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.

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

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 09/08/2020
Most recent certification approved 9/8/20 11:50 ET
Trades at broker Israel Interactive Trading
Scaling percentage used 100%
# trading signals issued by system since certification 117
# trading signals executed in manager's Israel Interactive Trading account 117
Percent signals followed since 09/08/2020 100%
This information was last updated 4/17/21 11:23 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 09/08/2020, 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 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.

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

Zelikovic
(130961820)

Created by: ZelikovicInvestmen ZelikovicInvestmen
Started: 09/2020
Stocks
Last trade: 19 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 $100.00 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."
119.5%
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.

(19.6%)
Max Drawdown
75
Num Trades
77.3%
Win Trades
20.7 : 1
Profit Factor
87.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Default (IBKR) commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020                                                        (1.5%)+7.2%+29.5%+15.2%+57.7%
2021+5.2%+16.7%+6.4%+6.6%                                                +39.2%

Model Account Details

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

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

Trading Record

This strategy has placed 117 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
9/8/20 12:03 FVE FIVE STAR QUALITY CARE LONG 200 5.40 3/29/21 10:24 6.03 0.65%
Trade id #131068432
Max drawdown($209)
Time10/29/20 0:00
Quant open200
Worst price4.35
Drawdown as % of equity-0.65%
$121
Includes Typical Broker Commissions trade costs of $5.00
1/8/21 12:42 HZN HORIZON GLOBAL CORP LONG 200 8.43 3/29 10:05 10.30 0.03%
Trade id #133277580
Max drawdown($16)
Time1/8/21 12:57
Quant open200
Worst price8.35
Drawdown as % of equity-0.03%
$368
Includes Typical Broker Commissions trade costs of $5.00
2/2/21 9:30 XELA EXELA TECHNOLOGIES INC LONG 850 2.09 3/29 10:01 2.28 0.81%
Trade id #133790903
Max drawdown($458)
Time3/5/21 0:00
Quant open850
Worst price1.55
Drawdown as % of equity-0.81%
$145
Includes Typical Broker Commissions trade costs of $17.00
2/2/21 15:07 EVK EVER-GLORY INTERNATIONAL GROUP LONG 440 3.53 3/29 9:45 3.03 0.67%
Trade id #133802523
Max drawdown($379)
Time3/5/21 0:00
Quant open440
Worst price2.67
Drawdown as % of equity-0.67%
($229)
Includes Typical Broker Commissions trade costs of $8.80
2/2/21 9:30 DXYN DIXIE GROUP LONG 450 3.89 3/29 9:38 3.37 1.3%
Trade id #133790923
Max drawdown($733)
Time3/5/21 0:00
Quant open450
Worst price2.26
Drawdown as % of equity-1.30%
($244)
Includes Typical Broker Commissions trade costs of $9.00
1/4/21 11:07 LAKE LAKELAND INDUSTRIES LONG 50 27.85 3/29 9:30 27.28 0.21%
Trade id #133158938
Max drawdown($121)
Time3/25/21 0:00
Quant open50
Worst price25.42
Drawdown as % of equity-0.21%
($34)
Includes Typical Broker Commissions trade costs of $5.00
1/4/21 11:09 IDT IDT LONG 120 12.17 3/2 9:30 18.85 0.08%
Trade id #133159003
Max drawdown($38)
Time1/8/21 0:00
Quant open120
Worst price11.85
Drawdown as % of equity-0.08%
$794
Includes Typical Broker Commissions trade costs of $7.50
1/4/21 11:52 KLR KALEYRA INC LONG 145 9.27 3/1 9:37 19.11 0.08%
Trade id #133161063
Max drawdown($38)
Time1/5/21 0:00
Quant open145
Worst price9.00
Drawdown as % of equity-0.08%
$1,422
Includes Typical Broker Commissions trade costs of $5.00
9/9/20 9:30 ALSK ALASKA COMM SYS LONG 450 2.28 3/1/21 9:30 3.27 0.6%
Trade id #131084133
Max drawdown($193)
Time10/29/20 0:00
Quant open450
Worst price1.85
Drawdown as % of equity-0.60%
$437
Includes Typical Broker Commissions trade costs of $9.00
9/8/20 12:57 MKL MARKEL LONG 1 1033.58 3/1/21 9:30 1101.42 0.37%
Trade id #131069387
Max drawdown($120)
Time10/30/20 0:00
Quant open1
Worst price913.04
Drawdown as % of equity-0.37%
$63
Includes Typical Broker Commissions trade costs of $5.00
1/4/21 11:51 DVD DOVER MOTORSPORTS LONG 630 2.30 2/2 15:33 2.10 0.35%
Trade id #133161012
Max drawdown($176)
Time2/1/21 0:00
Quant open630
Worst price2.02
Drawdown as % of equity-0.35%
($137)
Includes Typical Broker Commissions trade costs of $12.60
1/4/21 11:09 MOGO MOGO INC. LONG 375 4.00 2/2 9:30 4.36 0.21%
Trade id #133159011
Max drawdown($108)
Time1/27/21 0:00
Quant open375
Worst price3.71
Drawdown as % of equity-0.21%
$127
Includes Typical Broker Commissions trade costs of $7.50
1/4/21 11:09 FLXS FLEXSTEEL INDUSTRIES LONG 50 33.81 2/2 9:30 33.75 0.2%
Trade id #133158980
Max drawdown($91)
Time1/4/21 12:10
Quant open50
Worst price31.99
Drawdown as % of equity-0.20%
($8)
Includes Typical Broker Commissions trade costs of $5.00
1/4/21 11:08 HEAR TURTLE BEACH CORPORATION COMMO LONG 75 20.35 2/2 9:30 30.17 0.12%
Trade id #133158951
Max drawdown($54)
Time1/4/21 12:22
Quant open75
Worst price19.62
Drawdown as % of equity-0.12%
$731
Includes Typical Broker Commissions trade costs of $5.00
9/8/20 12:56 TPL TEXAS PACIFIC LAND CORP LONG 2 500.61 1/11/21 9:31 790.00 0.47%
Trade id #131069351
Max drawdown($145)
Time9/21/20 0:00
Quant open2
Worst price427.69
Drawdown as % of equity-0.47%
$574
Includes Typical Broker Commissions trade costs of $5.00
9/8/20 11:52 LAZY LAZYDAYS HOLDINGS INC. COMMON STOCK LONG 80 13.56 1/8/21 12:40 18.00 0.58%
Trade id #131068231
Max drawdown($163)
Time9/25/20 0:00
Quant open80
Worst price11.51
Drawdown as % of equity-0.58%
$350
Includes Typical Broker Commissions trade costs of $5.00
9/8/20 11:51 HZN HORIZON GLOBAL CORP LONG 200 5.30 1/8/21 12:40 8.41 0.14%
Trade id #131068216
Max drawdown($40)
Time9/24/20 0:00
Quant open200
Worst price5.10
Drawdown as % of equity-0.14%
$617
Includes Typical Broker Commissions trade costs of $5.00
9/8/20 11:50 BGFV BIG 5 SPORTING GOODS LONG 150 5.48 1/8/21 12:40 12.25 0.04%
Trade id #131068205
Max drawdown($10)
Time9/8/20 15:48
Quant open150
Worst price5.41
Drawdown as % of equity-0.04%
$1,011
Includes Typical Broker Commissions trade costs of $5.00
9/8/20 12:06 SENEA SENECA FOODS LONG 25 42.11 1/6/21 10:19 39.55 0.64%
Trade id #131068518
Max drawdown($181)
Time9/25/20 0:00
Quant open25
Worst price34.86
Drawdown as % of equity-0.64%
($69)
Includes Typical Broker Commissions trade costs of $5.00
9/8/20 12:01 SPLP STEEL PARTNER HOLDINGS LONG 150 7.07 1/4/21 11:52 10.81 0.78%
Trade id #131068402
Max drawdown($265)
Time10/14/20 0:00
Quant open150
Worst price5.30
Drawdown as % of equity-0.78%
$556
Includes Typical Broker Commissions trade costs of $5.00
9/8/20 11:57 LEU CENTRUS INC LONG 100 9.41 1/4/21 11:51 21.03 0.44%
Trade id #131068333
Max drawdown($123)
Time9/25/20 0:00
Quant open100
Worst price8.18
Drawdown as % of equity-0.44%
$1,157
Includes Typical Broker Commissions trade costs of $5.00
9/8/20 11:50 GME GAMESTOP LONG 200 7.94 1/4/21 11:50 17.66 1.39%
Trade id #131068195
Max drawdown($413)
Time9/11/20 0:00
Quant open200
Worst price5.87
Drawdown as % of equity-1.39%
$1,939
Includes Typical Broker Commissions trade costs of $7.50
11/3/20 12:37 WSTG WAYSIDE TECHNOLOGY GROUP LONG 50 22.32 1/4/21 11:37 18.76 0.56%
Trade id #132054081
Max drawdown($249)
Time12/16/20 0:00
Quant open50
Worst price17.32
Drawdown as % of equity-0.56%
($183)
Includes Typical Broker Commissions trade costs of $5.00
9/8/20 12:04 SWIR SIERRA WIRELESS LONG 100 11.30 1/4/21 11:25 14.40 0.54%
Trade id #131068464
Max drawdown($152)
Time9/25/20 0:00
Quant open100
Worst price9.78
Drawdown as % of equity-0.54%
$305
Includes Typical Broker Commissions trade costs of $5.00
9/8/20 11:52 VRTV VERITIV CORP LONG 60 15.29 1/4/21 11:17 20.27 0.63%
Trade id #131068221
Max drawdown($179)
Time9/24/20 0:00
Quant open60
Worst price12.30
Drawdown as % of equity-0.63%
$294
Includes Typical Broker Commissions trade costs of $5.00
9/8/20 14:53 COWN COWEN INC CLASS A LONG 50 16.85 1/4/21 11:15 25.30 0.34%
Trade id #131071430
Max drawdown($97)
Time9/25/20 0:00
Quant open50
Worst price14.91
Drawdown as % of equity-0.34%
$417
Includes Typical Broker Commissions trade costs of $5.00
9/8/20 11:59 SGU STAR GROUP L.P. LONG 100 9.36 1/4/21 11:12 9.36 0.06%
Trade id #131068374
Max drawdown($29)
Time12/30/20 0:00
Quant open100
Worst price9.07
Drawdown as % of equity-0.06%
($5)
Includes Typical Broker Commissions trade costs of $5.00
9/8/20 12:00 VHC VIRNETX HOLDING LONG 180 5.15 1/4/21 11:10 5.04 0.22%
Trade id #131068395
Max drawdown($62)
Time9/24/20 0:00
Quant open180
Worst price4.80
Drawdown as % of equity-0.22%
($24)
Includes Typical Broker Commissions trade costs of $5.00
11/27/20 9:30 AMRK A-MARK PRECIOUS METALS INC. C LONG 33 30.25 1/4/21 11:10 26.34 0.36%
Trade id #132497629
Max drawdown($170)
Time12/29/20 0:00
Quant open33
Worst price25.08
Drawdown as % of equity-0.36%
($134)
Includes Typical Broker Commissions trade costs of $5.00
9/8/20 12:03 CURO CURO GROUP HOLDINGS CORP LONG 100 7.89 1/4/21 11:06 12.89 0.48%
Trade id #131068424
Max drawdown($136)
Time9/24/20 0:00
Quant open100
Worst price6.53
Drawdown as % of equity-0.48%
$495
Includes Typical Broker Commissions trade costs of $5.00

Statistics

  • Strategy began
    9/3/2020
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    226.16
  • Age
    8 months ago
  • What it trades
    Stocks
  • # Trades
    75
  • # Profitable
    58
  • % Profitable
    77.30%
  • Avg trade duration
    109.8 days
  • Max peak-to-valley drawdown
    19.59%
  • drawdown period
    March 15, 2021 - March 25, 2021
  • Cumul. Return
    119.3%
  • Avg win
    $658.40
  • Avg loss
    $111.12
  • Model Account Values (Raw)
  • Cash
    $8,937
  • Margin Used
    $0
  • Buying Power
    $31,023
  • Ratios
  • W:L ratio
    20.66:1
  • Sharpe Ratio
    3.79
  • Sortino Ratio
    6.25
  • Calmar Ratio
    27.94
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    98.13%
  • Correlation to SP500
    0.39920
  • Return Percent SP500 (cumu) during strategy life
    21.14%
  • Return Statistics
  • Ann Return (w trading costs)
    248.3%
  • Slump
  • Current Slump as Pcnt Equity
    2.70%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.01%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    1.193%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    262.6%
  • Automation
  • Percentage Signals Automated
    n/a
  • Popularity
  • Popularity (Today)
    869
  • Popularity (Last 6 weeks)
    989
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    972
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Strat abandoned?
    0
  • Trades-Own-System Certification
  • Trades Own System?
    Yes
  • TOS percent
    100%
  • Win / Loss
  • Avg Loss
    $111
  • Avg Win
    $661
  • Sum Trade PL (losers)
    $1,889.000
  • AUM
  • AUM (AutoTrader num accounts)
    19
  • Age
  • Num Months filled monthly returns table
    8
  • Win / Loss
  • Sum Trade PL (winners)
    $38,346.000
  • # Winners
    58
  • Num Months Winners
    7
  • Dividends
  • Dividends Received in Model Acct
    418
  • AUM
  • AUM (AutoTrader live capital)
    725987
  • Win / Loss
  • # Losers
    17
  • % Winners
    77.3%
  • Frequency
  • Avg Position Time (mins)
    158051.00
  • Avg Position Time (hrs)
    2634.18
  • Avg Trade Length
    109.8 days
  • Last Trade Ago
    19
  • Leverage
  • Daily leverage (average)
    0.97
  • Daily leverage (max)
    1.30
  • Regression
  • Alpha
    0.30
  • Beta
    0.68
  • Treynor Index
    0.52
  • 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)
    -0.26
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    0.283
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.179
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.747
  • Hold-and-Hope Ratio
    2.436
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.43082
  • SD
    0.27225
  • Sharpe ratio (Glass type estimate)
    5.25562
  • Sharpe ratio (Hedges UMVUE)
    4.56517
  • df
    6.00000
  • t
    4.01405
  • p
    0.00350
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.29675
  • Upperbound of 95% confidence interval for Sharpe Ratio
    9.04214
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.92417
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    8.20618
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    1.43082
  • Downside part of mean
    0.00000
  • Upside SD
    0.48387
  • Downside SD
    0.00000
  • N nonnegative terms
    7.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    7.00000
  • Mean of predictor
    0.28496
  • Mean of criterion
    1.43082
  • SD of predictor
    0.09238
  • SD of criterion
    0.27225
  • Covariance
    0.00877
  • r
    0.34872
  • b (slope, estimate of beta)
    1.02766
  • a (intercept, estimate of alpha)
    1.13798
  • Mean Square Error
    0.07813
  • DF error
    5.00000
  • t(b)
    0.83199
  • p(b)
    0.22166
  • t(a)
    2.24119
  • p(a)
    0.03755
  • Lowerbound of 95% confidence interval for beta
    -2.14760
  • Upperbound of 95% confidence interval for beta
    4.20292
  • Lowerbound of 95% confidence interval for alpha
    -0.16731
  • Upperbound of 95% confidence interval for alpha
    2.44327
  • Treynor index (mean / b)
    1.39232
  • Jensen alpha (a)
    1.13798
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.32432
  • SD
    0.23700
  • Sharpe ratio (Glass type estimate)
    5.58774
  • Sharpe ratio (Hedges UMVUE)
    4.85366
  • df
    6.00000
  • t
    4.26770
  • p
    0.00264
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.49225
  • Upperbound of 95% confidence interval for Sharpe Ratio
    9.51452
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.09510
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    8.61222
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    1.32432
  • Downside part of mean
    0.00000
  • Upside SD
    0.44079
  • Downside SD
    0.00000
  • N nonnegative terms
    7.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    7.00000
  • Mean of predictor
    0.27749
  • Mean of criterion
    1.32432
  • SD of predictor
    0.09045
  • SD of criterion
    0.23700
  • Covariance
    0.00731
  • r
    0.34107
  • b (slope, estimate of beta)
    0.89366
  • a (intercept, estimate of alpha)
    1.07634
  • Mean Square Error
    0.05956
  • DF error
    5.00000
  • t(b)
    0.81130
  • p(b)
    0.22703
  • t(a)
    2.43409
  • p(a)
    0.02954
  • Lowerbound of 95% confidence interval for beta
    -1.93798
  • Upperbound of 95% confidence interval for beta
    3.72530
  • Lowerbound of 95% confidence interval for alpha
    -0.06040
  • Upperbound of 95% confidence interval for alpha
    2.21309
  • Treynor index (mean / b)
    1.48191
  • Jensen alpha (a)
    1.07634
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00217
  • Expected Shortfall on VaR
    0.02999
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    7.00000
  • Minimum
    1.03801
  • Quartile 1
    1.07370
  • Median
    1.09995
  • Quartile 3
    1.15212
  • Maximum
    1.26134
  • Mean of quarter 1
    1.05055
  • Mean of quarter 2
    1.09213
  • Mean of quarter 3
    1.11090
  • Mean of quarter 4
    1.22734
  • Inter Quartile Range
    0.07842
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • 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)
    2.05843
  • Compounded annual return (geometric extrapolation)
    2.86603
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    95.57450
  • 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
    1.32474
  • SD
    0.26781
  • Sharpe ratio (Glass type estimate)
    4.94652
  • Sharpe ratio (Hedges UMVUE)
    4.92285
  • df
    157.00000
  • t
    3.84129
  • p
    0.31611
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    2.35664
  • Upperbound of 95% confidence interval for Sharpe Ratio
    7.52145
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.34090
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    7.50481
  • Statistics related to Sortino ratio
  • Sortino ratio
    8.36752
  • Upside Potential Ratio
    15.39440
  • Upside part of mean
    2.43722
  • Downside part of mean
    -1.11248
  • Upside SD
    0.23001
  • Downside SD
    0.15832
  • N nonnegative terms
    107.00000
  • N negative terms
    51.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    158.00000
  • Mean of predictor
    0.30446
  • Mean of criterion
    1.32474
  • SD of predictor
    0.16870
  • SD of criterion
    0.26781
  • Covariance
    0.01719
  • r
    0.38059
  • b (slope, estimate of beta)
    0.60420
  • a (intercept, estimate of alpha)
    1.14100
  • Mean Square Error
    0.06173
  • DF error
    156.00000
  • t(b)
    5.14045
  • p(b)
    0.30970
  • t(a)
    3.54358
  • p(a)
    0.36353
  • Lowerbound of 95% confidence interval for beta
    0.37203
  • Upperbound of 95% confidence interval for beta
    0.83637
  • Lowerbound of 95% confidence interval for alpha
    0.50488
  • Upperbound of 95% confidence interval for alpha
    1.77668
  • Treynor index (mean / b)
    2.19255
  • Jensen alpha (a)
    1.14078
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.28584
  • SD
    0.26730
  • Sharpe ratio (Glass type estimate)
    4.81046
  • Sharpe ratio (Hedges UMVUE)
    4.78744
  • df
    157.00000
  • t
    3.73563
  • p
    0.32062
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    2.22383
  • Upperbound of 95% confidence interval for Sharpe Ratio
    7.38246
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.20860
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    7.36628
  • Statistics related to Sortino ratio
  • Sortino ratio
    8.00359
  • Upside Potential Ratio
    15.00700
  • Upside part of mean
    2.41098
  • Downside part of mean
    -1.12514
  • Upside SD
    0.22693
  • Downside SD
    0.16066
  • N nonnegative terms
    107.00000
  • N negative terms
    51.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    158.00000
  • Mean of predictor
    0.29011
  • Mean of criterion
    1.28584
  • SD of predictor
    0.16886
  • SD of criterion
    0.26730
  • Covariance
    0.01713
  • r
    0.37961
  • b (slope, estimate of beta)
    0.60091
  • a (intercept, estimate of alpha)
    1.11151
  • Mean Square Error
    0.06155
  • DF error
    156.00000
  • t(b)
    5.12491
  • p(b)
    0.31020
  • t(a)
    3.45975
  • p(a)
    0.36652
  • Lowerbound of 95% confidence interval for beta
    0.36930
  • Upperbound of 95% confidence interval for beta
    0.83252
  • Lowerbound of 95% confidence interval for alpha
    0.47691
  • Upperbound of 95% confidence interval for alpha
    1.74611
  • Treynor index (mean / b)
    2.13982
  • Jensen alpha (a)
    1.11151
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02201
  • Expected Shortfall on VaR
    0.02872
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00713
  • Expected Shortfall on VaR
    0.01582
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    158.00000
  • Minimum
    0.95487
  • Quartile 1
    0.99607
  • Median
    1.00577
  • Quartile 3
    1.01478
  • Maximum
    1.04574
  • Mean of quarter 1
    0.98387
  • Mean of quarter 2
    1.00146
  • Mean of quarter 3
    1.01020
  • Mean of quarter 4
    1.02516
  • Inter Quartile Range
    0.01871
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.02532
  • Mean of outliers low
    0.96174
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.01266
  • Mean of outliers high
    1.04450
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.28066
  • VaR(95%) (moments method)
    0.01200
  • Expected Shortfall (moments method)
    0.01512
  • Extreme Value Index (regression method)
    -0.04622
  • VaR(95%) (regression method)
    0.01619
  • Expected Shortfall (regression method)
    0.02315
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    18.00000
  • Minimum
    0.00039
  • Quartile 1
    0.00435
  • Median
    0.00970
  • Quartile 3
    0.04106
  • Maximum
    0.09736
  • Mean of quarter 1
    0.00223
  • Mean of quarter 2
    0.00635
  • Mean of quarter 3
    0.02182
  • Mean of quarter 4
    0.07909
  • Inter Quartile Range
    0.03671
  • 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
    0.05556
  • Mean of outliers high
    0.09736
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -28.61530
  • VaR(95%) (moments method)
    0.07629
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -1.89188
  • VaR(95%) (regression method)
    0.08516
  • Expected Shortfall (regression method)
    0.08632
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    2.00376
  • Compounded annual return (geometric extrapolation)
    2.72008
  • Calmar ratio (compounded annual return / max draw down)
    27.93960
  • Compounded annual return / average of 25% largest draw downs
    34.39190
  • Compounded annual return / Expected Shortfall lognormal
    94.72190
  • 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
    1.35174
  • SD
    0.26985
  • Sharpe ratio (Glass type estimate)
    5.00917
  • Sharpe ratio (Hedges UMVUE)
    4.98021
  • df
    130.00000
  • t
    3.54201
  • p
    0.35167
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    2.16225
  • Upperbound of 95% confidence interval for Sharpe Ratio
    7.83779
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.14307
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    7.81735
  • Statistics related to Sortino ratio
  • Sortino ratio
    8.36310
  • Upside Potential Ratio
    15.31500
  • Upside part of mean
    2.47539
  • Downside part of mean
    -1.12365
  • Upside SD
    0.23047
  • Downside SD
    0.16163
  • N nonnegative terms
    91.00000
  • N negative terms
    40.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.32292
  • Mean of criterion
    1.35174
  • SD of predictor
    0.15771
  • SD of criterion
    0.26985
  • Covariance
    0.01767
  • r
    0.41510
  • b (slope, estimate of beta)
    0.71029
  • a (intercept, estimate of alpha)
    1.12237
  • Mean Square Error
    0.06074
  • DF error
    129.00000
  • t(b)
    5.18221
  • p(b)
    0.24354
  • t(a)
    3.19455
  • p(a)
    0.32976
  • Lowerbound of 95% confidence interval for beta
    0.43911
  • Upperbound of 95% confidence interval for beta
    0.98147
  • Lowerbound of 95% confidence interval for alpha
    0.42724
  • Upperbound of 95% confidence interval for alpha
    1.81750
  • Treynor index (mean / b)
    1.90307
  • Jensen alpha (a)
    1.12237
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.31217
  • SD
    0.26952
  • Sharpe ratio (Glass type estimate)
    4.86862
  • Sharpe ratio (Hedges UMVUE)
    4.84048
  • df
    130.00000
  • t
    3.44263
  • p
    0.35547
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    2.02558
  • Upperbound of 95% confidence interval for Sharpe Ratio
    7.69389
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.00691
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    7.67404
  • Statistics related to Sortino ratio
  • Sortino ratio
    7.99657
  • Upside Potential Ratio
    14.92470
  • Upside part of mean
    2.44903
  • Downside part of mean
    -1.13686
  • Upside SD
    0.22744
  • Downside SD
    0.16409
  • N nonnegative terms
    91.00000
  • N negative terms
    40.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.31035
  • Mean of criterion
    1.31217
  • SD of predictor
    0.15780
  • SD of criterion
    0.26952
  • Covariance
    0.01762
  • r
    0.41436
  • b (slope, estimate of beta)
    0.70769
  • a (intercept, estimate of alpha)
    1.09254
  • Mean Square Error
    0.06063
  • DF error
    129.00000
  • t(b)
    5.17097
  • p(b)
    0.24397
  • t(a)
    3.11429
  • p(a)
    0.33364
  • VAR (95 Confidence Intrvl)
    0.02200
  • Lowerbound of 95% confidence interval for beta
    0.43691
  • Upperbound of 95% confidence interval for beta
    0.97847
  • Lowerbound of 95% confidence interval for alpha
    0.39844
  • Upperbound of 95% confidence interval for alpha
    1.78664
  • Treynor index (mean / b)
    1.85416
  • Jensen alpha (a)
    1.09254
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02213
  • Expected Shortfall on VaR
    0.02889
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00689
  • Expected Shortfall on VaR
    0.01553
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.95487
  • Quartile 1
    0.99610
  • Median
    1.00611
  • Quartile 3
    1.01520
  • Maximum
    1.04574
  • Mean of quarter 1
    0.98357
  • Mean of quarter 2
    1.00184
  • Mean of quarter 3
    1.01052
  • Mean of quarter 4
    1.02529
  • Inter Quartile Range
    0.01910
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.02290
  • Mean of outliers low
    0.95972
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.00763
  • Mean of outliers high
    1.04574
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.25055
  • VaR(95%) (moments method)
    0.01206
  • Expected Shortfall (moments method)
    0.01538
  • Extreme Value Index (regression method)
    -0.00321
  • VaR(95%) (regression method)
    0.01640
  • Expected Shortfall (regression method)
    0.02408
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    14.00000
  • Minimum
    0.00039
  • Quartile 1
    0.00439
  • Median
    0.01479
  • Quartile 3
    0.04106
  • Maximum
    0.09736
  • Mean of quarter 1
    0.00188
  • Mean of quarter 2
    0.00663
  • Mean of quarter 3
    0.02499
  • Mean of quarter 4
    0.07961
  • Inter Quartile Range
    0.03667
  • 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
    0.07143
  • Mean of outliers high
    0.09736
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -92.66810
  • VaR(95%) (moments method)
    0.07748
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -1.89364
  • VaR(95%) (regression method)
    0.07650
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.07738
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -311606000
  • Max Equity Drawdown (num days)
    10
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.90863
  • Compounded annual return (geometric extrapolation)
    2.81935
  • Calmar ratio (compounded annual return / max draw down)
    28.95930
  • Compounded annual return / average of 25% largest draw downs
    35.41350
  • Compounded annual return / Expected Shortfall lognormal
    97.57970

Strategy Description


1. Micro-Cap Value Stocks
This investment strategy is based on one of the best strategies in the book "What Works on Wall Street" by James P. O'Shaughnessy. This strategy selects a basket of 25 stocks the market cap of which is under $ 300 million (stocks which are excluded from the major indexes in the U.S.A.). These stocks are selected only if they fulfill a number of criteria (including value, quality, momentum, and financial stability) which have been proven by empirical studies to be a source of alpha.
As we have witnessed in the past three years, some of these stocks and this strategy do not outperform the market every year. Nevertheless, this instability per se (which may cause other investors to abandon the strategy at exactly the wrong time) is the key for its success over time as it involves "going against the herd". As Prof. Joel Greenblatt, the author of the book "The Little Book that Beats the Market"), once stated:
"If I wrote a book about a strategy that worked every month, or even every year, everyone would start using it, and it would stop working."
In addition, our implementation of this strategy within our Individual Retirement Accounts (I.R.A.) at a low cost broker is an especially fruitful way to use this strategy. Within the I.R.A. accounts we can implement this strategy with all of its benefits and also enjoy a tax exemption/deferral.

2. Compounders
Our Compounder stocks are usually stocks of holding companies (led by Outsider CEO/Owner Operators) and stocks of public insurance companies around the world. During the past three years (in particular, during the December 2018 fall in the stock market and this year’s Coronavirus meltdown) we were able to increase our stakes in these companies at very attractive prices.

Summary Statistics

Includes fees & commissions Default (IBKR)
Strategy began
2020-09-03
Suggested Minimum Capital
$15,000
# Trades
75
# Profitable
58
% Profitable
77.3%
Net Dividends
Correlation S&P500
0.399
Sharpe Ratio
3.79
Sortino Ratio
6.25
Beta
0.68
Alpha
0.30
Leverage
0.97 Average
1.30 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.

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.

Okay, gotcha.

Not available

This feature isn't available under your current Trade Leader Plan.

Want to see available plans and features?

Please hold...

Strategy is now visible

This strategy is now visible to the public. New subscribers will be able to follow it.

If you designate your strategy as Private, it will no longer be visible to the public.

No subscribers and simulations will be allowed. If you have subscribers, the strategy will still be visible to them.
If you have simulations, they will be stopped.

Continue to designate your strategy as Private?

Strategy is no longer visible

This strategy is no longer visible to anyone except current subscribers.

(Current subscribers will remain subscribed. You can see who is subscribed, and control their subscriptions, on your Subscriber Management screen.)

Finally, please note that you can restore public visibility at any time.

This strategy is no longer visible to the public. No subscribers will be allowed.

You can restore public visibility at any time.

Suggested Minimum Capital

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

0