416
Worst price26.34
Drawdown as % of equity-2.21%
($468)
Includes Typical Broker Commissions trade costs of $8.32

Statistics

  • Strategy began
    10/26/2018
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    327.29
  • Age
    11 months ago
  • What it trades
    Stocks
  • # Trades
    158
  • # Profitable
    84
  • % Profitable
    53.20%
  • Avg trade duration
    12.3 days
  • Max peak-to-valley drawdown
    16.53%
  • drawdown period
    May 06, 2019 - Aug 19, 2019
  • Cumul. Return
    11.1%
  • Avg win
    $546.89
  • Avg loss
    $523.50
  • Model Account Values (Raw)
  • Cash
    $5,702
  • Margin Used
    $0
  • Buying Power
    $1,561
  • Ratios
  • W:L ratio
    1.23:1
  • Sharpe Ratio
    0.65
  • Sortino Ratio
    0.95
  • Calmar Ratio
    1.323
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.05140
  • Return Statistics
  • Ann Return (w trading costs)
    12.3%
  • Ann Return (Compnd, No Fees)
    18.0%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    14.50%
  • 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)
    524
  • Popularity (Last 6 weeks)
    968
  • C2 Score
    175
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $525
  • Avg Win
    $547
  • # Winners
    84
  • # Losers
    74
  • % Winners
    53.2%
  • Frequency
  • Avg Position Time (mins)
    17666.80
  • Avg Position Time (hrs)
    294.45
  • Avg Trade Length
    12.3 days
  • Last Trade Ago
    2
  • Leverage
  • Daily leverage (average)
    1.96
  • Daily leverage (max)
    2.13
  • Regression
  • Alpha
    0.03
  • Beta
    0.05
  • Treynor Index
    0.67
  • Maximum Adverse Excursion (MAE)
  • Avg(MAE) / Avg(PL) - All trades
    20.048
  • Avg(MAE) / Avg(PL) - Winning trades
    0.748
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.567
  • Hold-and-Hope Ratio
    0.060
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.13669
  • SD
    0.19153
  • Sharpe ratio (Glass type estimate)
    0.71367
  • Sharpe ratio (Hedges UMVUE)
    0.65221
  • df
    9.00000
  • t
    0.65149
  • p
    0.26551
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.47684
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.86611
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.51586
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.82028
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.16678
  • Upside Potential Ratio
    2.99001
  • Upside part of mean
    0.35029
  • Downside part of mean
    -0.21360
  • Upside SD
    0.14439
  • Downside SD
    0.11715
  • N nonnegative terms
    6.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    10.00000
  • Mean of predictor
    0.12963
  • Mean of criterion
    0.13669
  • SD of predictor
    0.17599
  • SD of criterion
    0.19153
  • Covariance
    0.00811
  • r
    0.24059
  • b (slope, estimate of beta)
    0.26184
  • a (intercept, estimate of alpha)
    0.10275
  • Mean Square Error
    0.03888
  • DF error
    8.00000
  • t(b)
    0.70110
  • p(b)
    0.25156
  • t(a)
    0.46417
  • p(a)
    0.32745
  • Lowerbound of 95% confidence interval for beta
    -0.59940
  • Upperbound of 95% confidence interval for beta
    1.12308
  • Lowerbound of 95% confidence interval for alpha
    -0.40772
  • Upperbound of 95% confidence interval for alpha
    0.61322
  • Treynor index (mean / b)
    0.52204
  • Jensen alpha (a)
    0.10275
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.11945
  • SD
    0.19231
  • Sharpe ratio (Glass type estimate)
    0.62113
  • Sharpe ratio (Hedges UMVUE)
    0.56764
  • df
    9.00000
  • t
    0.56701
  • p
    0.29228
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.56112
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.77002
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.59535
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.73062
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.97769
  • Upside Potential Ratio
    2.78535
  • Upside part of mean
    0.34030
  • Downside part of mean
    -0.22085
  • Upside SD
    0.13981
  • Downside SD
    0.12218
  • N nonnegative terms
    6.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    10.00000
  • Mean of predictor
    0.11515
  • Mean of criterion
    0.11945
  • SD of predictor
    0.17545
  • SD of criterion
    0.19231
  • Covariance
    0.00806
  • r
    0.23875
  • b (slope, estimate of beta)
    0.26169
  • a (intercept, estimate of alpha)
    0.08932
  • Mean Square Error
    0.03923
  • DF error
    8.00000
  • t(b)
    0.69541
  • p(b)
    0.25325
  • t(a)
    0.40366
  • p(a)
    0.34852
  • Lowerbound of 95% confidence interval for beta
    -0.60609
  • Upperbound of 95% confidence interval for beta
    1.12947
  • Lowerbound of 95% confidence interval for alpha
    -0.42093
  • Upperbound of 95% confidence interval for alpha
    0.59956
  • Treynor index (mean / b)
    0.45646
  • Jensen alpha (a)
    0.08932
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07814
  • Expected Shortfall on VaR
    0.09909
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03588
  • Expected Shortfall on VaR
    0.06969
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    10.00000
  • Minimum
    0.90585
  • Quartile 1
    0.97610
  • Median
    1.02237
  • Quartile 3
    1.04822
  • Maximum
    1.07747
  • Mean of quarter 1
    0.94686
  • Mean of quarter 2
    0.99812
  • Mean of quarter 3
    1.03623
  • Mean of quarter 4
    1.06821
  • Inter Quartile Range
    0.07212
  • 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)
    -0.63504
  • VaR(95%) (moments method)
    0.05920
  • Expected Shortfall (moments method)
    0.06843
  • Extreme Value Index (regression method)
    0.96983
  • VaR(95%) (regression method)
    0.10674
  • Expected Shortfall (regression method)
    3.33580
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.02568
  • Quartile 1
    0.03264
  • Median
    0.03960
  • Quartile 3
    0.07529
  • Maximum
    0.11097
  • Mean of quarter 1
    0.02568
  • Mean of quarter 2
    0.03960
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.11097
  • Inter Quartile Range
    0.04265
  • 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)
    0.12560
  • Compounded annual return (geometric extrapolation)
    0.12688
  • Calmar ratio (compounded annual return / max draw down)
    1.14334
  • Compounded annual return / average of 25% largest draw downs
    1.14334
  • Compounded annual return / Expected Shortfall lognormal
    1.28045
  • 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
    0.17930
  • SD
    0.13934
  • Sharpe ratio (Glass type estimate)
    1.28682
  • Sharpe ratio (Hedges UMVUE)
    1.28262
  • df
    230.00000
  • t
    1.20829
  • p
    0.11409
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.80520
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.37610
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.80801
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.37324
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.92080
  • Upside Potential Ratio
    10.24750
  • Upside part of mean
    0.95658
  • Downside part of mean
    -0.77728
  • Upside SD
    0.10363
  • Downside SD
    0.09335
  • N nonnegative terms
    126.00000
  • N negative terms
    105.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    231.00000
  • Mean of predictor
    0.15273
  • Mean of criterion
    0.17930
  • SD of predictor
    0.16260
  • SD of criterion
    0.13934
  • Covariance
    0.00118
  • r
    0.05213
  • b (slope, estimate of beta)
    0.04467
  • a (intercept, estimate of alpha)
    0.17200
  • Mean Square Error
    0.01945
  • DF error
    229.00000
  • t(b)
    0.78992
  • p(b)
    0.21519
  • t(a)
    1.15941
  • p(a)
    0.12375
  • Lowerbound of 95% confidence interval for beta
    -0.06675
  • Upperbound of 95% confidence interval for beta
    0.15609
  • Lowerbound of 95% confidence interval for alpha
    -0.12064
  • Upperbound of 95% confidence interval for alpha
    0.46560
  • Treynor index (mean / b)
    4.01398
  • Jensen alpha (a)
    0.17248
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.16958
  • SD
    0.13933
  • Sharpe ratio (Glass type estimate)
    1.21706
  • Sharpe ratio (Hedges UMVUE)
    1.21309
  • df
    230.00000
  • t
    1.14280
  • p
    0.12716
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.87454
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.30606
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.87719
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.30337
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.80312
  • Upside Potential Ratio
    10.11460
  • Upside part of mean
    0.95126
  • Downside part of mean
    -0.78168
  • Upside SD
    0.10293
  • Downside SD
    0.09405
  • N nonnegative terms
    126.00000
  • N negative terms
    105.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    231.00000
  • Mean of predictor
    0.13953
  • Mean of criterion
    0.16958
  • SD of predictor
    0.16263
  • SD of criterion
    0.13933
  • Covariance
    0.00119
  • r
    0.05266
  • b (slope, estimate of beta)
    0.04512
  • a (intercept, estimate of alpha)
    0.16328
  • Mean Square Error
    0.01945
  • DF error
    229.00000
  • t(b)
    0.79802
  • p(b)
    0.21284
  • t(a)
    1.09796
  • p(a)
    0.13669
  • Lowerbound of 95% confidence interval for beta
    -0.06628
  • Upperbound of 95% confidence interval for beta
    0.15652
  • Lowerbound of 95% confidence interval for alpha
    -0.12974
  • Upperbound of 95% confidence interval for alpha
    0.45631
  • Treynor index (mean / b)
    3.75856
  • Jensen alpha (a)
    0.16328
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01342
  • Expected Shortfall on VaR
    0.01696
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00647
  • Expected Shortfall on VaR
    0.01248
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    231.00000
  • Minimum
    0.97131
  • Quartile 1
    0.99549
  • Median
    1.00063
  • Quartile 3
    1.00558
  • Maximum
    1.02114
  • Mean of quarter 1
    0.98980
  • Mean of quarter 2
    0.99843
  • Mean of quarter 3
    1.00282
  • Mean of quarter 4
    1.01172
  • Inter Quartile Range
    0.01009
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.00866
  • Mean of outliers low
    0.97558
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.00433
  • Mean of outliers high
    1.02114
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.04152
  • VaR(95%) (moments method)
    0.01007
  • Expected Shortfall (moments method)
    0.01360
  • Extreme Value Index (regression method)
    0.00955
  • VaR(95%) (regression method)
    0.00955
  • Expected Shortfall (regression method)
    0.01252
  • 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
    0.13969
  • Mean of quarter 1
    0.00466
  • Mean of quarter 2
    0.01175
  • Mean of quarter 3
    0.01769
  • Mean of quarter 4
    0.06815
  • 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
    0.10922
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.49737
  • VaR(95%) (moments method)
    0.07928
  • Expected Shortfall (moments method)
    0.18003
  • Extreme Value Index (regression method)
    2.90113
  • VaR(95%) (regression method)
    0.12191
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.18291
  • Compounded annual return (geometric extrapolation)
    0.18481
  • Calmar ratio (compounded annual return / max draw down)
    1.32297
  • Compounded annual return / average of 25% largest draw downs
    2.71167
  • Compounded annual return / Expected Shortfall lognormal
    10.89770
  • 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
    0.14293
  • SD
    0.14587
  • Sharpe ratio (Glass type estimate)
    0.97981
  • Sharpe ratio (Hedges UMVUE)
    0.97415
  • df
    130.00000
  • t
    0.69283
  • p
    0.46967
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.79637
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.75236
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.80019
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.74848
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.41767
  • Upside Potential Ratio
    9.64816
  • Upside part of mean
    0.97271
  • Downside part of mean
    -0.82978
  • Upside SD
    0.10502
  • Downside SD
    0.10082
  • 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
    0.12860
  • Mean of criterion
    0.14293
  • SD of predictor
    0.13609
  • SD of criterion
    0.14587
  • Covariance
    0.00309
  • r
    0.15586
  • b (slope, estimate of beta)
    0.16707
  • a (intercept, estimate of alpha)
    0.12144
  • Mean Square Error
    0.02092
  • DF error
    129.00000
  • t(b)
    1.79218
  • p(b)
    0.40118
  • t(a)
    0.59266
  • p(a)
    0.46684
  • Lowerbound of 95% confidence interval for beta
    -0.01737
  • Upperbound of 95% confidence interval for beta
    0.35150
  • Lowerbound of 95% confidence interval for alpha
    -0.28398
  • Upperbound of 95% confidence interval for alpha
    0.52687
  • Treynor index (mean / b)
    0.85551
  • Jensen alpha (a)
    0.12144
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.13232
  • SD
    0.14597
  • Sharpe ratio (Glass type estimate)
    0.90653
  • Sharpe ratio (Hedges UMVUE)
    0.90129
  • df
    130.00000
  • t
    0.64102
  • p
    0.47193
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.86915
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.67884
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.87268
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.67526
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.30191
  • Upside Potential Ratio
    9.51650
  • Upside part of mean
    0.96725
  • Downside part of mean
    -0.83492
  • Upside SD
    0.10431
  • Downside SD
    0.10164
  • 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
    0.11934
  • Mean of criterion
    0.13232
  • SD of predictor
    0.13658
  • SD of criterion
    0.14597
  • Covariance
    0.00312
  • r
    0.15645
  • b (slope, estimate of beta)
    0.16720
  • a (intercept, estimate of alpha)
    0.11237
  • Mean Square Error
    0.02095
  • DF error
    129.00000
  • t(b)
    1.79911
  • p(b)
    0.40081
  • t(a)
    0.54822
  • p(a)
    0.46932
  • Lowerbound of 95% confidence interval for beta
    -0.01667
  • Upperbound of 95% confidence interval for beta
    0.35108
  • Lowerbound of 95% confidence interval for alpha
    -0.29318
  • Upperbound of 95% confidence interval for alpha
    0.51792
  • Treynor index (mean / b)
    0.79141
  • Jensen alpha (a)
    0.11237
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01423
  • Expected Shortfall on VaR
    0.01793
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00693
  • Expected Shortfall on VaR
    0.01345
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97131
  • Quartile 1
    0.99589
  • Median
    1.00070
  • Quartile 3
    1.00558
  • Maximum
    1.02114
  • Mean of quarter 1
    0.98899
  • Mean of quarter 2
    0.99851
  • Mean of quarter 3
    1.00285
  • Mean of quarter 4
    1.01190
  • Inter Quartile Range
    0.00969
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.03053
  • Mean of outliers low
    0.97857
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.00763
  • Mean of outliers high
    1.02114
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.58596
  • VaR(95%) (moments method)
    0.01019
  • Expected Shortfall (moments method)
    0.01165
  • Extreme Value Index (regression method)
    -0.28696
  • VaR(95%) (regression method)
    0.00996
  • Expected Shortfall (regression method)
    0.01218
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00137
  • Quartile 1
    0.00457
  • Median
    0.01066
  • Quartile 3
    0.01457
  • Maximum
    0.13969
  • Mean of quarter 1
    0.00277
  • Mean of quarter 2
    0.00781
  • Mean of quarter 3
    0.01355
  • Mean of quarter 4
    0.07764
  • Inter Quartile Range
    0.01000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.14286
  • Mean of outliers high
    0.13969
  • 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)
    0.13680
  • Compounded annual return (geometric extrapolation)
    0.14148
  • Calmar ratio (compounded annual return / max draw down)
    1.01280
  • Compounded annual return / average of 25% largest draw downs
    1.82233
  • Compounded annual return / Expected Shortfall lognormal
    7.89148

Strategy Description

The strategy trades NYSE/Nasdaq stocks with a min mcap above $250m.
Every stock is hedged by the Russell-2000 ETF (RWM).
I hold five stocks long (50% capital), plus the RWM hedge (50% capital).
The equal-$-value long/short ensures market neutrality (true hedge).
Very low margin used (maximum 2:1, including the hedge).

Summary Statistics

Strategy began
2018-10-26
Suggested Minimum Capital
$15,000
# Trades
158
# Profitable
84
% Profitable
53.2%
Net Dividends
Correlation S&P500
0.051
Sharpe Ratio
0.65
Sortino Ratio
0.95
Beta
0.05
Alpha
0.03
Leverage
1.96 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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subscribed on started simulation #SUBSCRIBEDDATE#

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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Suggested Minimum Capital

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