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Bear Market Defence
(123765889)

Created by: Danny Danny
Started: 05/2019
Stocks
Last trade: 2 days ago
Trading style: Equity Hedged Equity Trend-following

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 $25.00 per month.

C2Star

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

You can read more about C2Star certification requirements here.

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

Trading Category: Equity
Hedged Equity
Category: Equity

Hedged Equity

Core holding of long equities hedged at all times with short sales of stocks and/or stock index options.
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.
7.9%
Cumul. Return

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 Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

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

All results are hypothetical.

(7.1%)
Max Drawdown
134
Num Trades
42.5%
Win Trades
2.0 : 1
Profit Factor
80.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019                            +2.5%+1.6%+3.8%+4.9%(4.8%)                  +7.9%

Model Account Details

A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.

Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.

Trading Record

This strategy has placed 156 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
9/6/19 9:58 NTLA INTELLIA THERAPEUTICS INC. COMMON STOCK SHORT 148 13.73 9/12 9:30 15.18 0.21%
Trade id #125245938
Max drawdown($226)
Time9/11/19 0:00
Quant open148
Worst price15.26
Drawdown as % of equity-0.21%
($218)
Includes Typical Broker Commissions trade costs of $2.96
8/19/19 9:30 ADS ALLIANCE DATA SYSTEMS SHORT 28 138.85 9/11 9:30 134.82 0.03%
Trade id #124986133
Max drawdown($31)
Time8/21/19 0:00
Quant open28
Worst price139.96
Drawdown as % of equity-0.03%
$112
Includes Typical Broker Commissions trade costs of $0.56
7/8/19 14:43 MNK MALLINCKRODT PUBLIC LIMITED CO SHORT 165 8.18 9/11 9:30 3.64 0.09%
Trade id #124376550
Max drawdown($97)
Time7/12/19 0:00
Quant open165
Worst price8.77
Drawdown as % of equity-0.09%
$746
Includes Typical Broker Commissions trade costs of $3.30
8/2/19 9:42 LGND LIGAND PHARMACEUTICALS SHORT 26 93.58 9/11 9:30 90.04 0.1%
Trade id #124736946
Max drawdown($110)
Time8/19/19 0:00
Quant open26
Worst price97.84
Drawdown as % of equity-0.10%
$91
Includes Typical Broker Commissions trade costs of $0.52
7/12/19 9:30 CLVS CLOVIS ONCOLOGY SHORT 116 13.13 9/11 9:30 6.00 0.04%
Trade id #124434349
Max drawdown($46)
Time7/15/19 0:00
Quant open116
Worst price13.53
Drawdown as % of equity-0.04%
$825
Includes Typical Broker Commissions trade costs of $2.32
9/4/19 9:30 DXC DXC TECHNOLOGY CO SHORT 65 32.13 9/11 9:30 36.17 0.24%
Trade id #125212827
Max drawdown($256)
Time9/10/19 0:00
Quant open65
Worst price36.08
Drawdown as % of equity-0.24%
($264)
Includes Typical Broker Commissions trade costs of $1.30
9/9/19 9:50 WDAY WORKDAY SHORT 18 171.76 9/11 9:30 173.75 0.04%
Trade id #125273467
Max drawdown($40)
Time9/10/19 0:00
Quant open18
Worst price174.01
Drawdown as % of equity-0.04%
($36)
Includes Typical Broker Commissions trade costs of $0.36
7/18/19 15:19 NRK NUVEEN NEW YORK AMT FREE QUALITY MUNI LONG 1,782 13.21 9/11 9:30 13.42 0.06%
Trade id #124522555
Max drawdown($68)
Time7/19/19 0:00
Quant open1,782
Worst price13.17
Drawdown as % of equity-0.06%
$372
Includes Typical Broker Commissions trade costs of $5.00
5/28/19 9:31 PGX INVESCO PREFERRED LONG 2,520 14.59 9/11 9:30 14.95 0.08%
Trade id #123842402
Max drawdown($77)
Time5/29/19 0:00
Quant open1,931
Worst price14.53
Drawdown as % of equity-0.08%
$909
Includes Typical Broker Commissions trade costs of $7.50
7/15/19 11:42 CPE CALLON PETROLEUM SHORT 292 5.53 9/10 11:00 4.79 0.08%
Trade id #124462910
Max drawdown($80)
Time7/16/19 0:00
Quant open292
Worst price5.80
Drawdown as % of equity-0.08%
$210
Includes Typical Broker Commissions trade costs of $5.84
6/12/19 10:36 HYD VANECK VECTORS HIGH-YIELD MUNI LONG 382 63.38 9/10 10:59 64.31 n/a $349
Includes Typical Broker Commissions trade costs of $7.64
8/15/19 9:35 PFF ISHARES S&P U.S. PREFERRED STO LONG 807 37.23 9/10 10:59 37.33 0.04%
Trade id #124948383
Max drawdown($40)
Time8/15/19 9:41
Quant open807
Worst price37.18
Drawdown as % of equity-0.04%
$75
Includes Typical Broker Commissions trade costs of $7.00
8/2/19 9:30 TBT PROSHARES ULTRASHORT 20+ YEAR SHORT 223 27.55 9/10 10:59 24.73 0.02%
Trade id #124736246
Max drawdown($24)
Time8/2/19 9:56
Quant open223
Worst price27.66
Drawdown as % of equity-0.02%
$625
Includes Typical Broker Commissions trade costs of $4.46
9/6/19 9:55 MTDR MATADOR RESOURCES SHORT 136 14.97 9/10 9:30 16.89 0.24%
Trade id #125245865
Max drawdown($268)
Time9/9/19 0:00
Quant open136
Worst price16.95
Drawdown as % of equity-0.24%
($264)
Includes Typical Broker Commissions trade costs of $2.72
8/26/19 9:30 CXO CONCHO RESOURCES SHORT 34 70.87 9/10 9:30 74.99 0.12%
Trade id #125084321
Max drawdown($133)
Time9/10/19 9:30
Quant open34
Worst price74.80
Drawdown as % of equity-0.12%
($141)
Includes Typical Broker Commissions trade costs of $0.68
8/30/19 9:39 TS TENARIS SHORT 197 22.01 9/10 9:30 22.95 0.17%
Trade id #125157884
Max drawdown($186)
Time9/10/19 9:30
Quant open197
Worst price22.96
Drawdown as % of equity-0.17%
($190)
Includes Typical Broker Commissions trade costs of $3.94
8/12/19 10:18 CLNC COLONY CREDIT REAL ESTATE INC SHORT 309 14.37 9/9 9:30 13.35 0.02%
Trade id #124881983
Max drawdown($27)
Time8/12/19 10:35
Quant open309
Worst price14.46
Drawdown as % of equity-0.02%
$310
Includes Typical Broker Commissions trade costs of $6.18
8/22/19 11:37 BMO BANK OF MONTREAL SHORT 114 70.06 9/9 9:30 70.49 0.05%
Trade id #125037946
Max drawdown($55)
Time8/23/19 0:00
Quant open114
Worst price70.55
Drawdown as % of equity-0.05%
($51)
Includes Typical Broker Commissions trade costs of $2.28
8/7/19 9:32 SD SANDRIDGE ENERGY INC SHORT 394 5.79 9/9 9:30 5.10 0.24%
Trade id #124810807
Max drawdown($267)
Time8/8/19 0:00
Quant open394
Worst price6.47
Drawdown as % of equity-0.24%
$264
Includes Typical Broker Commissions trade costs of $7.88
8/2/19 9:31 AMG AFFILIATED MANAGERS GROUP SHORT 44 82.13 9/9 9:30 79.58 0%
Trade id #124736253
Max drawdown($3)
Time8/2/19 9:40
Quant open44
Worst price82.21
Drawdown as % of equity-0.00%
$111
Includes Typical Broker Commissions trade costs of $0.88
6/14/19 9:44 DUST DIREXION DAILY GOLD MINERS BEA SHORT 472 9.60 9/9 9:30 7.00 0.08%
Trade id #124083868
Max drawdown($84)
Time6/14/19 14:29
Quant open86
Worst price15.75
Drawdown as % of equity-0.08%
$1,218
Includes Typical Broker Commissions trade costs of $9.44
7/26/19 9:40 VKTX VIKING THERAPEUTICS INC. COMMON STOCK SHORT 307 7.87 9/6 9:30 7.48 0.03%
Trade id #124630548
Max drawdown($33)
Time7/31/19 0:00
Quant open307
Worst price7.98
Drawdown as % of equity-0.03%
$114
Includes Typical Broker Commissions trade costs of $6.14
8/12/19 9:30 XOP SPDR S&P OIL & GAS EXPLORATION SHORT 129 22.20 9/6 9:30 22.10 0.05%
Trade id #124880041
Max drawdown($61)
Time8/13/19 0:00
Quant open129
Worst price22.68
Drawdown as % of equity-0.05%
$10
Includes Typical Broker Commissions trade costs of $2.58
8/20/19 9:54 GRUB GRUBHUB INC SHORT 40 60.38 9/6 9:30 63.01 0.11%
Trade id #125002111
Max drawdown($124)
Time9/6/19 9:30
Quant open40
Worst price63.50
Drawdown as % of equity-0.11%
($106)
Includes Typical Broker Commissions trade costs of $0.80
7/25/19 9:51 GUSH DIREXION DAILY S&P OIL GAS EXPL PROD BUL SHORT 488 5.27 9/6 9:30 3.38 0.2%
Trade id #124611571
Max drawdown($218)
Time7/31/19 0:00
Quant open488
Worst price5.72
Drawdown as % of equity-0.20%
$913
Includes Typical Broker Commissions trade costs of $9.76
7/9/19 9:30 HLF HERBALIFE SHORT 182 39.67 9/6 9:30 36.80 0.01%
Trade id #124386184
Max drawdown($13)
Time7/9/19 9:31
Quant open93
Worst price42.44
Drawdown as % of equity-0.01%
$518
Includes Typical Broker Commissions trade costs of $3.64
8/6/19 9:49 AG FIRST MAJESTIC SILVER LONG 231 9.90 9/6 9:30 10.28 0.09%
Trade id #124789568
Max drawdown($99)
Time8/19/19 0:00
Quant open231
Worst price9.47
Drawdown as % of equity-0.09%
$83
Includes Typical Broker Commissions trade costs of $4.62
8/26/19 9:45 MRO MARATHON OIL SHORT 205 11.77 9/6 9:30 12.44 0.16%
Trade id #125085251
Max drawdown($188)
Time9/5/19 0:00
Quant open205
Worst price12.69
Drawdown as % of equity-0.16%
($142)
Includes Typical Broker Commissions trade costs of $4.10
8/15/19 9:30 SLB SCHLUMBERGER SHORT 88 32.06 9/6 9:30 33.80 0.21%
Trade id #124948060
Max drawdown($241)
Time9/5/19 0:00
Quant open88
Worst price34.80
Drawdown as % of equity-0.21%
($155)
Includes Typical Broker Commissions trade costs of $1.76
8/30/19 14:30 GDDY GODADDY INC SHORT 71 62.99 9/6 9:30 65.30 0.16%
Trade id #125165857
Max drawdown($182)
Time9/5/19 0:00
Quant open71
Worst price65.56
Drawdown as % of equity-0.16%
($165)
Includes Typical Broker Commissions trade costs of $1.42

Statistics

  • Strategy began
    5/22/2019
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    116.29
  • Age
    116 days ago
  • What it trades
    Stocks
  • # Trades
    134
  • # Profitable
    57
  • % Profitable
    42.50%
  • Avg trade duration
    20.4 days
  • Max peak-to-valley drawdown
    7.08%
  • drawdown period
    Sept 03, 2019 - Sept 11, 2019
  • Cumul. Return
    7.9%
  • Avg win
    $314.70
  • Avg loss
    $146.87
  • Model Account Values (Raw)
  • Cash
    $46,278
  • Margin Used
    $11,780
  • Buying Power
    $35,670
  • Ratios
  • W:L ratio
    1.97:1
  • Sharpe Ratio
    1.52
  • Sortino Ratio
    2.22
  • Calmar Ratio
    4.556
  • CORRELATION STATISTICS
  • Correlation to SP500
    -0.51840
  • Return Statistics
  • Ann Return (w trading costs)
    26.2%
  • Ann Return (Compnd, No Fees)
    28.7%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    1.50%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    881
  • Popularity (Last 6 weeks)
    942
  • C2 Score
    921
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $147
  • Avg Win
    $315
  • # Winners
    57
  • # Losers
    77
  • % Winners
    42.5%
  • Frequency
  • Avg Position Time (mins)
    29414.70
  • Avg Position Time (hrs)
    490.25
  • Avg Trade Length
    20.4 days
  • Last Trade Ago
    3
  • Leverage
  • Daily leverage (average)
    2.05
  • Daily leverage (max)
    2.23
  • Regression
  • Alpha
    0.08
  • Beta
    -0.45
  • Treynor Index
    -0.14
  • Maximum Adverse Excursion (MAE)
  • Avg(MAE) / Avg(PL) - All trades
    3.166
  • Avg(MAE) / Avg(PL) - Winning trades
    0.220
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.180
  • Hold-and-Hope Ratio
    0.330
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.56182
  • SD
    0.03862
  • Sharpe ratio (Glass type estimate)
    14.54850
  • Sharpe ratio (Hedges UMVUE)
    8.20811
  • df
    2.00000
  • t
    7.27425
  • p
    0.00919
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.43488
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.73999
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    17.15620
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.56182
  • Downside part of mean
    0.00000
  • Upside SD
    0.16522
  • Downside SD
    0.00000
  • N nonnegative terms
    3.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    3.00000
  • Mean of predictor
    -0.00069
  • Mean of criterion
    0.56182
  • SD of predictor
    0.16525
  • SD of criterion
    0.03862
  • Covariance
    -0.00621
  • r
    -0.97300
  • b (slope, estimate of beta)
    -0.22737
  • a (intercept, estimate of alpha)
    0.56166
  • Mean Square Error
    0.00016
  • DF error
    1.00000
  • t(b)
    -4.21524
  • p(b)
    0.92586
  • t(a)
    22.27730
  • p(a)
    0.01428
  • Lowerbound of 95% confidence interval for beta
    -0.91275
  • Upperbound of 95% confidence interval for beta
    0.45801
  • Lowerbound of 95% confidence interval for alpha
    0.24131
  • Upperbound of 95% confidence interval for alpha
    0.88201
  • Treynor index (mean / b)
    -2.47091
  • Jensen alpha (a)
    0.56166
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.54736
  • SD
    0.03678
  • Sharpe ratio (Glass type estimate)
    14.88340
  • Sharpe ratio (Hedges UMVUE)
    8.39704
  • df
    2.00000
  • t
    7.44168
  • p
    0.00879
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.50709
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.71786
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    17.51190
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.54736
  • Downside part of mean
    0.00000
  • Upside SD
    0.16084
  • Downside SD
    0.00000
  • N nonnegative terms
    3.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    3.00000
  • Mean of predictor
    -0.00990
  • Mean of criterion
    0.54736
  • SD of predictor
    0.16691
  • SD of criterion
    0.03678
  • Covariance
    -0.00596
  • r
    -0.97054
  • b (slope, estimate of beta)
    -0.21385
  • a (intercept, estimate of alpha)
    0.54525
  • Mean Square Error
    0.00016
  • DF error
    1.00000
  • t(b)
    -4.02846
  • p(b)
    0.92255
  • t(a)
    21.75210
  • p(a)
    0.01462
  • Lowerbound of 95% confidence interval for beta
    -0.88837
  • Upperbound of 95% confidence interval for beta
    0.46066
  • Lowerbound of 95% confidence interval for alpha
    0.22675
  • Upperbound of 95% confidence interval for alpha
    0.86374
  • Treynor index (mean / b)
    -2.55952
  • Jensen alpha (a)
    0.54525
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    -0.02855
  • Expected Shortfall on VaR
    -0.02401
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    3.00000
  • Minimum
    1.03868
  • Quartile 1
    1.04329
  • Median
    1.04790
  • Quartile 3
    1.05438
  • Maximum
    1.06087
  • Mean of quarter 1
    1.03868
  • Mean of quarter 2
    1.04790
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    1.06087
  • Inter Quartile Range
    0.01109
  • 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)
    0.00000
  • 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
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • 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)
    0.61869
  • Compounded annual return (geometric extrapolation)
    0.77761
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    0.00000
  • 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
    0.24137
  • SD
    0.12805
  • Sharpe ratio (Glass type estimate)
    1.88495
  • Sharpe ratio (Hedges UMVUE)
    1.86677
  • df
    78.00000
  • t
    1.03506
  • p
    0.15192
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.70252
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.46048
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.71455
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.44809
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.77501
  • Upside Potential Ratio
    10.66170
  • Upside part of mean
    0.92737
  • Downside part of mean
    -0.68600
  • Upside SD
    0.09406
  • Downside SD
    0.08698
  • N nonnegative terms
    45.00000
  • N negative terms
    34.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    79.00000
  • Mean of predictor
    0.15444
  • Mean of criterion
    0.24137
  • SD of predictor
    0.15100
  • SD of criterion
    0.12805
  • Covariance
    -0.01035
  • r
    -0.53553
  • b (slope, estimate of beta)
    -0.45416
  • a (intercept, estimate of alpha)
    0.31200
  • Mean Square Error
    0.01185
  • DF error
    77.00000
  • t(b)
    -5.56450
  • p(b)
    1.00000
  • t(a)
    1.56843
  • p(a)
    0.06044
  • Lowerbound of 95% confidence interval for beta
    -0.61668
  • Upperbound of 95% confidence interval for beta
    -0.29164
  • Lowerbound of 95% confidence interval for alpha
    -0.08398
  • Upperbound of 95% confidence interval for alpha
    0.70701
  • Treynor index (mean / b)
    -0.53148
  • Jensen alpha (a)
    0.31151
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.23314
  • SD
    0.12817
  • Sharpe ratio (Glass type estimate)
    1.81896
  • Sharpe ratio (Hedges UMVUE)
    1.80141
  • df
    78.00000
  • t
    0.99882
  • p
    0.16049
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.76748
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.39385
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.77908
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.38190
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.65954
  • Upside Potential Ratio
    10.52780
  • Upside part of mean
    0.92288
  • Downside part of mean
    -0.68974
  • Upside SD
    0.09350
  • Downside SD
    0.08766
  • N nonnegative terms
    45.00000
  • N negative terms
    34.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    79.00000
  • Mean of predictor
    0.14308
  • Mean of criterion
    0.23314
  • SD of predictor
    0.15152
  • SD of criterion
    0.12817
  • Covariance
    -0.01037
  • r
    -0.53419
  • b (slope, estimate of beta)
    -0.45186
  • a (intercept, estimate of alpha)
    0.29779
  • Mean Square Error
    0.01189
  • DF error
    77.00000
  • t(b)
    -5.54499
  • p(b)
    1.00000
  • t(a)
    1.49688
  • p(a)
    0.06926
  • Lowerbound of 95% confidence interval for beta
    -0.61413
  • Upperbound of 95% confidence interval for beta
    -0.28959
  • Lowerbound of 95% confidence interval for alpha
    -0.09835
  • Upperbound of 95% confidence interval for alpha
    0.69393
  • Treynor index (mean / b)
    -0.51595
  • Jensen alpha (a)
    0.29779
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01206
  • Expected Shortfall on VaR
    0.01532
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00548
  • Expected Shortfall on VaR
    0.01097
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    79.00000
  • Minimum
    0.97440
  • Quartile 1
    0.99662
  • Median
    1.00164
  • Quartile 3
    1.00546
  • Maximum
    1.01613
  • Mean of quarter 1
    0.99095
  • Mean of quarter 2
    0.99921
  • Mean of quarter 3
    1.00347
  • Mean of quarter 4
    1.01061
  • Inter Quartile Range
    0.00884
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.02532
  • Mean of outliers low
    0.97794
  • 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)
    -0.25134
  • VaR(95%) (moments method)
    0.00835
  • Expected Shortfall (moments method)
    0.01037
  • Extreme Value Index (regression method)
    0.45643
  • VaR(95%) (regression method)
    0.00796
  • Expected Shortfall (regression method)
    0.01521
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.00245
  • Quartile 1
    0.00695
  • Median
    0.00792
  • Quartile 3
    0.01764
  • Maximum
    0.06547
  • Mean of quarter 1
    0.00512
  • Mean of quarter 2
    0.00769
  • Mean of quarter 3
    0.01536
  • Mean of quarter 4
    0.04967
  • Inter Quartile Range
    0.01069
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.22222
  • Mean of outliers high
    0.04967
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -2.95796
  • VaR(95%) (moments method)
    0.04054
  • Expected Shortfall (moments method)
    0.04075
  • Extreme Value Index (regression method)
    -0.03902
  • VaR(95%) (regression method)
    0.07471
  • Expected Shortfall (regression method)
    0.10431
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.27159
  • Compounded annual return (geometric extrapolation)
    0.29829
  • Calmar ratio (compounded annual return / max draw down)
    4.55620
  • Compounded annual return / average of 25% largest draw downs
    6.00524
  • Compounded annual return / Expected Shortfall lognormal
    19.46940

Strategy Description

The system will short sell individual stocks that are in established downtrends and buy non-correlated assets, such as bonds or gold, that are in established uptrends.

The objective of the system is to hedge a long only portfolio. If the system is successful in meeting its objectives, it will perform well in bear markets and provide mediocre performance in bull markets.

Position sizing and risk management are based on my other system, "The Momentum of Now", which has a track record on Collective2 going back to the year 2012.

Summary Statistics

Strategy began
2019-05-22
Suggested Minimum Capital
$35,000
Rank at C2 %
Top 7.9%
Rank # 
#48
# Trades
134
# Profitable
57
% Profitable
42.5%
Net Dividends
Correlation S&P500
-0.518
Sharpe Ratio
1.52
Sortino Ratio
2.22
Beta
-0.45
Alpha
0.08
Leverage
2.05 Average
2.23 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

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

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

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

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

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

Latest Activity

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subscribed on started simulation #SUBSCRIBEDDATE#

Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.

Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

Material assumptions and methods used when calculating results

The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.

  • Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
  • Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been re-scaled downward to make current go-forward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
  • All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any per-trade AutoTrade fees, plus estimated broker commissions if any.
  • "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.

Trading is risky

There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.

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Suggested Minimum Capital

This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.