Collective2 Collective2
Featured Strategy Income Trades Followed by live capital $91,600 Hypothetical

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These are hypothetical performance results that have certain inherent limitations. Learn more
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Trades-Own-Strategy Certification

This system has earned Trades-Own-Strategy (TOS) Certification. This means that the manager of this system trades his own strategy in a real-life, funded brokerage account.

Trades-Own-Strategy (TOS) Certification Details
Certification process started 01/03/2024
Most recent certification approved 1/3/24 11:32 ET
Trades at broker Interactive Brokers (Stocks, Options, Futures)
Scaling percentage used 100%
# trading signals issued by system since certification 66
# trading signals executed in manager's Interactive Brokers (Stocks, Options, Futures) account 66
Percent signals followed since 01/03/2024 100%
This information was last updated 11/23/24 12:11 ET

Warning: System trading results are still hypothetical.

Even though the system developer is currently trading his own system in a real-life brokerage account, the trading results presented on this Web site must still be regarded as purely hypothetical results. This is because (among other reasons) the system developer may not have traded all signals, particularly those that occurred before 01/03/2024, and the system developer's results may not match the system results presented here. In addition, not all subscribers have received the same trades or prices as the system manager has. For these reasons, and others, it is extremely important you remember the following:

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. Hypothetical performance results have many inherent limitations, some of which are described below. No representation is being made that any account will or is likely to achieve profits or losses similar to those shown. In fact, there are frequently sharp differences between hypothetical performance results and the actual results subsequently achieved by any particular trading program.

One of the limitations of hypothetical performance results is that they are generally prepared with the benefit of hindsight. 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.

You may be interested to learn more technical details about how Collective2 calculates the hypothetical results you see on this web site.

Alphastone
(146841179)

Powered by BrokerTransmit.
Read important disclosures.

Created by: Michael_S Michael_S
Started: 12/2023
Stocks
Last trade: 15 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 $99.00 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.
8.5%
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.

(4.4%)
Max Drawdown
20
Num Trades
80.0%
Win Trades
10.8 : 1
Profit Factor
66.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2023                                                                             (0.1%)(0.1%)
2024+0.1%+3.1%+1.7%(0.6%)(0.1%)+1.2%+0.7%+0.8%+1.1%(0.8%)+1.3%      +8.6%

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.

System developer has asked us to delay this information by 168 hours.

Trading Record

This strategy has placed 66 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Show AutoTrade data Hide AutoTrade data
Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
1/3/24 11:47 XLE ENERGY SELECT SECTOR SPDR LONG 37 85.39 6/5 13:24 93.41 0.24%
Trade id #146890118
Max drawdown($237)
Time1/18/24 0:00
Quant open37
Worst price78.98
Drawdown as % of equity-0.24%
 $296
Includes Typical Broker Commissions trade costs of $0.74
4/1/24 11:59 VBR VANGUARD SMALL CAP VALUE ETF LONG 5 190.47 6/5 13:23 185.23 0.06%
Trade id #147774322
Max drawdown($66)
Time4/18/24 0:00
Quant open5
Worst price177.15
Drawdown as % of equity-0.06%
 ($26)
Includes Typical Broker Commissions trade costs of $0.10
1/3/24 11:49 XLV HEALTH CARE SELECT SECTOR SPDR LONG 7 139.78 6/5 13:23 145.73 0.01%
Trade id #146890139
Max drawdown($10)
Time4/18/24 0:00
Quant open7
Worst price138.21
Drawdown as % of equity-0.01%
 $42
Includes Typical Broker Commissions trade costs of $0.14
1/3/24 11:43 MTUM ISHARES MSCI USA MOMENTUM FACTOR ETF LONG 9 153.01 6/5 13:23 188.21 0.01%
Trade id #146889423
Max drawdown($7)
Time1/5/24 0:00
Quant open9
Worst price152.14
Drawdown as % of equity-0.01%
 $317
Includes Typical Broker Commissions trade costs of $0.18
1/3/24 11:49 XLK TECHNOLOGY SELECT SECTOR SPDR LONG 14 185.56 6/5 13:22 210.81 0.03%
Trade id #146890146
Max drawdown($30)
Time1/5/24 0:00
Quant open14
Worst price183.42
Drawdown as % of equity-0.03%
 $354
Includes Typical Broker Commissions trade costs of $0.28
4/1/24 12:01 FV FIRST TRUST DORSEY WRIGHT FOCU LONG 148 57.10 6/5 13:20 56.00 0.7%
Trade id #147774375
Max drawdown($734)
Time4/19/24 0:00
Quant open148
Worst price52.14
Drawdown as % of equity-0.70%
 ($166)
Includes Typical Broker Commissions trade costs of $2.96
4/1/24 11:59 PTLC PACER TRENDPIOLT 750 ETF LONG 177 47.62 6/5 13:18 48.57 0.43%
Trade id #147774319
Max drawdown($451)
Time4/19/24 0:00
Quant open177
Worst price45.07
Drawdown as % of equity-0.43%
 $164
Includes Typical Broker Commissions trade costs of $3.54
1/3/24 11:40 QUAL ISHARES MSCI USA QUALITY FACTOR ETF LONG 77 152.06 6/5 13:17 167.80 0.05%
Trade id #146889387
Max drawdown($45)
Time1/5/24 0:00
Quant open48
Worst price144.26
Drawdown as % of equity-0.05%
 $1,210
Includes Typical Broker Commissions trade costs of $1.54
4/1/24 13:27 USMV ISHARES EDGE MSCI MIN VOL USA LONG 191 83.01 6/5 13:17 83.05 0.6%
Trade id #147775351
Max drawdown($633)
Time4/17/24 0:00
Quant open191
Worst price79.69
Drawdown as % of equity-0.60%
 $4
Includes Typical Broker Commissions trade costs of $3.82
1/3/24 11:53 XLRE SELECT SECTOR SPDR REAL ESTATE FUND LONG 5 39.75 4/1 12:17 38.97 0.01%
Trade id #146890189
Max drawdown($13)
Time2/13/24 0:00
Quant open5
Worst price37.08
Drawdown as % of equity-0.01%
 ($4)
Includes Typical Broker Commissions trade costs of $0.10
1/3/24 11:39 IWF ISHARES RUSSELL 1000 GROWTH IN LONG 7 296.49 4/1 12:15 336.37 0.02%
Trade id #146889355
Max drawdown($18)
Time1/5/24 0:00
Quant open7
Worst price293.79
Drawdown as % of equity-0.02%
 $279
Includes Typical Broker Commissions trade costs of $0.14
1/3/24 11:48 XLF FINANCIAL SELECT SECTOR SPDR LONG 22 37.53 4/1 12:13 41.87 0.01%
Trade id #146890127
Max drawdown($12)
Time1/18/24 0:00
Quant open22
Worst price36.95
Drawdown as % of equity-0.01%
 $95
Includes Typical Broker Commissions trade costs of $0.44
1/3/24 11:51 XLU UTILITIES SELECT SECTOR SPDR LONG 3 64.25 4/1 12:13 64.97 0.01%
Trade id #146890158
Max drawdown($15)
Time2/13/24 0:00
Quant open3
Worst price59.14
Drawdown as % of equity-0.01%
 $2
Includes Typical Broker Commissions trade costs of $0.06
1/3/24 11:50 XLC COMMUNICATION SERVICES SELECT SPDR FUND LONG 36 72.16 4/1 12:05 81.94 0.01%
Trade id #146890154
Max drawdown($14)
Time1/4/24 0:00
Quant open36
Worst price71.74
Drawdown as % of equity-0.01%
 $351
Includes Typical Broker Commissions trade costs of $0.72
Next

Statistics

  • Strategy began
    12/29/2023
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    330.1
  • Age
    11 months ago
  • What it trades
    Stocks
  • # Trades
    20
  • # Profitable
    16
  • % Profitable
    80.00%
  • Avg trade duration
    148.1 days
  • Max peak-to-valley drawdown
    4.42%
  • drawdown period
    July 10, 2024 - Aug 07, 2024
  • Cumul. Return
    8.5%
  • Avg win
    $676.94
  • Avg loss
    $255.25
  • Model Account Values (Raw)
  • Cash
    $78,470
  • Margin Used
    $0
  • Buying Power
    $85,346
  • Ratios
  • W:L ratio
    10.83:1
  • Sharpe Ratio
    1.16
  • Sortino Ratio
    1.65
  • Calmar Ratio
    2.981
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -16.64%
  • Correlation to SP500
    0.50550
  • Return Percent SP500 (cumu) during strategy life
    25.15%
  • Return Statistics
  • Ann Return (w trading costs)
    9.3%
  • Slump
  • Current Slump as Pcnt Equity
    0.60%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.04%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.085%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    11.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    n/a
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    629
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    935
  • Popularity (7 days, Percentile 1000 scale)
    490
  • Trades-Own-System Certification
  • Trades Own System?
    Yes
  • TOS percent
    100%
  • Win / Loss
  • Avg Loss
    $255
  • Avg Win
    $677
  • Sum Trade PL (losers)
    $1,021.000
  • Age
  • Num Months filled monthly returns table
    12
  • Win / Loss
  • Sum Trade PL (winners)
    $10,831.000
  • # Winners
    16
  • Num Months Winners
    8
  • Dividends
  • Dividends Received in Model Acct
    222
  • AUM
  • AUM (AutoTrader live capital)
    109957
  • Win / Loss
  • # Losers
    4
  • % Winners
    80.0%
  • Frequency
  • Avg Position Time (mins)
    213319.00
  • Avg Position Time (hrs)
    3555.32
  • Avg Trade Length
    148.1 days
  • Last Trade Ago
    15
  • Leverage
  • Daily leverage (average)
    0.88
  • Daily leverage (max)
    1.05
  • Regression
  • Alpha
    0.01
  • Beta
    0.21
  • Treynor Index
    0.10
  • 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)
    -10.35
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    1.016
  • 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
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    0.285
  • Avg(MAE) / Avg(PL) - Losing trades
    -4.149
  • Hold-and-Hope Ratio
    1.688
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.07593
  • SD
    0.04282
  • Sharpe ratio (Glass type estimate)
    1.77333
  • Sharpe ratio (Hedges UMVUE)
    1.62061
  • df
    9.00000
  • t
    1.61883
  • p
    0.06997
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.56279
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.02473
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.65321
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.89442
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.26868
  • Upside Potential Ratio
    7.77580
  • Upside part of mean
    0.09418
  • Downside part of mean
    -0.01825
  • Upside SD
    0.04454
  • Downside SD
    0.01211
  • 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
    0.19375
  • Mean of criterion
    0.07593
  • SD of predictor
    0.10418
  • SD of criterion
    0.04282
  • Covariance
    0.00314
  • r
    0.70503
  • b (slope, estimate of beta)
    0.28976
  • a (intercept, estimate of alpha)
    0.01978
  • Mean Square Error
    0.00104
  • DF error
    8.00000
  • t(b)
    2.81184
  • p(b)
    0.01139
  • t(a)
    0.48805
  • p(a)
    0.31931
  • Lowerbound of 95% confidence interval for beta
    0.05213
  • Upperbound of 95% confidence interval for beta
    0.52739
  • Lowerbound of 95% confidence interval for alpha
    -0.07370
  • Upperbound of 95% confidence interval for alpha
    0.11327
  • Treynor index (mean / b)
    0.26203
  • Jensen alpha (a)
    0.01978
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.07471
  • SD
    0.04226
  • Sharpe ratio (Glass type estimate)
    1.76796
  • Sharpe ratio (Hedges UMVUE)
    1.61570
  • df
    9.00000
  • t
    1.61392
  • p
    0.07050
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.56717
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.01859
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.65737
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.88877
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.15076
  • Upside Potential Ratio
    7.65625
  • Upside part of mean
    0.09299
  • Downside part of mean
    -0.01829
  • Upside SD
    0.04387
  • Downside SD
    0.01215
  • 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
    0.18703
  • Mean of criterion
    0.07471
  • SD of predictor
    0.10275
  • SD of criterion
    0.04226
  • Covariance
    0.00306
  • r
    0.70577
  • b (slope, estimate of beta)
    0.29023
  • a (intercept, estimate of alpha)
    0.02042
  • Mean Square Error
    0.00101
  • DF error
    8.00000
  • t(b)
    2.81773
  • p(b)
    0.01129
  • t(a)
    0.51370
  • p(a)
    0.31067
  • Lowerbound of 95% confidence interval for beta
    0.05271
  • Upperbound of 95% confidence interval for beta
    0.52776
  • Lowerbound of 95% confidence interval for alpha
    -0.07126
  • Upperbound of 95% confidence interval for alpha
    0.11211
  • Treynor index (mean / b)
    0.25740
  • Jensen alpha (a)
    0.02042
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01374
  • Expected Shortfall on VaR
    0.01875
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00298
  • Expected Shortfall on VaR
    0.00636
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    10.00000
  • Minimum
    0.99160
  • Quartile 1
    1.00105
  • Median
    1.00547
  • Quartile 3
    1.01296
  • Maximum
    1.03413
  • Mean of quarter 1
    0.99763
  • Mean of quarter 2
    1.00307
  • Mean of quarter 3
    1.00848
  • Mean of quarter 4
    1.02352
  • Inter Quartile Range
    0.01191
  • 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
    0.10000
  • Mean of outliers high
    1.03413
  • 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
    0.00840
  • Quartile 1
    0.00840
  • Median
    0.00840
  • Quartile 3
    0.00840
  • Maximum
    0.00840
  • 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)
    0.10713
  • Compounded annual return (geometric extrapolation)
    0.10806
  • Calmar ratio (compounded annual return / max draw down)
    12.86510
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    5.76412
  • 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
    0.07997
  • SD
    0.05215
  • Sharpe ratio (Glass type estimate)
    1.53349
  • Sharpe ratio (Hedges UMVUE)
    1.52855
  • df
    233.00000
  • t
    1.44923
  • p
    0.07431
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.54672
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.61045
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.55000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.60710
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.25037
  • Upside Potential Ratio
    10.44610
  • Upside part of mean
    0.37123
  • Downside part of mean
    -0.29125
  • Upside SD
    0.03833
  • Downside SD
    0.03554
  • N nonnegative terms
    126.00000
  • N negative terms
    108.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    234.00000
  • Mean of predictor
    0.23132
  • Mean of criterion
    0.07997
  • SD of predictor
    0.12621
  • SD of criterion
    0.05215
  • Covariance
    0.00341
  • r
    0.51804
  • b (slope, estimate of beta)
    0.21406
  • a (intercept, estimate of alpha)
    0.03000
  • Mean Square Error
    0.00200
  • DF error
    232.00000
  • t(b)
    9.22486
  • p(b)
    0.00000
  • t(a)
    0.63977
  • p(a)
    0.26148
  • Lowerbound of 95% confidence interval for beta
    0.16834
  • Upperbound of 95% confidence interval for beta
    0.25977
  • Lowerbound of 95% confidence interval for alpha
    -0.06334
  • Upperbound of 95% confidence interval for alpha
    0.12425
  • Treynor index (mean / b)
    0.37360
  • Jensen alpha (a)
    0.03046
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.07860
  • SD
    0.05215
  • Sharpe ratio (Glass type estimate)
    1.50701
  • Sharpe ratio (Hedges UMVUE)
    1.50215
  • df
    233.00000
  • t
    1.42421
  • p
    0.07786
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.57297
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.58388
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.57624
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.58055
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.20557
  • Upside Potential Ratio
    10.39550
  • Upside part of mean
    0.37045
  • Downside part of mean
    -0.29186
  • Upside SD
    0.03824
  • Downside SD
    0.03564
  • N nonnegative terms
    126.00000
  • N negative terms
    108.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    234.00000
  • Mean of predictor
    0.22326
  • Mean of criterion
    0.07860
  • SD of predictor
    0.12628
  • SD of criterion
    0.05215
  • Covariance
    0.00342
  • r
    0.51926
  • b (slope, estimate of beta)
    0.21445
  • a (intercept, estimate of alpha)
    0.03072
  • Mean Square Error
    0.00200
  • DF error
    232.00000
  • t(b)
    9.25458
  • p(b)
    0.00000
  • t(a)
    0.64607
  • p(a)
    0.25944
  • Lowerbound of 95% confidence interval for beta
    0.16880
  • Upperbound of 95% confidence interval for beta
    0.26011
  • Lowerbound of 95% confidence interval for alpha
    -0.06296
  • Upperbound of 95% confidence interval for alpha
    0.12440
  • Treynor index (mean / b)
    0.36651
  • Jensen alpha (a)
    0.03072
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00499
  • Expected Shortfall on VaR
    0.00633
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00244
  • Expected Shortfall on VaR
    0.00475
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    234.00000
  • Minimum
    0.99064
  • Quartile 1
    0.99845
  • Median
    1.00031
  • Quartile 3
    1.00243
  • Maximum
    1.00774
  • Mean of quarter 1
    0.99624
  • Mean of quarter 2
    0.99957
  • Mean of quarter 3
    1.00151
  • Mean of quarter 4
    1.00433
  • Inter Quartile Range
    0.00399
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.01709
  • Mean of outliers low
    0.99125
  • 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)
    -0.16186
  • VaR(95%) (moments method)
    0.00355
  • Expected Shortfall (moments method)
    0.00449
  • Extreme Value Index (regression method)
    -0.23487
  • VaR(95%) (regression method)
    0.00371
  • Expected Shortfall (regression method)
    0.00460
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    25.00000
  • Minimum
    0.00009
  • Quartile 1
    0.00142
  • Median
    0.00571
  • Quartile 3
    0.00943
  • Maximum
    0.03770
  • Mean of quarter 1
    0.00060
  • Mean of quarter 2
    0.00425
  • Mean of quarter 3
    0.00699
  • Mean of quarter 4
    0.01886
  • Inter Quartile Range
    0.00801
  • 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
    0.08000
  • Mean of outliers high
    0.02962
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.07819
  • VaR(95%) (moments method)
    0.01883
  • Expected Shortfall (moments method)
    0.02573
  • Extreme Value Index (regression method)
    0.70631
  • VaR(95%) (regression method)
    0.02247
  • Expected Shortfall (regression method)
    0.06758
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.11173
  • Compounded annual return (geometric extrapolation)
    0.11238
  • Calmar ratio (compounded annual return / max draw down)
    2.98095
  • Compounded annual return / average of 25% largest draw downs
    5.95894
  • Compounded annual return / Expected Shortfall lognormal
    17.76660
  • 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
    0.07697
  • SD
    0.05421
  • Sharpe ratio (Glass type estimate)
    1.41968
  • Sharpe ratio (Hedges UMVUE)
    1.41147
  • df
    130.00000
  • t
    1.00386
  • p
    0.45615
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.36016
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.19419
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.36564
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.18858
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.04229
  • Upside Potential Ratio
    10.02020
  • Upside part of mean
    0.37762
  • Downside part of mean
    -0.30066
  • Upside SD
    0.03897
  • Downside SD
    0.03769
  • N nonnegative terms
    72.00000
  • N negative terms
    59.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.23133
  • Mean of criterion
    0.07697
  • SD of predictor
    0.13518
  • SD of criterion
    0.05421
  • Covariance
    0.00415
  • r
    0.56603
  • b (slope, estimate of beta)
    0.22700
  • a (intercept, estimate of alpha)
    0.02445
  • Mean Square Error
    0.00201
  • DF error
    129.00000
  • t(b)
    7.79838
  • p(b)
    0.15995
  • t(a)
    0.38326
  • p(a)
    0.47853
  • Lowerbound of 95% confidence interval for beta
    0.16941
  • Upperbound of 95% confidence interval for beta
    0.28459
  • Lowerbound of 95% confidence interval for alpha
    -0.10179
  • Upperbound of 95% confidence interval for alpha
    0.15070
  • Treynor index (mean / b)
    0.33906
  • Jensen alpha (a)
    0.02445
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.07549
  • SD
    0.05423
  • Sharpe ratio (Glass type estimate)
    1.39198
  • Sharpe ratio (Hedges UMVUE)
    1.38394
  • df
    130.00000
  • t
    0.98428
  • p
    0.45700
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.38764
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.16629
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.39297
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.16084
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.99693
  • Upside Potential Ratio
    9.96845
  • Upside part of mean
    0.37683
  • Downside part of mean
    -0.30134
  • Upside SD
    0.03887
  • Downside SD
    0.03780
  • N nonnegative terms
    72.00000
  • N negative terms
    59.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.22212
  • Mean of criterion
    0.07549
  • SD of predictor
    0.13537
  • SD of criterion
    0.05423
  • Covariance
    0.00417
  • r
    0.56798
  • b (slope, estimate of beta)
    0.22754
  • a (intercept, estimate of alpha)
    0.02494
  • Mean Square Error
    0.00201
  • DF error
    129.00000
  • t(b)
    7.83802
  • p(b)
    0.15892
  • t(a)
    0.39163
  • p(a)
    0.47807
  • VAR (95 Confidence Intrvl)
    0.00500
  • Lowerbound of 95% confidence interval for beta
    0.17011
  • Upperbound of 95% confidence interval for beta
    0.28498
  • Lowerbound of 95% confidence interval for alpha
    -0.10107
  • Upperbound of 95% confidence interval for alpha
    0.15096
  • Treynor index (mean / b)
    0.33175
  • Jensen alpha (a)
    0.02494
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00521
  • Expected Shortfall on VaR
    0.00660
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00248
  • Expected Shortfall on VaR
    0.00490
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.99064
  • Quartile 1
    0.99860
  • Median
    1.00028
  • Quartile 3
    1.00245
  • Maximum
    1.00774
  • Mean of quarter 1
    0.99607
  • Mean of quarter 2
    0.99961
  • Mean of quarter 3
    1.00156
  • Mean of quarter 4
    1.00440
  • Inter Quartile Range
    0.00385
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.03053
  • Mean of outliers low
    0.99125
  • 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)
    -0.25426
  • VaR(95%) (moments method)
    0.00354
  • Expected Shortfall (moments method)
    0.00440
  • Extreme Value Index (regression method)
    -0.16138
  • VaR(95%) (regression method)
    0.00344
  • Expected Shortfall (regression method)
    0.00439
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    12.00000
  • Minimum
    0.00016
  • Quartile 1
    0.00396
  • Median
    0.00649
  • Quartile 3
    0.01198
  • Maximum
    0.03770
  • Mean of quarter 1
    0.00158
  • Mean of quarter 2
    0.00515
  • Mean of quarter 3
    0.00963
  • Mean of quarter 4
    0.02297
  • Inter Quartile Range
    0.00802
  • 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
    0.08333
  • Mean of outliers high
    0.03770
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00559
  • VaR(95%) (moments method)
    0.02412
  • Expected Shortfall (moments method)
    0.03247
  • Extreme Value Index (regression method)
    1.83872
  • VaR(95%) (regression method)
    0.03747
  • 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?
    -347092000
  • Max Equity Drawdown (num days)
    28
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.10611
  • Compounded annual return (geometric extrapolation)
    0.10893
  • Calmar ratio (compounded annual return / max draw down)
    2.88933
  • Compounded annual return / average of 25% largest draw downs
    4.74291
  • Compounded annual return / Expected Shortfall lognormal
    16.50430

Strategy Description

Investment Philosophy
I believe the most effective way to generate market-beating returns is by (1) dynamically adapting to expected market behavior, (2) incorporating protective assets designed to reduce portfolio volatility and (3) adhering to sensible risk limits designed to mitigate extreme loss.

Asset Allocation
I expect equities will comprise the vast majority of portfolio capital over time with the balance allocated to diversifying assets as needed. In the short term, these proportions can fluctuate depending on my research insights. The portfolio is re-balanced on an annual basis. Some ETFs may use leverage.

Idea Generation
The research process is multi-disciplinary in nature. It utilizes top-down, bottoms-up, qualitative and quantitative methods to determine overall market ‘risk appetite’. This process helps establish optimal proportions of capital amongst investment categories and positions. These views are updated annually.

Portfolio Construction
I construct the portfolio by evaluating markets and combining assets and strategies pursuant to established risk limits. This is reflected in the following portfolio parameters:

1. Instruments: U.S. listed ETFs, mostly U.S. equities, 23 in total (some use derivatives and leverage)
2. Directionality: only takes long positions in ETFs; some non-equity ETFs may have longs or shorts
3. Portfolio Leverage: portfolio does not borrow, uses margin or go short any ETFs
4. ETF Leverage: sum of maximum expected gross exposure across underlying ETFs = ~1.5X
5. Average Capital Allocation: Equities ~85% (range 50-100%), balance to FX, Bonds, and Commodities
6. Restrictions: only long positions allowed in equities
7. Rebalance Frequency: approximately once per year (generally around the turn of the year)
8. Estimated Portfolio Turnover: approximately ~50-100% per year
9. Estimated Long-Term Average Realized Volatility: annualized standard deviation ~15%

Performance Expectations
I am striving for a return profile analogous to a long call option on equities. Long term beta management will ultimately drive returns, alpha and relative drawdowns, which I expect to be competitive versus broad equity indices over time. Because I use an adaptive investing approach with a focus on generating asymmetric returns, I expect my investment decisions will maximize ROI over time frames that include at least one bull market and one bear market.

Suitability
The portfolio relies substantially on equity markets to generate returns, generally rebalances once per year and can invest in some ETFs that utilize leverage. Therefore, it is only suitable for investors with a high risk-tolerance, a long investment horizon and are prepared to lose some or all of their investment.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2023-12-29
Suggested Minimum Capital
$15,000
Rank at C2 %
Top 6.5%
Rank # 
#141
# Trades
20
# Profitable
16
% Profitable
80.0%
Net Dividends
$222
Correlation S&P500
0.505
Sharpe Ratio
1.16
Sortino Ratio
1.65
Beta
0.21
Alpha
0.01
Leverage
0.88 Average
1.05 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.

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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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