Collective2 Collective2
Featured Strategy TechSignal Followed by live capital $584.7 thousand Hypothetical

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


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Prosper-Relax-Compound
(144267526)

Creato da: CB_Compound CB_Compound
Started: 04/2023
Stocks
Last trade: 21 days ago
Trading style: Equity Trend-following 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 $58.00 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
Trend-following
Category: Equity

Trend-following

Tries to take advantage of long, medium or short-term moves that seem to play out in various markets. Typically, trend-following analysis is backward looking; that is, it attempts to recognize and profit from already-established trends.
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.

14.7%
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.

(11.9%)
Max Drawdown
30
Num Trades
60.0%
Win Trades
5.9 : 1
Profit Factor
70.4%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2023                     +0.2%+0.7%+0.7%+1.2%(2.3%)(1.3%)+0.6%+1.2%+6.2%+7.1%
2024(2.2%)+2.4%+5.4%(2.2%)+4.2%(0.9%)+2.0%+2.7%+5.3%(4.6%)(1.4%)(1.1%)+9.3%
2025+2.7%+1.8%+3.1%+1.8%+2.5%+2.4%                                    +15.3%


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.

System developer has asked us to delay this information by 168 hours.

Trading Record

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
11/27/23 9:53 LQD ISHARES IBOXX $ INVEST GRADE C LONG 164 106.43 5/27/25 9:30 107.26 0.43%
Trade id #146542316
Max drawdown($256)
Time4/11/25 0:00
Quant open86
Worst price103.45
Drawdown as % of equity-0.43%
 $133
Includes Typical Broker Commissions trade costs of $3.28
11/27/23 9:46 VOO VANGUARD S&P 500 ETF LONG 15 417.49 3/27/25 9:30 532.31 0.03%
Trade id #146542194
Max drawdown($13)
Time11/30/23 0:00
Quant open15
Worst price416.57
Drawdown as % of equity-0.03%
 $1,722
Includes Typical Broker Commissions trade costs of $0.30
11/27/23 9:56 VNQI VANGUARD GLOBAL EX-US REAL EST LONG 402 41.34 12/27/24 9:30 40.85 0.67%
Trade id #146542372
Max drawdown($350)
Time2/13/24 0:00
Quant open215
Worst price39.23
Drawdown as % of equity-0.67%
 ($206)
Includes Typical Broker Commissions trade costs of $8.04
11/27/23 9:50 FLSW FRANKLIN FTSE SWITZERLAND ETF LONG 272 31.41 11/27/24 9:33 33.45 0.09%
Trade id #146542251
Max drawdown($44)
Time11/28/23 0:00
Quant open213
Worst price30.75
Drawdown as % of equity-0.09%
 $551
Includes Typical Broker Commissions trade costs of $5.44
7/29/24 10:02 EMLC VANECK JPMORGAN EM LOC CURR BOND ETF LONG 365 24.07 11/27 9:30 23.94 0.22%
Trade id #148762970
Max drawdown($127)
Time11/14/24 0:00
Quant open261
Worst price23.58
Drawdown as % of equity-0.22%
 ($56)
Includes Typical Broker Commissions trade costs of $7.30
11/27/23 9:48 FEZ SPDR EURO STOXX 50 LONG 185 47.16 11/27/24 9:30 49.19 0.07%
Trade id #146542221
Max drawdown($36)
Time1/17/24 0:00
Quant open144
Worst price45.44
Drawdown as % of equity-0.07%
 $372
Includes Typical Broker Commissions trade costs of $3.70
11/27/23 9:51 FLJP FRANKLIN FTSE JAPAN ETF LONG 317 27.77 10/28/24 10:47 28.90 0.83%
Trade id #146542291
Max drawdown($459)
Time8/5/24 0:00
Quant open226
Worst price25.74
Drawdown as % of equity-0.83%
 $352
Includes Typical Broker Commissions trade costs of $6.34
3/27/24 10:03 CMDY ISHARES BLOOMBERG ROLL SELECT MMODITY STRATEGY LONG 252 49.12 7/29 10:00 48.09 1.39%
Trade id #147745280
Max drawdown($786)
Time5/9/24 0:00
Quant open252
Worst price46.00
Drawdown as % of equity-1.39%
 ($265)
Includes Typical Broker Commissions trade costs of $5.04
5/28/24 15:03 EMLC VANECK JPMORGAN EM LOC CURR BOND ETF LONG 357 24.45 6/27 9:49 23.76 0.52%
Trade id #148273673
Max drawdown($296)
Time6/14/24 0:00
Quant open357
Worst price23.62
Drawdown as % of equity-0.52%
 ($253)
Includes Typical Broker Commissions trade costs of $7.14
9/29/23 9:30 SGOV ISHARES 0-3 MONTH TREASURY BOND ETF LONG 1,195 100.63 5/28/24 14:48 100.68 0.59%
Trade id #145970278
Max drawdown($294)
Time10/2/23 0:00
Quant open840
Worst price100.26
Drawdown as % of equity-0.59%
 $50
Includes Typical Broker Commissions trade costs of $14.29
11/27/23 9:58 EMLC VANECK JPMORGAN EM LOC CURR BOND ETF LONG 353 24.95 4/29/24 11:08 24.25 0.55%
Trade id #146542402
Max drawdown($306)
Time4/16/24 0:00
Quant open229
Worst price23.61
Drawdown as % of equity-0.55%
 ($255)
Includes Typical Broker Commissions trade costs of $7.06
7/28/23 10:23 CMDY ISHARES BLOOMBERG ROLL SELECT MMODITY STRATEGY LONG 289 52.17 11/27 9:52 50.81 1.4%
Trade id #145354984
Max drawdown($689)
Time10/5/23 0:00
Quant open289
Worst price49.78
Drawdown as % of equity-1.40%
 ($397)
Includes Typical Broker Commissions trade costs of $5.78
4/12/23 9:36 SGOV ISHARES 0-3 MONTH TREASURY BOND ETF LONG 1,549 100.45 9/27 15:39 100.60 0.39%
Trade id #144268154
Max drawdown($195)
Time5/1/23 0:00
Quant open996
Worst price100.18
Drawdown as % of equity-0.39%
 $202
Includes Typical Broker Commissions trade costs of $23.98
5/30/23 13:56 IAU ISHARES GOLD TRUST LONG 415 37.11 9/27 14:07 35.71 1.18%
Trade id #144782502
Max drawdown($586)
Time8/17/23 0:00
Quant open415
Worst price35.70
Drawdown as % of equity-1.18%
 ($590)
Includes Typical Broker Commissions trade costs of $8.30
5/30/23 14:02 EMLC VANECK JPMORGAN EM LOC CURR BOND ETF LONG 403 25.07 9/27 14:05 24.07 0.81%
Trade id #144782546
Max drawdown($406)
Time9/27/23 13:36
Quant open280
Worst price23.62
Drawdown as % of equity-0.81%
 ($410)
Includes Typical Broker Commissions trade costs of $8.06
7/28/23 10:10 VNQI VANGUARD GLOBAL EX-US REAL EST LONG 241 42.59 8/28 9:34 39.88 1.76%
Trade id #145354704
Max drawdown($875)
Time8/21/23 0:00
Quant open241
Worst price38.96
Drawdown as % of equity-1.76%
 ($659)
Includes Typical Broker Commissions trade costs of $4.82
5/30/23 13:57 LQD ISHARES IBOXX $ INVEST GRADE C LONG 95 107.34 8/28 9:34 105.44 0.78%
Trade id #144782510
Max drawdown($387)
Time8/21/23 0:00
Quant open95
Worst price103.26
Drawdown as % of equity-0.78%
 ($182)
Includes Typical Broker Commissions trade costs of $1.90

Successivo

Statistics

  • Strategy began
    4/12/2023
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    797.35
  • Age
    27 months ago
  • What it trades
    Stocks
  • # Trades
    30
  • # Profitable
    18
  • % Profitable
    60.00%
  • Avg trade duration
    252.3 days
  • Max peak-to-valley drawdown
    11.89%
  • drawdown period
    March 19, 2025 - April 08, 2025
  • Annual Return (Compounded)
    14.7%
  • Avg win
    $667.28
  • Avg loss
    $394.25
  • Model Account Values (Raw)
  • Cash
    $1,114
  • Margin Used
    $0
  • Buying Power
    $12,968
  • Ratios
  • W:L ratio
    5.95:1
  • Sharpe Ratio
    0.98
  • Sortino Ratio
    1.38
  • Calmar Ratio
    1.754
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -11.19%
  • Correlation to SP500
    0.35520
  • Return Percent SP500 (cumu) during strategy life
    46.69%
  • Return Statistics
  • Ann Return (w trading costs)
    14.7%
  • Slump
  • Current Slump as Pcnt Equity
    1.30%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.00%
  • 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)
    0.147%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    16.7%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    11.50%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    513
  • Popularity (Last 6 weeks)
    863
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    941
  • Popularity (7 days, Percentile 1000 scale)
    742
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $437
  • Avg Win
    $963
  • Sum Trade PL (losers)
    $5,246.000
  • Age
  • Num Months filled monthly returns table
    27
  • Win / Loss
  • Sum Trade PL (winners)
    $17,328.000
  • # Winners
    18
  • Num Months Winners
    19
  • Dividends
  • Dividends Received in Model Acct
    8068
  • Win / Loss
  • # Losers
    12
  • % Winners
    60.0%
  • Frequency
  • Avg Position Time (mins)
    363243.00
  • Avg Position Time (hrs)
    6054.05
  • Avg Trade Length
    252.3 days
  • Last Trade Ago
    21
  • Leverage
  • Daily leverage (average)
    1.84
  • Daily leverage (max)
    2.21
  • Regression
  • Alpha
    0.02
  • Beta
    0.24
  • Treynor Index
    0.14
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.53
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    1.137
  • 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
    0.03
  • Avg(MAE) / Avg(PL) - Winning trades
    0.347
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.467
  • Hold-and-Hope Ratio
    0.952
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.13057
  • SD
    0.10139
  • Sharpe ratio (Glass type estimate)
    1.28777
  • Sharpe ratio (Hedges UMVUE)
    1.24703
  • df
    24.00000
  • t
    1.85874
  • p
    0.03769
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.13010
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.68073
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.15595
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.65001
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.57534
  • Upside Potential Ratio
    4.17151
  • Upside part of mean
    0.21149
  • Downside part of mean
    -0.08093
  • Upside SD
    0.09338
  • Downside SD
    0.05070
  • N nonnegative terms
    16.00000
  • N negative terms
    9.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    25.00000
  • Mean of predictor
    0.15536
  • Mean of criterion
    0.13057
  • SD of predictor
    0.15185
  • SD of criterion
    0.10139
  • Covariance
    0.00608
  • r
    0.39457
  • b (slope, estimate of beta)
    0.26346
  • a (intercept, estimate of alpha)
    0.08964
  • Mean Square Error
    0.00906
  • DF error
    23.00000
  • t(b)
    2.05940
  • p(b)
    0.02548
  • t(a)
    1.30164
  • p(a)
    0.10296
  • Lowerbound of 95% confidence interval for beta
    -0.00118
  • Upperbound of 95% confidence interval for beta
    0.52810
  • Lowerbound of 95% confidence interval for alpha
    -0.05282
  • Upperbound of 95% confidence interval for alpha
    0.23210
  • Treynor index (mean / b)
    0.49560
  • Jensen alpha (a)
    0.08964
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.12474
  • SD
    0.10025
  • Sharpe ratio (Glass type estimate)
    1.24430
  • Sharpe ratio (Hedges UMVUE)
    1.20494
  • df
    24.00000
  • t
    1.79599
  • p
    0.04255
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.17009
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.63451
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.19509
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.60497
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.41361
  • Upside Potential Ratio
    4.00120
  • Upside part of mean
    0.20680
  • Downside part of mean
    -0.08205
  • Upside SD
    0.09096
  • Downside SD
    0.05168
  • N nonnegative terms
    16.00000
  • N negative terms
    9.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    25.00000
  • Mean of predictor
    0.14321
  • Mean of criterion
    0.12474
  • SD of predictor
    0.15023
  • SD of criterion
    0.10025
  • Covariance
    0.00582
  • r
    0.38674
  • b (slope, estimate of beta)
    0.25808
  • a (intercept, estimate of alpha)
    0.08779
  • Mean Square Error
    0.00892
  • DF error
    23.00000
  • t(b)
    2.01122
  • p(b)
    0.02808
  • t(a)
    1.29167
  • p(a)
    0.10465
  • Lowerbound of 95% confidence interval for beta
    -0.00737
  • Upperbound of 95% confidence interval for beta
    0.52353
  • Lowerbound of 95% confidence interval for alpha
    -0.05281
  • Upperbound of 95% confidence interval for alpha
    0.22838
  • Treynor index (mean / b)
    0.48336
  • Jensen alpha (a)
    0.08779
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03652
  • Expected Shortfall on VaR
    0.04805
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01238
  • Expected Shortfall on VaR
    0.02625
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    25.00000
  • Minimum
    0.94612
  • Quartile 1
    0.99027
  • Median
    1.01237
  • Quartile 3
    1.03351
  • Maximum
    1.06683
  • Mean of quarter 1
    0.97880
  • Mean of quarter 2
    1.00579
  • Mean of quarter 3
    1.02278
  • Mean of quarter 4
    1.05121
  • Inter Quartile Range
    0.04324
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.44032
  • VaR(95%) (moments method)
    0.02498
  • Expected Shortfall (moments method)
    0.04905
  • Extreme Value Index (regression method)
    1.48376
  • VaR(95%) (regression method)
    0.02563
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00981
  • Quartile 1
    0.01279
  • Median
    0.02202
  • Quartile 3
    0.02927
  • Maximum
    0.05388
  • Mean of quarter 1
    0.01045
  • Mean of quarter 2
    0.01791
  • Mean of quarter 3
    0.02612
  • Mean of quarter 4
    0.04210
  • Inter Quartile Range
    0.01648
  • 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)
    0.17972
  • Compounded annual return (geometric extrapolation)
    0.16492
  • Calmar ratio (compounded annual return / max draw down)
    3.06100
  • Compounded annual return / average of 25% largest draw downs
    3.91746
  • Compounded annual return / Expected Shortfall lognormal
    3.43222
  • 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
    0.13622
  • SD
    0.10124
  • Sharpe ratio (Glass type estimate)
    1.34553
  • Sharpe ratio (Hedges UMVUE)
    1.34374
  • df
    564.00000
  • t
    1.97590
  • p
    0.02433
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00799
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.68195
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00676
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.68071
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.87460
  • Upside Potential Ratio
    8.72037
  • Upside part of mean
    0.63369
  • Downside part of mean
    -0.49746
  • Upside SD
    0.07086
  • Downside SD
    0.07267
  • N nonnegative terms
    329.00000
  • N negative terms
    236.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    565.00000
  • Mean of predictor
    0.16088
  • Mean of criterion
    0.13622
  • SD of predictor
    0.15916
  • SD of criterion
    0.10124
  • Covariance
    0.00597
  • r
    0.37066
  • b (slope, estimate of beta)
    0.23577
  • a (intercept, estimate of alpha)
    0.09800
  • Mean Square Error
    0.00886
  • DF error
    563.00000
  • t(b)
    9.46933
  • p(b)
    -0.00000
  • t(a)
    1.53072
  • p(a)
    0.06320
  • Lowerbound of 95% confidence interval for beta
    0.18686
  • Upperbound of 95% confidence interval for beta
    0.28467
  • Lowerbound of 95% confidence interval for alpha
    -0.02783
  • Upperbound of 95% confidence interval for alpha
    0.22442
  • Treynor index (mean / b)
    0.57778
  • Jensen alpha (a)
    0.09829
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.13104
  • SD
    0.10151
  • Sharpe ratio (Glass type estimate)
    1.29093
  • Sharpe ratio (Hedges UMVUE)
    1.28921
  • df
    564.00000
  • t
    1.89573
  • p
    0.02925
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.04643
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.62717
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.04758
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.62600
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.78580
  • Upside Potential Ratio
    8.60089
  • Upside part of mean
    0.63113
  • Downside part of mean
    -0.50009
  • Upside SD
    0.07048
  • Downside SD
    0.07338
  • N nonnegative terms
    329.00000
  • N negative terms
    236.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    565.00000
  • Mean of predictor
    0.14824
  • Mean of criterion
    0.13104
  • SD of predictor
    0.15860
  • SD of criterion
    0.10151
  • Covariance
    0.00601
  • r
    0.37322
  • b (slope, estimate of beta)
    0.23887
  • a (intercept, estimate of alpha)
    0.09563
  • Mean Square Error
    0.00888
  • DF error
    563.00000
  • t(b)
    9.54542
  • p(b)
    -0.00000
  • t(a)
    1.48743
  • p(a)
    0.06873
  • Lowerbound of 95% confidence interval for beta
    0.18971
  • Upperbound of 95% confidence interval for beta
    0.28802
  • Lowerbound of 95% confidence interval for alpha
    -0.03065
  • Upperbound of 95% confidence interval for alpha
    0.22192
  • Treynor index (mean / b)
    0.54859
  • Jensen alpha (a)
    0.09563
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00977
  • Expected Shortfall on VaR
    0.01236
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00382
  • Expected Shortfall on VaR
    0.00818
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    565.00000
  • Minimum
    0.95757
  • Quartile 1
    0.99786
  • Median
    1.00043
  • Quartile 3
    1.00399
  • Maximum
    1.02480
  • Mean of quarter 1
    0.99318
  • Mean of quarter 2
    0.99953
  • Mean of quarter 3
    1.00196
  • Mean of quarter 4
    1.00789
  • Inter Quartile Range
    0.00612
  • Number outliers low
    18.00000
  • Percentage of outliers low
    0.03186
  • Mean of outliers low
    0.98243
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.01239
  • Mean of outliers high
    1.01771
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.25638
  • VaR(95%) (moments method)
    0.00619
  • Expected Shortfall (moments method)
    0.01032
  • Extreme Value Index (regression method)
    0.17369
  • VaR(95%) (regression method)
    0.00613
  • Expected Shortfall (regression method)
    0.00956
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    28.00000
  • Minimum
    0.00065
  • Quartile 1
    0.00381
  • Median
    0.00740
  • Quartile 3
    0.02826
  • Maximum
    0.09821
  • Mean of quarter 1
    0.00157
  • Mean of quarter 2
    0.00565
  • Mean of quarter 3
    0.01436
  • Mean of quarter 4
    0.06014
  • Inter Quartile Range
    0.02444
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.10714
  • Mean of outliers high
    0.08806
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.73179
  • VaR(95%) (moments method)
    0.06217
  • Expected Shortfall (moments method)
    0.06963
  • Extreme Value Index (regression method)
    -0.67378
  • VaR(95%) (regression method)
    0.06634
  • Expected Shortfall (regression method)
    0.07438
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.18959
  • Compounded annual return (geometric extrapolation)
    0.17228
  • Calmar ratio (compounded annual return / max draw down)
    1.75424
  • Compounded annual return / average of 25% largest draw downs
    2.86439
  • Compounded annual return / Expected Shortfall lognormal
    13.94290
  • 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
    0.24879
  • SD
    0.12734
  • Sharpe ratio (Glass type estimate)
    1.95375
  • Sharpe ratio (Hedges UMVUE)
    1.94246
  • df
    130.00000
  • t
    1.38151
  • p
    0.43986
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.83185
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.73208
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.83939
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.72430
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.63443
  • Upside Potential Ratio
    8.72745
  • Upside part of mean
    0.82419
  • Downside part of mean
    -0.57541
  • Upside SD
    0.08608
  • Downside SD
    0.09444
  • N nonnegative terms
    81.00000
  • N negative terms
    50.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.02096
  • Mean of criterion
    0.24879
  • SD of predictor
    0.24590
  • SD of criterion
    0.12734
  • Covariance
    0.01035
  • r
    0.33063
  • b (slope, estimate of beta)
    0.17122
  • a (intercept, estimate of alpha)
    0.25238
  • Mean Square Error
    0.01455
  • DF error
    129.00000
  • t(b)
    3.97903
  • p(b)
    0.29341
  • t(a)
    1.47921
  • p(a)
    0.41801
  • Lowerbound of 95% confidence interval for beta
    0.08608
  • Upperbound of 95% confidence interval for beta
    0.25635
  • Lowerbound of 95% confidence interval for alpha
    -0.08519
  • Upperbound of 95% confidence interval for alpha
    0.58994
  • Treynor index (mean / b)
    1.45306
  • Jensen alpha (a)
    0.25238
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.24054
  • SD
    0.12806
  • Sharpe ratio (Glass type estimate)
    1.87833
  • Sharpe ratio (Hedges UMVUE)
    1.86748
  • df
    130.00000
  • t
    1.32818
  • p
    0.44215
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.90637
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.65602
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.91361
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.64856
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.51068
  • Upside Potential Ratio
    8.56331
  • Upside part of mean
    0.82043
  • Downside part of mean
    -0.57989
  • Upside SD
    0.08553
  • Downside SD
    0.09581
  • N nonnegative terms
    81.00000
  • N negative terms
    50.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.05069
  • Mean of criterion
    0.24054
  • SD of predictor
    0.24427
  • SD of criterion
    0.12806
  • Covariance
    0.01046
  • r
    0.33441
  • b (slope, estimate of beta)
    0.17532
  • a (intercept, estimate of alpha)
    0.24943
  • Mean Square Error
    0.01468
  • DF error
    129.00000
  • t(b)
    4.03025
  • p(b)
    0.29114
  • t(a)
    1.45564
  • p(a)
    0.41929
  • VAR (95 Confidence Intrvl)
    0.01000
  • Lowerbound of 95% confidence interval for beta
    0.08925
  • Upperbound of 95% confidence interval for beta
    0.26139
  • Lowerbound of 95% confidence interval for alpha
    -0.08960
  • Upperbound of 95% confidence interval for alpha
    0.58845
  • Treynor index (mean / b)
    1.37200
  • Jensen alpha (a)
    0.24943
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01202
  • Expected Shortfall on VaR
    0.01528
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00409
  • Expected Shortfall on VaR
    0.00923
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.95757
  • Quartile 1
    0.99841
  • Median
    1.00170
  • Quartile 3
    1.00472
  • Maximum
    1.02402
  • Mean of quarter 1
    0.99188
  • Mean of quarter 2
    0.99989
  • Mean of quarter 3
    1.00318
  • Mean of quarter 4
    1.00934
  • Inter Quartile Range
    0.00631
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.03817
  • Mean of outliers low
    0.97780
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.03053
  • Mean of outliers high
    1.01796
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.07466
  • VaR(95%) (moments method)
    0.00523
  • Expected Shortfall (moments method)
    0.00720
  • Extreme Value Index (regression method)
    0.07327
  • VaR(95%) (regression method)
    0.00748
  • Expected Shortfall (regression method)
    0.01161
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    13.00000
  • Minimum
    0.00110
  • Quartile 1
    0.00569
  • Median
    0.00686
  • Quartile 3
    0.01456
  • Maximum
    0.09821
  • Mean of quarter 1
    0.00342
  • Mean of quarter 2
    0.00657
  • Mean of quarter 3
    0.01175
  • Mean of quarter 4
    0.05498
  • Inter Quartile Range
    0.00886
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.23077
  • Mean of outliers high
    0.05498
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.83705
  • VaR(95%) (moments method)
    0.04184
  • Expected Shortfall (moments method)
    0.04662
  • Extreme Value Index (regression method)
    0.46616
  • VaR(95%) (regression method)
    0.08225
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.18852
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -406822000
  • Max Equity Drawdown (num days)
    20
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.28730
  • Compounded annual return (geometric extrapolation)
    0.30793
  • Calmar ratio (compounded annual return / max draw down)
    3.13561
  • Compounded annual return / average of 25% largest draw downs
    5.60071
  • Compounded annual return / Expected Shortfall lognormal
    20.15390

Strategy Description

“The big money is not in the buying or selling, but in the waiting.” – C. Munger
“Smooth is fast” – Navy SEAL mantra and racing sport wisdom

PRINCIPLES & INTRO

I began saving and investing money at a very young age – when I earned my first money delivering newspapers at the age of 13.

The initial path from there, however, had been far from easy and smooth.

Why? I was looking for shortcuts, the big and bold trades, with spectacular returns and “can’t miss, can’t lose positions” that would change it all in an instant. A process only fueled by impatience, greed and the fear of missing the big opportunity. It cost me money, time and nerves. A pitiful and exhausting game.

Things changed when I,
1) matured and, quite literally, grew up and turned all of that off, because it was too far away from good trading or investing (you might describe it as hoping).
2) understood that I need to build a much better process and professional approach to reach that full potential of what is possible. And..
3) when I realized, and I mean profoundly and in the depths of my heart and brain understood and accepted, that true wealth is built when you follow a process that is consistent, reliable and that is not interrupted – relentlessly and patiently.
That’s how fortunes have been and will be built, time after time.

And time… time is of essence. Because, yes, it will take time. Yes, there will be occasions when others will think that it’s not going quick enough. Yes, others will feel the urge to take a detour and try “this and that”. That spectacular strategy or investment that made fantastic returns in a few weeks or months. And they might even be rewarded by doing that initially. In particular during bull markets, when everyone and their pet is making money quick and easy while we keep grinding. But everything that is spectacularly up, comes with a risk and can just as well, and even more spectacularly, come down. Some might be fooled by that – that’s the pitiful and exhausting game (going back to my first paragraph).
So the bottom line is, not everyone will be capable of executing and keeping at it. Probably the majority won’t. But that’s ok, the investment mistakes of the majority is the advantage that we have. That’s why the majority gets majority results – average, at best. We can prosper if we calm down and relax, let go of FOMO, and instead, let the process of compounding do it's magic (prosper, relax and compound – it’s in the name). This is what I found for myself and that enables me to live off my capital in a country with one of the highest costs of living in the world – without sleepless nights or having to run around and chase the next “thing”. You’re invited to be part of that journey.

STRATEGY

I mentioned that the process of building wealth and compounding requires us not to interrupt that very same compounding process, so it can yield the most significant results. There are two common mistakes that can cause interruptions.
The first, is to not actually follow through on it, to start doubting the process when the going gets tough and to stop it. Those who can avoid that have a huge advantage in life, it’s on you.
The second, is temporary or permanent loss of capital, or in other words, equity drawdown. We all heard the story many times, yet many tend to forget, that when you lose 10%, you need 11.11% to get back to even, but, after losing 50%, you would need to double your money (100%) to get back to the previous equity level. And losing it all… there is no way of coming back (unless you borrow money or earn it back somewhere outside of markets to start again from scratch).
So getting in a drawdown comes with risks, and getting back out of it requires time. Precious time that is lost on the long recovery, instead of compounding our hard-earned capital. It is no surprise that drawdown is defined as peak-to-“trough/valley” decline in capital. Just imagine falling into that valley or digging yourself into a hole and then spending effort and time to fight against gravity on a steep incline to crawl back up. This is why I put a lot of emphasis on controlling risk, volatility and avoiding big drawdowns. This, of course, does not mean there won’t be losses – this fantasy doesn’t exist in markets. It just means that risk and protecting our capital is first priority. It also means that I have worked hard to find an approach that ensures that these drawdown valleys are kept as short and shallow as possible – smooth is fast. To achieve that, I don’t just trade one market with one system and hope that it will keep working forever. Markets change and go through cycles. Instead, this approach trades a range of markets, different assets within those markets, several strategies that, in turn, work on different time frames. The approach also uses a rather lower trading frequency. The idea is not to churn out many trades, but to keep a steady profile. Trades are not placed discretionarily based on gut feeling, but follow signals that indicate when it is advantageous to be in the market or to take risk off the table. These signals are the output of systematic trading strategies that resulted from a range of research and tests on markets and risk management. It's the result of having experienced a good deal of time in these painful drawdown valleys myself and first-hand, working on investment processes for decades, studying markets, distilling best practices in the industry and developing trading systems and investment strategies. The strategy trades single stocks and ETFs, long-only, so can be implemented in almost any brokerage or retirement account. Happy compounding.

ADDITIONAL INFO

- Because the strategy has a relatively low risk-profile, I feel comfortable applying leverage to increase potential returns even further, as is currently done on the C2 implementation. You can obviously dial this up and down as per your preference, however, I would not recommend going above 2x. Please note, that the simulated performance does not include the cost of leverage, as these costs can vary from broker to broker or one’s individual situation and C2 is not able to estimate that in their calculations.

- I will send communications and notes to subscribers occasionally, whenever I believe that we are in a period in which more detailed communication on the strategy's current state or market environment is required. Otherwise I will not spam you with anything meaningless, as it would go against the principle of "relaxation" for you.
Trade this strategy at Interactive Brokers

Summary Statistics


Strategy began
2023-04-12
Suggested Minimum Capital
$15,000
Rank at C2 %
Top 5.9%
Rank # 
#41
# Trades
30
# Profitable
18
% Profitable
60.0%
Net Dividends
$8,067
Correlation S&P500
0.355
Sharpe Ratio
0.98
Sortino Ratio
1.38
Beta
0.24
Alpha
0.02
Leverage
1.84 Average
2.21 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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Trade journal

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

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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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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.