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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 06/28/2021
Most recent certification approved 6/28/21 9:34 ET
Trades at broker Interactive Brokers (Stocks, Options, Futures)
Scaling percentage used 100%
# trading signals issued by system since certification 200
# trading signals executed in manager's Interactive Brokers (Stocks, Options, Futures) account 200
Percent signals followed since 06/28/2021 100%
This information was last updated 11/28/21 0:07 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 06/28/2021, 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.

GardCap Discretionary
(126454200)

Created by: GardCap GardCap
Started: 12/2019
Stocks
Last trade: 2 days ago
Trading style: Equity Non-hedged Equity Short-term Reversal

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 $250.00 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."
Short-term Reversal
Category: Equity

Short-term Reversal

Exploits the tendency of stocks with strong gains and stocks with strong losses to reverse in a short-term time frame (up to one month).
14.5%
Annual Return (Compounded)

Rate of Return Calculations

Overview

To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.

How Annualized (Compounded) Rate of Return is calculated

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

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

All results are hypothetical.

(3.7%)
Max Drawdown
187
Num Trades
57.8%
Win Trades
2.6 : 1
Profit Factor
66.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019                                                                             +1.1%+1.1%
2020+0.7%+0.8%(1%)+0.2%(0.1%)(0.7%)+5.5%  -  (0.1%)(0.9%)+3.9%+3.9%+12.7%
2021+2.2%+3.1%+0.8%+1.0%+1.7%+1.2%+0.4%  -  (0.8%)+3.3%+1.2%      +15.1%

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 402 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
11/22/21 9:40 SJNK SPDR BARCAP ST HIGH YIELD BOND SHORT 1,000 27.17 11/26 12:36 26.93 0%
Trade id #138291934
Max drawdown($7)
Time11/22/21 9:49
Quant open1,000
Worst price27.18
Drawdown as % of equity-0.00%
$238
Includes Typical Broker Commissions trade costs of $5.00
11/22/21 9:43 JNK SPDR BLOOMBERG HIGH YIELD BOND SHORT 500 108.11 11/26 12:36 106.73 0.01%
Trade id #138292064
Max drawdown($18)
Time11/22/21 9:49
Quant open500
Worst price108.15
Drawdown as % of equity-0.01%
$682
Includes Typical Broker Commissions trade costs of $10.00
11/22/21 9:42 REM ISHARES MORTGAGE REAL ESTATE CAPPED ETF SHORT 750 36.85 11/24 15:27 37.14 0.08%
Trade id #138292000
Max drawdown($266)
Time11/24/21 13:50
Quant open750
Worst price37.20
Drawdown as % of equity-0.08%
($228)
Includes Typical Broker Commissions trade costs of $5.00
11/22/21 9:36 TSM TAIWAN SEMICONDUCTOR LONG 250 124.80 11/23 12:41 120.21 0.4%
Trade id #138291737
Max drawdown($1,320)
Time11/23/21 10:59
Quant open250
Worst price119.52
Drawdown as % of equity-0.40%
($1,153)
Includes Typical Broker Commissions trade costs of $5.00
11/22/21 9:32 ARKF ARK FINTECH INNOVATION ETF SHORT 500 50.01 11/23 9:44 48.02 n/a $984
Includes Typical Broker Commissions trade costs of $10.00
11/22/21 10:10 WDC WESTERN DIGITAL LONG 400 57.38 11/22 11:55 56.40 0.12%
Trade id #138293111
Max drawdown($394)
Time11/22/21 11:55
Quant open400
Worst price56.39
Drawdown as % of equity-0.12%
($398)
Includes Typical Broker Commissions trade costs of $8.00
11/22/21 9:45 MGK CRSP US MEGA CAP GROWTH IND LONG 200 265.83 11/22 11:53 262.35 0.21%
Trade id #138292129
Max drawdown($705)
Time11/22/21 11:53
Quant open200
Worst price262.30
Drawdown as % of equity-0.21%
($700)
Includes Typical Broker Commissions trade costs of $4.00
11/16/21 11:20 MSOS ADVISORSHARES PURE US CANNABIS ETF LONG 500 30.12 11/22 9:46 27.78 0.36%
Trade id #138213144
Max drawdown($1,184)
Time11/22/21 9:45
Quant open500
Worst price27.75
Drawdown as % of equity-0.36%
($1,179)
Includes Typical Broker Commissions trade costs of $10.00
11/9/21 10:50 GDX VANECK GOLD MINERS ETF LONG 2,500 33.19 11/18 10:41 34.42 0.03%
Trade id #138130832
Max drawdown($96)
Time11/9/21 11:13
Quant open1,000
Worst price32.77
Drawdown as % of equity-0.03%
$3,070
Includes Typical Broker Commissions trade costs of $27.50
11/18/21 9:33 XBI SPDR S&P BIOTECH LONG 500 124.53 11/18 9:56 124.02 0.09%
Trade id #138242926
Max drawdown($280)
Time11/18/21 9:56
Quant open500
Worst price123.97
Drawdown as % of equity-0.09%
($265)
Includes Typical Broker Commissions trade costs of $10.00
11/17/21 9:35 XOP SPDR S&P OIL & GAS EXPLORATION SHORT 500 106.31 11/17 10:33 107.68 0.21%
Trade id #138225251
Max drawdown($707)
Time11/17/21 10:33
Quant open500
Worst price107.73
Drawdown as % of equity-0.21%
($694)
Includes Typical Broker Commissions trade costs of $10.00
11/16/21 9:50 XLU UTILITIES SELECT SECTOR SPDR LONG 500 67.66 11/17 9:44 66.85 0.14%
Trade id #138210729
Max drawdown($475)
Time11/17/21 0:00
Quant open500
Worst price66.71
Drawdown as % of equity-0.14%
($418)
Includes Typical Broker Commissions trade costs of $10.00
11/11/21 11:32 EEM ISHARES MSCI EMERGING MARKETS LONG 1,000 51.95 11/16 15:49 51.87 0.07%
Trade id #138162189
Max drawdown($230)
Time11/16/21 10:53
Quant open1,000
Worst price51.72
Drawdown as % of equity-0.07%
($80)
Includes Typical Broker Commissions trade costs of $5.00
11/16/21 9:36 XOP SPDR S&P OIL & GAS EXPLORATION SHORT 400 107.77 11/16 11:24 107.02 0.06%
Trade id #138210176
Max drawdown($205)
Time11/16/21 9:49
Quant open400
Worst price108.28
Drawdown as % of equity-0.06%
$292
Includes Typical Broker Commissions trade costs of $8.00
11/11/21 15:04 SPY SPDR S&P 500 SHORT 100 464.13 11/16 11:12 469.03 0.15%
Trade id #138165864
Max drawdown($501)
Time11/16/21 11:11
Quant open100
Worst price469.14
Drawdown as % of equity-0.15%
($493)
Includes Typical Broker Commissions trade costs of $2.00
11/11/21 9:31 MU MICRON TECHNOLOGY LONG 500 74.28 11/16 10:51 76.17 0.1%
Trade id #138159054
Max drawdown($331)
Time11/11/21 9:42
Quant open500
Worst price73.62
Drawdown as % of equity-0.10%
$935
Includes Typical Broker Commissions trade costs of $10.00
11/10/21 9:52 KWEB KRANESHARES CSI CHINA INTERNET LONG 750 49.94 11/16 10:45 51.45 0.11%
Trade id #138143256
Max drawdown($353)
Time11/10/21 14:45
Quant open500
Worst price48.53
Drawdown as % of equity-0.11%
$1,123
Includes Typical Broker Commissions trade costs of $10.00
11/11/21 9:33 AAPL APPLE SHORT 750 148.35 11/12 9:42 147.82 0.05%
Trade id #138159134
Max drawdown($166)
Time11/11/21 11:40
Quant open750
Worst price148.57
Drawdown as % of equity-0.05%
$389
Includes Typical Broker Commissions trade costs of $10.00
11/3/21 9:46 MVIS MICROVISION LONG 1,000 8.74 11/10 14:29 8.57 0.05%
Trade id #138057201
Max drawdown($156)
Time11/10/21 14:29
Quant open1,000
Worst price8.58
Drawdown as % of equity-0.05%
($171)
Includes Typical Broker Commissions trade costs of $5.00
11/10/21 13:53 ANY SPHERE 3D CORP. COMMON SHARES SHORT 6,000 6.69 11/10 13:57 6.76 0.22%
Trade id #138149808
Max drawdown($717)
Time11/10/21 13:57
Quant open6,000
Worst price6.81
Drawdown as % of equity-0.22%
($451)
Includes Typical Broker Commissions trade costs of $5.00
11/9/21 11:44 ANY SPHERE 3D CORP. COMMON SHARES LONG 1,000 7.12 11/10 13:53 6.74 0.15%
Trade id #138132015
Max drawdown($488)
Time11/10/21 13:53
Quant open1,000
Worst price6.63
Drawdown as % of equity-0.15%
($385)
Includes Typical Broker Commissions trade costs of $5.00
11/4/21 10:04 ABNB AIRBNB INC. CLASS A COMMON STOCK LONG 200 177.77 11/10 13:22 195.54 0.16%
Trade id #138074201
Max drawdown($528)
Time11/4/21 11:30
Quant open200
Worst price175.13
Drawdown as % of equity-0.16%
$3,549
Includes Typical Broker Commissions trade costs of $4.00
11/3/21 9:42 KOPN KOPIN LONG 1,000 5.98 11/10 13:14 6.08 n/a $91
Includes Typical Broker Commissions trade costs of $5.00
11/3/21 9:42 VUZI VUZIX CORP LONG 500 12.63 11/10 13:10 12.83 0.11%
Trade id #138057108
Max drawdown($354)
Time11/5/21 0:00
Quant open500
Worst price11.92
Drawdown as % of equity-0.11%
$91
Includes Typical Broker Commissions trade costs of $10.00
11/1/21 12:55 XBI SPDR S&P BIOTECH LONG 500 129.16 11/10 13:05 129.28 0.22%
Trade id #138031463
Max drawdown($725)
Time11/2/21 0:00
Quant open500
Worst price127.71
Drawdown as % of equity-0.22%
$47
Includes Typical Broker Commissions trade costs of $10.00
11/8/21 9:52 BHP BHP GROUP LTD LONG 500 54.33 11/10 13:03 52.75 0.24%
Trade id #138113774
Max drawdown($808)
Time11/10/21 13:03
Quant open500
Worst price52.71
Drawdown as % of equity-0.24%
($799)
Includes Typical Broker Commissions trade costs of $10.00
11/1/21 13:02 XPH SPDR S&P PHARMACEUTICALS LONG 1,000 48.90 11/10 10:21 51.78 0.11%
Trade id #138031540
Max drawdown($343)
Time11/2/21 0:00
Quant open1,000
Worst price48.56
Drawdown as % of equity-0.11%
$2,864
Includes Typical Broker Commissions trade costs of $12.50
11/9/21 9:55 IWM ISHARES RUSSELL 2000 INDEX SHORT 500 240.61 11/10 9:39 240.98 0.16%
Trade id #138128427
Max drawdown($517)
Time11/9/21 13:19
Quant open500
Worst price241.65
Drawdown as % of equity-0.16%
($195)
Includes Typical Broker Commissions trade costs of $10.00
11/4/21 9:56 XLU UTILITIES SELECT SECTOR SPDR SHORT 1,500 66.62 11/8 15:49 66.35 0.4%
Trade id #138073785
Max drawdown($1,329)
Time11/5/21 0:00
Quant open1,500
Worst price67.51
Drawdown as % of equity-0.40%
$403
Includes Typical Broker Commissions trade costs of $5.00
11/5/21 12:41 EWZ ISHARES MSCI BRAZIL ETF LONG 10,000 30.11 11/8 13:53 30.02 0.12%
Trade id #138094216
Max drawdown($395)
Time11/8/21 9:30
Quant open1,000
Worst price29.71
Drawdown as % of equity-0.12%
($846)
Includes Typical Broker Commissions trade costs of $7.50

Statistics

  • Strategy began
    12/3/2019
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    725.66
  • Age
    24 months ago
  • What it trades
    Stocks
  • # Trades
    187
  • # Profitable
    108
  • % Profitable
    57.80%
  • Avg trade duration
    9.5 days
  • Max peak-to-valley drawdown
    3.66%
  • drawdown period
    Nov 24, 2020 - Dec 01, 2020
  • Annual Return (Compounded)
    14.5%
  • Avg win
    $1,290
  • Avg loss
    $685.42
  • Model Account Values (Raw)
  • Cash
    $395,913
  • Margin Used
    $190,411
  • Buying Power
    $206,064
  • Ratios
  • W:L ratio
    2.64:1
  • Sharpe Ratio
    1.75
  • Sortino Ratio
    3.28
  • Calmar Ratio
    6.662
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -17.41%
  • Correlation to SP500
    0.06150
  • Return Percent SP500 (cumu) during strategy life
    48.54%
  • Return Statistics
  • Ann Return (w trading costs)
    14.5%
  • Slump
  • Current Slump as Pcnt Equity
    1.90%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.02%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.145%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    16.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    n/a
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    865
  • Popularity (Last 6 weeks)
    991
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    985
  • Popularity (7 days, Percentile 1000 scale)
    955
  • 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
    $685
  • Avg Win
    $1,291
  • Sum Trade PL (losers)
    $54,148.000
  • AUM
  • AUM (AutoTrader num accounts)
    26
  • Age
  • Num Months filled monthly returns table
    24
  • Win / Loss
  • Sum Trade PL (winners)
    $139,378.000
  • # Winners
    108
  • Num Months Winners
    17
  • Dividends
  • Dividends Received in Model Acct
    1042
  • AUM
  • AUM (AutoTrader live capital)
    9534850
  • Win / Loss
  • # Losers
    79
  • % Winners
    57.8%
  • Frequency
  • Avg Position Time (mins)
    13613.50
  • Avg Position Time (hrs)
    226.89
  • Avg Trade Length
    9.5 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    0.40
  • Daily leverage (max)
    1.85
  • Regression
  • Alpha
    0.03
  • Beta
    0.01
  • Treynor Index
    2.42
  • 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)
    1.00
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    1.581
  • 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
    0.363
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.243
  • Hold-and-Hope Ratio
    0.637
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.13246
  • SD
    0.05929
  • Sharpe ratio (Glass type estimate)
    2.23393
  • Sharpe ratio (Hedges UMVUE)
    2.15675
  • df
    22.00000
  • t
    3.09274
  • p
    0.00266
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.65267
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.77348
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.60422
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.70928
  • Statistics related to Sortino ratio
  • Sortino ratio
    13.81240
  • Upside Potential Ratio
    15.21730
  • Upside part of mean
    0.14593
  • Downside part of mean
    -0.01347
  • Upside SD
    0.06880
  • Downside SD
    0.00959
  • N nonnegative terms
    16.00000
  • N negative terms
    7.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    23.00000
  • Mean of predictor
    0.20581
  • Mean of criterion
    0.13246
  • SD of predictor
    0.17430
  • SD of criterion
    0.05929
  • Covariance
    0.00229
  • r
    0.22170
  • b (slope, estimate of beta)
    0.07542
  • a (intercept, estimate of alpha)
    0.11694
  • Mean Square Error
    0.00350
  • DF error
    21.00000
  • t(b)
    1.04189
  • p(b)
    0.36003
  • t(a)
    2.58320
  • p(a)
    0.20045
  • Lowerbound of 95% confidence interval for beta
    -0.07512
  • Upperbound of 95% confidence interval for beta
    0.22596
  • Lowerbound of 95% confidence interval for alpha
    0.02280
  • Upperbound of 95% confidence interval for alpha
    0.21108
  • Treynor index (mean / b)
    1.75627
  • Jensen alpha (a)
    0.11694
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.12981
  • SD
    0.05799
  • Sharpe ratio (Glass type estimate)
    2.23839
  • Sharpe ratio (Hedges UMVUE)
    2.16105
  • df
    22.00000
  • t
    3.09891
  • p
    0.00262
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.65657
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.77845
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.60800
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.71411
  • Statistics related to Sortino ratio
  • Sortino ratio
    13.50200
  • Upside Potential Ratio
    14.90480
  • Upside part of mean
    0.14330
  • Downside part of mean
    -0.01349
  • Upside SD
    0.06730
  • Downside SD
    0.00961
  • N nonnegative terms
    16.00000
  • N negative terms
    7.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    23.00000
  • Mean of predictor
    0.18911
  • Mean of criterion
    0.12981
  • SD of predictor
    0.17572
  • SD of criterion
    0.05799
  • Covariance
    0.00235
  • r
    0.23025
  • b (slope, estimate of beta)
    0.07599
  • a (intercept, estimate of alpha)
    0.11544
  • Mean Square Error
    0.00334
  • DF error
    21.00000
  • t(b)
    1.08426
  • p(b)
    0.35473
  • t(a)
    2.63701
  • p(a)
    0.19618
  • Lowerbound of 95% confidence interval for beta
    -0.06976
  • Upperbound of 95% confidence interval for beta
    0.22173
  • Lowerbound of 95% confidence interval for alpha
    0.02440
  • Upperbound of 95% confidence interval for alpha
    0.20648
  • Treynor index (mean / b)
    1.70833
  • Jensen alpha (a)
    0.11544
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01658
  • Expected Shortfall on VaR
    0.02342
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00178
  • Expected Shortfall on VaR
    0.00410
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    23.00000
  • Minimum
    0.99068
  • Quartile 1
    1.00124
  • Median
    1.00639
  • Quartile 3
    1.02058
  • Maximum
    1.05223
  • Mean of quarter 1
    0.99813
  • Mean of quarter 2
    1.00464
  • Mean of quarter 3
    1.01261
  • Mean of quarter 4
    1.03796
  • Inter Quartile Range
    0.01934
  • 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
    0.08696
  • Mean of outliers high
    1.05136
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.60496
  • VaR(95%) (moments method)
    0.00183
  • Expected Shortfall (moments method)
    0.00657
  • Extreme Value Index (regression method)
    2.50742
  • VaR(95%) (regression method)
    0.00270
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.00011
  • Quartile 1
    0.00087
  • Median
    0.00163
  • Quartile 3
    0.00547
  • Maximum
    0.00932
  • Mean of quarter 1
    0.00011
  • Mean of quarter 2
    0.00163
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00932
  • Inter Quartile Range
    0.00460
  • 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)
    0.18415
  • Compounded annual return (geometric extrapolation)
    0.17084
  • Calmar ratio (compounded annual return / max draw down)
    18.32690
  • Compounded annual return / average of 25% largest draw downs
    18.32690
  • Compounded annual return / Expected Shortfall lognormal
    7.29545
  • 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
    0.12644
  • SD
    0.05621
  • Sharpe ratio (Glass type estimate)
    2.24945
  • Sharpe ratio (Hedges UMVUE)
    2.24613
  • df
    508.00000
  • t
    3.13534
  • p
    0.00091
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.83543
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.66136
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.83319
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.65907
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.35885
  • Upside Potential Ratio
    11.24390
  • Upside part of mean
    0.32616
  • Downside part of mean
    -0.19972
  • Upside SD
    0.04871
  • Downside SD
    0.02901
  • N nonnegative terms
    197.00000
  • N negative terms
    312.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    509.00000
  • Mean of predictor
    0.21026
  • Mean of criterion
    0.12644
  • SD of predictor
    0.26147
  • SD of criterion
    0.05621
  • Covariance
    0.00074
  • r
    0.05004
  • b (slope, estimate of beta)
    0.01076
  • a (intercept, estimate of alpha)
    0.12400
  • Mean Square Error
    0.00316
  • DF error
    507.00000
  • t(b)
    1.12821
  • p(b)
    0.12988
  • t(a)
    3.07628
  • p(a)
    0.00110
  • Lowerbound of 95% confidence interval for beta
    -0.00798
  • Upperbound of 95% confidence interval for beta
    0.02949
  • Lowerbound of 95% confidence interval for alpha
    0.04487
  • Upperbound of 95% confidence interval for alpha
    0.20349
  • Treynor index (mean / b)
    11.75340
  • Jensen alpha (a)
    0.12418
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.12483
  • SD
    0.05601
  • Sharpe ratio (Glass type estimate)
    2.22864
  • Sharpe ratio (Hedges UMVUE)
    2.22535
  • df
    508.00000
  • t
    3.10633
  • p
    0.00100
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.81474
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.64042
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.81253
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.63816
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.29006
  • Upside Potential Ratio
    11.16770
  • Upside part of mean
    0.32495
  • Downside part of mean
    -0.20012
  • Upside SD
    0.04841
  • Downside SD
    0.02910
  • N nonnegative terms
    197.00000
  • N negative terms
    312.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    509.00000
  • Mean of predictor
    0.17576
  • Mean of criterion
    0.12483
  • SD of predictor
    0.26325
  • SD of criterion
    0.05601
  • Covariance
    0.00075
  • r
    0.05120
  • b (slope, estimate of beta)
    0.01089
  • a (intercept, estimate of alpha)
    0.12291
  • Mean Square Error
    0.00314
  • DF error
    507.00000
  • t(b)
    1.15440
  • p(b)
    0.12444
  • t(a)
    3.05708
  • p(a)
    0.00118
  • Lowerbound of 95% confidence interval for beta
    -0.00765
  • Upperbound of 95% confidence interval for beta
    0.02943
  • Lowerbound of 95% confidence interval for alpha
    0.04392
  • Upperbound of 95% confidence interval for alpha
    0.20191
  • Treynor index (mean / b)
    11.45840
  • Jensen alpha (a)
    0.12291
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00520
  • Expected Shortfall on VaR
    0.00664
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00198
  • Expected Shortfall on VaR
    0.00400
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    509.00000
  • Minimum
    0.98749
  • Quartile 1
    0.99948
  • Median
    1.00000
  • Quartile 3
    1.00141
  • Maximum
    1.02684
  • Mean of quarter 1
    0.99731
  • Mean of quarter 2
    0.99991
  • Mean of quarter 3
    1.00036
  • Mean of quarter 4
    1.00480
  • Inter Quartile Range
    0.00193
  • Number outliers low
    31.00000
  • Percentage of outliers low
    0.06090
  • Mean of outliers low
    0.99405
  • Number of outliers high
    46.00000
  • Percentage of outliers high
    0.09037
  • Mean of outliers high
    1.00836
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.26722
  • VaR(95%) (moments method)
    0.00260
  • Expected Shortfall (moments method)
    0.00449
  • Extreme Value Index (regression method)
    0.04030
  • VaR(95%) (regression method)
    0.00275
  • Expected Shortfall (regression method)
    0.00409
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    37.00000
  • Minimum
    0.00001
  • Quartile 1
    0.00212
  • Median
    0.00373
  • Quartile 3
    0.00966
  • Maximum
    0.02477
  • Mean of quarter 1
    0.00104
  • Mean of quarter 2
    0.00290
  • Mean of quarter 3
    0.00734
  • Mean of quarter 4
    0.01744
  • Inter Quartile Range
    0.00755
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.08108
  • Mean of outliers high
    0.02268
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -1.45986
  • VaR(95%) (moments method)
    0.01788
  • Expected Shortfall (moments method)
    0.01842
  • Extreme Value Index (regression method)
    -0.84554
  • VaR(95%) (regression method)
    0.01730
  • Expected Shortfall (regression method)
    0.01844
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.17782
  • Compounded annual return (geometric extrapolation)
    0.16502
  • Calmar ratio (compounded annual return / max draw down)
    6.66227
  • Compounded annual return / average of 25% largest draw downs
    9.46132
  • Compounded annual return / Expected Shortfall lognormal
    24.85800
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.09404
  • SD
    0.05523
  • Sharpe ratio (Glass type estimate)
    1.70282
  • Sharpe ratio (Hedges UMVUE)
    1.69297
  • df
    130.00000
  • t
    1.20407
  • p
    0.44749
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.07986
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.47907
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.08646
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.47241
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.91464
  • Upside Potential Ratio
    10.63980
  • Upside part of mean
    0.34328
  • Downside part of mean
    -0.24924
  • Upside SD
    0.04494
  • Downside SD
    0.03226
  • N nonnegative terms
    63.00000
  • N negative terms
    68.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.15696
  • Mean of criterion
    0.09404
  • SD of predictor
    0.10630
  • SD of criterion
    0.05523
  • Covariance
    0.00015
  • r
    0.02544
  • b (slope, estimate of beta)
    0.01322
  • a (intercept, estimate of alpha)
    0.09196
  • Mean Square Error
    0.00307
  • DF error
    129.00000
  • t(b)
    0.28902
  • p(b)
    0.48381
  • t(a)
    1.16846
  • p(a)
    0.43496
  • Lowerbound of 95% confidence interval for beta
    -0.07726
  • Upperbound of 95% confidence interval for beta
    0.10369
  • Lowerbound of 95% confidence interval for alpha
    -0.06376
  • Upperbound of 95% confidence interval for alpha
    0.24768
  • Treynor index (mean / b)
    7.11521
  • Jensen alpha (a)
    0.09196
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.09250
  • SD
    0.05514
  • Sharpe ratio (Glass type estimate)
    1.67767
  • Sharpe ratio (Hedges UMVUE)
    1.66797
  • df
    130.00000
  • t
    1.18629
  • p
    0.44826
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.10478
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.45382
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.11124
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.44718
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.85885
  • Upside Potential Ratio
    10.57730
  • Upside part of mean
    0.34224
  • Downside part of mean
    -0.24974
  • Upside SD
    0.04475
  • Downside SD
    0.03236
  • N nonnegative terms
    63.00000
  • N negative terms
    68.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.15128
  • Mean of criterion
    0.09250
  • SD of predictor
    0.10647
  • SD of criterion
    0.05514
  • Covariance
    0.00015
  • r
    0.02540
  • b (slope, estimate of beta)
    0.01316
  • a (intercept, estimate of alpha)
    0.09051
  • Mean Square Error
    0.00306
  • DF error
    129.00000
  • t(b)
    0.28862
  • p(b)
    0.48383
  • t(a)
    1.15220
  • p(a)
    0.43586
  • VAR (95 Confidence Intrvl)
    0.00500
  • Lowerbound of 95% confidence interval for beta
    -0.07703
  • Upperbound of 95% confidence interval for beta
    0.10334
  • Lowerbound of 95% confidence interval for alpha
    -0.06491
  • Upperbound of 95% confidence interval for alpha
    0.24593
  • Treynor index (mean / b)
    7.03111
  • Jensen alpha (a)
    0.09051
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00524
  • Expected Shortfall on VaR
    0.00665
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00224
  • Expected Shortfall on VaR
    0.00441
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.99067
  • Quartile 1
    0.99896
  • Median
    1.00000
  • Quartile 3
    1.00153
  • Maximum
    1.01307
  • Mean of quarter 1
    0.99679
  • Mean of quarter 2
    0.99965
  • Mean of quarter 3
    1.00074
  • Mean of quarter 4
    1.00469
  • Inter Quartile Range
    0.00257
  • Number outliers low
    6.00000
  • Percentage of outliers low
    0.04580
  • Mean of outliers low
    0.99300
  • Number of outliers high
    10.00000
  • Percentage of outliers high
    0.07634
  • Mean of outliers high
    1.00867
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.23269
  • VaR(95%) (moments method)
    0.00299
  • Expected Shortfall (moments method)
    0.00487
  • Extreme Value Index (regression method)
    0.20156
  • VaR(95%) (regression method)
    0.00336
  • Expected Shortfall (regression method)
    0.00543
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    12.00000
  • Minimum
    0.00021
  • Quartile 1
    0.00200
  • Median
    0.00401
  • Quartile 3
    0.00990
  • Maximum
    0.02157
  • Mean of quarter 1
    0.00070
  • Mean of quarter 2
    0.00264
  • Mean of quarter 3
    0.00621
  • Mean of quarter 4
    0.01671
  • Inter Quartile Range
    0.00789
  • 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)
    0.15529
  • VaR(95%) (moments method)
    0.01824
  • Expected Shortfall (moments method)
    0.02260
  • Extreme Value Index (regression method)
    4.42071
  • VaR(95%) (regression method)
    0.02513
  • Last 4 Months - Pcnt Negative
    0.25%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -302229000
  • Max Equity Drawdown (num days)
    7
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.12411
  • Compounded annual return (geometric extrapolation)
    0.12796
  • Calmar ratio (compounded annual return / max draw down)
    5.93219
  • Compounded annual return / average of 25% largest draw downs
    7.65619
  • Compounded annual return / Expected Shortfall lognormal
    19.24080

Strategy Description

Market Returns: Goal is to achieve returns over the long run that approximate those of global equities over a full equity cycle (peak to peak). I use VT (global equities ETF) as my benchmark. This is not a strategy that will make ridiculous outsized returns.

Low correlation: Low to no correlation with global equities. This strategy is meant to compliment a passive long equities or balanced portfolio. That is how I treat it in my own portfolio. I trade this strategy with margin as a compliment to my long only momentum rotation strategy. It can be used as a standalone strategy, but this will require extreme patience as returns will often diverge from the broad market.

Low drawdowns: Low drawdowns and the protection of capital is a key element of this strategy. I am retired and trade for a living. I rely on my returns to support myself so large drawdowns are undesirable and damaging as they reduce the sustainable withdrawal rate of my portfolio.

Accessibility: This strategy will only trade equities, long and short. As such, it should be accessible for most people with regular margin accounts. As well, size is not an issue. Both large and small accounts can follow this strategy. However, I would not recommend following this strategy with more than 10-20% of your portfolio. Generally, I think relying on any individual discretionary trader or alternative strategy for a greater percentage than that is too risky.

Leverage: Low leverage is the norm. It will rarely be more than 100% net long equities. You are welcome to adjust the leverage according to your personal portfolio needs.

Style: Most trades are discretionary and relatively short term (less than a month). Most trades are made using ETFs, although I occasionally invest in individual stocks where no liquid ETF is available, or the opportunity is unique.

I tend to change my mind frequently. If something is not working, I usually get out quickly. As well, there may be periods where I trade infrequently or not at all if I do not see any interesting opportunities.

Feel free to follow my blog (www.gardcapital.com) or me on Twitter (@gardcapital). I also run a group chat on Telegram for subscribers where I post thoughts on markets and trades I am making. If you would like to join the group chat send me a message and I will send you an invitation link.

Summary Statistics

Strategy began
2019-12-03
Suggested Minimum Capital
$35,000
Rank at C2 %
Top 1.5%
Rank # 
#12
# Trades
187
# Profitable
108
% Profitable
57.8%
Net Dividends
Correlation S&P500
0.061
Sharpe Ratio
1.75
Sortino Ratio
3.28
Beta
0.01
Alpha
0.03
Leverage
0.40 Average
1.85 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

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

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

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

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

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

Latest Activity

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subscribed on started simulation #SUBSCRIBEDDATE#

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.