Collective2 Collective2
Featured Strategy SK Trader Rank on Leaderboard #6 Hypothetical

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


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Seeking Value maximum
(140998850)

Creato da: RomanZarubin RomanZarubin
Started: 07/2022
Stocks
Last trade: 5 days ago
Trading style: Equity Non-hedged Equity Sector Rotation

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 $50.00 per month.

C2Star

C2Star è un programma di certificazione per le strategie di trading. Per diventare "Certificato C2Star", una strategia deve applicare controlli di rischio rigorosi e deve mostrare caratteristiche di performance eccellenti, tra cui riduzioni limitate.

Puoi leggere di più sui requisiti di certificazione C2Star qui.

Nota che: tutte le strategie di trading comportano rischi e la certificazione C2Star non implica che una strategia sia a basso rischio.

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."
Sector Rotation
Category: Equity

Sector Rotation

Uses the proceeds from the sale of securities related to a particular investment sector for the purchase of securities in another sector. This strategy is used as a method for capturing returns from market cycles and diversifying holdings over a specified holding period.

23.7%
Annual Return (Compounded)

Calcolo del rendimento

Panoramica

Per conformarsi alle normative NFA, mostriamo il tasso di rendimento cumulativo per le strategie con un track record inferiore a un anno. Per le strategie con track record più lunghi, mostriamo il tasso di rendimento annuale (composto).

Come si calcola il tasso di rendimento annuale (composto)

= ((Patrimonio_finale / Patrimonio_iniziale) ^ (1 / anni)) - 1

Ricorda che, in base ai requisiti NFA, i costi di abbonamento alle strategie e le commissioni stimate sono inclusi nei calcoli del patrimonio valutato a mercato.

Tutti i risultati sono ipotetici.

(24.9%)
Max Drawdown
29
Num Trades
55.2%
Win Trades
3.6 : 1
Profit Factor
58.3%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022                                          +8.5%(3%)(11.5%)+6.9%+10.0%(4.5%)+4.6%
2023+13.1%+2.4%+0.1%(2.4%)(5.7%)+12.0%+2.9%(4.7%)+0.4%(4.2%)+2.8%+16.3%+34.6%
2024+5.0%+5.9%+5.6%(7.4%)+0.4%(4%)+5.0%+1.8%+8.6%(9.2%)+13.7%(4.4%)+20.2%
2025+14.5%(5.2%)(2.3%)(1.8%)+11.0%(2.8%)                                    +12.5%


Dettagli Account Modello

Una strategia di trading su Collective2. Seguila nel tuo account di brokeraggio o utilizza un account di trading simulato gratuito.

Gli utenti avanzati potrebbero voler utilizzare queste informazioni per regolare il loro AutoTrade scaling o semplicemente per comprendere le grandezze del grafico vicino.

Trading Record

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
7/8/22 11:54 SEIC SEI INVESTMENTS LONG 86 66.51 5/26/25 12:45 81.45 0.33%
Trade id #141005396
Max drawdown($91)
Time10/13/22 0:00
Quant open11
Worst price46.30
Drawdown as % of equity-0.33%
 $1,283
Includes Typical Broker Commissions trade costs of $1.72
3/6/24 10:54 HESAY HERMES INTL S A ADR LONG 47 244.24 11/6 12:00 224.89 3.64%
Trade id #147553319
Max drawdown($1,613)
Time9/10/24 0:00
Quant open43
Worst price208.28
Drawdown as % of equity-3.64%
 ($911)
Includes Typical Broker Commissions trade costs of $0.94
5/30/24 14:50 NKE NIKE LONG 162 83.92 10/11 15:40 82.13 3.24%
Trade id #148293798
Max drawdown($1,399)
Time8/5/24 0:00
Quant open62
Worst price70.75
Drawdown as % of equity-3.24%
 ($293)
Includes Typical Broker Commissions trade costs of $3.24
3/6/24 10:53 BURBY BURBERRY GROUP PLC ADR LONG 865 16.35 7/17 13:20 10.42 11.69%
Trade id #147553313
Max drawdown($5,220)
Time7/16/24 0:00
Quant open740
Worst price9.30
Drawdown as % of equity-11.69%
 ($5,144)
Includes Typical Broker Commissions trade costs of $6.83
7/8/22 11:46 WIRE ENCORE WIRE LONG 163 169.35 5/7/24 13:55 249.28 0.71%
Trade id #141005171
Max drawdown($207)
Time7/14/22 0:00
Quant open25
Worst price96.96
Drawdown as % of equity-0.71%
 $13,025
Includes Typical Broker Commissions trade costs of $3.26
7/8/22 11:49 PPRUY KERING UNSP ADR LONG 342 47.59 2/16/24 11:05 46.03 8.42%
Trade id #141005259
Max drawdown($3,521)
Time1/17/24 0:00
Quant open342
Worst price37.30
Drawdown as % of equity-8.42%
 ($541)
Includes Typical Broker Commissions trade costs of $6.84
7/8/22 11:49 DFS DISCOVER FINANCIAL LONG 37 103.75 11/17/23 10:31 85.60 2.71%
Trade id #141005228
Max drawdown($914)
Time10/27/23 0:00
Quant open37
Worst price79.04
Drawdown as % of equity-2.71%
 ($673)
Includes Typical Broker Commissions trade costs of $0.74
1/11/23 14:35 CHRW CH ROBINSON WORLDWIDE LONG 26 94.97 11/17 10:30 81.87 1.19%
Trade id #143182599
Max drawdown($423)
Time11/13/23 0:00
Quant open26
Worst price78.69
Drawdown as % of equity-1.19%
 ($342)
Includes Typical Broker Commissions trade costs of $0.52
7/8/22 11:52 EVR EVERCORE INC LONG 12 92.80 11/17/23 10:30 143.59 0.62%
Trade id #141005359
Max drawdown($169)
Time9/27/22 0:00
Quant open12
Worst price78.67
Drawdown as % of equity-0.62%
 $609
Includes Typical Broker Commissions trade costs of $0.24
7/8/22 11:53 JRSH JERASH HOLDINGS (US) INC. COMMON STOCK LONG 285 4.40 7/28/23 14:41 3.86 0.65%
Trade id #141005381
Max drawdown($233)
Time7/12/23 0:00
Quant open285
Worst price3.58
Drawdown as % of equity-0.65%
 ($159)
Includes Typical Broker Commissions trade costs of $5.70
7/8/22 11:51 CE CELANESE LONG 16 113.53 7/25/23 12:38 125.08 1.55%
Trade id #141005344
Max drawdown($429)
Time9/26/22 0:00
Quant open16
Worst price86.70
Drawdown as % of equity-1.55%
 $185
Includes Typical Broker Commissions trade costs of $0.32
7/8/22 11:44 RS RELIANCE INC LONG 22 181.85 7/19/23 13:17 285.34 0.31%
Trade id #141004459
Max drawdown($86)
Time9/26/22 0:00
Quant open17
Worst price168.25
Drawdown as % of equity-0.31%
 $2,277
Includes Typical Broker Commissions trade costs of $0.44
7/8/22 11:47 EXPD EXPEDITORS INTERNATIONAL LONG 26 97.74 7/18/23 14:59 122.42 1.1%
Trade id #141005195
Max drawdown($303)
Time9/26/22 0:00
Quant open26
Worst price86.08
Drawdown as % of equity-1.10%
 $641
Includes Typical Broker Commissions trade costs of $0.52
1/11/23 14:45 SSD SIMPSON MANUFACTURING LONG 22 98.70 7/18 14:58 150.83 0.25%
Trade id #143182661
Max drawdown($81)
Time1/19/23 0:00
Quant open22
Worst price95.00
Drawdown as % of equity-0.25%
 $1,147
Includes Typical Broker Commissions trade costs of $0.44
7/8/22 11:55 NGVT INGEVITY CORP LONG 24 73.73 7/17/23 15:29 60.43 1.97%
Trade id #141005404
Max drawdown($652)
Time5/31/23 0:00
Quant open24
Worst price46.52
Drawdown as % of equity-1.97%
 ($319)
Includes Typical Broker Commissions trade costs of $0.48
7/8/22 11:45 ADDDF ADIDAS AG OR LONG 21 171.62 7/17/23 15:21 193.40 5.4%
Trade id #141005130
Max drawdown($1,577)
Time11/3/22 0:00
Quant open19
Worst price90.01
Drawdown as % of equity-5.40%
 $457
Includes Typical Broker Commissions trade costs of $0.42
7/8/22 11:56 LX LEXINFINTECH HOLDINGS LTD. ADS LONG 261 2.27 2/9/23 14:10 3.31 0.87%
Trade id #141005420
Max drawdown($263)
Time11/9/22 0:00
Quant open261
Worst price1.26
Drawdown as % of equity-0.87%
 $267
Includes Typical Broker Commissions trade costs of $5.22
7/8/22 11:48 LSTR LANDSTAR SYSTEM LONG 14 145.49 11/9 11:18 160.92 0.36%
Trade id #141005212
Max drawdown($111)
Time9/16/22 0:00
Quant open14
Worst price137.51
Drawdown as % of equity-0.36%
 $216
Includes Typical Broker Commissions trade costs of $0.28
7/8/22 11:54 AFL AFLAC LONG 21 56.48 8/24 11:59 61.74 0.25%
Trade id #141005389
Max drawdown($72)
Time7/14/22 0:00
Quant open21
Worst price53.04
Drawdown as % of equity-0.25%
 $110
Includes Typical Broker Commissions trade costs of $0.42
7/8/22 11:54 ALL ALLSTATE LONG 7 131.81 8/24 11:59 127.19 0.45%
Trade id #141005387
Max drawdown($139)
Time7/21/22 0:00
Quant open7
Worst price111.85
Drawdown as % of equity-0.45%
 ($32)
Includes Typical Broker Commissions trade costs of $0.14
7/8/22 11:56 FUPBY FUCHS SE ADR LONG 42 6.69 8/11 10:39 7.28 n/a $24
Includes Typical Broker Commissions trade costs of $0.84
7/8/22 11:47 JOUT JOHNSON OUTDOORS LONG 41 63.02 8/5 14:25 66.29 0.25%
Trade id #141005181
Max drawdown($73)
Time7/14/22 0:00
Quant open41
Worst price61.23
Drawdown as % of equity-0.25%
 $133
Includes Typical Broker Commissions trade costs of $0.82
7/8/22 11:53 MLR MILLER INDUSTRIES LONG 26 22.85 8/5 14:25 22.82 0.09%
Trade id #141005374
Max drawdown($25)
Time7/14/22 0:00
Quant open26
Worst price21.89
Drawdown as % of equity-0.09%
 ($2)
Includes Typical Broker Commissions trade costs of $0.52

Successivo

Statistics

  • Strategy began
    7/8/2022
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    1075.51
  • Age
    36 months ago
  • What it trades
    Stocks
  • # Trades
    29
  • # Profitable
    16
  • % Profitable
    55.20%
  • Avg trade duration
    349.7 days
  • Max peak-to-valley drawdown
    24.85%
  • drawdown period
    Jan 30, 2025 - April 08, 2025
  • Annual Return (Compounded)
    23.7%
  • Avg win
    $2,161
  • Avg loss
    $837.69
  • Model Account Values (Raw)
  • Cash
    $62
  • Margin Used
    $0
  • Buying Power
    $14,940
  • Ratios
  • W:L ratio
    3.62:1
  • Sharpe Ratio
    0.86
  • Sortino Ratio
    1.25
  • Calmar Ratio
    1.582
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    34.05%
  • Correlation to SP500
    0.51700
  • Return Percent SP500 (cumu) during strategy life
    53.43%
  • Return Statistics
  • Ann Return (w trading costs)
    23.7%
  • Slump
  • Current Slump as Pcnt Equity
    5.90%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.01%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.237%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    26.0%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    55.50%
  • Chance of 20% account loss
    18.00%
  • Chance of 30% account loss
    5.50%
  • 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
  • Chance of 100% account loss (Monte Carlo)
    100.00%
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    375
  • Popularity (Last 6 weeks)
    824
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    938
  • Popularity (7 days, Percentile 1000 scale)
    670
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $864
  • Avg Win
    $2,381
  • Sum Trade PL (losers)
    $11,226.000
  • Age
  • Num Months filled monthly returns table
    36
  • Win / Loss
  • Sum Trade PL (winners)
    $38,102.000
  • # Winners
    16
  • Num Months Winners
    21
  • Dividends
  • Dividends Received in Model Acct
    2403
  • Win / Loss
  • # Losers
    13
  • % Winners
    55.2%
  • Frequency
  • Avg Position Time (mins)
    503478.00
  • Avg Position Time (hrs)
    8391.30
  • Avg Trade Length
    349.6 days
  • Last Trade Ago
    5
  • Leverage
  • Daily leverage (average)
    1.17
  • Daily leverage (max)
    1.91
  • Regression
  • Alpha
    0.04
  • Beta
    0.66
  • Treynor Index
    0.09
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -1.09
  • MAE:Equity, average, winning trades
    0.02
  • MAE:Equity, average, losing trades
    0.03
  • Avg(MAE) / Avg(PL) - All trades
    1.077
  • 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
    0.252
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.648
  • Hold-and-Hope Ratio
    1.128
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.25810
  • SD
    0.21695
  • Sharpe ratio (Glass type estimate)
    1.18966
  • Sharpe ratio (Hedges UMVUE)
    1.15962
  • df
    30.00000
  • t
    1.91211
  • p
    0.03273
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.07537
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.43608
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.09461
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.41386
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.38408
  • Upside Potential Ratio
    3.90826
  • Upside part of mean
    0.42310
  • Downside part of mean
    -0.16501
  • Upside SD
    0.19845
  • Downside SD
    0.10826
  • N nonnegative terms
    20.00000
  • N negative terms
    11.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    31.00000
  • Mean of predictor
    0.15145
  • Mean of criterion
    0.25810
  • SD of predictor
    0.16032
  • SD of criterion
    0.21695
  • Covariance
    0.02657
  • r
    0.76387
  • b (slope, estimate of beta)
    1.03366
  • a (intercept, estimate of alpha)
    0.10155
  • Mean Square Error
    0.02028
  • DF error
    29.00000
  • t(b)
    6.37385
  • p(b)
    0.00000
  • t(a)
    1.10447
  • p(a)
    0.13923
  • Lowerbound of 95% confidence interval for beta
    0.70198
  • Upperbound of 95% confidence interval for beta
    1.36534
  • Lowerbound of 95% confidence interval for alpha
    -0.08650
  • Upperbound of 95% confidence interval for alpha
    0.28959
  • Treynor index (mean / b)
    0.24969
  • Jensen alpha (a)
    0.10155
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.23303
  • SD
    0.21218
  • Sharpe ratio (Glass type estimate)
    1.09828
  • Sharpe ratio (Hedges UMVUE)
    1.07056
  • df
    30.00000
  • t
    1.76524
  • p
    0.04385
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.16081
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.34008
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.17860
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.31971
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.04224
  • Upside Potential Ratio
    3.53996
  • Upside part of mean
    0.40393
  • Downside part of mean
    -0.17090
  • Upside SD
    0.18727
  • Downside SD
    0.11410
  • N nonnegative terms
    20.00000
  • N negative terms
    11.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    31.00000
  • Mean of predictor
    0.13769
  • Mean of criterion
    0.23303
  • SD of predictor
    0.16187
  • SD of criterion
    0.21218
  • Covariance
    0.02635
  • r
    0.76726
  • b (slope, estimate of beta)
    1.00573
  • a (intercept, estimate of alpha)
    0.09455
  • Mean Square Error
    0.01915
  • DF error
    29.00000
  • t(b)
    6.44259
  • p(b)
    0.00000
  • t(a)
    1.06535
  • p(a)
    0.14775
  • Lowerbound of 95% confidence interval for beta
    0.68646
  • Upperbound of 95% confidence interval for beta
    1.32500
  • Lowerbound of 95% confidence interval for alpha
    -0.08697
  • Upperbound of 95% confidence interval for alpha
    0.27607
  • Treynor index (mean / b)
    0.23170
  • Jensen alpha (a)
    0.09455
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07811
  • Expected Shortfall on VaR
    0.10117
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02481
  • Expected Shortfall on VaR
    0.05376
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    31.00000
  • Minimum
    0.86422
  • Quartile 1
    0.98612
  • Median
    1.01707
  • Quartile 3
    1.05441
  • Maximum
    1.16539
  • Mean of quarter 1
    0.95192
  • Mean of quarter 2
    1.00483
  • Mean of quarter 3
    1.03856
  • Mean of quarter 4
    1.10188
  • Inter Quartile Range
    0.06829
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.03226
  • Mean of outliers low
    0.86422
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.03226
  • Mean of outliers high
    1.16539
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.09438
  • VaR(95%) (moments method)
    0.04290
  • Expected Shortfall (moments method)
    0.05709
  • Extreme Value Index (regression method)
    0.24611
  • VaR(95%) (regression method)
    0.05674
  • Expected Shortfall (regression method)
    0.09566
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.01001
  • Quartile 1
    0.03703
  • Median
    0.05210
  • Quartile 3
    0.06337
  • Maximum
    0.13578
  • Mean of quarter 1
    0.02145
  • Mean of quarter 2
    0.04663
  • Mean of quarter 3
    0.06260
  • Mean of quarter 4
    0.09996
  • Inter Quartile Range
    0.02635
  • 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
    0.14286
  • Mean of outliers high
    0.13578
  • 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)
    0.37248
  • Compounded annual return (geometric extrapolation)
    0.29814
  • Calmar ratio (compounded annual return / max draw down)
    2.19583
  • Compounded annual return / average of 25% largest draw downs
    2.98265
  • Compounded annual return / Expected Shortfall lognormal
    2.94686
  • 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
    0.26414
  • SD
    0.22542
  • Sharpe ratio (Glass type estimate)
    1.17178
  • Sharpe ratio (Hedges UMVUE)
    1.17051
  • df
    689.00000
  • t
    1.90161
  • p
    0.02882
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.03795
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.38070
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.03881
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.37983
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.70313
  • Upside Potential Ratio
    9.40999
  • Upside part of mean
    1.45943
  • Downside part of mean
    -1.19528
  • Upside SD
    0.16417
  • Downside SD
    0.15509
  • N nonnegative terms
    374.00000
  • N negative terms
    316.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    690.00000
  • Mean of predictor
    0.15590
  • Mean of criterion
    0.26414
  • SD of predictor
    0.18368
  • SD of criterion
    0.22542
  • Covariance
    0.02110
  • r
    0.50972
  • b (slope, estimate of beta)
    0.62557
  • a (intercept, estimate of alpha)
    0.16700
  • Mean Square Error
    0.03767
  • DF error
    688.00000
  • t(b)
    15.54010
  • p(b)
    0.00000
  • t(a)
    1.39132
  • p(a)
    0.08229
  • Lowerbound of 95% confidence interval for beta
    0.54653
  • Upperbound of 95% confidence interval for beta
    0.70460
  • Lowerbound of 95% confidence interval for alpha
    -0.06851
  • Upperbound of 95% confidence interval for alpha
    0.40175
  • Treynor index (mean / b)
    0.42225
  • Jensen alpha (a)
    0.16662
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.23859
  • SD
    0.22570
  • Sharpe ratio (Glass type estimate)
    1.05711
  • Sharpe ratio (Hedges UMVUE)
    1.05596
  • df
    689.00000
  • t
    1.71551
  • p
    0.04335
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.15229
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.26577
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.15307
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.26498
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.51461
  • Upside Potential Ratio
    9.17954
  • Upside part of mean
    1.44603
  • Downside part of mean
    -1.20743
  • Upside SD
    0.16208
  • Downside SD
    0.15753
  • N nonnegative terms
    374.00000
  • N negative terms
    316.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    690.00000
  • Mean of predictor
    0.13903
  • Mean of criterion
    0.23859
  • SD of predictor
    0.18340
  • SD of criterion
    0.22570
  • Covariance
    0.02128
  • r
    0.51404
  • b (slope, estimate of beta)
    0.63262
  • a (intercept, estimate of alpha)
    0.15064
  • Mean Square Error
    0.03754
  • DF error
    688.00000
  • t(b)
    15.71900
  • p(b)
    0.00000
  • t(a)
    1.26040
  • p(a)
    0.10398
  • Lowerbound of 95% confidence interval for beta
    0.55360
  • Upperbound of 95% confidence interval for beta
    0.71164
  • Lowerbound of 95% confidence interval for alpha
    -0.08402
  • Upperbound of 95% confidence interval for alpha
    0.38529
  • Treynor index (mean / b)
    0.37715
  • Jensen alpha (a)
    0.15064
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02178
  • Expected Shortfall on VaR
    0.02745
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00991
  • Expected Shortfall on VaR
    0.01989
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    690.00000
  • Minimum
    0.93027
  • Quartile 1
    0.99431
  • Median
    1.00123
  • Quartile 3
    1.00855
  • Maximum
    1.05221
  • Mean of quarter 1
    0.98412
  • Mean of quarter 2
    0.99799
  • Mean of quarter 3
    1.00472
  • Mean of quarter 4
    1.01764
  • Inter Quartile Range
    0.01424
  • Number outliers low
    20.00000
  • Percentage of outliers low
    0.02899
  • Mean of outliers low
    0.96186
  • Number of outliers high
    20.00000
  • Percentage of outliers high
    0.02899
  • Mean of outliers high
    1.03668
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.03941
  • VaR(95%) (moments method)
    0.01395
  • Expected Shortfall (moments method)
    0.01947
  • Extreme Value Index (regression method)
    0.04432
  • VaR(95%) (regression method)
    0.01479
  • Expected Shortfall (regression method)
    0.02091
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    28.00000
  • Minimum
    0.00177
  • Quartile 1
    0.00653
  • Median
    0.02755
  • Quartile 3
    0.08932
  • Maximum
    0.19298
  • Mean of quarter 1
    0.00318
  • Mean of quarter 2
    0.01588
  • Mean of quarter 3
    0.05102
  • Mean of quarter 4
    0.12682
  • Inter Quartile Range
    0.08278
  • 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)
    0.09764
  • VaR(95%) (moments method)
    0.13913
  • Expected Shortfall (moments method)
    0.17446
  • Extreme Value Index (regression method)
    1.18957
  • VaR(95%) (regression method)
    0.13445
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.38635
  • Compounded annual return (geometric extrapolation)
    0.30539
  • Calmar ratio (compounded annual return / max draw down)
    1.58248
  • Compounded annual return / average of 25% largest draw downs
    2.40811
  • Compounded annual return / Expected Shortfall lognormal
    11.12340
  • 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
    0.11994
  • SD
    0.28827
  • Sharpe ratio (Glass type estimate)
    0.41606
  • Sharpe ratio (Hedges UMVUE)
    0.41366
  • df
    130.00000
  • t
    0.29420
  • p
    0.48710
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.35693
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.18761
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.35861
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.18592
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.57659
  • Upside Potential Ratio
    8.53956
  • Upside part of mean
    1.77635
  • Downside part of mean
    -1.65642
  • Upside SD
    0.19812
  • Downside SD
    0.20802
  • N nonnegative terms
    71.00000
  • N negative terms
    60.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.02096
  • Mean of criterion
    0.11994
  • SD of predictor
    0.24590
  • SD of criterion
    0.28827
  • Covariance
    0.03750
  • r
    0.52904
  • b (slope, estimate of beta)
    0.62020
  • a (intercept, estimate of alpha)
    0.13294
  • Mean Square Error
    0.06031
  • DF error
    129.00000
  • t(b)
    7.08086
  • p(b)
    0.17965
  • t(a)
    0.38278
  • p(a)
    0.47856
  • Lowerbound of 95% confidence interval for beta
    0.44691
  • Upperbound of 95% confidence interval for beta
    0.79350
  • Lowerbound of 95% confidence interval for alpha
    -0.55419
  • Upperbound of 95% confidence interval for alpha
    0.82007
  • Treynor index (mean / b)
    0.19339
  • Jensen alpha (a)
    0.13294
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.07852
  • SD
    0.28914
  • Sharpe ratio (Glass type estimate)
    0.27156
  • Sharpe ratio (Hedges UMVUE)
    0.26999
  • df
    130.00000
  • t
    0.19202
  • p
    0.49158
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.50093
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.04308
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.50201
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.04199
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.37074
  • Upside Potential Ratio
    8.29563
  • Upside part of mean
    1.75692
  • Downside part of mean
    -1.67840
  • Upside SD
    0.19528
  • Downside SD
    0.21179
  • N nonnegative terms
    71.00000
  • N negative terms
    60.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.05069
  • Mean of criterion
    0.07852
  • SD of predictor
    0.24427
  • SD of criterion
    0.28914
  • Covariance
    0.03778
  • r
    0.53487
  • b (slope, estimate of beta)
    0.63313
  • a (intercept, estimate of alpha)
    0.11061
  • Mean Square Error
    0.06015
  • DF error
    129.00000
  • t(b)
    7.18991
  • p(b)
    0.17650
  • t(a)
    0.31888
  • p(a)
    0.48214
  • VAR (95 Confidence Intrvl)
    0.02200
  • Lowerbound of 95% confidence interval for beta
    0.45890
  • Upperbound of 95% confidence interval for beta
    0.80735
  • Lowerbound of 95% confidence interval for alpha
    -0.57567
  • Upperbound of 95% confidence interval for alpha
    0.79689
  • Treynor index (mean / b)
    0.12402
  • Jensen alpha (a)
    0.11061
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02866
  • Expected Shortfall on VaR
    0.03587
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01379
  • Expected Shortfall on VaR
    0.02722
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.94140
  • Quartile 1
    0.99200
  • Median
    1.00069
  • Quartile 3
    1.00944
  • Maximum
    1.04661
  • Mean of quarter 1
    0.97808
  • Mean of quarter 2
    0.99710
  • Mean of quarter 3
    1.00557
  • Mean of quarter 4
    1.02166
  • Inter Quartile Range
    0.01744
  • Number outliers low
    6.00000
  • Percentage of outliers low
    0.04580
  • Mean of outliers low
    0.95593
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.03817
  • Mean of outliers high
    1.04028
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.02766
  • VaR(95%) (moments method)
    0.01955
  • Expected Shortfall (moments method)
    0.02633
  • Extreme Value Index (regression method)
    -0.27982
  • VaR(95%) (regression method)
    0.02203
  • Expected Shortfall (regression method)
    0.02732
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00521
  • Quartile 1
    0.03714
  • Median
    0.07833
  • Quartile 3
    0.12990
  • Maximum
    0.19298
  • Mean of quarter 1
    0.00521
  • Mean of quarter 2
    0.04778
  • Mean of quarter 3
    0.10887
  • Mean of quarter 4
    0.19298
  • Inter Quartile Range
    0.09276
  • 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
  • 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?
    -363921000
  • Max Equity Drawdown (num days)
    68
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.10931
  • Compounded annual return (geometric extrapolation)
    0.11230
  • Calmar ratio (compounded annual return / max draw down)
    0.58190
  • Compounded annual return / average of 25% largest draw downs
    0.58190
  • Compounded annual return / Expected Shortfall lognormal
    3.13097

Strategy Description

My strategy has a small number of trades. Several weeks or several months may pass between the time you subscribe to my strategy and the time I make my next trade. For this reason, I encourage each of my subscribers to use the Join Trades in Progress (when you select this mode, you connect to previously opened trades of my strategy) in AutoTrade Setting.

The selection of shares of companies is carried out by on the basis of:

• Qualitative indicators:

- analysis of the company's environment in the industry and the economy as a whole (competitors, suppliers, buyers, substitute goods / services, government regulation);
- analysis of the company's competitive advantages (for example, brands, patents from the state, poorly regulated monopolistic companies);
- analysis of the company's value chain and the measures taken by the company to optimize it (vertical integration, etc.);
- analysis of the structure of the company's share capital (as a rule, the absence of a majority shareholder is an advantage).

• Quantitative indicators:

- coefficients of profitability;
- liquidity ratios;
- debt burden ratios;
- coefficients of capital intensity;
- to assess the real value of the company: discounting cash flows (income approach), value multipliers (comparative approach).

In addition to calculating and analyzing financial ratios and value multipliers (see the works of B. Graham and D. Dodd, A. Damodaran) I use strategic management (see the works of Michael Porter, A.A. Thompson and A.J. Strickland, H. Mintsberg , Philip Kotler), and also analyze the degree of influence of the company on the economic behavior of their customers using the hierarchy of human needs of Abraham Maslow and the branding pyramid of Jean-Noel Kapferer.
Trade this strategy at Interactive Brokers

Summary Statistics


Strategy began
2022-07-08
Suggested Minimum Capital
$15,000
Rank at C2 %
Top 6.2%
Rank # 
#43
# Trades
29
# Profitable
16
% Profitable
55.2%
Net Dividends
$2,403
Correlation S&P500
0.517
Sharpe Ratio
0.86
Sortino Ratio
1.25
Beta
0.66
Alpha
0.04
Leverage
1.17 Average
1.91 Maximum

Sommario
Leva finanziaria più alta = maggiore rischio.

Ulteriori informazioni sulla leva finanziaria

Collective2 calcola la leva finanziaria massima utilizzata da una strategia in ogni giorno. Mostriamo quindi la media di queste misurazioni (cioè la media della leva finanziaria massima giornaliera) e la più grande di queste misurazioni (leva finanziaria massima giornaliera).

La leva finanziaria è il rapporto tra il valore nozionale totale controllato da una strategia e il patrimonio del Model Account. Generalmente, una leva finanziaria più alta implica un rischio maggiore.

Esempio di calcolo:
La Strategia acquista 100 azioni a $12 per azione.
Il patrimonio del Model Account durante quel giorno è di $5.000.
La leva finanziaria è: $1200 / $5.000 = 0,24

Questa è una misurazione utile, ma deve essere considerata nel contesto. Questa misurazione non tiene conto di fattori importanti, come quando si detengono più posizioni che sono inversamente correlate. Né la misurazione tiene conto della volatilità degli strumenti detenuti.

Inoltre, alcune classi di attività sono per loro natura più leveraged di altre. Ad esempio, i contratti futures sono altamente leveraged. Le posizioni Forex sono spesso ancora più leveraged dei futures.

Latest Activity

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subscribed on started simulation #SUBSCRIBEDDATE#

Trade journal

  • 9/15/2018, 10:03:33 PM BTS 200 EURUSD

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  • 9/13/2018, 9:07:33 PM BTO 1 ETHUSD

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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.



Riguardo ai risultati che vedi su questo sito web

I risultati passati non sono necessariamente indicativi dei risultati futuri.

Questi risultati si basano su performance simulate o ipotetiche che presentano alcune limitazioni intrinseche. A differenza dei risultati mostrati in un registro delle prestazioni effettive, questi risultati non rappresentano trading effettivo. Inoltre, poiché queste operazioni non sono state effettivamente eseguite, questi risultati potrebbero aver sotto o sovrastimato l'impatto, se presente, di alcuni fattori di mercato, come la mancanza di liquidità. I programmi di trading simulati o ipotetici in generale sono soggetti anche al fatto che sono progettati con il beneficio del senno di poi. Non viene fatta alcuna rappresentazione che qualsiasi conto raggiungerà o sarà probabile ottenere profitti o perdite simili a quelli mostrati.

Inoltre, il trading ipotetico non comporta rischio finanziario e nessun record di trading ipotetico può tener conto completamente dell'impatto del rischio finanziario nel trading effettivo. Ad esempio, la capacità di sopportare perdite o di attenersi a un particolare programma di trading nonostante le perdite commerciali sono punti materiali che possono influire negativamente sui risultati del trading effettivo. Ci sono numerosi altri fattori legati ai mercati in generale o all'attuazione di qualsiasi specifico programma di trading, che non possono essere pienamente contabilizzati nella preparazione dei risultati delle prestazioni ipotetiche e tutti i quali possono influire negativamente sui risultati del trading effettivo.

Ipotesi e metodi materiali utilizzati nel calcolo dei risultati

Le seguenti sono ipotesi materiali utilizzate nel calcolo di eventuali risultati mensili ipotetici che appaiono sul nostro sito web.

  • I profitti vengono reinvestiti. Presumiamo che i profitti (quando ci sono) vengano reinvestiti nella strategia di trading.
  • Dimensione dell'investimento iniziale. Per qualsiasi strategia di trading sul nostro sito, i risultati ipotetici si basano sull'ipotesi che tu abbia investito l'importo iniziale mostrato sul grafico delle prestazioni della strategia. In alcuni casi, gli importi nominali in dollari sul grafico del patrimonio sono stati ridimensionati verso il basso per rendere le dimensioni di trading attuali più gestibili. In questi casi, potrebbe non essere stato possibile scambiare la strategia storicamente ai livelli di patrimonio mostrati sul grafico e un capitale minimo più elevato era richiesto in passato.
  • Tutte le spese sono incluse. Nel calcolo dei rendimenti cumulativi, cerchiamo di stimare e includere tutte le spese che un tipico trader sostiene quando fa AutoTrading utilizzando la tecnologia AutoTrade. Ciò include il costo dell'abbonamento alla strategia, più eventuali commissioni per operazione di AutoTrade, più le commissioni di intermediazione stimate, se presenti.
  • Metodo di calcolo del "Max Drawdown". Calcoliamo la statistica Max Drawdown come segue. Il nostro software informatico esamina il grafico del patrimonio del sistema in questione e trova la percentuale più grande in cui il grafico del patrimonio diminuisce mai da un "picco" locale a un punto successivo nel tempo (quindi questo è formalmente chiamato "Massimo calo dal picco alla valle"). Sebbene queste informazioni siano utili nella valutazione dei sistemi di trading, dovresti tenere presente che le prestazioni passate non garantiscono risultati futuri. Pertanto, i cali futuri potrebbero essere maggiori rispetto ai massimi cali storici che vedi qui.

Il trading è rischioso

C'è un rischio sostanziale di perdita nel trading di futures e forex. Il trading online di azioni e opzioni è estremamente rischioso. Presumi che perderai denaro. Non fare trading con denaro che non puoi permetterti di perdere.

Va bene, capito.

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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.