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

SUPER15H Hedged Stocks
(123231599)

Created by: CraigSchulenberg CraigSchulenberg
Started: 04/2019
Stocks
Last trade: 5 days ago

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

Subscription terms. Subscriptions to this system cost $100.00 per month.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

19.9%
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.

(21.5%)
Max Drawdown
682
Num Trades
44.0%
Win Trades
1.6 : 1
Profit Factor
61.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019                     +1.0%(5%)+4.5%+3.0%+1.9%(1%)(0.1%)(0.2%)+1.5%+5.4%
2020(0.2%)(3.8%)+2.8%(0.2%)+1.0%+8.0%+8.3%+4.3%(1.3%)(0.8%)+10.2%+4.2%+36.5%
2021+3.7%+8.1%+4.6%+4.2%+2.7%+5.7%(3.5%)+0.8%(4.4%)+1.8%+2.9%+3.7%+34.0%
2022(1.2%)+3.4%+4.5%(7.9%)(2.9%)(2.5%)+2.3%(0.1%)                        (4.7%)

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.

System developer has asked us to delay this information by 72 hours.

Trading Record

This strategy has placed 763 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
6/30/22 9:30 EXPD EXPEDITORS INTERNATIONAL LONG 118 97.11 8/3 9:30 102.68 0.3%
Trade id #140915772
Max drawdown($534)
Time7/14/22 0:00
Quant open118
Worst price92.58
Drawdown as % of equity-0.30%
$655
Includes Typical Broker Commissions trade costs of $2.36
7/28/22 9:30 TSCO TRACTOR SUPPLY LONG 56 188.59 8/3 9:30 188.79 0.09%
Trade id #141213258
Max drawdown($152)
Time7/28/22 10:25
Quant open56
Worst price185.87
Drawdown as % of equity-0.09%
$10
Includes Typical Broker Commissions trade costs of $1.12
8/2/22 9:30 BHP BHP GROUP LTD LONG 207 53.65 8/3 9:30 53.64 0.1%
Trade id #141265484
Max drawdown($182)
Time8/2/22 10:10
Quant open207
Worst price52.77
Drawdown as % of equity-0.10%
($6)
Includes Typical Broker Commissions trade costs of $4.14
7/18/22 9:30 HRL HORMEL FOODS LONG 230 47.77 8/3 9:30 49.28 0.11%
Trade id #141089696
Max drawdown($190)
Time7/20/22 0:00
Quant open230
Worst price46.94
Drawdown as % of equity-0.11%
$343
Includes Typical Broker Commissions trade costs of $4.60
8/1/22 9:30 SH PROSHARES SHORT S&P500 LONG 750 15.19 8/2 9:30 15.19 0.07%
Trade id #141250472
Max drawdown($127)
Time8/1/22 10:54
Quant open750
Worst price15.02
Drawdown as % of equity-0.07%
($5)
Includes Typical Broker Commissions trade costs of $5.00
7/28/22 9:30 BHP BHP GROUP LTD LONG 200 54.50 8/1 9:30 54.48 0.13%
Trade id #141213243
Max drawdown($232)
Time7/28/22 10:32
Quant open200
Worst price53.34
Drawdown as % of equity-0.13%
($8)
Includes Typical Broker Commissions trade costs of $4.00
7/27/22 9:30 SH PROSHARES SHORT S&P500 LONG 1,370 15.75 7/28 9:30 15.45 0.26%
Trade id #141197284
Max drawdown($458)
Time7/27/22 15:29
Quant open1,370
Worst price15.41
Drawdown as % of equity-0.26%
($416)
Includes Typical Broker Commissions trade costs of $5.00
7/26/22 12:20 TSCO TRACTOR SUPPLY LONG 56 182.84 7/27 9:30 184.88 0.01%
Trade id #141189073
Max drawdown($20)
Time7/27/22 0:00
Quant open56
Worst price182.47
Drawdown as % of equity-0.01%
$113
Includes Typical Broker Commissions trade costs of $1.12
7/26/22 9:30 BHP BHP GROUP LTD LONG 217 52.88 7/27 9:30 52.17 0.12%
Trade id #141185175
Max drawdown($208)
Time7/27/22 0:00
Quant open217
Worst price51.92
Drawdown as % of equity-0.12%
($158)
Includes Typical Broker Commissions trade costs of $4.34
7/26/22 11:28 SH PROSHARES SHORT S&P500 LONG 1,418 15.88 7/26 12:07 15.90 0%
Trade id #141187694
Max drawdown($7)
Time7/26/22 11:43
Quant open1,418
Worst price15.87
Drawdown as % of equity-0.00%
$31
Includes Typical Broker Commissions trade costs of $5.00
7/19/22 9:30 GOOG ALPHABET INC CLASS C LONG 101 111.68 7/26 11:25 106.30 0.33%
Trade id #141102824
Max drawdown($583)
Time7/26/22 9:35
Quant open101
Worst price105.90
Drawdown as % of equity-0.33%
($545)
Includes Typical Broker Commissions trade costs of $2.02
7/7/22 9:30 TSCO TRACTOR SUPPLY LONG 56 197.56 7/26 11:25 184.29 0.42%
Trade id #140987351
Max drawdown($744)
Time7/26/22 11:25
Quant open56
Worst price184.27
Drawdown as % of equity-0.42%
($744)
Includes Typical Broker Commissions trade costs of $1.12
7/25/22 9:30 SH PROSHARES SHORT S&P500 LONG 1,418 15.70 7/26 9:30 15.79 0.02%
Trade id #141165952
Max drawdown($42)
Time7/25/22 12:47
Quant open1,418
Worst price15.67
Drawdown as % of equity-0.02%
$123
Includes Typical Broker Commissions trade costs of $5.00
7/22/22 9:30 BHP BHP GROUP LTD LONG 218 51.90 7/25 9:30 52.97 0.13%
Trade id #141148007
Max drawdown($226)
Time7/22/22 14:14
Quant open218
Worst price50.86
Drawdown as % of equity-0.13%
$229
Includes Typical Broker Commissions trade costs of $4.36
7/22/22 9:30 HON HONEYWELL INTERNATIONAL LONG 60 180.50 7/25 9:30 181.77 0%
Trade id #141148020
Max drawdown($4)
Time7/22/22 14:14
Quant open60
Worst price180.42
Drawdown as % of equity-0.00%
$75
Includes Typical Broker Commissions trade costs of $1.20
7/21/22 9:30 SH PROSHARES SHORT S&P500 LONG 1,423 15.77 7/22 9:30 15.59 0.17%
Trade id #141132669
Max drawdown($298)
Time7/22/22 0:00
Quant open1,423
Worst price15.56
Drawdown as % of equity-0.17%
($261)
Includes Typical Broker Commissions trade costs of $5.00
7/18/22 9:30 HON HONEYWELL INTERNATIONAL LONG 63 173.14 7/21 9:30 178.26 0.09%
Trade id #141089684
Max drawdown($164)
Time7/18/22 15:50
Quant open63
Worst price170.53
Drawdown as % of equity-0.09%
$322
Includes Typical Broker Commissions trade costs of $1.26
7/20/22 9:30 BHP BHP GROUP LTD LONG 218 50.82 7/21 9:30 49.50 0.16%
Trade id #141117160
Max drawdown($287)
Time7/21/22 0:00
Quant open218
Worst price49.50
Drawdown as % of equity-0.16%
($292)
Includes Typical Broker Commissions trade costs of $4.36
7/19/22 9:30 SH PROSHARES SHORT S&P500 LONG 1,366 16.10 7/20 9:30 15.83 0.32%
Trade id #141102800
Max drawdown($573)
Time7/20/22 0:00
Quant open1,366
Worst price15.68
Drawdown as % of equity-0.32%
($374)
Includes Typical Broker Commissions trade costs of $5.00
7/18/22 9:30 VRSN VERISIGN LONG 61 177.75 7/19 9:30 177.28 0.09%
Trade id #141089675
Max drawdown($168)
Time7/18/22 15:53
Quant open61
Worst price174.99
Drawdown as % of equity-0.09%
($30)
Includes Typical Broker Commissions trade costs of $1.22
7/7/22 9:30 ORLY O'REILLY AUTOMOTIVE LONG 16 657.65 7/19 9:30 680.50 0.09%
Trade id #140987340
Max drawdown($161)
Time7/13/22 0:00
Quant open16
Worst price647.54
Drawdown as % of equity-0.09%
$366
Includes Typical Broker Commissions trade costs of $0.32
7/18/22 9:30 BHP BHP GROUP LTD LONG 224 51.13 7/19 9:30 50.37 0.14%
Trade id #141089669
Max drawdown($255)
Time7/19/22 0:00
Quant open224
Worst price49.99
Drawdown as % of equity-0.14%
($174)
Includes Typical Broker Commissions trade costs of $4.48
7/13/22 9:30 SH PROSHARES SHORT S&P500 LONG 4,034 16.37 7/18 9:30 16.01 0.83%
Trade id #141044797
Max drawdown($1,479)
Time7/18/22 9:30
Quant open4,034
Worst price16.00
Drawdown as % of equity-0.83%
($1,447)
Includes Typical Broker Commissions trade costs of $7.50
7/7/22 9:30 ORCL ORACLE CORP LONG 157 71.83 7/15 9:32 70.27 0.32%
Trade id #140987282
Max drawdown($565)
Time7/14/22 0:00
Quant open157
Worst price68.23
Drawdown as % of equity-0.32%
($248)
Includes Typical Broker Commissions trade costs of $3.14
7/14/22 9:30 VRSN VERISIGN LONG 61 173.91 7/15 9:30 175.91 0.09%
Trade id #141058299
Max drawdown($166)
Time7/14/22 10:11
Quant open61
Worst price171.18
Drawdown as % of equity-0.09%
$121
Includes Typical Broker Commissions trade costs of $1.22
7/7/22 9:30 SBAC SBA COMMUNICATIONS LONG 34 329.00 7/15 9:30 323.50 0.29%
Trade id #140987314
Max drawdown($525)
Time7/13/22 0:00
Quant open34
Worst price313.54
Drawdown as % of equity-0.29%
($188)
Includes Typical Broker Commissions trade costs of $0.68
7/7/22 9:30 HRL HORMEL FOODS LONG 236 47.95 7/15 9:30 48.26 0.08%
Trade id #140987307
Max drawdown($134)
Time7/14/22 0:00
Quant open236
Worst price47.38
Drawdown as % of equity-0.08%
$69
Includes Typical Broker Commissions trade costs of $4.72
7/7/22 9:30 HON HONEYWELL INTERNATIONAL LONG 65 172.53 7/14 9:30 168.72 0.17%
Trade id #140987357
Max drawdown($308)
Time7/14/22 9:30
Quant open65
Worst price167.79
Drawdown as % of equity-0.17%
($249)
Includes Typical Broker Commissions trade costs of $1.30
7/12/22 9:30 BHP BHP GROUP LTD LONG 236 50.50 7/13 9:30 49.68 0.12%
Trade id #141031926
Max drawdown($207)
Time7/13/22 0:00
Quant open236
Worst price49.62
Drawdown as % of equity-0.12%
($199)
Includes Typical Broker Commissions trade costs of $4.72
7/7/22 9:30 VRSN VERISIGN LONG 63 175.56 7/13 9:30 171.49 0.16%
Trade id #140987328
Max drawdown($285)
Time7/13/22 9:30
Quant open63
Worst price171.03
Drawdown as % of equity-0.16%
($257)
Includes Typical Broker Commissions trade costs of $1.26

Statistics

  • Strategy began
    4/7/2019
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    1218.51
  • Age
    41 months ago
  • What it trades
    Stocks
  • # Trades
    682
  • # Profitable
    300
  • % Profitable
    44.00%
  • Avg trade duration
    25.1 days
  • Max peak-to-valley drawdown
    21.45%
  • drawdown period
    April 08, 2022 - July 30, 2022
  • Annual Return (Compounded)
    19.9%
  • Avg win
    $802.06
  • Avg loss
    $402.85
  • Model Account Values (Raw)
  • Cash
    $92,401
  • Margin Used
    $0
  • Buying Power
    $107,628
  • Ratios
  • W:L ratio
    1.63:1
  • Sharpe Ratio
    0.95
  • Sortino Ratio
    1.39
  • Calmar Ratio
    1.281
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    40.43%
  • Correlation to SP500
    0.31760
  • Return Percent SP500 (cumu) during strategy life
    43.30%
  • Return Statistics
  • Ann Return (w trading costs)
    19.9%
  • Slump
  • Current Slump as Pcnt Equity
    14.20%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.10%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.199%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    21.4%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    41.50%
  • Chance of 20% account loss
    17.50%
  • Chance of 30% account loss
    7.00%
  • Chance of 40% account loss
    1.50%
  • 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)
    630
  • Popularity (Last 6 weeks)
    875
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    902
  • Popularity (7 days, Percentile 1000 scale)
    786
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $404
  • Avg Win
    $799
  • Sum Trade PL (losers)
    $153,888.000
  • Age
  • Num Months filled monthly returns table
    41
  • Win / Loss
  • Sum Trade PL (winners)
    $239,733.000
  • # Winners
    300
  • Num Months Winners
    25
  • Dividends
  • Dividends Received in Model Acct
    5135
  • AUM
  • AUM (AutoTrader live capital)
    717170
  • Win / Loss
  • # Losers
    381
  • % Winners
    44.0%
  • Frequency
  • Avg Position Time (mins)
    36212.30
  • Avg Position Time (hrs)
    603.54
  • Avg Trade Length
    25.1 days
  • Last Trade Ago
    5
  • Leverage
  • Daily leverage (average)
    0.91
  • Daily leverage (max)
    1.55
  • Regression
  • Alpha
    0.04
  • Beta
    0.21
  • Treynor Index
    0.23
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    39.05
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    49.07
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -1.18
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    3.565
  • 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
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    0.252
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.324
  • Hold-and-Hope Ratio
    0.288
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.17252
  • SD
    0.14913
  • Sharpe ratio (Glass type estimate)
    1.15685
  • Sharpe ratio (Hedges UMVUE)
    1.13384
  • df
    38.00000
  • t
    2.08555
  • p
    0.02189
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.03203
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.26736
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.01717
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.25052
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.21164
  • Upside Potential Ratio
    3.72958
  • Upside part of mean
    0.29093
  • Downside part of mean
    -0.11841
  • Upside SD
    0.13440
  • Downside SD
    0.07801
  • N nonnegative terms
    25.00000
  • N negative terms
    14.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    39.00000
  • Mean of predictor
    0.09400
  • Mean of criterion
    0.17252
  • SD of predictor
    0.22911
  • SD of criterion
    0.14913
  • Covariance
    0.02258
  • r
    0.66102
  • b (slope, estimate of beta)
    0.43027
  • a (intercept, estimate of alpha)
    0.13207
  • Mean Square Error
    0.01286
  • DF error
    37.00000
  • t(b)
    5.35849
  • p(b)
    0.00000
  • t(a)
    2.08465
  • p(a)
    0.02203
  • Lowerbound of 95% confidence interval for beta
    0.26757
  • Upperbound of 95% confidence interval for beta
    0.59296
  • Lowerbound of 95% confidence interval for alpha
    0.00370
  • Upperbound of 95% confidence interval for alpha
    0.26045
  • Treynor index (mean / b)
    0.40096
  • Jensen alpha (a)
    0.13207
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.16036
  • SD
    0.14728
  • Sharpe ratio (Glass type estimate)
    1.08882
  • Sharpe ratio (Hedges UMVUE)
    1.06716
  • df
    38.00000
  • t
    1.96290
  • p
    0.02850
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.03222
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.19625
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.04619
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.18051
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.98751
  • Upside Potential Ratio
    3.49103
  • Upside part of mean
    0.28167
  • Downside part of mean
    -0.12131
  • Upside SD
    0.12949
  • Downside SD
    0.08068
  • N nonnegative terms
    25.00000
  • N negative terms
    14.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    39.00000
  • Mean of predictor
    0.06536
  • Mean of criterion
    0.16036
  • SD of predictor
    0.24765
  • SD of criterion
    0.14728
  • Covariance
    0.02446
  • r
    0.67062
  • b (slope, estimate of beta)
    0.39882
  • a (intercept, estimate of alpha)
    0.13429
  • Mean Square Error
    0.01226
  • DF error
    37.00000
  • t(b)
    5.49908
  • p(b)
    0.00000
  • t(a)
    2.18018
  • p(a)
    0.01784
  • Lowerbound of 95% confidence interval for beta
    0.25187
  • Upperbound of 95% confidence interval for beta
    0.54576
  • Lowerbound of 95% confidence interval for alpha
    0.00949
  • Upperbound of 95% confidence interval for alpha
    0.25910
  • Treynor index (mean / b)
    0.40209
  • Jensen alpha (a)
    0.13429
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05500
  • Expected Shortfall on VaR
    0.07152
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01794
  • Expected Shortfall on VaR
    0.03886
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    39.00000
  • Minimum
    0.90746
  • Quartile 1
    0.99279
  • Median
    1.00785
  • Quartile 3
    1.04733
  • Maximum
    1.10019
  • Mean of quarter 1
    0.96654
  • Mean of quarter 2
    1.00108
  • Mean of quarter 3
    1.02879
  • Mean of quarter 4
    1.07162
  • Inter Quartile Range
    0.05454
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.02564
  • Mean of outliers low
    0.90746
  • 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)
    0.02196
  • VaR(95%) (moments method)
    0.02283
  • Expected Shortfall (moments method)
    0.03335
  • Extreme Value Index (regression method)
    0.18554
  • VaR(95%) (regression method)
    0.04511
  • Expected Shortfall (regression method)
    0.07843
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00558
  • Quartile 1
    0.00786
  • Median
    0.02365
  • Quartile 3
    0.06403
  • Maximum
    0.13156
  • Mean of quarter 1
    0.00569
  • Mean of quarter 2
    0.01679
  • Mean of quarter 3
    0.03553
  • Mean of quarter 4
    0.11205
  • Inter Quartile Range
    0.05617
  • 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)
    0.25965
  • Compounded annual return (geometric extrapolation)
    0.20716
  • Calmar ratio (compounded annual return / max draw down)
    1.57458
  • Compounded annual return / average of 25% largest draw downs
    1.84875
  • Compounded annual return / Expected Shortfall lognormal
    2.89632
  • 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
    0.17981
  • SD
    0.14504
  • Sharpe ratio (Glass type estimate)
    1.23971
  • Sharpe ratio (Hedges UMVUE)
    1.23862
  • df
    860.00000
  • t
    2.24734
  • p
    0.01244
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.15661
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.32214
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.15586
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.32139
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.78490
  • Upside Potential Ratio
    9.23185
  • Upside part of mean
    0.93002
  • Downside part of mean
    -0.75021
  • Upside SD
    0.10482
  • Downside SD
    0.10074
  • N nonnegative terms
    481.00000
  • N negative terms
    380.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    861.00000
  • Mean of predictor
    0.10907
  • Mean of criterion
    0.17981
  • SD of predictor
    0.23510
  • SD of criterion
    0.14504
  • Covariance
    0.01252
  • r
    0.36704
  • b (slope, estimate of beta)
    0.22644
  • a (intercept, estimate of alpha)
    0.15500
  • Mean Square Error
    0.01822
  • DF error
    859.00000
  • t(b)
    11.56450
  • p(b)
    -0.00000
  • t(a)
    2.08205
  • p(a)
    0.01882
  • Lowerbound of 95% confidence interval for beta
    0.18801
  • Upperbound of 95% confidence interval for beta
    0.26487
  • Lowerbound of 95% confidence interval for alpha
    0.00889
  • Upperbound of 95% confidence interval for alpha
    0.30134
  • Treynor index (mean / b)
    0.79408
  • Jensen alpha (a)
    0.15511
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.16922
  • SD
    0.14514
  • Sharpe ratio (Glass type estimate)
    1.16587
  • Sharpe ratio (Hedges UMVUE)
    1.16486
  • df
    860.00000
  • t
    2.11350
  • p
    0.01742
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.08296
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.24812
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.08228
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.24744
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.66260
  • Upside Potential Ratio
    9.08322
  • Upside part of mean
    0.92449
  • Downside part of mean
    -0.75527
  • Upside SD
    0.10389
  • Downside SD
    0.10178
  • N nonnegative terms
    481.00000
  • N negative terms
    380.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    861.00000
  • Mean of predictor
    0.08124
  • Mean of criterion
    0.16922
  • SD of predictor
    0.23643
  • SD of criterion
    0.14514
  • Covariance
    0.01264
  • r
    0.36845
  • b (slope, estimate of beta)
    0.22620
  • a (intercept, estimate of alpha)
    0.15084
  • Mean Square Error
    0.01823
  • DF error
    859.00000
  • t(b)
    11.61610
  • p(b)
    -0.00000
  • t(a)
    2.02492
  • p(a)
    0.02159
  • Lowerbound of 95% confidence interval for beta
    0.18798
  • Upperbound of 95% confidence interval for beta
    0.26441
  • Lowerbound of 95% confidence interval for alpha
    0.00463
  • Upperbound of 95% confidence interval for alpha
    0.29705
  • Treynor index (mean / b)
    0.74812
  • Jensen alpha (a)
    0.15084
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01400
  • Expected Shortfall on VaR
    0.01769
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00605
  • Expected Shortfall on VaR
    0.01240
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    861.00000
  • Minimum
    0.95340
  • Quartile 1
    0.99640
  • Median
    1.00104
  • Quartile 3
    1.00550
  • Maximum
    1.05056
  • Mean of quarter 1
    0.98987
  • Mean of quarter 2
    0.99904
  • Mean of quarter 3
    1.00316
  • Mean of quarter 4
    1.01116
  • Inter Quartile Range
    0.00910
  • Number outliers low
    26.00000
  • Percentage of outliers low
    0.03020
  • Mean of outliers low
    0.97511
  • Number of outliers high
    21.00000
  • Percentage of outliers high
    0.02439
  • Mean of outliers high
    1.02467
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.22929
  • VaR(95%) (moments method)
    0.00963
  • Expected Shortfall (moments method)
    0.01544
  • Extreme Value Index (regression method)
    0.08256
  • VaR(95%) (regression method)
    0.00925
  • Expected Shortfall (regression method)
    0.01333
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    62.00000
  • Minimum
    0.00009
  • Quartile 1
    0.00358
  • Median
    0.01047
  • Quartile 3
    0.02522
  • Maximum
    0.17016
  • Mean of quarter 1
    0.00147
  • Mean of quarter 2
    0.00637
  • Mean of quarter 3
    0.01816
  • Mean of quarter 4
    0.05805
  • Inter Quartile Range
    0.02164
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.11290
  • Mean of outliers high
    0.08704
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.10760
  • VaR(95%) (moments method)
    0.05731
  • Expected Shortfall (moments method)
    0.08185
  • Extreme Value Index (regression method)
    0.25212
  • VaR(95%) (regression method)
    0.06629
  • Expected Shortfall (regression method)
    0.10713
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.27732
  • Compounded annual return (geometric extrapolation)
    0.21790
  • Calmar ratio (compounded annual return / max draw down)
    1.28059
  • Compounded annual return / average of 25% largest draw downs
    3.75357
  • Compounded annual return / Expected Shortfall lognormal
    12.31990
  • 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
    -0.06791
  • SD
    0.13828
  • Sharpe ratio (Glass type estimate)
    -0.49111
  • Sharpe ratio (Hedges UMVUE)
    -0.48827
  • df
    130.00000
  • t
    -0.34727
  • p
    0.51522
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.26272
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.28218
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.26071
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.28417
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.68151
  • Upside Potential Ratio
    8.07456
  • Upside part of mean
    0.80459
  • Downside part of mean
    -0.87250
  • Upside SD
    0.09520
  • Downside SD
    0.09965
  • N nonnegative terms
    67.00000
  • N negative terms
    64.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.16123
  • Mean of criterion
    -0.06791
  • SD of predictor
    0.24999
  • SD of criterion
    0.13828
  • Covariance
    0.01483
  • r
    0.42908
  • b (slope, estimate of beta)
    0.23734
  • a (intercept, estimate of alpha)
    -0.02964
  • Mean Square Error
    0.01572
  • DF error
    129.00000
  • t(b)
    5.39536
  • p(b)
    0.23547
  • t(a)
    -0.16705
  • p(a)
    0.50936
  • Lowerbound of 95% confidence interval for beta
    0.15030
  • Upperbound of 95% confidence interval for beta
    0.32437
  • Lowerbound of 95% confidence interval for alpha
    -0.38076
  • Upperbound of 95% confidence interval for alpha
    0.32147
  • Treynor index (mean / b)
    -0.28613
  • Jensen alpha (a)
    -0.02964
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.07740
  • SD
    0.13826
  • Sharpe ratio (Glass type estimate)
    -0.55979
  • Sharpe ratio (Hedges UMVUE)
    -0.55656
  • df
    130.00000
  • t
    -0.39583
  • p
    0.51735
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.33147
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.21381
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.32919
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.21607
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.77117
  • Upside Potential Ratio
    7.97121
  • Upside part of mean
    0.80002
  • Downside part of mean
    -0.87742
  • Upside SD
    0.09445
  • Downside SD
    0.10036
  • N nonnegative terms
    67.00000
  • N negative terms
    64.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.19240
  • Mean of criterion
    -0.07740
  • SD of predictor
    0.25074
  • SD of criterion
    0.13826
  • Covariance
    0.01494
  • r
    0.43092
  • b (slope, estimate of beta)
    0.23762
  • a (intercept, estimate of alpha)
    -0.03168
  • Mean Square Error
    0.01569
  • DF error
    129.00000
  • t(b)
    5.42378
  • p(b)
    0.23441
  • t(a)
    -0.17865
  • p(a)
    0.51001
  • VAR (95 Confidence Intrvl)
    0.01400
  • Lowerbound of 95% confidence interval for beta
    0.15094
  • Upperbound of 95% confidence interval for beta
    0.32430
  • Lowerbound of 95% confidence interval for alpha
    -0.38253
  • Upperbound of 95% confidence interval for alpha
    0.31917
  • Treynor index (mean / b)
    -0.32572
  • Jensen alpha (a)
    -0.03168
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01424
  • Expected Shortfall on VaR
    0.01775
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00763
  • Expected Shortfall on VaR
    0.01413
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97716
  • Quartile 1
    0.99455
  • Median
    1.00022
  • Quartile 3
    1.00462
  • Maximum
    1.02595
  • Mean of quarter 1
    0.98915
  • Mean of quarter 2
    0.99785
  • Mean of quarter 3
    1.00232
  • Mean of quarter 4
    1.01014
  • Inter Quartile Range
    0.01007
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.01527
  • Mean of outliers low
    0.97732
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.03053
  • Mean of outliers high
    1.02257
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.02543
  • VaR(95%) (moments method)
    0.01083
  • Expected Shortfall (moments method)
    0.01407
  • Extreme Value Index (regression method)
    -0.30142
  • VaR(95%) (regression method)
    0.01129
  • Expected Shortfall (regression method)
    0.01344
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.00143
  • Quartile 1
    0.00312
  • Median
    0.00664
  • Quartile 3
    0.01818
  • Maximum
    0.17016
  • Mean of quarter 1
    0.00215
  • Mean of quarter 2
    0.00561
  • Mean of quarter 3
    0.01042
  • Mean of quarter 4
    0.07407
  • Inter Quartile Range
    0.01506
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.10000
  • Mean of outliers high
    0.17016
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.53013
  • VaR(95%) (moments method)
    0.07300
  • Expected Shortfall (moments method)
    0.18892
  • Extreme Value Index (regression method)
    2.40324
  • VaR(95%) (regression method)
    0.25635
  • Last 4 Months - Pcnt Negative
    0.75%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -336155000
  • Max Equity Drawdown (num days)
    113
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.04888
  • Compounded annual return (geometric extrapolation)
    -0.04829
  • Calmar ratio (compounded annual return / max draw down)
    -0.28378
  • Compounded annual return / average of 25% largest draw downs
    -0.65189
  • Compounded annual return / Expected Shortfall lognormal
    -2.72031

Strategy Description

This portfolio will hold a maximum of 15 stocks that are drawn from a total universe of 114 'reliable' companies, all of which have been in business since 2002 or earlier. The 114 companies were chosen based upon how accurately their stock behavior can be 'modeled' with Neural Networks (AI) and Expert Systems. If drawdown over design limits is occurring, or if most of the 114 Models go to a Cash or Short state, then the Portfolio will reduce its market exposure so as to maintain active control of the drawdown, and the newly available Cash will be used to purchase the necessary number of shares of SH (a 1x S&P Inverse ETF) to provide active hedging.

Trading frequency is also a primary design criterion, and this Grail System Portfolio has been developed to require as low a trading frequency as is compatible with the targeted annualized gain.

All trades will be made with Market orders at the Open.

Summary Statistics

Strategy began
2019-04-07
Suggested Minimum Capital
$35,000
Rank at C2 %
Top 9.8%
Rank # 
#74
# Trades
682
# Profitable
300
% Profitable
44.0%
Net Dividends
Correlation S&P500
0.318
Sharpe Ratio
0.95
Sortino Ratio
1.39
Beta
0.21
Alpha
0.04
Leverage
0.91 Average
1.55 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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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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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.