Collective2 Collective2
Featured Strategy Easiest Followed by live capital $481,000 Hypothetical

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These are hypothetical performance results that have certain inherent limitations. Learn more
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Sunbrick US Equity Value
(125082757)

Created by: YieldPilot YieldPilot
Started: 08/2019
Stocks
Last trade: 76 days ago
Trading style: Equity Non-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 $125.00 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
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."
10.9%
Annual Return (Compounded)

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 Annualized (Compounded) Rate of Return is calculated

= ((Ending_equity / Starting_equity) ^ (1 / age_in_years)) - 1

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

All results are hypothetical.

(42.7%)
Max Drawdown
99
Num Trades
63.6%
Win Trades
3.5 : 1
Profit Factor
66.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019                                                 +0.9%+3.3%+1.8%+2.1%+3.8%+12.3%
2020+1.4%(8.1%)(20.9%)+14.2%+8.2%(1%)+1.5%+9.0%(0.9%)(6.4%)+7.6%+7.1%+6.7%
2021+23.3%+1.1%+5.5%+4.7%+1.5%+1.1%+1.9%+3.3%(7.4%)+3.1%+0.1%+6.5%+51.2%
2022(6.5%)(4.9%)+1.0%(7.9%)+1.3%(7.4%)+7.1%(6.4%)(5.4%)+8.3%+6.3%(2.9%)(17.6%)
2023+7.1%(5.9%)+7.8%+2.5%(5%)+7.5%+1.8%(3.6%)(4.8%)(6.6%)+4.9%+5.0%+9.1%
2024+0.8%+2.5%+3.5%(6.9%)                                                (0.6%)

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 2 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 1535 days ago.

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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
6/2/22 15:18 VRTX VERTEX LONG 25 320.00 2/1/24 10:16 412.85 0.26%
Trade id #140665987
Max drawdown($176)
Time6/14/22 0:00
Quant open7
Worst price243.17
Drawdown as % of equity-0.26%
 $2,321
Includes Typical Broker Commissions trade costs of $0.50
5/3/21 15:07 AKAM AKAMAI TECHNOLOGIES LONG 26 98.88 11/3/23 9:30 103.33 0.73%
Trade id #135427132
Max drawdown($548)
Time3/13/23 0:00
Quant open17
Worst price70.65
Drawdown as % of equity-0.73%
 $115
Includes Typical Broker Commissions trade costs of $0.52
5/1/23 9:30 ATVI ACTIVISION BLIZZARD LONG 24 77.60 10/23 9:30 95.00 0.12%
Trade id #144484644
Max drawdown($95)
Time5/4/23 0:00
Quant open24
Worst price73.61
Drawdown as % of equity-0.12%
 $418
Includes Typical Broker Commissions trade costs of $0.48
5/1/23 9:30 RHI ROBERT HALF INC LONG 25 73.01 8/1 9:30 73.72 0.26%
Trade id #144484646
Max drawdown($209)
Time5/31/23 0:00
Quant open25
Worst price64.65
Drawdown as % of equity-0.26%
 $18
Includes Typical Broker Commissions trade costs of $0.50
5/1/23 9:31 EOG EOG RESOURCES LONG 15 117.85 8/1 9:30 131.54 0.22%
Trade id #144484687
Max drawdown($172)
Time6/1/23 0:00
Quant open15
Worst price106.32
Drawdown as % of equity-0.22%
 $205
Includes Typical Broker Commissions trade costs of $0.30
5/1/23 9:31 SWKS SKYWORKS SOLUTIONS LONG 17 105.82 8/1 9:30 113.33 0.29%
Trade id #144484692
Max drawdown($233)
Time5/9/23 0:00
Quant open17
Worst price92.07
Drawdown as % of equity-0.29%
 $128
Includes Typical Broker Commissions trade costs of $0.34
5/1/23 9:31 ADP AUTOMATIC DATA PROCESSING LONG 8 219.23 8/1 9:30 247.26 0.13%
Trade id #144484659
Max drawdown($104)
Time5/31/23 0:00
Quant open8
Worst price206.17
Drawdown as % of equity-0.13%
 $224
Includes Typical Broker Commissions trade costs of $0.16
6/2/22 15:16 PKI PERKINELMER LONG 15 148.52 5/1/23 9:32 136.50 0.55%
Trade id #140665960
Max drawdown($370)
Time10/13/22 0:00
Quant open10
Worst price113.46
Drawdown as % of equity-0.55%
 ($180)
Includes Typical Broker Commissions trade costs of $0.30
6/2/22 15:17 QCOM QUALCOMM LONG 12 145.99 5/1/23 9:30 119.89 0.67%
Trade id #140665972
Max drawdown($454)
Time10/13/22 0:00
Quant open11
Worst price104.66
Drawdown as % of equity-0.67%
 ($313)
Includes Typical Broker Commissions trade costs of $0.24
6/2/22 15:16 NFLX NETFLIX LONG 9 204.16 5/1/23 9:30 294.72 0.53%
Trade id #140665952
Max drawdown($358)
Time6/14/22 0:00
Quant open9
Worst price164.28
Drawdown as % of equity-0.53%
 $815
Includes Typical Broker Commissions trade costs of $0.18
5/3/21 15:06 GOOGL ALPHABET INC CLASS A LONG 89 111.03 5/1/23 9:30 107.98 2.53%
Trade id #135427110
Max drawdown($1,781)
Time11/3/22 0:00
Quant open57
Worst price83.34
Drawdown as % of equity-2.53%
 ($274)
Includes Typical Broker Commissions trade costs of $1.78
8/1/22 9:31 WHR WHIRLPOOL LONG 9 171.80 5/1/23 9:30 140.24 0.55%
Trade id #141250567
Max drawdown($429)
Time3/24/23 0:00
Quant open9
Worst price124.10
Drawdown as % of equity-0.55%
 ($284)
Includes Typical Broker Commissions trade costs of $0.18
6/2/22 15:18 TTWO TAKE-TWO INTERACTIVE SFTW LONG 18 124.38 5/1/23 9:30 124.33 0.49%
Trade id #140665985
Max drawdown($348)
Time11/8/22 0:00
Quant open9
Worst price90.00
Drawdown as % of equity-0.49%
 ($1)
Includes Typical Broker Commissions trade costs of $0.36
6/2/22 15:14 LEN LENNAR LONG 79 79.84 5/1/23 9:30 101.32 2.05%
Trade id #140665917
Max drawdown($1,366)
Time6/17/22 0:00
Quant open79
Worst price62.54
Drawdown as % of equity-2.05%
 $1,695
Includes Typical Broker Commissions trade costs of $1.58
5/3/21 15:09 CHD CHURCH & DWIGHT COMPANY LONG 20 87.59 5/1/23 9:30 92.50 0.46%
Trade id #135427179
Max drawdown($313)
Time10/10/22 0:00
Quant open18
Worst price70.16
Drawdown as % of equity-0.46%
 $98
Includes Typical Broker Commissions trade costs of $0.40
11/1/22 9:30 GNRC GENERAC HOLDINGS LONG 12 119.18 5/1/23 9:30 102.16 0.4%
Trade id #142392473
Max drawdown($323)
Time4/26/23 0:00
Quant open12
Worst price92.22
Drawdown as % of equity-0.40%
 ($204)
Includes Typical Broker Commissions trade costs of $0.24
5/3/21 15:10 LLY ELI LILLY LONG 10 201.36 5/1/23 9:30 328.24 0%
Trade id #135427223
Max drawdown($1)
Time5/3/21 15:20
Quant open9
Worst price185.25
Drawdown as % of equity-0.00%
 $1,269
Includes Typical Broker Commissions trade costs of $0.20
8/1/22 9:31 META META PLATFORMS INC. CLASS A LONG 10 157.25 5/1/23 9:30 238.62 1%
Trade id #141250561
Max drawdown($691)
Time11/4/22 0:00
Quant open10
Worst price88.09
Drawdown as % of equity-1.00%
 $814
Includes Typical Broker Commissions trade costs of $0.20
8/27/20 12:49 PHM PULTEGROUP LONG 162 54.03 5/1/23 9:30 63.32 4.07%
Trade id #130823183
Max drawdown($2,710)
Time6/17/22 0:00
Quant open139
Worst price35.03
Drawdown as % of equity-4.07%
 $1,502
Includes Typical Broker Commissions trade costs of $3.24
8/1/22 9:31 CE CELANESE LONG 13 115.35 5/1/23 9:30 106.20 0.54%
Trade id #141250574
Max drawdown($372)
Time9/26/22 0:00
Quant open13
Worst price86.70
Drawdown as % of equity-0.54%
 ($119)
Includes Typical Broker Commissions trade costs of $0.26
6/2/22 15:15 EA ELECTRONIC ARTS LONG 17 133.78 5/1/23 9:30 127.19 0.44%
Trade id #140665942
Max drawdown($328)
Time3/13/23 0:00
Quant open13
Worst price108.53
Drawdown as % of equity-0.44%
 ($112)
Includes Typical Broker Commissions trade costs of $0.34
6/2/22 15:17 TGT TARGET LONG 11 160.00 5/1/23 9:30 161.07 0.36%
Trade id #140665981
Max drawdown($251)
Time6/30/22 0:00
Quant open11
Worst price137.16
Drawdown as % of equity-0.36%
 $12
Includes Typical Broker Commissions trade costs of $0.22
8/26/19 9:31 DHI DR HORTON LONG 364 60.46 5/1/23 9:30 80.98 9.87%
Trade id #125084595
Max drawdown($3,829)
Time3/18/20 0:00
Quant open162
Worst price25.51
Drawdown as % of equity-9.87%
 $7,462
Includes Typical Broker Commissions trade costs of $7.28
8/1/22 9:31 INTC INTEL LONG 275 32.62 5/1/23 9:30 31.11 2.89%
Trade id #141250569
Max drawdown($2,170)
Time2/28/23 0:00
Quant open275
Worst price24.73
Drawdown as % of equity-2.89%
 ($422)
Includes Typical Broker Commissions trade costs of $5.50
11/1/22 9:30 WST WEST PHARMACEUTICAL LONG 5 230.16 2/1/23 9:32 266.47 0.17%
Trade id #142392530
Max drawdown($115)
Time11/4/22 0:00
Quant open5
Worst price206.99
Drawdown as % of equity-0.17%
 $182
Includes Typical Broker Commissions trade costs of $0.10
11/1/22 9:30 TEL TE CONNECTIVITY LONG 9 123.69 2/1/23 9:31 127.27 0.16%
Trade id #142392516
Max drawdown($115)
Time11/3/22 0:00
Quant open9
Worst price110.88
Drawdown as % of equity-0.16%
 $32
Includes Typical Broker Commissions trade costs of $0.18
11/1/22 9:30 SWKS SKYWORKS SOLUTIONS LONG 13 87.51 2/1/23 9:31 109.97 0.14%
Trade id #142392507
Max drawdown($96)
Time11/3/22 0:00
Quant open13
Worst price80.08
Drawdown as % of equity-0.14%
 $292
Includes Typical Broker Commissions trade costs of $0.26
11/1/22 9:30 PG PROCTER & GAMBLE LONG 8 134.70 2/1/23 9:31 142.16 0.04%
Trade id #142392512
Max drawdown($29)
Time11/3/22 0:00
Quant open8
Worst price130.96
Drawdown as % of equity-0.04%
 $60
Includes Typical Broker Commissions trade costs of $0.16
2/1/21 10:15 REGN REGENERON PHARMACEUTICALS LONG 14 492.37 2/1/23 9:30 706.82 0.26%
Trade id #133754172
Max drawdown($196)
Time3/4/21 0:00
Quant open3
Worst price441.00
Drawdown as % of equity-0.26%
 $3,002
Includes Typical Broker Commissions trade costs of $0.28
11/1/22 9:30 ATVI ACTIVISION BLIZZARD LONG 15 73.26 2/1/23 9:30 75.67 0.05%
Trade id #142392524
Max drawdown($34)
Time11/7/22 0:00
Quant open15
Worst price70.94
Drawdown as % of equity-0.05%
 $36
Includes Typical Broker Commissions trade costs of $0.30
Next

Statistics

  • Strategy began
    8/26/2019
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    1696.56
  • Age
    57 months ago
  • What it trades
    Stocks
  • # Trades
    99
  • # Profitable
    63
  • % Profitable
    63.60%
  • Avg trade duration
    384.2 days
  • Max peak-to-valley drawdown
    42.74%
  • drawdown period
    Feb 12, 2020 - March 23, 2020
  • Annual Return (Compounded)
    10.9%
  • Avg win
    $851.03
  • Avg loss
    $538.00
  • Model Account Values (Raw)
  • Cash
    $51,197
  • Margin Used
    $0
  • Buying Power
    $44,732
  • Ratios
  • W:L ratio
    3.45:1
  • Sharpe Ratio
    0.45
  • Sortino Ratio
    0.66
  • Calmar Ratio
    0.339
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -12.42%
  • Correlation to SP500
    0.60480
  • Return Percent SP500 (cumu) during strategy life
    74.48%
  • Return Statistics
  • Ann Return (w trading costs)
    10.9%
  • Slump
  • Current Slump as Pcnt Equity
    12.90%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.49%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.109%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    13.5%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    66.50%
  • Chance of 20% account loss
    38.50%
  • Chance of 30% account loss
    19.50%
  • Chance of 40% account loss
    7.00%
  • 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
    0.50%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    324
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    328
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $586
  • Avg Win
    $866
  • Sum Trade PL (losers)
    $21,080.000
  • Age
  • Num Months filled monthly returns table
    57
  • Win / Loss
  • Sum Trade PL (winners)
    $54,573.000
  • # Winners
    63
  • Num Months Winners
    38
  • Dividends
  • Dividends Received in Model Acct
    6621
  • Win / Loss
  • # Losers
    36
  • % Winners
    63.6%
  • Frequency
  • Avg Position Time (mins)
    553170.00
  • Avg Position Time (hrs)
    9219.50
  • Avg Trade Length
    384.1 days
  • Last Trade Ago
    76
  • Leverage
  • Daily leverage (average)
    0.98
  • Daily leverage (max)
    1.35
  • Regression
  • Alpha
    0.01
  • Beta
    0.55
  • Treynor Index
    0.05
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -5.16
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    1.993
  • 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
    0.03
  • Avg(MAE) / Avg(PL) - Winning trades
    0.522
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.884
  • Hold-and-Hope Ratio
    0.522
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.12579
  • SD
    0.21862
  • Sharpe ratio (Glass type estimate)
    0.57539
  • Sharpe ratio (Hedges UMVUE)
    0.56736
  • df
    54.00000
  • t
    1.23183
  • p
    0.11167
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.34909
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.49466
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.35437
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.48909
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.89980
  • Upside Potential Ratio
    2.34990
  • Upside part of mean
    0.32852
  • Downside part of mean
    -0.20272
  • Upside SD
    0.16941
  • Downside SD
    0.13980
  • N nonnegative terms
    36.00000
  • N negative terms
    19.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    55.00000
  • Mean of predictor
    0.11068
  • Mean of criterion
    0.12579
  • SD of predictor
    0.18230
  • SD of criterion
    0.21862
  • Covariance
    0.03072
  • r
    0.77070
  • b (slope, estimate of beta)
    0.92424
  • a (intercept, estimate of alpha)
    0.02350
  • Mean Square Error
    0.01977
  • DF error
    53.00000
  • t(b)
    8.80529
  • p(b)
    -0.00000
  • t(a)
    0.35227
  • p(a)
    0.36301
  • Lowerbound of 95% confidence interval for beta
    0.71371
  • Upperbound of 95% confidence interval for beta
    1.13477
  • Lowerbound of 95% confidence interval for alpha
    -0.11029
  • Upperbound of 95% confidence interval for alpha
    0.15728
  • Treynor index (mean / b)
    0.13610
  • Jensen alpha (a)
    0.02350
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.10131
  • SD
    0.22097
  • Sharpe ratio (Glass type estimate)
    0.45846
  • Sharpe ratio (Hedges UMVUE)
    0.45206
  • df
    54.00000
  • t
    0.98151
  • p
    0.16536
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.46318
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.37593
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.46739
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.37152
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.66251
  • Upside Potential Ratio
    2.05700
  • Upside part of mean
    0.31455
  • Downside part of mean
    -0.21324
  • Upside SD
    0.15941
  • Downside SD
    0.15291
  • N nonnegative terms
    36.00000
  • N negative terms
    19.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    55.00000
  • Mean of predictor
    0.09354
  • Mean of criterion
    0.10131
  • SD of predictor
    0.18395
  • SD of criterion
    0.22097
  • Covariance
    0.03166
  • r
    0.77901
  • b (slope, estimate of beta)
    0.93581
  • a (intercept, estimate of alpha)
    0.01377
  • Mean Square Error
    0.01956
  • DF error
    53.00000
  • t(b)
    9.04487
  • p(b)
    -0.00000
  • t(a)
    0.20850
  • p(a)
    0.41782
  • Lowerbound of 95% confidence interval for beta
    0.72829
  • Upperbound of 95% confidence interval for beta
    1.14333
  • Lowerbound of 95% confidence interval for alpha
    -0.11869
  • Upperbound of 95% confidence interval for alpha
    0.14623
  • Treynor index (mean / b)
    0.10826
  • Jensen alpha (a)
    0.01377
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.09197
  • Expected Shortfall on VaR
    0.11561
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02967
  • Expected Shortfall on VaR
    0.06583
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    55.00000
  • Minimum
    0.77047
  • Quartile 1
    0.97671
  • Median
    1.01568
  • Quartile 3
    1.04000
  • Maximum
    1.16943
  • Mean of quarter 1
    0.94139
  • Mean of quarter 2
    1.00039
  • Mean of quarter 3
    1.02680
  • Mean of quarter 4
    1.08366
  • Inter Quartile Range
    0.06329
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.01818
  • Mean of outliers low
    0.77047
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.05455
  • Mean of outliers high
    1.16696
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.45441
  • VaR(95%) (moments method)
    0.06363
  • Expected Shortfall (moments method)
    0.12807
  • Extreme Value Index (regression method)
    0.63955
  • VaR(95%) (regression method)
    0.06137
  • Expected Shortfall (regression method)
    0.16327
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.03527
  • Quartile 1
    0.04233
  • Median
    0.12615
  • Quartile 3
    0.22627
  • Maximum
    0.28221
  • Mean of quarter 1
    0.03527
  • Mean of quarter 2
    0.04469
  • Mean of quarter 3
    0.20762
  • Mean of quarter 4
    0.28221
  • Inter Quartile Range
    0.18394
  • 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)
    0.17630
  • Compounded annual return (geometric extrapolation)
    0.13793
  • Calmar ratio (compounded annual return / max draw down)
    0.48876
  • Compounded annual return / average of 25% largest draw downs
    0.48876
  • Compounded annual return / Expected Shortfall lognormal
    1.19308
  • 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
    0.11823
  • SD
    0.18405
  • Sharpe ratio (Glass type estimate)
    0.64240
  • Sharpe ratio (Hedges UMVUE)
    0.64199
  • df
    1200.00000
  • t
    1.37538
  • p
    0.48016
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.27353
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.55806
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.27380
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.55779
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.94562
  • Upside Potential Ratio
    8.26807
  • Upside part of mean
    1.03378
  • Downside part of mean
    -0.91554
  • Upside SD
    0.13515
  • Downside SD
    0.12503
  • N nonnegative terms
    625.00000
  • N negative terms
    576.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1201.00000
  • Mean of predictor
    0.11734
  • Mean of criterion
    0.11823
  • SD of predictor
    0.21760
  • SD of criterion
    0.18405
  • Covariance
    0.02401
  • r
    0.59961
  • b (slope, estimate of beta)
    0.50717
  • a (intercept, estimate of alpha)
    0.05900
  • Mean Square Error
    0.02171
  • DF error
    1199.00000
  • t(b)
    25.94370
  • p(b)
    0.14258
  • t(a)
    0.85274
  • p(a)
    0.48433
  • Lowerbound of 95% confidence interval for beta
    0.46881
  • Upperbound of 95% confidence interval for beta
    0.54552
  • Lowerbound of 95% confidence interval for alpha
    -0.07638
  • Upperbound of 95% confidence interval for alpha
    0.19383
  • Treynor index (mean / b)
    0.23312
  • Jensen alpha (a)
    0.05872
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.10129
  • SD
    0.18397
  • Sharpe ratio (Glass type estimate)
    0.55058
  • Sharpe ratio (Hedges UMVUE)
    0.55024
  • df
    1200.00000
  • t
    1.17880
  • p
    0.48300
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.36523
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.46617
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.36546
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.46593
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.79686
  • Upside Potential Ratio
    8.06166
  • Upside part of mean
    1.02472
  • Downside part of mean
    -0.92344
  • Upside SD
    0.13303
  • Downside SD
    0.12711
  • N nonnegative terms
    625.00000
  • N negative terms
    576.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1201.00000
  • Mean of predictor
    0.09353
  • Mean of criterion
    0.10129
  • SD of predictor
    0.21854
  • SD of criterion
    0.18397
  • Covariance
    0.02429
  • r
    0.60422
  • b (slope, estimate of beta)
    0.50864
  • a (intercept, estimate of alpha)
    0.05372
  • Mean Square Error
    0.02151
  • DF error
    1199.00000
  • t(b)
    26.25720
  • p(b)
    0.14023
  • t(a)
    0.78399
  • p(a)
    0.48559
  • Lowerbound of 95% confidence interval for beta
    0.47063
  • Upperbound of 95% confidence interval for beta
    0.54664
  • Lowerbound of 95% confidence interval for alpha
    -0.08071
  • Upperbound of 95% confidence interval for alpha
    0.18815
  • Treynor index (mean / b)
    0.19914
  • Jensen alpha (a)
    0.05372
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01814
  • Expected Shortfall on VaR
    0.02278
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00778
  • Expected Shortfall on VaR
    0.01587
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1201.00000
  • Minimum
    0.91522
  • Quartile 1
    0.99581
  • Median
    1.00048
  • Quartile 3
    1.00537
  • Maximum
    1.07351
  • Mean of quarter 1
    0.98796
  • Mean of quarter 2
    0.99832
  • Mean of quarter 3
    1.00276
  • Mean of quarter 4
    1.01323
  • Inter Quartile Range
    0.00956
  • Number outliers low
    36.00000
  • Percentage of outliers low
    0.02998
  • Mean of outliers low
    0.96878
  • Number of outliers high
    52.00000
  • Percentage of outliers high
    0.04330
  • Mean of outliers high
    1.02989
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.13196
  • VaR(95%) (moments method)
    0.01079
  • Expected Shortfall (moments method)
    0.01603
  • Extreme Value Index (regression method)
    0.13592
  • VaR(95%) (regression method)
    0.01087
  • Expected Shortfall (regression method)
    0.01622
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    40.00000
  • Minimum
    0.00020
  • Quartile 1
    0.00220
  • Median
    0.00557
  • Quartile 3
    0.02481
  • Maximum
    0.40713
  • Mean of quarter 1
    0.00096
  • Mean of quarter 2
    0.00347
  • Mean of quarter 3
    0.01358
  • Mean of quarter 4
    0.10101
  • Inter Quartile Range
    0.02261
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.12500
  • Mean of outliers high
    0.17156
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.88553
  • VaR(95%) (moments method)
    0.10417
  • Expected Shortfall (moments method)
    0.93293
  • Extreme Value Index (regression method)
    1.60555
  • VaR(95%) (regression method)
    0.08217
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.17627
  • Compounded annual return (geometric extrapolation)
    0.13791
  • Calmar ratio (compounded annual return / max draw down)
    0.33875
  • Compounded annual return / average of 25% largest draw downs
    1.36530
  • Compounded annual return / Expected Shortfall lognormal
    6.05284
  • 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
    0.04619
  • SD
    0.11170
  • Sharpe ratio (Glass type estimate)
    0.41351
  • Sharpe ratio (Hedges UMVUE)
    0.41112
  • df
    130.00000
  • t
    0.29239
  • p
    0.48718
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.35948
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.18505
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.36114
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.18337
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.58573
  • Upside Potential Ratio
    9.01382
  • Upside part of mean
    0.71081
  • Downside part of mean
    -0.66463
  • Upside SD
    0.07856
  • Downside SD
    0.07886
  • N nonnegative terms
    67.00000
  • N negative terms
    64.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.27687
  • Mean of criterion
    0.04619
  • SD of predictor
    0.11869
  • SD of criterion
    0.11170
  • Covariance
    0.00630
  • r
    0.47553
  • b (slope, estimate of beta)
    0.44754
  • a (intercept, estimate of alpha)
    -0.07772
  • Mean Square Error
    0.00973
  • DF error
    129.00000
  • t(b)
    6.13957
  • p(b)
    0.20910
  • t(a)
    -0.55139
  • p(a)
    0.53086
  • Lowerbound of 95% confidence interval for beta
    0.30332
  • Upperbound of 95% confidence interval for beta
    0.59176
  • Lowerbound of 95% confidence interval for alpha
    -0.35661
  • Upperbound of 95% confidence interval for alpha
    0.20116
  • Treynor index (mean / b)
    0.10321
  • Jensen alpha (a)
    -0.07772
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.03999
  • SD
    0.11175
  • Sharpe ratio (Glass type estimate)
    0.35781
  • Sharpe ratio (Hedges UMVUE)
    0.35575
  • df
    130.00000
  • t
    0.25301
  • p
    0.48891
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.41494
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.12936
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.41640
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.12789
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.50392
  • Upside Potential Ratio
    8.91820
  • Upside part of mean
    0.70768
  • Downside part of mean
    -0.66769
  • Upside SD
    0.07812
  • Downside SD
    0.07935
  • N nonnegative terms
    67.00000
  • N negative terms
    64.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.26972
  • Mean of criterion
    0.03999
  • SD of predictor
    0.11856
  • SD of criterion
    0.11175
  • Covariance
    0.00631
  • r
    0.47626
  • b (slope, estimate of beta)
    0.44892
  • a (intercept, estimate of alpha)
    -0.08110
  • Mean Square Error
    0.00973
  • DF error
    129.00000
  • t(b)
    6.15182
  • p(b)
    0.20869
  • t(a)
    -0.57563
  • p(a)
    0.53221
  • VAR (95 Confidence Intrvl)
    0.01800
  • Lowerbound of 95% confidence interval for beta
    0.30454
  • Upperbound of 95% confidence interval for beta
    0.59330
  • Lowerbound of 95% confidence interval for alpha
    -0.35985
  • Upperbound of 95% confidence interval for alpha
    0.19765
  • Treynor index (mean / b)
    0.08907
  • Jensen alpha (a)
    -0.08110
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01114
  • Expected Shortfall on VaR
    0.01399
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00580
  • Expected Shortfall on VaR
    0.01098
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97736
  • Quartile 1
    0.99664
  • Median
    1.00025
  • Quartile 3
    1.00430
  • Maximum
    1.01699
  • Mean of quarter 1
    0.99154
  • Mean of quarter 2
    0.99861
  • Mean of quarter 3
    1.00240
  • Mean of quarter 4
    1.00864
  • Inter Quartile Range
    0.00766
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.00763
  • Mean of outliers low
    0.97736
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.00763
  • Mean of outliers high
    1.01699
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.14791
  • VaR(95%) (moments method)
    0.00809
  • Expected Shortfall (moments method)
    0.01027
  • Extreme Value Index (regression method)
    -0.26982
  • VaR(95%) (regression method)
    0.00852
  • Expected Shortfall (regression method)
    0.01043
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    13.00000
  • Minimum
    0.00083
  • Quartile 1
    0.00262
  • Median
    0.01076
  • Quartile 3
    0.01475
  • Maximum
    0.07884
  • Mean of quarter 1
    0.00141
  • Mean of quarter 2
    0.00676
  • Mean of quarter 3
    0.01418
  • Mean of quarter 4
    0.05447
  • Inter Quartile Range
    0.01214
  • 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
    0.15385
  • Mean of outliers high
    0.06769
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -2.29500
  • VaR(95%) (moments method)
    0.03984
  • Expected Shortfall (moments method)
    0.04038
  • Extreme Value Index (regression method)
    -0.61803
  • VaR(95%) (regression method)
    0.07906
  • Last 4 Months - Pcnt Negative
    0.25%
  • Expected Shortfall (regression method)
    0.09174
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -349893000
  • Max Equity Drawdown (num days)
    40
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.06906
  • Compounded annual return (geometric extrapolation)
    0.07025
  • Calmar ratio (compounded annual return / max draw down)
    0.89111
  • Compounded annual return / average of 25% largest draw downs
    1.28963
  • Compounded annual return / Expected Shortfall lognormal
    5.02279

Strategy Description

A universe of stocks from S&P 500 and Nasdaq 100, except for companies in the financial sector, is screened for quality, using a proprietary factor model. The resulting list of stocks is then subjected to a valuation based on future earnings estimates, anchored on book value, and discounted using a company specific cost of equity.

This produces a list of Tier 1 stocks and a list of Tier 2 stocks. 66% of the capital is allocated equally to the Tier 1 stocks and the rest is allocated to Tier 2 stocks. The portfolio is then re-weighted every quarter, and re-constructed once a year, meaning it is only traded in total 4 times a year. The goal is to outperform the S&P 500 with similar volatility.

As a subscriber, it is important to understand that if you enter into the strategy and select to only enter into new positions, then very little will happen until the beginning of May, when the selection process is done. Throughout the year we typically only make 3-4 new trades. Message me if you want this explained in further detail.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2019-08-26
Suggested Minimum Capital
$15,000
# Trades
99
# Profitable
63
% Profitable
63.6%
Net Dividends
$6,620
Correlation S&P500
0.605
Sharpe Ratio
0.45
Sortino Ratio
0.66
Beta
0.55
Alpha
0.01
Leverage
0.98 Average
1.35 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

Collective2 calculates the maximum leverage used by a strategy in each day. We then display the average of these measurements (i.e. the average daily maximum leverage) and the greatest of these measurements (maximum daily leverage).

Leverage is the ratio of total notional value controlled by a strategy divided by its Model Account equity. Generally higher leverage implies greater risk.

Example of calculation:
The Strategy buys 100 shares of stock at $12 per share.
The Model Account equity during that day is $5,000.
The leverage is: $1200 / $5,000 = 0.24

This is a useful measurement, but it should be considered in context. This measurement doesn't take into account important factors, such as when multiple positions are held that are inversely correlated. Nor does the measurement take into account the volatility of the instruments being held.

In addition, certain asset classes are inherently more leveraged than others. For example, futures contracts are highly leveraged. Forex positions are often even more leveraged than futures.

Latest Activity

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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