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These are hypothetical performance results that have certain inherent limitations. Learn more

GardCap Discretionary
(126454200)

Created by: GardCap GardCap
Started: 12/2019
Stocks
Last trade: Today
Trading style: Equity Non-hedged Equity Short-term Reversal

Subscriptions not available

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

Subscription terms. You can subscribe to this system for free.

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
Non-hedged Equity
Category: Equity

Non-hedged Equity

Predominantly long equities, although some hedging with short sales of stocks and/or stock index options. Commonly known as "stock-pickers."
Short-term Reversal
Category: Equity

Short-term Reversal

Exploits the tendency of stocks with strong gains and stocks with strong losses to reverse in a short-term time frame (up to one month).
2.4%
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.

(2.4%)
Max Drawdown
38
Num Trades
63.2%
Win Trades
1.9 : 1
Profit Factor
75.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019                                                                             +1.2%+1.2%
2020+0.8%+0.9%(0.9%)+0.3%+0.1%(0.5%)+0.4%                              +1.1%

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 38 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
6/4/20 9:30 FCX FREEPORT-MCMORAN INC LONG 1,000 10.13 6/17 14:01 10.84 0.14%
Trade id #129353819
Max drawdown($350)
Time6/15/20 0:00
Quant open1,000
Worst price9.78
Drawdown as % of equity-0.14%
$700
Includes Typical Broker Commissions trade costs of $5.00
6/17/20 10:57 GDX VANECK VECTORS GOLD MINERS ETF LONG 700 33.13 6/17 13:59 32.94 0.11%
Trade id #129604174
Max drawdown($289)
Time6/17/20 11:52
Quant open700
Worst price32.72
Drawdown as % of equity-0.11%
($137)
Includes Typical Broker Commissions trade costs of $5.00
6/4/20 9:30 GDX VANECK VECTORS GOLD MINERS ETF SHORT 300 33.47 6/17 10:57 33.13 0.17%
Trade id #129353831
Max drawdown($435)
Time6/11/20 0:00
Quant open300
Worst price34.92
Drawdown as % of equity-0.17%
$97
Includes Typical Broker Commissions trade costs of $6.00
5/28/20 11:57 UUUU ENERGY FUELS INC. LONG 10,000 1.74 6/5 11:33 1.65 0.51%
Trade id #129240951
Max drawdown($1,300)
Time5/29/20 0:00
Quant open10,000
Worst price1.61
Drawdown as % of equity-0.51%
($905)
Includes Typical Broker Commissions trade costs of $5.00
5/27/20 12:56 EUFN ISHARES MSCI EUROPE FINANCIALS LONG 2,000 13.62 6/2 11:32 14.12 0.25%
Trade id #129219228
Max drawdown($647)
Time5/29/20 0:00
Quant open2,000
Worst price13.29
Drawdown as % of equity-0.25%
$1,006
Includes Typical Broker Commissions trade costs of $5.00
5/28/20 13:53 GDX VANECK VECTORS GOLD MINERS ETF SHORT 1,000 33.61 6/1 10:32 34.94 0.53%
Trade id #129243066
Max drawdown($1,370)
Time6/1/20 10:32
Quant open1,000
Worst price34.98
Drawdown as % of equity-0.53%
($1,335)
Includes Typical Broker Commissions trade costs of $5.00
5/18/20 12:10 TBT PROSHARES ULTRASHORT 20+ YEAR LONG 2,000 16.15 5/22 10:36 15.80 0.28%
Trade id #129070992
Max drawdown($710)
Time5/22/20 10:30
Quant open2,000
Worst price15.79
Drawdown as % of equity-0.28%
($705)
Includes Typical Broker Commissions trade costs of $5.00
5/18/20 10:58 EWZ ISHARES MSCI BRAZIL ETF LONG 5,000 23.34 5/20 12:50 23.77 0.11%
Trade id #129068682
Max drawdown($275)
Time5/18/20 11:17
Quant open5,000
Worst price23.28
Drawdown as % of equity-0.11%
$2,195
Includes Typical Broker Commissions trade costs of $5.00
5/18/20 11:19 GDX VANECK VECTORS GOLD MINERS ETF SHORT 1,000 35.83 5/18 15:54 35.92 0.14%
Trade id #129069157
Max drawdown($370)
Time5/18/20 14:18
Quant open1,000
Worst price36.20
Drawdown as % of equity-0.14%
($95)
Includes Typical Broker Commissions trade costs of $5.00
4/17/20 9:45 OIH VANECK VECTORS OIL SVCS ETF LONG 500 86.46 4/17 9:59 87.87 0.04%
Trade id #128621611
Max drawdown($90)
Time4/17/20 9:48
Quant open500
Worst price86.28
Drawdown as % of equity-0.04%
$695
Includes Typical Broker Commissions trade costs of $10.00
4/14/20 14:55 DUST DIREXION DAILY GOLD MINERS BEAR 2X LONG 3,000 1.59 4/15 10:47 1.63 0.02%
Trade id #128561830
Max drawdown($60)
Time4/14/20 15:41
Quant open3,000
Worst price1.57
Drawdown as % of equity-0.02%
$115
Includes Typical Broker Commissions trade costs of $5.00
3/10/20 10:07 QQQ POWERSHARES QQQ LONG 500 200.57 3/10 11:24 195.77 0.89%
Trade id #127943451
Max drawdown($2,296)
Time3/10/20 11:24
Quant open500
Worst price195.98
Drawdown as % of equity-0.89%
($2,412)
Includes Typical Broker Commissions trade costs of $10.00
2/19/20 9:30 XOP SPDR S&P OIL & GAS EXPLORATION LONG 5,000 18.82 2/20 10:38 19.22 0.15%
Trade id #127594675
Max drawdown($395)
Time2/19/20 10:20
Quant open5,000
Worst price18.74
Drawdown as % of equity-0.15%
$1,989
Includes Typical Broker Commissions trade costs of $5.00
2/11/20 9:30 OIH VANECK VECTORS OIL SVCS ETF LONG 5,000 11.19 2/13 10:06 11.26 0.24%
Trade id #127454736
Max drawdown($625)
Time2/11/20 9:36
Quant open5,000
Worst price11.06
Drawdown as % of equity-0.24%
$355
Includes Typical Broker Commissions trade costs of $5.00
1/30/20 11:14 XOP SPDR S&P OIL & GAS EXPLORATION LONG 2,000 19.35 1/31 9:32 19.18 0.32%
Trade id #127289839
Max drawdown($820)
Time1/31/20 0:00
Quant open2,000
Worst price18.94
Drawdown as % of equity-0.32%
($345)
Includes Typical Broker Commissions trade costs of $5.00
1/28/20 10:28 DUST DIREXION DAILY GOLD MINERS BEAR 2X LONG 2,000 5.96 1/28 15:05 6.02 0.01%
Trade id #127249930
Max drawdown($30)
Time1/28/20 10:29
Quant open2,000
Worst price5.95
Drawdown as % of equity-0.01%
$115
Includes Typical Broker Commissions trade costs of $5.00
1/24/20 10:18 GDXJ VANECK VECTORS JUNIOR GOLD MIN LONG 1,000 41.49 1/24 10:58 41.56 0.01%
Trade id #127201274
Max drawdown($30)
Time1/24/20 10:19
Quant open1,000
Worst price41.46
Drawdown as % of equity-0.01%
$65
Includes Typical Broker Commissions trade costs of $5.00
1/23/20 11:11 XOP SPDR S&P OIL & GAS EXPLORATION LONG 1,000 20.75 1/23 15:26 20.91 0.04%
Trade id #127181532
Max drawdown($110)
Time1/23/20 11:25
Quant open1,000
Worst price20.64
Drawdown as % of equity-0.04%
$155
Includes Typical Broker Commissions trade costs of $5.00
1/21/20 10:11 CX CEMEX LONG 2,500 4.12 1/22 11:02 4.31 0.03%
Trade id #127115072
Max drawdown($87)
Time1/21/20 10:17
Quant open2,500
Worst price4.08
Drawdown as % of equity-0.03%
$486
Includes Typical Broker Commissions trade costs of $5.00
1/13/20 9:31 SSG PROSHARES ULTRASHORT SEMICONDU LONG 2,000 14.47 1/16 10:14 14.12 0.27%
Trade id #126967683
Max drawdown($700)
Time1/16/20 10:13
Quant open2,000
Worst price14.12
Drawdown as % of equity-0.27%
($705)
Includes Typical Broker Commissions trade costs of $5.00
1/9/20 15:11 TLT ISHARES 20+ YEAR TREASURY BOND LONG 500 137.42 1/15 9:41 139.41 0.05%
Trade id #126936992
Max drawdown($135)
Time1/9/20 15:47
Quant open500
Worst price137.15
Drawdown as % of equity-0.05%
$985
Includes Typical Broker Commissions trade costs of $10.00
1/13/20 15:11 MJ ETFMG ALTERNATIVE HARVEST ETF LONG 2,000 17.25 1/15 9:37 17.95 0.33%
Trade id #126974600
Max drawdown($840)
Time1/14/20 0:00
Quant open2,000
Worst price16.83
Drawdown as % of equity-0.33%
$1,395
Includes Typical Broker Commissions trade costs of $5.00
12/19/19 11:48 GDXJ VANECK VECTORS JUNIOR GOLD MIN LONG 1,000 38.86 12/19 15:21 38.98 0.04%
Trade id #126688711
Max drawdown($105)
Time12/19/19 12:13
Quant open1,000
Worst price38.76
Drawdown as % of equity-0.04%
$115
Includes Typical Broker Commissions trade costs of $5.00
12/17/19 12:46 GDXJ VANECK VECTORS JUNIOR GOLD MIN LONG 1,000 38.90 12/17 15:04 38.69 0.08%
Trade id #126657587
Max drawdown($200)
Time12/17/19 15:04
Quant open1,000
Worst price38.70
Drawdown as % of equity-0.08%
($215)
Includes Typical Broker Commissions trade costs of $5.00
12/12/19 9:34 TBT PROSHARES ULTRASHORT 20+ YEAR LONG 2,000 25.50 12/17 15:03 26.00 0.23%
Trade id #126594339
Max drawdown($569)
Time12/13/19 0:00
Quant open2,000
Worst price25.21
Drawdown as % of equity-0.23%
$1,003
Includes Typical Broker Commissions trade costs of $7.50
12/12/19 9:40 XOP SPDR S&P OIL & GAS EXPLORATION LONG 1,000 21.71 12/17 14:49 22.86 0.02%
Trade id #126594859
Max drawdown($39)
Time12/12/19 9:47
Quant open1,000
Worst price21.67
Drawdown as % of equity-0.02%
$1,145
Includes Typical Broker Commissions trade costs of $6.00
12/12/19 9:33 SIL GLOBAL X SILVER MINERS ETF LONG 1,000 31.48 12/12 10:53 30.77 0.32%
Trade id #126594263
Max drawdown($798)
Time12/12/19 10:10
Quant open1,000
Worst price30.68
Drawdown as % of equity-0.32%
($715)
Includes Typical Broker Commissions trade costs of $5.00
12/10/19 10:02 TBT PROSHARES ULTRASHORT 20+ YEAR LONG 1,000 25.66 12/10 14:56 25.52 0.1%
Trade id #126559319
Max drawdown($250)
Time12/10/19 11:04
Quant open1,000
Worst price25.41
Drawdown as % of equity-0.10%
($145)
Includes Typical Broker Commissions trade costs of $5.00
12/9/19 11:56 PSQ PROSHARES SHORT QQQ LONG 1,000 25.62 12/9 13:29 25.63 0.01%
Trade id #126545243
Max drawdown($20)
Time12/9/19 12:04
Quant open1,000
Worst price25.60
Drawdown as % of equity-0.01%
$5
Includes Typical Broker Commissions trade costs of $5.00
12/6/19 9:42 OIH VANECK VECTORS OIL SVCS ETF LONG 4,000 12.00 12/9 9:31 12.29 0.02%
Trade id #126514166
Max drawdown($40)
Time12/6/19 9:44
Quant open4,000
Worst price11.99
Drawdown as % of equity-0.02%
$1,155
Includes Typical Broker Commissions trade costs of $5.00

Statistics

  • Strategy began
    12/3/2019
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    217.17
  • Age
    7 months ago
  • What it trades
    Stocks
  • # Trades
    38
  • # Profitable
    24
  • % Profitable
    63.20%
  • Avg trade duration
    5.7 days
  • Max peak-to-valley drawdown
    2.41%
  • drawdown period
    May 20, 2020 - June 11, 2020
  • Cumul. Return
    2.4%
  • Avg win
    $687.62
  • Avg loss
    $654.57
  • Model Account Values (Raw)
  • Cash
    $216,665
  • Margin Used
    $51,331
  • Buying Power
    $164,239
  • Ratios
  • W:L ratio
    1.85:1
  • Sharpe Ratio
    0.47
  • Sortino Ratio
    0.73
  • Calmar Ratio
    2.397
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -0.33%
  • Correlation to SP500
    0.07040
  • Return Percent SP500 (cumu) during strategy life
    2.80%
  • Return Statistics
  • Ann Return (w trading costs)
    3.9%
  • Slump
  • Current Slump as Pcnt Equity
    0.02%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.22%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.024%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    4.1%
  • Automation
  • Percentage Signals Automated
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    742
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    142
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Strat abandoned?
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $747
  • Avg Win
    $680
  • Sum Trade PL (losers)
    $10,461.000
  • AUM
  • AUM (AutoTrader num accounts)
    1
  • Age
  • Num Months filled monthly returns table
    8
  • Win / Loss
  • Sum Trade PL (winners)
    $16,311.000
  • # Winners
    24
  • Num Months Winners
    6
  • Dividends
  • Dividends Received in Model Acct
    244
  • AUM
  • AUM (AutoTrader live capital)
    51176
  • Win / Loss
  • # Losers
    14
  • % Winners
    63.2%
  • Frequency
  • Avg Position Time (mins)
    8254.63
  • Avg Position Time (hrs)
    137.58
  • Avg Trade Length
    5.7 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    0.33
  • Daily leverage (max)
    0.85
  • Regression
  • Alpha
    0.00
  • Beta
    0.00
  • Treynor Index
    0.91
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -3.60
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    3.286
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.352
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.509
  • Hold-and-Hope Ratio
    0.314
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.00907
  • SD
    0.02653
  • Sharpe ratio (Glass type estimate)
    0.34184
  • Sharpe ratio (Hedges UMVUE)
    0.29693
  • df
    6.00000
  • t
    0.26109
  • p
    0.40138
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.24508
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.90126
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.27475
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.86862
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.54186
  • Upside Potential Ratio
    2.49258
  • Upside part of mean
    0.04172
  • Downside part of mean
    -0.03265
  • Upside SD
    0.01817
  • Downside SD
    0.01674
  • N nonnegative terms
    4.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    7.00000
  • Mean of predictor
    0.05673
  • Mean of criterion
    0.00907
  • SD of predictor
    0.29996
  • SD of criterion
    0.02653
  • Covariance
    0.00158
  • r
    0.19826
  • b (slope, estimate of beta)
    0.01754
  • a (intercept, estimate of alpha)
    0.00807
  • Mean Square Error
    0.00081
  • DF error
    5.00000
  • t(b)
    0.45231
  • p(b)
    0.33500
  • t(a)
    0.21612
  • p(a)
    0.41872
  • Lowerbound of 95% confidence interval for beta
    -0.08213
  • Upperbound of 95% confidence interval for beta
    0.11721
  • Lowerbound of 95% confidence interval for alpha
    -0.08798
  • Upperbound of 95% confidence interval for alpha
    0.10412
  • Treynor index (mean / b)
    0.51718
  • Jensen alpha (a)
    0.00807
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.00874
  • SD
    0.02648
  • Sharpe ratio (Glass type estimate)
    0.33021
  • Sharpe ratio (Hedges UMVUE)
    0.28683
  • df
    6.00000
  • t
    0.25220
  • p
    0.40465
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.25574
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.88963
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.28449
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.85815
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.52097
  • Upside Potential Ratio
    2.46999
  • Upside part of mean
    0.04146
  • Downside part of mean
    -0.03272
  • Upside SD
    0.01805
  • Downside SD
    0.01679
  • N nonnegative terms
    4.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    7.00000
  • Mean of predictor
    0.01760
  • Mean of criterion
    0.00874
  • SD of predictor
    0.30279
  • SD of criterion
    0.02648
  • Covariance
    0.00168
  • r
    0.20977
  • b (slope, estimate of beta)
    0.01835
  • a (intercept, estimate of alpha)
    0.00842
  • Mean Square Error
    0.00080
  • DF error
    5.00000
  • t(b)
    0.47973
  • p(b)
    0.32584
  • t(a)
    0.22673
  • p(a)
    0.41480
  • Lowerbound of 95% confidence interval for beta
    -0.07997
  • Upperbound of 95% confidence interval for beta
    0.11666
  • Lowerbound of 95% confidence interval for alpha
    -0.08707
  • Upperbound of 95% confidence interval for alpha
    0.10391
  • Treynor index (mean / b)
    0.47665
  • Jensen alpha (a)
    0.00842
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01178
  • Expected Shortfall on VaR
    0.01492
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00579
  • Expected Shortfall on VaR
    0.01062
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    7.00000
  • Minimum
    0.99068
  • Quartile 1
    0.99863
  • Median
    1.00323
  • Quartile 3
    1.00895
  • Maximum
    1.01252
  • Mean of quarter 1
    0.99444
  • Mean of quarter 2
    1.00114
  • Mean of quarter 3
    1.00868
  • Mean of quarter 4
    1.01087
  • Inter Quartile Range
    0.01032
  • 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
    1.00000
  • Minimum
    0.00932
  • Quartile 1
    0.00932
  • Median
    0.00932
  • Quartile 3
    0.00932
  • Maximum
    0.00932
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • 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)
    0.03705
  • Compounded annual return (geometric extrapolation)
    0.03733
  • Calmar ratio (compounded annual return / max draw down)
    4.00488
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    2.50143
  • 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
    0.00903
  • SD
    0.02561
  • Sharpe ratio (Glass type estimate)
    0.35272
  • Sharpe ratio (Hedges UMVUE)
    0.35098
  • df
    152.00000
  • t
    0.26954
  • p
    0.48907
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.21290
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.91731
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.21412
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.91608
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.53502
  • Upside Potential Ratio
    6.56143
  • Upside part of mean
    0.11077
  • Downside part of mean
    -0.10173
  • Upside SD
    0.01915
  • Downside SD
    0.01688
  • N nonnegative terms
    42.00000
  • N negative terms
    111.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    153.00000
  • Mean of predictor
    0.10859
  • Mean of criterion
    0.00903
  • SD of predictor
    0.42599
  • SD of criterion
    0.02561
  • Covariance
    0.00079
  • r
    0.07241
  • b (slope, estimate of beta)
    0.00435
  • a (intercept, estimate of alpha)
    0.00900
  • Mean Square Error
    0.00066
  • DF error
    151.00000
  • t(b)
    0.89213
  • p(b)
    0.45394
  • t(a)
    0.25523
  • p(a)
    0.48678
  • Lowerbound of 95% confidence interval for beta
    -0.00529
  • Upperbound of 95% confidence interval for beta
    0.01399
  • Lowerbound of 95% confidence interval for alpha
    -0.05770
  • Upperbound of 95% confidence interval for alpha
    0.07482
  • Treynor index (mean / b)
    2.07505
  • Jensen alpha (a)
    0.00856
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.00871
  • SD
    0.02560
  • Sharpe ratio (Glass type estimate)
    0.34008
  • Sharpe ratio (Hedges UMVUE)
    0.33840
  • df
    152.00000
  • t
    0.25988
  • p
    0.48946
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.22552
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.90464
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.22668
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.90347
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.51453
  • Upside Potential Ratio
    6.53551
  • Upside part of mean
    0.11057
  • Downside part of mean
    -0.10186
  • Upside SD
    0.01911
  • Downside SD
    0.01692
  • N nonnegative terms
    42.00000
  • N negative terms
    111.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    153.00000
  • Mean of predictor
    0.01756
  • Mean of criterion
    0.00871
  • SD of predictor
    0.42932
  • SD of criterion
    0.02560
  • Covariance
    0.00083
  • r
    0.07527
  • b (slope, estimate of beta)
    0.00449
  • a (intercept, estimate of alpha)
    0.00863
  • Mean Square Error
    0.00066
  • DF error
    151.00000
  • t(b)
    0.92762
  • p(b)
    0.45212
  • t(a)
    0.25741
  • p(a)
    0.48667
  • Lowerbound of 95% confidence interval for beta
    -0.00507
  • Upperbound of 95% confidence interval for beta
    0.01405
  • Lowerbound of 95% confidence interval for alpha
    -0.05759
  • Upperbound of 95% confidence interval for alpha
    0.07484
  • Treynor index (mean / b)
    1.93961
  • Jensen alpha (a)
    0.00863
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00256
  • Expected Shortfall on VaR
    0.00322
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00111
  • Expected Shortfall on VaR
    0.00231
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    153.00000
  • Minimum
    0.99357
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00015
  • Maximum
    1.00732
  • Mean of quarter 1
    0.99877
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00002
  • Mean of quarter 4
    1.00181
  • Inter Quartile Range
    0.00015
  • Number outliers low
    26.00000
  • Percentage of outliers low
    0.16994
  • Mean of outliers low
    0.99818
  • Number of outliers high
    33.00000
  • Percentage of outliers high
    0.21569
  • Mean of outliers high
    1.00204
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.07049
  • VaR(95%) (moments method)
    0.00154
  • Expected Shortfall (moments method)
    0.00249
  • Extreme Value Index (regression method)
    -0.47194
  • VaR(95%) (regression method)
    0.00197
  • Expected Shortfall (regression method)
    0.00276
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.00001
  • Quartile 1
    0.00111
  • Median
    0.00212
  • Quartile 3
    0.00297
  • Maximum
    0.01556
  • Mean of quarter 1
    0.00038
  • Mean of quarter 2
    0.00179
  • Mean of quarter 3
    0.00217
  • Mean of quarter 4
    0.00938
  • Inter Quartile Range
    0.00186
  • 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
    0.20000
  • Mean of outliers high
    0.01246
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -11.61490
  • VaR(95%) (moments method)
    0.00786
  • Expected Shortfall (moments method)
    0.00786
  • Extreme Value Index (regression method)
    -0.98305
  • VaR(95%) (regression method)
    0.01830
  • Expected Shortfall (regression method)
    0.02004
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.03701
  • Compounded annual return (geometric extrapolation)
    0.03729
  • Calmar ratio (compounded annual return / max draw down)
    2.39663
  • Compounded annual return / average of 25% largest draw downs
    3.97361
  • Compounded annual return / Expected Shortfall lognormal
    11.56870
  • 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
    -0.00973
  • SD
    0.02499
  • Sharpe ratio (Glass type estimate)
    -0.38939
  • Sharpe ratio (Hedges UMVUE)
    -0.38714
  • df
    130.00000
  • t
    -0.27534
  • p
    0.51207
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.16088
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.38354
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.15935
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.38506
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.55381
  • Upside Potential Ratio
    5.56300
  • Upside part of mean
    0.09774
  • Downside part of mean
    -0.10747
  • Upside SD
    0.01764
  • Downside SD
    0.01757
  • N nonnegative terms
    35.00000
  • N negative terms
    96.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.03439
  • Mean of criterion
    -0.00973
  • SD of predictor
    0.45957
  • SD of criterion
    0.02499
  • Covariance
    0.00076
  • r
    0.06611
  • b (slope, estimate of beta)
    0.00359
  • a (intercept, estimate of alpha)
    -0.00985
  • Mean Square Error
    0.00063
  • DF error
    129.00000
  • t(b)
    0.75255
  • p(b)
    0.45794
  • t(a)
    -0.27837
  • p(a)
    0.51560
  • Lowerbound of 95% confidence interval for beta
    -0.00586
  • Upperbound of 95% confidence interval for beta
    0.01305
  • Lowerbound of 95% confidence interval for alpha
    -0.07989
  • Upperbound of 95% confidence interval for alpha
    0.06018
  • Treynor index (mean / b)
    -2.70676
  • Jensen alpha (a)
    -0.00985
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.01004
  • SD
    0.02499
  • Sharpe ratio (Glass type estimate)
    -0.40178
  • Sharpe ratio (Hedges UMVUE)
    -0.39946
  • df
    130.00000
  • t
    -0.28410
  • p
    0.51245
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.17330
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.37118
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.17169
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.37277
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.57010
  • Upside Potential Ratio
    5.54105
  • Upside part of mean
    0.09757
  • Downside part of mean
    -0.10761
  • Upside SD
    0.01760
  • Downside SD
    0.01761
  • N nonnegative terms
    35.00000
  • N negative terms
    96.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.07142
  • Mean of criterion
    -0.01004
  • SD of predictor
    0.46311
  • SD of criterion
    0.02499
  • Covariance
    0.00080
  • r
    0.06882
  • b (slope, estimate of beta)
    0.00371
  • a (intercept, estimate of alpha)
    -0.00977
  • Mean Square Error
    0.00063
  • DF error
    129.00000
  • t(b)
    0.78351
  • p(b)
    0.45622
  • t(a)
    -0.27618
  • p(a)
    0.51547
  • VAR (95 Confidence Intrvl)
    0.00300
  • Lowerbound of 95% confidence interval for beta
    -0.00566
  • Upperbound of 95% confidence interval for beta
    0.01309
  • Lowerbound of 95% confidence interval for alpha
    -0.07979
  • Upperbound of 95% confidence interval for alpha
    0.06024
  • Treynor index (mean / b)
    -2.70371
  • Jensen alpha (a)
    -0.00977
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00257
  • Expected Shortfall on VaR
    0.00322
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00118
  • Expected Shortfall on VaR
    0.00244
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.99357
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00012
  • Maximum
    1.00732
  • Mean of quarter 1
    0.99867
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00002
  • Mean of quarter 4
    1.00159
  • Inter Quartile Range
    0.00012
  • Number outliers low
    23.00000
  • Percentage of outliers low
    0.17557
  • Mean of outliers low
    0.99812
  • Number of outliers high
    29.00000
  • Percentage of outliers high
    0.22137
  • Mean of outliers high
    1.00178
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.16710
  • VaR(95%) (moments method)
    0.00162
  • Expected Shortfall (moments method)
    0.00274
  • Extreme Value Index (regression method)
    -0.40879
  • VaR(95%) (regression method)
    0.00200
  • Expected Shortfall (regression method)
    0.00275
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00014
  • Quartile 1
    0.00179
  • Median
    0.00216
  • Quartile 3
    0.00577
  • Maximum
    0.01556
  • Mean of quarter 1
    0.00081
  • Mean of quarter 2
    0.00212
  • Mean of quarter 3
    0.00219
  • Mean of quarter 4
    0.01246
  • Inter Quartile Range
    0.00399
  • 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
    0.01556
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    0.25%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -283871000
  • Max Equity Drawdown (num days)
    22
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.01795
  • Compounded annual return (geometric extrapolation)
    0.01803
  • Calmar ratio (compounded annual return / max draw down)
    1.15869
  • Compounded annual return / average of 25% largest draw downs
    1.44693
  • Compounded annual return / Expected Shortfall lognormal
    5.60421

Strategy Description

Short-term discretionary trading.
Trades only equities and almost exclusively highly liquid ETFs. No futures or options.
Trades both long and short.
Average leverage will be low and trading will be infrequent, so this is best traded using excess margin.

Summary Statistics

Strategy began
2019-12-03
Suggested Minimum Capital
$35,000
# Trades
38
# Profitable
24
% Profitable
63.2%
Net Dividends
Correlation S&P500
0.070
Sharpe Ratio
0.47
Sortino Ratio
0.73
Beta
0.00
Alpha
0.00
Leverage
0.33 Average
0.85 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.