This system has earned TradesOwnStrategy (TOS) Certification.
This means that the manager of this system trades his own strategy
in a reallife, funded brokerage account.
TradesOwnStrategy (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
222
# trading signals executed in manager's Israel Interactive Trading account
222
Percent signals followed since 09/08/2020
100%
This information was last updated
11/28/21 0:59 ET
Warning: System trading results are still hypothetical.
Even though the system developer is currently trading his own system in a reallife 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
underor overcompensated 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)
This system has earned TradesOwnStrategy (TOS) Certification. This means that the manager of this system trades his own strategy in a reallife, funded brokerage account.
TradesOwnStrategy (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  222 
# trading signals executed in manager's Israel Interactive Trading account  222 
Percent signals followed since 09/08/2020  100% 
This information was last updated  11/28/21 0:59 ET 
Warning: System trading results are still hypothetical.
Even though the system developer is currently trading his own system in a reallife 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 underor overcompensated 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.
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.
Nonhedged Equity
Predominantly long equities, although some hedging with short sales of stocks and/or stock index options. Commonly known as "stockpickers."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 markedtomarket equity calculations.
All results are hypothetical.
Jan  Feb  Mar  Apr  May  Jun  Jul  Aug  Sep  Oct  Nov  Dec  YTD  

2020  (1.4%)  +7.1%  +29.5%  +15.1%  +57.5%  
2021  +5.3%  +16.6%  +6.4%  +10.7%  +15.6%  (1.1%)  (7%)  +2.9%  (3.7%)  +0.9%  +0.4%  +54.1% 
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.
Started  $30,000  
Buy Power  $39,948  
Cash  $31,441  
Equity  $8,507  
Cumulative $  $45,155  
Includes dividends and cashsettled expirations:  $1,037  Itemized 
Total System Equity  $75,155  
Margined  $0  
Open P/L  $8,507 
Trading Record
Statistics

Strategy began9/3/2020

Suggested Minimum Cap$15,000

Strategy Age (days)450.77

Age15 months ago

What it tradesStocks

# Trades123

# Profitable78

% Profitable63.40%

Avg trade duration133.7 days

Max peaktovalley drawdown26.46%

drawdown periodJune 01, 2021  Sept 21, 2021

Annual Return (Compounded)104.2%

Avg win$734.81

Avg loss$293.22
 Model Account Values (Raw)

Cash$31,441

Margin Used$0

Buying Power$39,948
 Ratios

W:L ratio4.42:1

Sharpe Ratio2.34

Sortino Ratio3.67

Calmar Ratio6.91
 CORRELATION STATISTICS

Return of Strat Pcnt  Return of SP500 Pcnt (cumu)109.82%

Correlation to SP5000.41240

Return Percent SP500 (cumu) during strategy life32.98%
 Return Statistics

Ann Return (w trading costs)104.2%
 Slump

Current Slump as Pcnt Equity13.60%
 Instruments

Percent Trades Futuresn/a
 Slump

Current Slump, time of slump as pcnt of strategy life0.40%
 Instruments

Short Options  Percent Covered100.00%
 Return Statistics

Return Pcnt (Compound or Annual, agebased, NFA compliant)1.042%
 Instruments

Percent Trades Optionsn/a

Percent Trades Stocks1.00%

Percent Trades Forexn/a
 Return Statistics

Ann Return (Compnd, No Fees)110.0%
 Automation

Percentage Signals Automatedn/a
 Popularity

Popularity (Today)982

Popularity (Last 6 weeks)990
 Trading Style

Any stock shorts? 0/10
 Popularity

C2 Score952

Popularity (7 days, Percentile 1000 scale)980
 Management

No Subs Allowed Flag (1: no subs)0

Strat abandoned?0
 TradesOwnSystem Certification

Trades Own System?Yes

TOS percent100%
 Win / Loss

Avg Loss$293

Avg Win$735

Sum Trade PL (losers)$13,195.000
 AUM

AUM (AutoTrader num accounts)51
 Age

Num Months filled monthly returns table15
 Win / Loss

Sum Trade PL (winners)$57,315.000

# Winners78

Num Months Winners11
 Dividends

Dividends Received in Model Acct1037
 AUM

AUM (AutoTrader live capital)1614270
 Win / Loss

# Losers45

% Winners63.4%
 Frequency

Avg Position Time (mins)192515.00

Avg Position Time (hrs)3208.59

Avg Trade Length133.7 days

Last Trade Ago2
 Leverage

Daily leverage (average)0.89

Daily leverage (max)1.30
 Regression

Alpha0.16

Beta0.76

Treynor Index0.27
 Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.00

MAE:PL  worst single value for strategy

MAE:PL (avg, winning trades)

MAE:PL (avg, losing trades)

MAE:PL (avg, all trades)1.30

MAE:Equity, average, winning trades0.00

MAE:Equity, average, losing trades0.01

Avg(MAE) / Avg(PL)  All trades0.688

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 strat0.00

Avg(MAE) / Avg(PL)  Winning trades0.160

Avg(MAE) / Avg(PL)  Losing trades1.348

HoldandHope Ratio1.822
 Analysis based on MONTHLY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.85658

SD0.28845

Sharpe ratio (Glass type estimate)2.96960

Sharpe ratio (Hedges UMVUE)2.79434

df13.00000

t3.20754

p0.11050

Lowerbound of 95% confidence interval for Sharpe Ratio0.79132

Upperbound of 95% confidence interval for Sharpe Ratio5.06638

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.68571

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation4.90298
 Statistics related to Sortino ratio

Sortino ratio16.44500

Upside Potential Ratio17.75390

Upside part of mean0.92475

Downside part of mean0.06817

Upside SD0.36836

Downside SD0.05209

N nonnegative terms12.00000

N negative terms2.00000
 Statistics related to linear regression on benchmark

N of observations14.00000

Mean of predictor0.23271

Mean of criterion0.85658

SD of predictor0.09309

SD of criterion0.28845

Covariance0.00660

r0.24574

b (slope, estimate of beta)0.76141

a (intercept, estimate of alpha)0.67939

Mean Square Error0.08469

DF error12.00000

t(b)0.87818

p(b)0.37713

t(a)2.01836

p(a)0.24829

Lowerbound of 95% confidence interval for beta1.12769

Upperbound of 95% confidence interval for beta2.65053

Lowerbound of 95% confidence interval for alpha0.05401

Upperbound of 95% confidence interval for alpha1.41279

Treynor index (mean / b)1.12498

Jensen alpha (a)0.67939
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.79291

SD0.26343

Sharpe ratio (Glass type estimate)3.00998

Sharpe ratio (Hedges UMVUE)2.83234

df13.00000

t3.25115

p0.10813

Lowerbound of 95% confidence interval for Sharpe Ratio0.82327

Upperbound of 95% confidence interval for Sharpe Ratio5.11466

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.71623

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation4.94845
 Statistics related to Sortino ratio

Sortino ratio14.95290

Upside Potential Ratio16.26170

Upside part of mean0.86231

Downside part of mean0.06940

Upside SD0.33766

Downside SD0.05303

N nonnegative terms12.00000

N negative terms2.00000
 Statistics related to linear regression on benchmark

N of observations14.00000

Mean of predictor0.22608

Mean of criterion0.79291

SD of predictor0.09134

SD of criterion0.26343

Covariance0.00571

r0.23719

b (slope, estimate of beta)0.68409

a (intercept, estimate of alpha)0.63825

Mean Square Error0.07095

DF error12.00000

t(b)0.84580

p(b)0.38140

t(a)2.07900

p(a)0.24270

Lowerbound of 95% confidence interval for beta1.07814

Upperbound of 95% confidence interval for beta2.44632

Lowerbound of 95% confidence interval for alpha0.03064

Upperbound of 95% confidence interval for alpha1.30714

Treynor index (mean / b)1.15907

Jensen alpha (a)0.63825
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.05730

Expected Shortfall on VaR0.08642
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00436

Expected Shortfall on VaR0.01316
 ORDER STATISTICS
 Quartiles of return rates

Number of observations14.00000

Minimum0.96151

Quartile 11.01592

Median1.07370

Quartile 31.10569

Maximum1.26134

Mean of quarter 10.98501

Mean of quarter 21.04463

Mean of quarter 31.09504

Mean of quarter 41.16822

Inter Quartile Range0.08977

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high1.00000

Percentage of outliers high0.07143

Mean of outliers high1.26134
 Risk estimates for a oneperiod 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)5.27967

VaR(95%) (regression method)0.12737

Expected Shortfall (regression method)0.12745
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations1.00000

Minimum0.06921

Quartile 10.06921

Median0.06921

Quartile 30.06921

Maximum0.06921

Mean of quarter 10.00000

Mean of quarter 20.00000

Mean of quarter 30.00000

Mean of quarter 40.00000

Inter Quartile Range0.00000

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high0.00000

Percentage of outliers high0.00000

Mean of outliers high0.00000
 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)1.37612

Compounded annual return (geometric extrapolation)1.27235

Calmar ratio (compounded annual return / max draw down)18.38260

Compounded annual return / average of 25% largest draw downs0.00000

Compounded annual return / Expected Shortfall lognormal14.72220

0.00000

0.00000
 Analysis based on DAILY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.75190

SD0.25196

Sharpe ratio (Glass type estimate)2.98418

Sharpe ratio (Hedges UMVUE)2.97711

df317.00000

t3.28767

p0.00056

Lowerbound of 95% confidence interval for Sharpe Ratio1.18773

Upperbound of 95% confidence interval for Sharpe Ratio4.77601

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.18305

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation4.77118
 Statistics related to Sortino ratio

Sortino ratio4.75031

Upside Potential Ratio12.59040

Upside part of mean1.99288

Downside part of mean1.24098

Upside SD0.20097

Downside SD0.15829

N nonnegative terms191.00000

N negative terms127.00000
 Statistics related to linear regression on benchmark

N of observations318.00000

Mean of predictor0.21722

Mean of criterion0.75190

SD of predictor0.14277

SD of criterion0.25196

Covariance0.01442

r0.40075

b (slope, estimate of beta)0.70722

a (intercept, estimate of alpha)0.59800

Mean Square Error0.05346

DF error316.00000

t(b)7.77549

p(b)0.00000

t(a)2.83819

p(a)0.00242

Lowerbound of 95% confidence interval for beta0.52827

Upperbound of 95% confidence interval for beta0.88618

Lowerbound of 95% confidence interval for alpha0.18354

Upperbound of 95% confidence interval for alpha1.01302

Treynor index (mean / b)1.06318

Jensen alpha (a)0.59828
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.71922

SD0.25165

Sharpe ratio (Glass type estimate)2.85803

Sharpe ratio (Hedges UMVUE)2.85126

df317.00000

t3.14868

p0.00090

Lowerbound of 95% confidence interval for Sharpe Ratio1.06293

Upperbound of 95% confidence interval for Sharpe Ratio4.64872

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.05843

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation4.64409
 Statistics related to Sortino ratio

Sortino ratio4.48346

Upside Potential Ratio12.29810

Upside part of mean1.97282

Downside part of mean1.25359

Upside SD0.19842

Downside SD0.16042

N nonnegative terms191.00000

N negative terms127.00000
 Statistics related to linear regression on benchmark

N of observations318.00000

Mean of predictor0.20694

Mean of criterion0.71922

SD of predictor0.14292

SD of criterion0.25165

Covariance0.01441

r0.40063

b (slope, estimate of beta)0.70540

a (intercept, estimate of alpha)0.57324

Mean Square Error0.05333

DF error316.00000

t(b)7.77280

p(b)0.00000

t(a)2.72380

p(a)0.00341

Lowerbound of 95% confidence interval for beta0.52684

Upperbound of 95% confidence interval for beta0.88395

Lowerbound of 95% confidence interval for alpha0.15917

Upperbound of 95% confidence interval for alpha0.98732

Treynor index (mean / b)1.01960

Jensen alpha (a)0.57324
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.02257

Expected Shortfall on VaR0.02888
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00942

Expected Shortfall on VaR0.01915
 ORDER STATISTICS
 Quartiles of return rates

Number of observations318.00000

Minimum0.95487

Quartile 10.99351

Median1.00291

Quartile 31.01334

Maximum1.04574

Mean of quarter 10.98307

Mean of quarter 20.99892

Mean of quarter 31.00781

Mean of quarter 41.02211

Inter Quartile Range0.01984

Number outliers low5.00000

Percentage of outliers low0.01572

Mean of outliers low0.95922

Number of outliers high2.00000

Percentage of outliers high0.00629

Mean of outliers high1.04450
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.13897

VaR(95%) (moments method)0.01546

Expected Shortfall (moments method)0.01983

Extreme Value Index (regression method)0.13460

VaR(95%) (regression method)0.01597

Expected Shortfall (regression method)0.02059
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations23.00000

Minimum0.00039

Quartile 10.00520

Median0.00916

Quartile 30.04882

Maximum0.16077

Mean of quarter 10.00268

Mean of quarter 20.00670

Mean of quarter 30.02662

Mean of quarter 40.09370

Inter Quartile Range0.04362

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high1.00000

Percentage of outliers high0.04348

Mean of outliers high0.16077
 Risk estimates based on draw downs (based on Extreme Value T

Extreme Value Index (moments method)1.99892

VaR(95%) (moments method)0.09908

Expected Shortfall (moments method)0.10084

Extreme Value Index (regression method)0.10234

VaR(95%) (regression method)0.09828

Expected Shortfall (regression method)0.12238
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)1.21643

Compounded annual return (geometric extrapolation)1.11093

Calmar ratio (compounded annual return / max draw down)6.91018

Compounded annual return / average of 25% largest draw downs11.85620

Compounded annual return / Expected Shortfall lognormal38.46450

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

Mean0.13076

SD0.22035

Sharpe ratio (Glass type estimate)0.59340

Sharpe ratio (Hedges UMVUE)0.58997

df130.00000

t0.41960

p0.51839

Lowerbound of 95% confidence interval for Sharpe Ratio3.36506

Upperbound of 95% confidence interval for Sharpe Ratio2.18043

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation3.36271

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.18276
 Statistics related to Sortino ratio

Sortino ratio0.80650

Upside Potential Ratio8.07970

Upside part of mean1.30997

Downside part of mean1.44073

Upside SD0.14820

Downside SD0.16213

N nonnegative terms63.00000

N negative terms68.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.15696

Mean of criterion0.13076

SD of predictor0.10630

SD of criterion0.22035

Covariance0.01293

r0.55208

b (slope, estimate of beta)1.14448

a (intercept, estimate of alpha)0.31039

Mean Square Error0.03402

DF error129.00000

t(b)7.52039

p(b)0.16731

t(a)1.18502

p(a)0.56595

Lowerbound of 95% confidence interval for beta0.84338

Upperbound of 95% confidence interval for beta1.44558

Lowerbound of 95% confidence interval for alpha0.82862

Upperbound of 95% confidence interval for alpha0.20784

Treynor index (mean / b)0.11425

Jensen alpha (a)0.31039
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.15493

SD0.22072

Sharpe ratio (Glass type estimate)0.70193

Sharpe ratio (Hedges UMVUE)0.69788

df130.00000

t0.49634

p0.52175

Lowerbound of 95% confidence interval for Sharpe Ratio3.47373

Upperbound of 95% confidence interval for Sharpe Ratio2.07252

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation3.47098

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.07523
 Statistics related to Sortino ratio

Sortino ratio0.94384

Upside Potential Ratio7.91370

Upside part of mean1.29901

Downside part of mean1.45394

Upside SD0.14660

Downside SD0.16415

N nonnegative terms63.00000

N negative terms68.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.15128

Mean of criterion0.15493

SD of predictor0.10647

SD of criterion0.22072

Covariance0.01301

r0.55371

b (slope, estimate of beta)1.14793

a (intercept, estimate of alpha)0.32858

Mean Square Error0.03404

DF error129.00000

t(b)7.55245

p(b)0.16644

t(a)1.25443

p(a)0.56975

VAR (95 Confidence Intrvl)0.02300

Lowerbound of 95% confidence interval for beta0.84721

Upperbound of 95% confidence interval for beta1.44866

Lowerbound of 95% confidence interval for alpha0.84684

Upperbound of 95% confidence interval for alpha0.18967

Treynor index (mean / b)0.13496

Jensen alpha (a)0.32858
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.02276

Expected Shortfall on VaR0.02830
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.01308

Expected Shortfall on VaR0.02378
 ORDER STATISTICS
 Quartiles of return rates

Number of observations131.00000

Minimum0.95609

Quartile 10.99049

Median0.99972

Quartile 31.00846

Maximum1.04005

Mean of quarter 10.98240

Mean of quarter 20.99600

Mean of quarter 31.00374

Mean of quarter 41.01642

Inter Quartile Range0.01797

Number outliers low2.00000

Percentage of outliers low0.01527

Mean of outliers low0.95848

Number of outliers high1.00000

Percentage of outliers high0.00763

Mean of outliers high1.04005
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.03232

VaR(95%) (moments method)0.01819

Expected Shortfall (moments method)0.02374

Extreme Value Index (regression method)0.13045

VaR(95%) (regression method)0.01666

Expected Shortfall (regression method)0.02203
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations1.00000

Minimum0.16077

Quartile 10.16077

Median0.16077

Quartile 30.16077

Maximum0.16077

Mean of quarter 10.00000

Mean of quarter 20.00000

Mean of quarter 30.00000

Mean of quarter 40.00000

Inter Quartile Range0.00000

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high0.00000

Percentage of outliers high0.00000

Mean of outliers high0.00000
 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

Last 4 Months  Pcnt Negative0.25%

Expected Shortfall (regression method)0.00000

Strat Max DD how much worse than SP500 max DD during strat life?297109000

Max Equity Drawdown (num days)112
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.12307

Compounded annual return (geometric extrapolation)0.11929

Calmar ratio (compounded annual return / max draw down)0.74198

Compounded annual return / average of 25% largest draw downs0.00000

Compounded annual return / Expected Shortfall lognormal4.21541
Strategy Description
1. MicroCap 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.
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 underor overcompensated 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 rescaled downward to make current goforward 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 pertrade 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.