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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 11/11/2020
Most recent certification approved 11/11/20 9:30 ET
Trades at broker Israel Interactive Trading
Scaling percentage used 100%
# trading signals issued by system since certification 130
# trading signals executed in manager's Israel Interactive Trading account 130
Percent signals followed since 11/11/2020 100%
This information was last updated 4/17/21 10:23 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 11/11/2020, 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.

Easy Value
(132169961)

Created by: EasyValue EasyValue
Started: 11/2020
Stocks
Last trade: 5 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 $79.00 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."
35.9%
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.

(7.0%)
Max Drawdown
77
Num Trades
76.6%
Win Trades
10.5 : 1
Profit Factor
83.3%
Win Months
Hypothetical Monthly Returns (includes system fee and Default (IBKR) commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020                                                                      +5.0%+9.4%+14.9%
2021+2.4%(0.5%)+7.8%+7.8%                                                +18.3%

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 130 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
11/23/20 9:32 FTI TECHNICFMC PLC LONG 138 8.37 4/12/21 9:50 7.54 0.63%
Trade id #132399291
Max drawdown($229)
Time2/23/21 0:00
Quant open138
Worst price6.71
Drawdown as % of equity-0.63%
($119)
Includes Typical Broker Commissions trade costs of $5.00
1/19/21 9:43 VIV TELEFONICA BRASIL SA LONG 190 8.38 4/12 9:48 7.95 0.49%
Trade id #133453542
Max drawdown($174)
Time3/3/21 0:00
Quant open190
Worst price7.46
Drawdown as % of equity-0.49%
($86)
Includes Typical Broker Commissions trade costs of $5.00
3/29/21 10:01 SID COMPANHIA SIDERURGICA LONG 303 6.28 4/12 9:46 7.70 0.12%
Trade id #134908113
Max drawdown($43)
Time3/29/21 11:01
Quant open303
Worst price6.13
Drawdown as % of equity-0.12%
$424
Includes Typical Broker Commissions trade costs of $6.06
2/26/21 9:32 THNPY TECHNIP ENERGIES NV AMERICAN DEPOSITARY RECEIPTS - LONG 27 8.76 4/12 9:43 14.52 n/a $150
Includes Typical Broker Commissions trade costs of $5.00
3/1/21 9:49 LPX LOUISIANA-PACIFIC LONG 31 48.85 4/12 9:40 62.64 0.33%
Trade id #134337759
Max drawdown($119)
Time3/4/21 0:00
Quant open31
Worst price45.00
Drawdown as % of equity-0.33%
$423
Includes Typical Broker Commissions trade costs of $5.00
3/15/21 9:53 CMC COMMERCIAL METALS LONG 57 28.83 3/29 9:41 31.79 0.28%
Trade id #134616617
Max drawdown($105)
Time3/23/21 0:00
Quant open57
Worst price26.98
Drawdown as % of equity-0.28%
$163
Includes Typical Broker Commissions trade costs of $5.00
3/15/21 9:59 MUSA MURPHY USA INC LONG 13 129.62 3/29 9:38 152.35 0.05%
Trade id #134616848
Max drawdown($18)
Time3/15/21 11:05
Quant open13
Worst price128.23
Drawdown as % of equity-0.05%
$291
Includes Typical Broker Commissions trade costs of $5.00
2/16/21 10:58 WHR WHIRLPOOL LONG 8 198.82 3/29 9:37 224.94 0.34%
Trade id #134086297
Max drawdown($120)
Time3/4/21 0:00
Quant open8
Worst price183.75
Drawdown as % of equity-0.34%
$204
Includes Typical Broker Commissions trade costs of $5.00
2/16/21 11:02 DHI DR HORTON LONG 20 80.49 3/29 9:34 90.73 0.44%
Trade id #134086472
Max drawdown($158)
Time3/4/21 0:00
Quant open20
Worst price72.57
Drawdown as % of equity-0.44%
$200
Includes Typical Broker Commissions trade costs of $5.00
3/1/21 9:46 GFI GOLD FIELDS LONG 182 8.39 3/15 9:50 9.45 0.14%
Trade id #134337623
Max drawdown($50)
Time3/1/21 13:14
Quant open182
Worst price8.11
Drawdown as % of equity-0.14%
$189
Includes Typical Broker Commissions trade costs of $5.00
2/16/21 11:05 HRB H&R BLOCK LONG 85 19.56 3/15 9:44 20.91 0.19%
Trade id #134086589
Max drawdown($68)
Time2/26/21 0:00
Quant open85
Worst price18.75
Drawdown as % of equity-0.19%
$110
Includes Typical Broker Commissions trade costs of $5.00
3/1/21 9:57 DGX QUEST DIAGNOSTICS LONG 11 117.42 3/15 9:41 122.94 0.05%
Trade id #134338181
Max drawdown($18)
Time3/5/21 0:00
Quant open11
Worst price115.75
Drawdown as % of equity-0.05%
$56
Includes Typical Broker Commissions trade costs of $5.00
2/16/21 11:02 ABC AMERISOURCEBERGEN LONG 16 103.67 3/15 9:40 112.85 0.13%
Trade id #134086501
Max drawdown($47)
Time2/26/21 0:00
Quant open16
Worst price100.71
Drawdown as % of equity-0.13%
$142
Includes Typical Broker Commissions trade costs of $5.00
2/16/21 11:04 UL UNILEVER LONG 30 55.83 3/1 9:47 52.66 0.32%
Trade id #134086564
Max drawdown($115)
Time2/26/21 0:00
Quant open30
Worst price51.98
Drawdown as % of equity-0.32%
($100)
Includes Typical Broker Commissions trade costs of $5.00
11/11/20 9:39 HUM HUMANA LONG 3 430.70 3/1/21 9:39 383.46 0.48%
Trade id #132198792
Max drawdown($181)
Time2/16/21 0:00
Quant open3
Worst price370.22
Drawdown as % of equity-0.48%
($147)
Includes Typical Broker Commissions trade costs of $5.00
2/16/21 11:06 BCE BCE LONG 38 43.93 3/1 9:39 43.29 0.13%
Trade id #134086626
Max drawdown($44)
Time2/26/21 0:00
Quant open38
Worst price42.75
Drawdown as % of equity-0.13%
($29)
Includes Typical Broker Commissions trade costs of $5.00
2/1/21 9:43 REGI RENEWABLE ENERGY GROUP LONG 19 91.70 3/1 9:37 83.24 0.81%
Trade id #133752533
Max drawdown($290)
Time2/26/21 0:00
Quant open19
Worst price76.40
Drawdown as % of equity-0.81%
($166)
Includes Typical Broker Commissions trade costs of $5.00
12/7/20 14:43 TSN TYSON FOODS LONG 18 68.57 3/1/21 9:33 68.45 0.33%
Trade id #132679962
Max drawdown($109)
Time12/22/20 0:00
Quant open18
Worst price62.47
Drawdown as % of equity-0.33%
($7)
Includes Typical Broker Commissions trade costs of $5.00
2/16/21 10:59 CAH CARDINAL HEALTH LONG 32 51.76 3/1 9:32 52.23 0.08%
Trade id #134086353
Max drawdown($31)
Time2/17/21 0:00
Quant open32
Worst price50.78
Drawdown as % of equity-0.08%
$10
Includes Typical Broker Commissions trade costs of $5.00
2/1/21 9:49 TLK TELEKOMUNIKASI INDONESIA LONG 75 23.09 2/16 10:56 23.04 0.05%
Trade id #133752829
Max drawdown($18)
Time2/11/21 0:00
Quant open75
Worst price22.84
Drawdown as % of equity-0.05%
($8)
Includes Typical Broker Commissions trade costs of $5.00
2/1/21 9:45 OMC OMNICOM GROUP LONG 28 62.32 2/16 10:55 65.08 0.05%
Trade id #133752655
Max drawdown($16)
Time2/1/21 10:56
Quant open28
Worst price61.74
Drawdown as % of equity-0.05%
$72
Includes Typical Broker Commissions trade costs of $5.00
11/11/20 9:35 MUSA MURPHY USA INC LONG 9 136.70 2/16/21 10:55 125.39 0.43%
Trade id #132198176
Max drawdown($155)
Time1/27/21 0:00
Quant open9
Worst price119.47
Drawdown as % of equity-0.43%
($107)
Includes Typical Broker Commissions trade costs of $5.00
2/1/21 9:43 MOH MOLINA HEALTHCARE LONG 8 213.68 2/16 10:53 216.39 0.3%
Trade id #133752527
Max drawdown($110)
Time2/8/21 0:00
Quant open8
Worst price199.81
Drawdown as % of equity-0.30%
$17
Includes Typical Broker Commissions trade costs of $5.00
11/11/20 9:30 SBSW SIBANYE-STILLWATER LONG 88 13.15 2/16/21 10:51 18.82 0.2%
Trade id #132197168
Max drawdown($61)
Time11/24/20 0:00
Quant open88
Worst price12.45
Drawdown as % of equity-0.20%
$494
Includes Typical Broker Commissions trade costs of $5.00
1/4/21 9:46 HPQ HEWLETT-PACKARD LONG 69 24.75 2/16 10:51 27.15 0.18%
Trade id #133155266
Max drawdown($61)
Time1/4/21 12:13
Quant open69
Worst price23.85
Drawdown as % of equity-0.18%
$161
Includes Typical Broker Commissions trade costs of $5.00
11/23/20 9:46 BIIB BIOGEN INC. COMMON STOCK LONG 5 245.20 2/16/21 10:50 279.07 0.1%
Trade id #132400304
Max drawdown($34)
Time1/4/21 0:00
Quant open5
Worst price238.40
Drawdown as % of equity-0.10%
$164
Includes Typical Broker Commissions trade costs of $5.00
11/23/20 9:38 VEDL VEDANTA LTD LONG 182 6.22 2/16/21 10:48 10.76 0.09%
Trade id #132399869
Max drawdown($27)
Time11/23/20 13:50
Quant open182
Worst price6.07
Drawdown as % of equity-0.09%
$821
Includes Typical Broker Commissions trade costs of $5.00
1/4/21 9:34 LEN LENNAR LONG 23 76.04 2/1 9:39 83.42 0.3%
Trade id #133153638
Max drawdown($103)
Time1/6/21 0:00
Quant open23
Worst price71.52
Drawdown as % of equity-0.30%
$165
Includes Typical Broker Commissions trade costs of $5.00
1/19/21 9:43 GFI GOLD FIELDS LONG 178 8.96 2/1 9:37 9.55 0.08%
Trade id #133453563
Max drawdown($29)
Time1/19/21 10:18
Quant open178
Worst price8.79
Drawdown as % of equity-0.08%
$101
Includes Typical Broker Commissions trade costs of $5.00
12/21/20 9:41 UL UNILEVER LONG 24 57.50 2/1/21 9:36 58.41 0.03%
Trade id #132937878
Max drawdown($9)
Time12/21/20 10:05
Quant open24
Worst price57.12
Drawdown as % of equity-0.03%
$17
Includes Typical Broker Commissions trade costs of $5.00

Statistics

  • Strategy began
    11/10/2020
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    158.14
  • Age
    158 days ago
  • What it trades
    Stocks
  • # Trades
    77
  • # Profitable
    59
  • % Profitable
    76.60%
  • Avg trade duration
    51.5 days
  • Max peak-to-valley drawdown
    6.99%
  • drawdown period
    Feb 10, 2021 - March 04, 2021
  • Cumul. Return
    36.0%
  • Avg win
    $208.10
  • Avg loss
    $71.06
  • Model Account Values (Raw)
  • Cash
    $18,273
  • Margin Used
    $0
  • Buying Power
    $22,187
  • Ratios
  • W:L ratio
    10.52:1
  • Sharpe Ratio
    3.86
  • Sortino Ratio
    6.95
  • Calmar Ratio
    20.559
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    18.01%
  • Correlation to SP500
    0.49040
  • Return Percent SP500 (cumu) during strategy life
    18.05%
  • Return Statistics
  • Ann Return (w trading costs)
    100.4%
  • Slump
  • Current Slump as Pcnt Equity
    0.20%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.360%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    111.5%
  • Automation
  • Percentage Signals Automated
    n/a
  • Popularity
  • Popularity (Today)
    943
  • Popularity (Last 6 weeks)
    984
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    954
  • 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
    $71
  • Avg Win
    $208
  • Sum Trade PL (losers)
    $1,279.000
  • AUM
  • AUM (AutoTrader num accounts)
    3
  • Age
  • Num Months filled monthly returns table
    6
  • Win / Loss
  • Sum Trade PL (winners)
    $12,278.000
  • # Winners
    59
  • Num Months Winners
    5
  • Dividends
  • Dividends Received in Model Acct
    587
  • AUM
  • AUM (AutoTrader live capital)
    111603
  • Win / Loss
  • # Losers
    18
  • % Winners
    76.6%
  • Frequency
  • Avg Position Time (mins)
    74165.20
  • Avg Position Time (hrs)
    1236.09
  • Avg Trade Length
    51.5 days
  • Last Trade Ago
    5
  • Leverage
  • Daily leverage (average)
    0.92
  • Daily leverage (max)
    1.25
  • Regression
  • Alpha
    0.13
  • Beta
    0.52
  • Treynor Index
    0.36
  • 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)
    -0.61
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    0.621
  • 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
    0.289
  • Avg(MAE) / Avg(PL) - Losing trades
    -2.006
  • Hold-and-Hope Ratio
    1.905
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.71466
  • SD
    0.16068
  • Sharpe ratio (Glass type estimate)
    4.44783
  • Sharpe ratio (Hedges UMVUE)
    3.54886
  • df
    4.00000
  • t
    2.87106
  • p
    0.02271
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.08007
  • Upperbound of 95% confidence interval for Sharpe Ratio
    8.57265
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.35846
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    7.45617
  • Statistics related to Sortino ratio
  • Sortino ratio
    209.34500
  • Upside Potential Ratio
    210.89400
  • Upside part of mean
    0.71995
  • Downside part of mean
    -0.00529
  • Upside SD
    0.25140
  • Downside SD
    0.00341
  • N nonnegative terms
    4.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    5.00000
  • Mean of predictor
    0.34147
  • Mean of criterion
    0.71466
  • SD of predictor
    0.04384
  • SD of criterion
    0.16068
  • Covariance
    0.00527
  • r
    0.74845
  • b (slope, estimate of beta)
    2.74308
  • a (intercept, estimate of alpha)
    -0.22203
  • Mean Square Error
    0.01514
  • DF error
    3.00000
  • t(b)
    1.95472
  • p(b)
    0.07280
  • t(a)
    -0.43053
  • p(a)
    0.65207
  • Lowerbound of 95% confidence interval for beta
    -1.72288
  • Upperbound of 95% confidence interval for beta
    7.20904
  • Lowerbound of 95% confidence interval for alpha
    -1.86326
  • Upperbound of 95% confidence interval for alpha
    1.41921
  • Treynor index (mean / b)
    0.26053
  • Jensen alpha (a)
    -0.22203
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.68344
  • SD
    0.15168
  • Sharpe ratio (Glass type estimate)
    4.50592
  • Sharpe ratio (Hedges UMVUE)
    3.59520
  • df
    4.00000
  • t
    2.90856
  • p
    0.02187
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.11154
  • Upperbound of 95% confidence interval for Sharpe Ratio
    8.65816
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.33240
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    7.52281
  • Statistics related to Sortino ratio
  • Sortino ratio
    200.44400
  • Upside Potential Ratio
    201.99300
  • Upside part of mean
    0.68872
  • Downside part of mean
    -0.00528
  • Upside SD
    0.23941
  • Downside SD
    0.00341
  • N nonnegative terms
    4.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    5.00000
  • Mean of predictor
    0.33520
  • Mean of criterion
    0.68344
  • SD of predictor
    0.04285
  • SD of criterion
    0.15168
  • Covariance
    0.00494
  • r
    0.76074
  • b (slope, estimate of beta)
    2.69289
  • a (intercept, estimate of alpha)
    -0.21923
  • Mean Square Error
    0.01292
  • DF error
    3.00000
  • t(b)
    2.03007
  • p(b)
    0.06767
  • t(a)
    -0.45840
  • p(a)
    0.66108
  • Lowerbound of 95% confidence interval for beta
    -1.52864
  • Upperbound of 95% confidence interval for beta
    6.91442
  • Lowerbound of 95% confidence interval for alpha
    -1.74125
  • Upperbound of 95% confidence interval for alpha
    1.30278
  • Treynor index (mean / b)
    0.25379
  • Jensen alpha (a)
    -0.21923
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01495
  • Expected Shortfall on VaR
    0.03269
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00050
  • Expected Shortfall on VaR
    0.00124
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    5.00000
  • Minimum
    1.00012
  • Quartile 1
    1.03641
  • Median
    1.06665
  • Quartile 3
    1.08414
  • Maximum
    1.12209
  • Mean of quarter 1
    1.01827
  • Mean of quarter 2
    1.06665
  • Mean of quarter 3
    1.08414
  • Mean of quarter 4
    1.12209
  • Inter Quartile Range
    0.04773
  • 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)
    0.82800
  • Compounded annual return (geometric extrapolation)
    1.03672
  • 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
    31.71850
  • 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
    0.74313
  • SD
    0.14384
  • Sharpe ratio (Glass type estimate)
    5.16635
  • Sharpe ratio (Hedges UMVUE)
    5.13104
  • df
    110.00000
  • t
    3.36275
  • p
    0.34734
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    2.06779
  • Upperbound of 95% confidence interval for Sharpe Ratio
    8.24271
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.04447
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    8.21762
  • Statistics related to Sortino ratio
  • Sortino ratio
    9.90406
  • Upside Potential Ratio
    17.69030
  • Upside part of mean
    1.32735
  • Downside part of mean
    -0.58422
  • Upside SD
    0.13031
  • Downside SD
    0.07503
  • N nonnegative terms
    71.00000
  • N negative terms
    40.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    111.00000
  • Mean of predictor
    0.37359
  • Mean of criterion
    0.74313
  • SD of predictor
    0.13874
  • SD of criterion
    0.14384
  • Covariance
    0.00932
  • r
    0.46717
  • b (slope, estimate of beta)
    0.48434
  • a (intercept, estimate of alpha)
    0.56200
  • Mean Square Error
    0.01632
  • DF error
    109.00000
  • t(b)
    5.51640
  • p(b)
    0.21379
  • t(a)
    2.82497
  • p(a)
    0.33563
  • Lowerbound of 95% confidence interval for beta
    0.31032
  • Upperbound of 95% confidence interval for beta
    0.65835
  • Lowerbound of 95% confidence interval for alpha
    0.16776
  • Upperbound of 95% confidence interval for alpha
    0.95661
  • Treynor index (mean / b)
    1.53433
  • Jensen alpha (a)
    0.56219
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.73182
  • SD
    0.14325
  • Sharpe ratio (Glass type estimate)
    5.10859
  • Sharpe ratio (Hedges UMVUE)
    5.07368
  • df
    110.00000
  • t
    3.32515
  • p
    0.34889
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    2.01186
  • Upperbound of 95% confidence interval for Sharpe Ratio
    8.18327
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.98876
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    8.15859
  • Statistics related to Sortino ratio
  • Sortino ratio
    9.69068
  • Upside Potential Ratio
    17.46360
  • Upside part of mean
    1.31882
  • Downside part of mean
    -0.58700
  • Upside SD
    0.12914
  • Downside SD
    0.07552
  • N nonnegative terms
    71.00000
  • N negative terms
    40.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    111.00000
  • Mean of predictor
    0.36375
  • Mean of criterion
    0.73182
  • SD of predictor
    0.13875
  • SD of criterion
    0.14325
  • Covariance
    0.00927
  • r
    0.46625
  • b (slope, estimate of beta)
    0.48137
  • a (intercept, estimate of alpha)
    0.55672
  • Mean Square Error
    0.01621
  • DF error
    109.00000
  • t(b)
    5.50247
  • p(b)
    0.21431
  • t(a)
    2.80941
  • p(a)
    0.33646
  • Lowerbound of 95% confidence interval for beta
    0.30799
  • Upperbound of 95% confidence interval for beta
    0.65476
  • Lowerbound of 95% confidence interval for alpha
    0.16397
  • Upperbound of 95% confidence interval for alpha
    0.94948
  • Treynor index (mean / b)
    1.52028
  • Jensen alpha (a)
    0.55672
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01170
  • Expected Shortfall on VaR
    0.01534
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00413
  • Expected Shortfall on VaR
    0.00857
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    111.00000
  • Minimum
    0.97735
  • Quartile 1
    0.99683
  • Median
    1.00327
  • Quartile 3
    1.00828
  • Maximum
    1.03343
  • Mean of quarter 1
    0.99198
  • Mean of quarter 2
    1.00028
  • Mean of quarter 3
    1.00596
  • Mean of quarter 4
    1.01366
  • Inter Quartile Range
    0.01145
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.00901
  • Mean of outliers low
    0.97735
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.02703
  • Mean of outliers high
    1.02939
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.62092
  • VaR(95%) (moments method)
    0.00767
  • Expected Shortfall (moments method)
    0.00868
  • Extreme Value Index (regression method)
    0.03373
  • VaR(95%) (regression method)
    0.00798
  • Expected Shortfall (regression method)
    0.01109
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    17.00000
  • Minimum
    0.00039
  • Quartile 1
    0.00296
  • Median
    0.00655
  • Quartile 3
    0.01554
  • Maximum
    0.05534
  • Mean of quarter 1
    0.00157
  • Mean of quarter 2
    0.00466
  • Mean of quarter 3
    0.01063
  • Mean of quarter 4
    0.03549
  • Inter Quartile Range
    0.01258
  • 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
    0.11765
  • Mean of outliers high
    0.04772
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.76647
  • VaR(95%) (moments method)
    0.03433
  • Expected Shortfall (moments method)
    0.03790
  • Extreme Value Index (regression method)
    -0.06719
  • VaR(95%) (regression method)
    0.04674
  • Expected Shortfall (regression method)
    0.06282
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.89624
  • Compounded annual return (geometric extrapolation)
    1.13770
  • Calmar ratio (compounded annual return / max draw down)
    20.55890
  • Compounded annual return / average of 25% largest draw downs
    32.05850
  • Compounded annual return / Expected Shortfall lognormal
    74.17510
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess log return rates
  • Statistics related to linear regression on benchmark
  • VAR (95 Confidence Intrvl)
    0.01200
  • DRAW DOWN STATISTICS
  • Risk estimates based on draw downs (based on Extreme Value T
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • Last 4 Months - Pcnt Negative
    0.25%
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -290069000
  • Max Equity Drawdown (num days)
    22

Strategy Description

Overview:
Value investing strategy made easy – Investing in good companies that are currently underpriced.

Strategy details:
In value investing we find the real internal value of a company. If the stock price of the company is lower than this real value – we found a bargain.
We buy now, wait for the stock price to reach the real value, and sell.


Our approach stands on three major pillars -
• Real Value – We identify companies where the gap between market price and intrinsic value is significant and targets them for investment.
• Risk Minimization – To reduce the likelihood of losing money we select only those companies where, aside from periodic volatility, the potential for loss is limited.
• Investment Time Horizon – Buy, wait, sell.
Generally, we buy shares and hold them for long periods of time. When do we sell? When the company stock price reaches its real value or when a better deal is found – another company with a bigger price<->value gap.

***************** IMPORTANAT NOTE!!!!!************************
Please mark "Join trades in progress" when subscribing to Easy Value. The strategy works as a whole portfolio and choosing "Don't join trades in progress" will produce an unbalanced portfolio.

Contact Easy Value Team (https://collective2.com/send-message-to/134057686) on Collective2 for any issues.

Summary Statistics

Includes fees & commissions Default (IBKR)
Strategy began
2020-11-10
Suggested Minimum Capital
$15,000
# Trades
77
# Profitable
59
% Profitable
76.6%
Net Dividends
Correlation S&P500
0.490
Sharpe Ratio
3.86
Sortino Ratio
6.95
Beta
0.52
Alpha
0.13
Leverage
0.92 Average
1.25 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.

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Suggested Minimum Capital

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

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