Collective2 Collective2
Featured Strategy Iberia Capital Strategy Followed by live capital $29,000 Hypothetical

Welcome to Collective2

Follow these tips for a better experience

Ok, let's start

Close
Add to Watch List Create new Watch List
Add
Enter a name for your Watch List.
Watch List name must be less than 60 characters.
You have reached the maximum number of custom Watch Lists.
You have reached the maximum number of strategies in this Watch List.
Strategy added to Watch List. Go to Watch List

Sim is unavailable for this strategy, because you've recently "Simmed" it.

You already have a live, full-featured subscription to this strategy.

Okay, no problem

Reach out to us when you are ready. You can schedule your free training session at any time by clicking the button.

Remember, this training is free, low pressure, and (we hope!) fun.

Got it

Later

You can find it here.

Got it

Video Saved for Later

You can watch this video later. Just click this button at the top of the screen whenever you're ready to watch it.

Got it

All Weather Portfolio HV

By Anas

Equity · Stocks · Started Jun 2020

hypothetical · Annual Return (Compounded)
9.7%
Max Drawdown
61.5%
Trades
8
Win Trades
87.5%
Profit Factor
3.20
Win Months
46.1%

About this strategy

☞ Note: Please Consider Reading this Note before Subscribing to the "All Weather Portfolio HV Strategy".
⤷ This is the High Volatility Version of the "All Weather Portfolio Strategy".
⤷ This Strategy Is Not a Get Rich Quick Strategy.
⤷ This Strategy Doesn't use Leverage.
⤷ This Strategy trades only Equities (mainly ETFs).
⤷ We Don't go Short.
⤷ We Don't use Stop Losses or Take Profits (We Rebalance).
⤷ This Strategy is a Low Frequency trading strategy.(We Hold trades for long periods of time)
⤷ Please Join Trades in Progress When you Subscribe.
INFO: TOS BADGE Coming Soon!!!

♦ Summary of the "All Weather Portfolio HV Strategy":
.This Strategy is based on a modern approach to portfolio management theory introduced in the 90's by Hedge Fund manager Ray Dalio, this approach tries to make all assets, in the portfolio, contribute equally to the overall portfolio's risk.
. Parameters of this allocation strategy are: Correlations between Assets, Volatilities of the Assets and Returns of the Assets.

✉ Join Our Telegram Group to Chat with Us and with Subscribers: https://t.me/joinchat/PFARqR0ugKrbeICoV-w2VQ

Hedged Equity

Hypothetical Monthly Returns (includes fees/commissions)

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
20201.112.70.5-3.9-0.510.67.329.9
20211.8-1.1-3.02.8-8.94.70.33.6-5.210.4-5.0-9.7-10.5
2022-17.91.25.7-17.4-12.3-7.5-0.5-5.8-11.4-1.6-0.4-2.9-53.4
202316.1-5.28.5-0.9-1.14.72.6-6.1-7.6-1.816.714.443.1
2024-7.38.417.1-7.54.3-4.61.44.72.30.111.96.340.1
20253.5-7.3-2.9-0.217.910.64.80.311.71.70.00.044.7
20260.00.00.00.00.00.00.00.00.00.0

Statistics

Overview

Strategy began6/20/2020
Suggested Minimum Capital$50,000
Age76 months
What it tradesStocks
# Trades8
# Profitable7
% Profitable87.5%
Avg trade duration965.6 days
Max peak-to-valley drawdown61.5%
drawdown periodFeb 13, 2021 - Nov 05, 2022
Annual Return (Compounded)9.7%
Avg win$6,514
Avg loss$15,252

Ratios

W:L ratio3.18
Sharpe Ratio0.29
Sortino Ratio0.44
Calmar Ratio0.76

CORRELATION STATISTICS

Correlation to SP5000.57
Return Percent SP500 (cumu) during strategy life145.5%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)-53.5%

Return Statistics

Ann Return (w trading costs)9.7%
Return Pcnt (Compound or Annual, age-based, NFA compliant)0.1%
Return Pcnt Since TOS Status0.0%
Ann Return (Compnd, No Fees)8.5%

Slump

Current Slump as Pcnt Equity0.0%
Current Slump, time of slump as pcnt of strategy life0.0%

Instruments

Percent Trades Forex0.0%
Percent Trades Futures0.0%
Percent Trades Options0.0%
Short Options - Percent Covered100.0%
Percent Trades Stocks1.0%

Automation

Percentage Signals Automated20.0%

Popularity

Popularity (Today)0
Popularity (Last 6 weeks)0
Popularity (7 days, Percentile 1000 scale)0

Trading Style

Any stock shorts? 0/10

Trades-Own-System Certification

Trades Own System?0
TOS percent0.0%

Win / Loss

Avg Loss$15,252
Avg Win$6,514
# Winners7
Sum Trade PL (losers)$15,252
Sum Trade PL (winners)$45,597
Num Months Winners35
# Losers1
% Winners87.5%

Dividends

Dividends Received in Model Acct2876

Age

Num Months filled monthly returns table76

Frequency

Avg Position Time (mins)1390409
Avg Position Time (hrs)23173.48
Avg Trade Length965.60
Last Trade Ago337

Leverage

Daily leverage (average)0.93
Daily leverage (max)1.03

Regression

Alpha-0.01
Beta0.86
Treynor Index0.03

Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.01
MAE:Equity, 95th Percentile Value for this strat0.03
MAE:Equity, average, losing trades0.03
MAE:Equity, losing trades only, 95th Percentile Value for this strat—
MAE:Equity, average, winning trades0.01
MAE:Equity, win trades only, 95th Percentile Value for this strat—
Avg(MAE) / Avg(PL) - All trades0.19
MAE:PL (avg, all trades)0.96
MAE:PL (avg, losing trades)—
MAE:PL (avg, winning trades)—
MAE:PL - worst single value for strategy—
Avg(MAE) / Avg(PL) - Winning trades0.09
Avg(MAE) / Avg(PL) - Losing trades-0.12
Hold-and-Hope Ratio5.30

RATIO STATISTICS

Mean0.50
SD0.67
Sharpe ratio (Glass type estimate)0.74
Sharpe ratio (Hedges UMVUE)0.70
df14
t0.83
p0.39
Lowerbound of 95% confidence interval for Sharpe Ratio-1.04
Upperbound of 95% confidence interval for Sharpe Ratio2.51
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-1.07
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.48
Sortino ratio1.30
Upside Potential Ratio2.74
Upside part of mean1.05
Downside part of mean-0.55
Upside SD0.54
Downside SD0.38
N nonnegative terms10
N negative terms5
N of observations15
Mean of predictor0.60
Mean of criterion0.50
SD of predictor0.26
SD of criterion0.67
Covariance0.14
r0.79
b (slope, estimate of beta)2.00
a (intercept, estimate of alpha)-0.70
Mean Square Error0.18
DF error13
t(b)4.69
p(b)0.05
t(a)-1.54
p(a)0.74
Lowerbound of 95% confidence interval for beta1.08
Upperbound of 95% confidence interval for beta2.92
Lowerbound of 95% confidence interval for alpha-1.69
Upperbound of 95% confidence interval for alpha0.28
Treynor index (mean / b)0.25
Jensen alpha (a)-0.70
Mean0.29
SD0.66
Sharpe ratio (Glass type estimate)0.43
Sharpe ratio (Hedges UMVUE)0.41
df14
t0.48
p0.44
Lowerbound of 95% confidence interval for Sharpe Ratio-1.33
Upperbound of 95% confidence interval for Sharpe Ratio2.19
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-1.35
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.17
Sortino ratio0.63
Upside Potential Ratio2.04
Upside part of mean0.93
Downside part of mean-0.64
Upside SD0.46
Downside SD0.46
N nonnegative terms10
N negative terms5
N of observations15
Mean of predictor0.55
Mean of criterion0.29
SD of predictor0.26
SD of criterion0.66
Covariance0.14
r0.83
b (slope, estimate of beta)2.14
a (intercept, estimate of alpha)-0.89
Mean Square Error0.15
DF error13
t(b)5.38
p(b)0.04
t(a)-2.19
p(a)0.82
Lowerbound of 95% confidence interval for beta1.28
Upperbound of 95% confidence interval for beta2.99
Lowerbound of 95% confidence interval for alpha-1.77
Upperbound of 95% confidence interval for alpha-0.01
Treynor index (mean / b)0.13
Jensen alpha (a)-0.89
VaR(95%)0.25
Expected Shortfall on VaR0.31
VaR(95%)0.08
Expected Shortfall on VaR0.18
Mean0.49
SD0.52
Sharpe ratio (Glass type estimate)0.94
Sharpe ratio (Hedges UMVUE)0.94
df334
t1.07
p0.14
Lowerbound of 95% confidence interval for Sharpe Ratio-0.79
Upperbound of 95% confidence interval for Sharpe Ratio2.68
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.79
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.68
Sortino ratio1.34
Upside Potential Ratio8.28
Upside part of mean3.05
Downside part of mean-2.55
Upside SD0.37
Downside SD0.37
N nonnegative terms188
N negative terms147
N of observations335
Mean of predictor0.62
Mean of criterion0.49
SD of predictor0.31
SD of criterion0.52
Covariance0.10
r0.61
b (slope, estimate of beta)1.03
a (intercept, estimate of alpha)-0.10
Mean Square Error0.17
DF error333
t(b)14.16
p(b)0
t(a)-0.40
p(a)0.65
Lowerbound of 95% confidence interval for beta0.89
Upperbound of 95% confidence interval for beta1.18
Lowerbound of 95% confidence interval for alpha-0.87
Upperbound of 95% confidence interval for alpha0.58
Treynor index (mean / b)0.48
Jensen alpha (a)-0.15
Mean0.36
SD0.53
Sharpe ratio (Glass type estimate)0.67
Sharpe ratio (Hedges UMVUE)0.67
df334
t0.76
p0.22
Lowerbound of 95% confidence interval for Sharpe Ratio-1.06
Upperbound of 95% confidence interval for Sharpe Ratio2.41
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-1.06
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.41
Sortino ratio0.93
Upside Potential Ratio7.76
Upside part of mean2.98
Downside part of mean-2.62
Upside SD0.36
Downside SD0.38
N nonnegative terms188
N negative terms147
N of observations335
Mean of predictor0.57
Mean of criterion0.36
SD of predictor0.31
SD of criterion0.53
Covariance0.10
r0.61
b (slope, estimate of beta)1.04
a (intercept, estimate of alpha)-0.24
Mean Square Error0.17
DF error333
t(b)14.13
p(b)0
t(a)-0.64
p(a)0.74
Lowerbound of 95% confidence interval for beta0.89
Upperbound of 95% confidence interval for beta1.18
Lowerbound of 95% confidence interval for alpha-0.97
Upperbound of 95% confidence interval for alpha0.49
Treynor index (mean / b)0.34
Jensen alpha (a)-0.24
VaR(95%)0.05
Expected Shortfall on VaR0.06
VaR(95%)0.02
Expected Shortfall on VaR0.04
Mean0.80
SD0.78
Sharpe ratio (Glass type estimate)1.02
Sharpe ratio (Hedges UMVUE)1.01
df130
t0.72
p0.47
Lowerbound of 95% confidence interval for Sharpe Ratio-1.76
Upperbound of 95% confidence interval for Sharpe Ratio3.79
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-1.76
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.79
Sortino ratio1.45
Upside Potential Ratio9.58
Upside part of mean5.28
Downside part of mean-4.48
Upside SD0.56
Downside SD0.55
N nonnegative terms68
N negative terms63
N of observations131
Mean of predictor0.94
Mean of criterion0.80
SD of predictor0.44
SD of criterion0.78
Covariance0.23
r0.66
b (slope, estimate of beta)1.19
a (intercept, estimate of alpha)-0.31
Mean Square Error0.35
DF error129
t(b)10.10
p(b)0.11
t(a)-0.37
p(a)0.52
Lowerbound of 95% confidence interval for beta0.95
Upperbound of 95% confidence interval for beta1.42
Lowerbound of 95% confidence interval for alpha-1.97
Upperbound of 95% confidence interval for alpha1.35
Treynor index (mean / b)0.67
Jensen alpha (a)-0.31
Mean0.49
SD0.79
Sharpe ratio (Glass type estimate)0.62
Sharpe ratio (Hedges UMVUE)0.62
df130
t0.44
p0.48
Lowerbound of 95% confidence interval for Sharpe Ratio-2.15
Upperbound of 95% confidence interval for Sharpe Ratio3.39
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-2.16
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.39
Sortino ratio0.85
Upside Potential Ratio8.90
Upside part of mean5.13
Downside part of mean-4.64
Upside SD0.54
Downside SD0.58
N nonnegative terms68
N negative terms63
N of observations131
Mean of predictor0.84
Mean of criterion0.49
SD of predictor0.44
SD of criterion0.79
Covariance0.23
r0.66
b (slope, estimate of beta)1.20
a (intercept, estimate of alpha)-0.52
Mean Square Error0.35
DF error129
t(b)10.10
p(b)0.11
t(a)-0.61
p(a)0.53
Lowerbound of 95% confidence interval for beta0.96
VAR (95 Confidence Intrvl)0.05
Upperbound of 95% confidence interval for beta1.43
Lowerbound of 95% confidence interval for alpha-2.18
Upperbound of 95% confidence interval for alpha1.15
Treynor index (mean / b)0.41
Jensen alpha (a)-0.52
VaR(95%)0.08
Expected Shortfall on VaR0.09
VaR(95%)0.04
Expected Shortfall on VaR0.07

ORDER STATISTICS

Number of observations15
Minimum0.65
Quartile 10.97
Median1.04
Quartile 31.10
Maximum1.50
Mean of quarter 10.84
Mean of quarter 21.02
Mean of quarter 31.07
Mean of quarter 41.25
Inter Quartile Range0.13
Number outliers low2
Percentage of outliers low0.13
Mean of outliers low0.71
Number of outliers high1
Percentage of outliers high0.07
Mean of outliers high1.50
Extreme Value Index (moments method)0.82
VaR(95%) (moments method)0.16
Expected Shortfall (moments method)1.01
Extreme Value Index (regression method)1.54
VaR(95%) (regression method)0.21
Expected Shortfall (regression method)0
Number of observations335
Minimum0.86
Quartile 10.99
Median1.00
Quartile 31.01
Maximum1.11
Mean of quarter 10.96
Mean of quarter 21.00
Mean of quarter 31.01
Mean of quarter 41.04
Inter Quartile Range0.02
Number outliers low25
Percentage of outliers low0.07
Mean of outliers low0.93
Number of outliers high24
Percentage of outliers high0.07
Mean of outliers high1.07
Extreme Value Index (moments method)0.37
VaR(95%) (moments method)0.03
Expected Shortfall (moments method)0.06
Extreme Value Index (regression method)0.26
VaR(95%) (regression method)0.03
Expected Shortfall (regression method)0.05
Number of observations131
Minimum0.86
Quartile 10.98
Median1.00
Quartile 31.03
Maximum1.11
Mean of quarter 10.94
Mean of quarter 20.99
Mean of quarter 31.02
Mean of quarter 41.06
Inter Quartile Range0.06
Number outliers low3
Percentage of outliers low0.02
Mean of outliers low0.87
Number of outliers high0
Percentage of outliers high0
Mean of outliers high0
Extreme Value Index (moments method)-0.80
VaR(95%) (moments method)0.06
Expected Shortfall (moments method)0.06
Extreme Value Index (regression method)-0.17
VaR(95%) (regression method)0.06
Expected Shortfall (regression method)0.07

DRAW DOWN STATISTICS

Number of observations2
Minimum0.02
Quartile 10.15
Median0.27
Quartile 30.39
Maximum0.52
Mean of quarter 10.02
Mean of quarter 20
Mean of quarter 30
Mean of quarter 40.52
Inter Quartile Range0.25
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high0
Percentage of outliers high0
Mean of outliers high0
Extreme Value Index (moments method)0
VaR(95%) (moments method)0
Expected Shortfall (moments method)0
Extreme Value Index (regression method)0
VaR(95%) (regression method)0
Expected Shortfall (regression method)0
Number of observations13
Minimum0.00
Quartile 10.01
Median0.02
Quartile 30.04
Maximum0.60
Mean of quarter 10.00
Mean of quarter 20.01
Mean of quarter 30.03
Mean of quarter 40.25
Inter Quartile Range0.04
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high1
Percentage of outliers high0.08
Mean of outliers high0.60
Extreme Value Index (moments method)1.05
VaR(95%) (moments method)0.23
Expected Shortfall (moments method)0
Extreme Value Index (regression method)2.46
VaR(95%) (regression method)0.29
Expected Shortfall (regression method)0
Number of observations3
Minimum0.01
Quartile 10.02
Median0.02
Quartile 30.30
Maximum0.58
Mean of quarter 10.01
Mean of quarter 20.02
Mean of quarter 30
Mean of quarter 40.58
Inter Quartile Range0.28
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high0
Percentage of outliers high0
Mean of outliers high0
Extreme Value Index (moments method)0
VaR(95%) (moments method)0
Expected Shortfall (moments method)0
Extreme Value Index (regression method)0
VaR(95%) (regression method)0
Expected Shortfall (regression method)0
Strat Max DD how much worse than SP500 max DD during strat life?-362956128
Max Equity Drawdown (num days)630
Last 4 Months - Pcnt Negative0.0%

COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.39
Compounded annual return (geometric extrapolation)0.37
Calmar ratio (compounded annual return / max draw down)0.72
Compounded annual return / average of 25% largest draw downs0.72
Compounded annual return / Expected Shortfall lognormal1.20
j156mfCOMBRisPar0
j157mfCOMBRisPar0
Annualized return (arithmetic extrapolation)0.50
Compounded annual return (geometric extrapolation)0.47
Calmar ratio (compounded annual return / max draw down)0.78
Compounded annual return / average of 25% largest draw downs1.91
Compounded annual return / Expected Shortfall lognormal7.35
j313dfCOMBRisPar0
j314dfCOMBRisPar0
Annualized return (arithmetic extrapolation)0.59
Compounded annual return (geometric extrapolation)0.68
Calmar ratio (compounded annual return / max draw down)1.17
Compounded annual return / average of 25% largest draw downs1.17
Compounded annual return / Expected Shortfall lognormal7.21

Trading record

SymbolSideQtyOpenedClosedP/L
GBTC long223Sep 22, 2020Oct 5, 2025$18,993
SGDM long289Sep 22, 2020Oct 5, 2025$8,219
ARKW long183Sep 22, 2020Oct 5, 2025$12,849
ZROZ long143Sep 22, 2020Oct 5, 2025($15,255)
GBTC long220Jun 22, 2020Sep 22, 2020$110
SGDM long287Jun 22, 2020Sep 22, 2020$1,286
ARKW long182Jun 22, 2020Sep 22, 2020$3,973
ZROZ long142Jun 22, 2020Sep 22, 2020$136

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.