Welcome to Collective2

Follow these tips for a better experience

Ok, let's start

Close
Add to Watch List Create new Watch List
Add
Enter a name for your Watch List.
Watch List name must be less than 60 characters.
You have reached the maximum number of custom Watch Lists.
You have reached the maximum number of strategies in this Watch List.
Strategy added to Watch List. Go to Watch List

Sim is unavailable for this strategy, because you've recently "Simmed" it.

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

Bear Market Defence
(123765889)

Created by: Danny Danny
Started: 05/2019
Stocks
Last trade: 6 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.
8.7%
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.

(11.3%)
Max Drawdown
214
Num Trades
39.3%
Win Trades
1.7 : 1
Profit Factor
66.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019                            +2.5%+1.6%+3.8%+4.9%(4.4%)(0.2%)(4.5%)+2.0%+5.4%
2020+3.1%                                                                  +3.1%

Model Account Details

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

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

Trading Record

This strategy has placed 223 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
12/11/19 9:30 DNP DNP SELECT INCOME COMMON LONG 1,486 12.89 1/17/20 12:32 12.81 0.22%
Trade id #126575610
Max drawdown($230)
Time1/3/20 0:00
Quant open743
Worst price12.55
Drawdown as % of equity-0.22%
($127)
Includes Typical Broker Commissions trade costs of $7.50
10/3/19 9:30 NEAR ISHARES SHORT MATURITY BOND ET LONG 1,093 50.26 1/15/20 9:41 50.29 0.04%
Trade id #125610442
Max drawdown($44)
Time12/20/19 0:00
Quant open893
Worst price50.21
Drawdown as % of equity-0.04%
$24
Includes Typical Broker Commissions trade costs of $8.80
12/23/19 13:00 SCO PROSHARES ULTRASHORT BLOOMBERG SHORT 660 12.35 1/10/20 9:30 12.70 0.4%
Trade id #126727393
Max drawdown($419)
Time1/9/20 0:00
Quant open660
Worst price12.98
Drawdown as % of equity-0.40%
($236)
Includes Typical Broker Commissions trade costs of $5.00
12/19/19 9:30 DUST DIREXION DAILY GOLD MINERS BEA SHORT 532 6.34 1/10/20 9:30 6.25 0.08%
Trade id #126684854
Max drawdown($79)
Time12/20/19 0:00
Quant open266
Worst price7.37
Drawdown as % of equity-0.08%
$43
Includes Typical Broker Commissions trade costs of $7.82
1/7/20 12:30 CRON CRONOS GROUP INC. COMMON SHARE SHORT 249 6.72 1/10 9:30 6.99 0.1%
Trade id #126901116
Max drawdown($109)
Time1/9/20 0:00
Quant open249
Worst price7.16
Drawdown as % of equity-0.10%
($72)
Includes Typical Broker Commissions trade costs of $4.98
12/23/19 12:58 JDST DIREXION DAILY JR GOLD BEAR SHORT 244 11.99 1/9/20 9:30 11.04 0%
Trade id #126727366
Max drawdown($2)
Time12/23/19 12:59
Quant open122
Worst price12.30
Drawdown as % of equity-0.00%
$228
Includes Typical Broker Commissions trade costs of $4.88
12/4/19 9:31 LQD ISHARES IBOXX $ INVEST GRADE C LONG 199 127.85 1/9/20 9:30 127.70 0.13%
Trade id #126477412
Max drawdown($136)
Time12/12/19 0:00
Quant open199
Worst price127.17
Drawdown as % of equity-0.13%
($34)
Includes Typical Broker Commissions trade costs of $3.98
12/17/19 10:28 GBTC GRAYSCALE BITCOIN TRUST (BTC) COMMON STOCK SHORT 275 8.08 1/7/20 9:30 9.48 0.36%
Trade id #126654165
Max drawdown($368)
Time12/23/19 0:00
Quant open275
Worst price9.42
Drawdown as % of equity-0.36%
($391)
Includes Typical Broker Commissions trade costs of $5.50
12/6/19 9:30 OXLC OXFORD LANE CAPITAL CORP COMMO SHORT 683 8.30 1/7/20 9:30 8.35 0.07%
Trade id #126513532
Max drawdown($68)
Time12/9/19 0:00
Quant open683
Worst price8.40
Drawdown as % of equity-0.07%
($39)
Includes Typical Broker Commissions trade costs of $5.00
12/11/19 9:30 VFF VILLAGE FARMS INTERNATIONAL INC. COMMON SHARES SHORT 201 6.19 12/30 9:31 6.27 0.06%
Trade id #126575612
Max drawdown($58)
Time12/13/19 0:00
Quant open201
Worst price6.48
Drawdown as % of equity-0.06%
($20)
Includes Typical Broker Commissions trade costs of $4.02
9/16/19 9:30 FTSM FIRST TRUST EXCHANGE-TRADED FU LONG 665 60.10 12/24 9:39 60.12 0.02%
Trade id #125366782
Max drawdown($26)
Time9/30/19 0:00
Quant open665
Worst price60.06
Drawdown as % of equity-0.02%
$7
Includes Typical Broker Commissions trade costs of $9.15
9/13/19 9:30 BIL SPDR BARCLAYS 1-3 MONTH T-BILL LONG 836 91.52 12/23 12:57 91.45 0.05%
Trade id #125341774
Max drawdown($47)
Time12/2/19 0:00
Quant open586
Worst price91.44
Drawdown as % of equity-0.05%
($70)
Includes Typical Broker Commissions trade costs of $13.79
12/11/19 12:11 PS PLURALSIGHT INC. CLASS A COMMON STOCK SHORT 183 15.86 12/18 9:30 16.84 0.17%
Trade id #126580367
Max drawdown($179)
Time12/17/19 0:00
Quant open183
Worst price16.84
Drawdown as % of equity-0.17%
($183)
Includes Typical Broker Commissions trade costs of $3.66
12/6/19 9:30 GSKY GREENSKY INC. CLASS A COMMON STOCK SHORT 333 7.05 12/17 9:30 7.26 0.11%
Trade id #126513529
Max drawdown($113)
Time12/16/19 0:00
Quant open333
Worst price7.39
Drawdown as % of equity-0.11%
($77)
Includes Typical Broker Commissions trade costs of $6.66
12/9/19 9:31 ANET ARISTA NETWORKS INC SHORT 22 190.26 12/11 9:30 192.14 0.1%
Trade id #126540882
Max drawdown($101)
Time12/10/19 0:00
Quant open22
Worst price194.86
Drawdown as % of equity-0.10%
($41)
Includes Typical Broker Commissions trade costs of $0.44
11/13/19 9:30 AOK ISHARES CORE CONSERVATIVE ALLO LONG 1,946 35.91 12/3 9:30 35.89 0%
Trade id #126187275
Max drawdown($0)
Time11/13/19 14:13
Quant open973
Worst price35.76
Drawdown as % of equity-0.00%
($57)
Includes Typical Broker Commissions trade costs of $7.50
11/13/19 15:40 SLS SELLAS LIFE SCIENCES GROUP INC. COMMON STOCK SHORT 122 6.22 11/25 11:32 3.85 0.05%
Trade id #126198957
Max drawdown($56)
Time11/15/19 0:00
Quant open122
Worst price6.69
Drawdown as % of equity-0.05%
$287
Includes Typical Broker Commissions trade costs of $2.44
11/14/19 10:02 TACO LEVY ACQUISITION CORP. COMMON STOCK SHORT 426 7.75 11/25 11:32 7.35 0.03%
Trade id #126208497
Max drawdown($29)
Time11/14/19 10:21
Quant open426
Worst price7.82
Drawdown as % of equity-0.03%
$161
Includes Typical Broker Commissions trade costs of $8.52
11/19/19 9:30 WPM WHEATON PRECIOUS METALS CORP LONG 140 27.92 11/25 11:31 27.32 0.12%
Trade id #126266990
Max drawdown($124)
Time11/22/19 0:00
Quant open140
Worst price27.03
Drawdown as % of equity-0.12%
($87)
Includes Typical Broker Commissions trade costs of $2.80
11/14/19 9:31 FLR FLUOR SHORT 116 17.69 11/25 11:31 18.29 0.12%
Trade id #126207492
Max drawdown($126)
Time11/15/19 0:00
Quant open116
Worst price18.78
Drawdown as % of equity-0.12%
($72)
Includes Typical Broker Commissions trade costs of $2.32
11/14/19 9:59 MYL MYLAN N.V. ORDINARY SHARES SHORT 160 16.95 11/25 11:30 18.05 0.19%
Trade id #126208391
Max drawdown($196)
Time11/25/19 10:35
Quant open160
Worst price18.18
Drawdown as % of equity-0.19%
($179)
Includes Typical Broker Commissions trade costs of $3.20
11/4/19 9:30 ENPH ENPHASE ENERGY SHORT 53 18.92 11/25 11:30 20.95 0.11%
Trade id #126059417
Max drawdown($116)
Time11/25/19 11:29
Quant open53
Worst price21.11
Drawdown as % of equity-0.11%
($109)
Includes Typical Broker Commissions trade costs of $1.06
11/13/19 9:30 KL KIRKLAND LAKE GOLD LTD LONG 70 46.30 11/25 11:29 40.04 0.47%
Trade id #126187279
Max drawdown($491)
Time11/25/19 9:34
Quant open70
Worst price39.28
Drawdown as % of equity-0.47%
($439)
Includes Typical Broker Commissions trade costs of $1.40
11/14/19 9:30 BTZ BLACKROCK CREDIT ALLOCATION TR LONG 1,685 13.66 11/22 13:48 13.54 0.19%
Trade id #126207441
Max drawdown($202)
Time11/22/19 10:38
Quant open1,685
Worst price13.54
Drawdown as % of equity-0.19%
($207)
Includes Typical Broker Commissions trade costs of $5.00
11/19/19 9:30 GOOS CANADA GOOSE HOLDINGS INC SHORT 60 34.92 11/22 13:48 36.71 0.1%
Trade id #126266981
Max drawdown($107)
Time11/22/19 13:48
Quant open60
Worst price36.71
Drawdown as % of equity-0.10%
($108)
Includes Typical Broker Commissions trade costs of $1.20
11/19/19 11:07 FNV FRANCO-NEVADA LONG 61 99.99 11/22 13:47 96.72 0.2%
Trade id #126270114
Max drawdown($213)
Time11/22/19 12:14
Quant open61
Worst price96.49
Drawdown as % of equity-0.20%
($200)
Includes Typical Broker Commissions trade costs of $1.22
11/13/19 15:38 CGC CANOPY GROWTH CORP SHORT 92 18.55 11/22 9:30 19.60 0.26%
Trade id #126198932
Max drawdown($276)
Time11/21/19 0:00
Quant open92
Worst price21.55
Drawdown as % of equity-0.26%
($99)
Includes Typical Broker Commissions trade costs of $1.84
11/14/19 9:58 DUST DIREXION DAILY GOLD MINERS BEA SHORT 215 7.66 11/22 9:30 7.65 0.04%
Trade id #126208381
Max drawdown($40)
Time11/15/19 0:00
Quant open215
Worst price7.85
Drawdown as % of equity-0.04%
($2)
Includes Typical Broker Commissions trade costs of $4.30
11/14/19 10:00 GGAL GRUPO FINANCIERO GALICIA SHORT 145 11.61 11/21 9:30 12.62 0.16%
Trade id #126208413
Max drawdown($163)
Time11/20/19 0:00
Quant open145
Worst price12.74
Drawdown as % of equity-0.16%
($149)
Includes Typical Broker Commissions trade costs of $2.90
10/2/19 15:01 PAGS PAGSEGURO DIGITAL SHORT 46 43.21 11/19 9:30 37.75 0.16%
Trade id #125600960
Max drawdown($171)
Time10/14/19 0:00
Quant open46
Worst price46.94
Drawdown as % of equity-0.16%
$250
Includes Typical Broker Commissions trade costs of $0.92

Statistics

  • Strategy began
    5/22/2019
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    250.17
  • Age
    8 months ago
  • What it trades
    Stocks
  • # Trades
    214
  • # Profitable
    84
  • % Profitable
    39.30%
  • Avg trade duration
    21.7 days
  • Max peak-to-valley drawdown
    11.26%
  • drawdown period
    Sept 03, 2019 - Dec 03, 2019
  • Cumul. Return
    8.7%
  • Avg win
    $305.86
  • Avg loss
    $147.84
  • Model Account Values (Raw)
  • Cash
    $30,019
  • Margin Used
    $34,426
  • Buying Power
    $1,623
  • Ratios
  • W:L ratio
    1.73:1
  • Sharpe Ratio
    0.95
  • Sortino Ratio
    1.37
  • Calmar Ratio
    1.417
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -4.91%
  • Correlation to SP500
    -0.47160
  • Return Percent SP500 (cumu) during strategy life
    15.38%
  • Return Statistics
  • Ann Return (w trading costs)
    12.8%
  • Slump
  • Current Slump as Pcnt Equity
    0.06%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.58%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.087%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    14.4%
  • 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 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    748
  • Popularity (Last 6 weeks)
    841
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    785
  • Popularity (7 days, Percentile 1000 scale)
    840
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Strat abandoned?
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $148
  • Avg Win
    $306
  • Sum Trade PL (losers)
    $19,219.000
  • AUM
  • AUM (AutoTrader num accounts)
    1
  • Age
  • Num Months filled monthly returns table
    9
  • Win / Loss
  • Sum Trade PL (winners)
    $25,709.000
  • # Winners
    84
  • Num Months Winners
    6
  • Dividends
  • Dividends Received in Model Acct
    3214
  • AUM
  • AUM (AutoTrader live capital)
    54463
  • Win / Loss
  • # Losers
    130
  • % Winners
    39.2%
  • Frequency
  • Avg Position Time (mins)
    31296.00
  • Avg Position Time (hrs)
    521.60
  • Avg Trade Length
    21.7 days
  • Last Trade Ago
    6
  • Leverage
  • Daily leverage (average)
    2.00
  • Daily leverage (max)
    2.24
  • Regression
  • Alpha
    0.05
  • Beta
    -0.38
  • Treynor Index
    -0.08
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    27.16
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    4.91
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.83
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    6.850
  • 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
    0.242
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.228
  • Hold-and-Hope Ratio
    0.187
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.07615
  • SD
    0.15555
  • Sharpe ratio (Glass type estimate)
    0.48958
  • Sharpe ratio (Hedges UMVUE)
    0.42526
  • df
    6.00000
  • t
    0.37392
  • p
    0.36066
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.11048
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.05039
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.15219
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.00271
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.79258
  • Upside Potential Ratio
    2.73861
  • Upside part of mean
    0.26314
  • Downside part of mean
    -0.18698
  • Upside SD
    0.10950
  • Downside SD
    0.09608
  • N nonnegative terms
    4.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    7.00000
  • Mean of predictor
    0.19574
  • Mean of criterion
    0.07615
  • SD of predictor
    0.11356
  • SD of criterion
    0.15555
  • Covariance
    -0.01060
  • r
    -0.60000
  • b (slope, estimate of beta)
    -0.82187
  • a (intercept, estimate of alpha)
    0.23703
  • Mean Square Error
    0.01858
  • DF error
    5.00000
  • t(b)
    -1.67706
  • p(b)
    0.92281
  • t(a)
    1.16977
  • p(a)
    0.14741
  • Lowerbound of 95% confidence interval for beta
    -2.08169
  • Upperbound of 95% confidence interval for beta
    0.43794
  • Lowerbound of 95% confidence interval for alpha
    -0.28386
  • Upperbound of 95% confidence interval for alpha
    0.75791
  • Treynor index (mean / b)
    -0.09266
  • Jensen alpha (a)
    0.23703
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.06544
  • SD
    0.15543
  • Sharpe ratio (Glass type estimate)
    0.42101
  • Sharpe ratio (Hedges UMVUE)
    0.36570
  • df
    6.00000
  • t
    0.32155
  • p
    0.37935
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.17260
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.98089
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.20882
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.94022
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.66473
  • Upside Potential Ratio
    2.60805
  • Upside part of mean
    0.25675
  • Downside part of mean
    -0.19131
  • Upside SD
    0.10665
  • Downside SD
    0.09844
  • N nonnegative terms
    4.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    7.00000
  • Mean of predictor
    0.18820
  • Mean of criterion
    0.06544
  • SD of predictor
    0.11436
  • SD of criterion
    0.15543
  • Covariance
    -0.01052
  • r
    -0.59173
  • b (slope, estimate of beta)
    -0.80426
  • a (intercept, estimate of alpha)
    0.21680
  • Mean Square Error
    0.01884
  • DF error
    5.00000
  • t(b)
    -1.64135
  • p(b)
    0.91918
  • t(a)
    1.07331
  • p(a)
    0.16609
  • Lowerbound of 95% confidence interval for beta
    -2.06390
  • Upperbound of 95% confidence interval for beta
    0.45538
  • Lowerbound of 95% confidence interval for alpha
    -0.30246
  • Upperbound of 95% confidence interval for alpha
    0.73606
  • Treynor index (mean / b)
    -0.08136
  • Jensen alpha (a)
    0.21680
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06607
  • Expected Shortfall on VaR
    0.08329
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03312
  • Expected Shortfall on VaR
    0.06092
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    7.00000
  • Minimum
    0.94588
  • Quartile 1
    0.97601
  • Median
    1.01537
  • Quartile 3
    1.04329
  • Maximum
    1.06087
  • Mean of quarter 1
    0.95086
  • Mean of quarter 2
    1.00578
  • Mean of quarter 3
    1.03868
  • Mean of quarter 4
    1.05438
  • Inter Quartile Range
    0.06727
  • 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
    1.00000
  • Minimum
    0.09933
  • Quartile 1
    0.09933
  • Median
    0.09933
  • Quartile 3
    0.09933
  • Maximum
    0.09933
  • 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)
    0.09593
  • Compounded annual return (geometric extrapolation)
    0.09784
  • Calmar ratio (compounded annual return / max draw down)
    0.98498
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    1.17474
  • 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
    0.11500
  • SD
    0.09685
  • Sharpe ratio (Glass type estimate)
    1.18742
  • Sharpe ratio (Hedges UMVUE)
    1.18223
  • df
    172.00000
  • t
    0.96488
  • p
    0.46331
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.22948
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.60102
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.23299
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.59745
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.71950
  • Upside Potential Ratio
    9.31202
  • Upside part of mean
    0.62279
  • Downside part of mean
    -0.50779
  • Upside SD
    0.07002
  • Downside SD
    0.06688
  • N nonnegative terms
    93.00000
  • N negative terms
    80.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    173.00000
  • Mean of predictor
    0.17320
  • Mean of criterion
    0.11500
  • SD of predictor
    0.12298
  • SD of criterion
    0.09685
  • Covariance
    -0.00574
  • r
    -0.48224
  • b (slope, estimate of beta)
    -0.37978
  • a (intercept, estimate of alpha)
    0.18100
  • Mean Square Error
    0.00724
  • DF error
    171.00000
  • t(b)
    -7.19850
  • p(b)
    0.79465
  • t(a)
    1.71986
  • p(a)
    0.41722
  • Lowerbound of 95% confidence interval for beta
    -0.48393
  • Upperbound of 95% confidence interval for beta
    -0.27564
  • Lowerbound of 95% confidence interval for alpha
    -0.02671
  • Upperbound of 95% confidence interval for alpha
    0.38827
  • Treynor index (mean / b)
    -0.30280
  • Jensen alpha (a)
    0.18078
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.11030
  • SD
    0.09692
  • Sharpe ratio (Glass type estimate)
    1.13805
  • Sharpe ratio (Hedges UMVUE)
    1.13308
  • df
    172.00000
  • t
    0.92477
  • p
    0.46483
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.27858
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.55139
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.28188
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.54804
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.63802
  • Upside Potential Ratio
    9.21184
  • Upside part of mean
    0.62029
  • Downside part of mean
    -0.50999
  • Upside SD
    0.06965
  • Downside SD
    0.06734
  • N nonnegative terms
    93.00000
  • N negative terms
    80.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    173.00000
  • Mean of predictor
    0.16559
  • Mean of criterion
    0.11030
  • SD of predictor
    0.12332
  • SD of criterion
    0.09692
  • Covariance
    -0.00575
  • r
    -0.48146
  • b (slope, estimate of beta)
    -0.37839
  • a (intercept, estimate of alpha)
    0.17295
  • Mean Square Error
    0.00726
  • DF error
    171.00000
  • t(b)
    -7.18327
  • p(b)
    0.79422
  • t(a)
    1.64399
  • p(a)
    0.42080
  • Lowerbound of 95% confidence interval for beta
    -0.48237
  • Upperbound of 95% confidence interval for beta
    -0.27441
  • Lowerbound of 95% confidence interval for alpha
    -0.03471
  • Upperbound of 95% confidence interval for alpha
    0.38062
  • Treynor index (mean / b)
    -0.29149
  • Jensen alpha (a)
    0.17295
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00938
  • Expected Shortfall on VaR
    0.01186
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00423
  • Expected Shortfall on VaR
    0.00854
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    173.00000
  • Minimum
    0.97440
  • Quartile 1
    0.99755
  • Median
    1.00041
  • Quartile 3
    1.00359
  • Maximum
    1.01613
  • Mean of quarter 1
    0.99336
  • Mean of quarter 2
    0.99924
  • Mean of quarter 3
    1.00206
  • Mean of quarter 4
    1.00769
  • Inter Quartile Range
    0.00603
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.02312
  • Mean of outliers low
    0.98231
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.02890
  • Mean of outliers high
    1.01493
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.18976
  • VaR(95%) (moments method)
    0.00632
  • Expected Shortfall (moments method)
    0.00978
  • Extreme Value Index (regression method)
    0.23298
  • VaR(95%) (regression method)
    0.00604
  • Expected Shortfall (regression method)
    0.00951
  • 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
    0.10459
  • Mean of quarter 1
    0.00512
  • Mean of quarter 2
    0.00769
  • Mean of quarter 3
    0.01536
  • Mean of quarter 4
    0.06923
  • 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
    0.06923
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.61070
  • VaR(95%) (moments method)
    0.05147
  • Expected Shortfall (moments method)
    0.06010
  • Extreme Value Index (regression method)
    1.12329
  • VaR(95%) (regression method)
    0.13645
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.14471
  • Compounded annual return (geometric extrapolation)
    0.14821
  • Calmar ratio (compounded annual return / max draw down)
    1.41709
  • Compounded annual return / average of 25% largest draw downs
    2.14082
  • Compounded annual return / Expected Shortfall lognormal
    12.50050
  • 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
    -0.00278
  • SD
    0.09873
  • Sharpe ratio (Glass type estimate)
    -0.02814
  • Sharpe ratio (Hedges UMVUE)
    -0.02798
  • df
    130.00000
  • t
    -0.01990
  • p
    0.50087
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.79995
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.74367
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.79979
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.74383
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.03808
  • Upside Potential Ratio
    7.63166
  • Upside part of mean
    0.55673
  • Downside part of mean
    -0.55951
  • Upside SD
    0.06596
  • Downside SD
    0.07295
  • N nonnegative terms
    67.00000
  • N negative terms
    64.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.12461
  • Mean of criterion
    -0.00278
  • SD of predictor
    0.12770
  • SD of criterion
    0.09873
  • Covariance
    -0.00653
  • r
    -0.51802
  • b (slope, estimate of beta)
    -0.40049
  • a (intercept, estimate of alpha)
    0.04712
  • Mean Square Error
    0.00719
  • DF error
    129.00000
  • t(b)
    -6.87842
  • p(b)
    0.81437
  • t(a)
    0.39235
  • p(a)
    0.47803
  • Lowerbound of 95% confidence interval for beta
    -0.51568
  • Upperbound of 95% confidence interval for beta
    -0.28529
  • Lowerbound of 95% confidence interval for alpha
    -0.19051
  • Upperbound of 95% confidence interval for alpha
    0.28476
  • Treynor index (mean / b)
    0.00694
  • Jensen alpha (a)
    0.04712
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.00762
  • SD
    0.09888
  • Sharpe ratio (Glass type estimate)
    -0.07710
  • Sharpe ratio (Hedges UMVUE)
    -0.07666
  • df
    130.00000
  • t
    -0.05452
  • p
    0.50239
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.84880
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.69484
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.84848
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.69517
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.10376
  • Upside Potential Ratio
    7.54677
  • Upside part of mean
    0.55451
  • Downside part of mean
    -0.56213
  • Upside SD
    0.06561
  • Downside SD
    0.07348
  • N nonnegative terms
    67.00000
  • N negative terms
    64.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.11643
  • Mean of criterion
    -0.00762
  • SD of predictor
    0.12818
  • SD of criterion
    0.09888
  • Covariance
    -0.00655
  • r
    -0.51669
  • b (slope, estimate of beta)
    -0.39859
  • a (intercept, estimate of alpha)
    0.03879
  • Mean Square Error
    0.00722
  • DF error
    129.00000
  • t(b)
    -6.85434
  • p(b)
    0.81365
  • t(a)
    0.32220
  • p(a)
    0.48195
  • VAR (95 Confidence Intrvl)
    0.00900
  • Lowerbound of 95% confidence interval for beta
    -0.51365
  • Upperbound of 95% confidence interval for beta
    -0.28354
  • Lowerbound of 95% confidence interval for alpha
    -0.19939
  • Upperbound of 95% confidence interval for alpha
    0.27696
  • Treynor index (mean / b)
    0.01913
  • Jensen alpha (a)
    0.03879
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01003
  • Expected Shortfall on VaR
    0.01255
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00483
  • Expected Shortfall on VaR
    0.00963
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97440
  • Quartile 1
    0.99722
  • Median
    1.00013
  • Quartile 3
    1.00295
  • Maximum
    1.01613
  • Mean of quarter 1
    0.99267
  • Mean of quarter 2
    0.99907
  • Mean of quarter 3
    1.00160
  • Mean of quarter 4
    1.00709
  • Inter Quartile Range
    0.00573
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.03053
  • Mean of outliers low
    0.98231
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.05344
  • Mean of outliers high
    1.01365
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.23096
  • VaR(95%) (moments method)
    0.00719
  • Expected Shortfall (moments method)
    0.01148
  • Extreme Value Index (regression method)
    0.35642
  • VaR(95%) (regression method)
    0.00684
  • Expected Shortfall (regression method)
    0.01194
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00747
  • Quartile 1
    0.00792
  • Median
    0.01308
  • Quartile 3
    0.03387
  • Maximum
    0.10459
  • Mean of quarter 1
    0.00769
  • Mean of quarter 2
    0.01308
  • Mean of quarter 3
    0.03387
  • Mean of quarter 4
    0.10459
  • Inter Quartile Range
    0.02596
  • 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
    0.20000
  • Mean of outliers high
    0.10459
  • 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
    0.50%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -287521000
  • Max Equity Drawdown (num days)
    91
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.02039
  • Compounded annual return (geometric extrapolation)
    0.02049
  • Calmar ratio (compounded annual return / max draw down)
    0.19592
  • Compounded annual return / average of 25% largest draw downs
    0.19592
  • Compounded annual return / Expected Shortfall lognormal
    1.63296

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 
#140
# Trades
214
# Profitable
84
% Profitable
39.3%
Net Dividends
Correlation S&P500
-0.472
Sharpe Ratio
0.95
Sortino Ratio
1.37
Beta
-0.38
Alpha
0.05
Leverage
2.00 Average
2.24 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

#PERSONNAME#
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.

Okay, gotcha.

Not available

This feature isn't available under your current Trade Leader Plan.

Want to see available plans and features?

Please hold...

Strategy is now visible

This strategy is now visible to the public. New subscribers will be able to follow it.

If you designate your strategy as Private, it will no longer be visible to the public.

No subscribers and simulations will be allowed. If you have subscribers, the strategy will still be visible to them.
If you have simulations, they will be stopped.

Continue to designate your strategy as Private?

Strategy is no longer visible

This strategy is no longer visible to anyone except current subscribers.

(Current subscribers will remain subscribed. You can see who is subscribed, and control their subscriptions, on your Subscriber Management screen.)

Finally, please note that you can restore public visibility at any time.

This strategy is no longer visible to the public. No subscribers will be allowed.

You can restore public visibility at any time.

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.