This system has earned TradesOwnStrategy (TOS) Certification.
This means that the manager of this system trades his own strategy
in a reallife, funded brokerage account.
TradesOwnStrategy (TOS) Certification Details
Certification process started
06/28/2021
Most recent certification approved
6/28/21 9:34 ET
Trades at broker
Interactive Brokers (Stocks, Options, Futures)
Scaling percentage used
100%
# trading signals issued by system since certification
55
# trading signals executed in manager's Interactive Brokers (Stocks, Options, Futures) account
55
Percent signals followed since 06/28/2021
100%
This information was last updated
9/26/21 2:44 ET
Warning: System trading results are still hypothetical.
Even though the system developer is currently trading his own system in a reallife brokerage account,
the trading results presented on this Web site must still be regarded as purely hypothetical results.
This is because (among other reasons) the system developer may not have traded all signals,
particularly those that occurred before 06/28/2021,
and the system developer's results may not match the system results presented here. In addition,
not all subscribers have received the same trades or prices as the system manager has. For these reasons, and others, it is extremely important you remember the following:
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
underor overcompensated 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.
You may be interested to learn more technical details about
how Collective2 calculates the hypothetical results you see on this web site.
GardCap Discretionary
(126454200)
This system has earned TradesOwnStrategy (TOS) Certification. This means that the manager of this system trades his own strategy in a reallife, funded brokerage account.
TradesOwnStrategy (TOS) Certification Details  

Certification process started  06/28/2021 
Most recent certification approved  6/28/21 9:34 ET 
Trades at broker  Interactive Brokers (Stocks, Options, Futures) 
Scaling percentage used  100% 
# trading signals issued by system since certification  55 
# trading signals executed in manager's Interactive Brokers (Stocks, Options, Futures) account  55 
Percent signals followed since 06/28/2021  100% 
This information was last updated  9/26/21 2:44 ET 
Warning: System trading results are still hypothetical.
Even though the system developer is currently trading his own system in a reallife brokerage account, the trading results presented on this Web site must still be regarded as purely hypothetical results. This is because (among other reasons) the system developer may not have traded all signals, particularly those that occurred before 06/28/2021, and the system developer's results may not match the system results presented here. In addition, not all subscribers have received the same trades or prices as the system manager has. For these reasons, and others, it is extremely important you remember the following:
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 underor overcompensated 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.
You may be interested to learn more technical details about how Collective2 calculates the hypothetical results you see on this web site.
Subscription terms. You can subscribe to this system for free.
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.
Nonhedged Equity
Predominantly long equities, although some hedging with short sales of stocks and/or stock index options. Commonly known as "stockpickers."Shortterm Reversal
Exploits the tendency of stocks with strong gains and stocks with strong losses to reverse in a shortterm time frame (up to one month).Rate of Return Calculations
Overview
To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.
How Annualized (Compounded) Rate of Return is calculated
= ((Ending_equity / Starting_equity) ^ (1 / age_in_years))  1
Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in markedtomarket equity calculations.
All results are hypothetical.
Jan  Feb  Mar  Apr  May  Jun  Jul  Aug  Sep  Oct  Nov  Dec  YTD  

2019  +1.2%  +1.2%  
2020  +0.8%  +0.9%  (0.9%)  +0.3%    (0.5%)  +5.5%  +0.1%    (0.7%)  +4.0%  +4.0%  +14.0% 
2021  +2.2%  +3.2%  +0.9%  +1.1%  +1.8%  +1.2%  +0.4%  +0.1%  (1.4%)  +9.9% 
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.
Started  $250,000  
Buy Power  $269,547  
Cash  $272,136  
Equity  ($2,588)  
Cumulative $  $68,634  
Includes dividends and cashsettled expirations:  $1,042  Itemized 
Total System Equity  $318,634  
Margined  $0  
Open P/L  ($2,588) 
Trading Record
Statistics

Strategy began12/3/2019

Suggested Minimum Cap$35,000

Strategy Age (days)662.75

Age22 months ago

What it tradesStocks

# Trades127

# Profitable74

% Profitable58.30%

Avg trade duration11.3 days

Max peaktovalley drawdown3.53%

drawdown periodNov 24, 2020  Dec 01, 2020

Annual Return (Compounded)13.9%

Avg win$1,396

Avg loss$674.08
 Model Account Values (Raw)

Cash$272,136

Margin Used$0

Buying Power$269,547
 Ratios

W:L ratio3.00:1

Sharpe Ratio1.82

Sortino Ratio3.46

Calmar Ratio5.95
 CORRELATION STATISTICS

Return of Strat Pcnt  Return of SP500 Pcnt (cumu)17.26%

Correlation to SP5000.06170

Return Percent SP500 (cumu) during strategy life44.04%
 Return Statistics

Ann Return (w trading costs)13.9%
 Slump

Current Slump as Pcnt Equity2.50%
 Instruments

Percent Trades Futuresn/a
 Slump

Current Slump, time of slump as pcnt of strategy life0.02%
 Instruments

Short Options  Percent Covered100.00%
 Return Statistics

Return Pcnt (Compound or Annual, agebased, NFA compliant)0.139%
 Instruments

Percent Trades Optionsn/a

Percent Trades Stocks1.00%

Percent Trades Forexn/a
 Return Statistics

Ann Return (Compnd, No Fees)14.3%
 Risk of Ruin (MonteCarlo)

Chance of 10% account loss0.50%

Chance of 20% account lossn/a

Chance of 30% account lossn/a

Chance of 40% account lossn/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 Automatedn/a
 Risk of Ruin (MonteCarlo)

Chance of 50% account lossn/a
 Popularity

Popularity (Today)865

Popularity (Last 6 weeks)987
 Trading Style

Any stock shorts? 0/11
 Popularity

C2 Score941

Popularity (7 days, Percentile 1000 scale)964
 Management

No Subs Allowed Flag (1: no subs)0

Strat abandoned?0
 TradesOwnSystem Certification

Trades Own System?Yes

TOS percent100%
 Win / Loss

Avg Loss$674

Avg Win$1,396

Sum Trade PL (losers)$35,726.000
 AUM

AUM (AutoTrader num accounts)19
 Age

Num Months filled monthly returns table22
 Win / Loss

Sum Trade PL (winners)$103,318.000

# Winners74

Num Months Winners17
 Dividends

Dividends Received in Model Acct1042
 AUM

AUM (AutoTrader live capital)5268190
 Win / Loss

# Losers53

% Winners58.3%
 Frequency

Avg Position Time (mins)16201.10

Avg Position Time (hrs)270.02

Avg Trade Length11.3 days

Last Trade Ago2
 Leverage

Daily leverage (average)0.35

Daily leverage (max)1.06
 Regression

Alpha0.03

Beta0.01

Treynor Index2.60
 Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.00

MAE:PL  worst single value for strategy

MAE:PL (avg, winning trades)

MAE:PL (avg, losing trades)

MAE:PL (avg, all trades)1.24

MAE:Equity, average, winning trades0.00

MAE:Equity, average, losing trades0.00

Avg(MAE) / Avg(PL)  All trades1.365

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 strat0.01

Avg(MAE) / Avg(PL)  Winning trades0.340

Avg(MAE) / Avg(PL)  Losing trades1.213

HoldandHope Ratio0.747
 Analysis based on MONTHLY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.12421

SD0.06159

Sharpe ratio (Glass type estimate)2.01686

Sharpe ratio (Hedges UMVUE)1.94010

df20.00000

t2.66805

p0.24383

Lowerbound of 95% confidence interval for Sharpe Ratio0.38902

Upperbound of 95% confidence interval for Sharpe Ratio3.60198

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.34117

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.53904
 Statistics related to Sortino ratio

Sortino ratio12.37650

Upside Potential Ratio13.84680

Upside part of mean0.13897

Downside part of mean0.01476

Upside SD0.06926

Downside SD0.01004

N nonnegative terms14.00000

N negative terms7.00000
 Statistics related to linear regression on benchmark

N of observations21.00000

Mean of predictor0.20070

Mean of criterion0.12421

SD of predictor0.18126

SD of criterion0.06159

Covariance0.00242

r0.21690

b (slope, estimate of beta)0.07370

a (intercept, estimate of alpha)0.10942

Mean Square Error0.00380

DF error19.00000

t(b)0.96852

p(b)0.36301

t(a)2.23013

p(a)0.22040

Lowerbound of 95% confidence interval for beta0.08557

Upperbound of 95% confidence interval for beta0.23296

Lowerbound of 95% confidence interval for alpha0.00673

Upperbound of 95% confidence interval for alpha0.21212

Treynor index (mean / b)1.68543

Jensen alpha (a)0.10942
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.12155

SD0.06021

Sharpe ratio (Glass type estimate)2.01881

Sharpe ratio (Hedges UMVUE)1.94199

df20.00000

t2.67064

p0.24365

Lowerbound of 95% confidence interval for Sharpe Ratio0.39074

Upperbound of 95% confidence interval for Sharpe Ratio3.60413

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.34283

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.54114
 Statistics related to Sortino ratio

Sortino ratio12.08060

Upside Potential Ratio13.54870

Upside part of mean0.13632

Downside part of mean0.01477

Upside SD0.06769

Downside SD0.01006

N nonnegative terms14.00000

N negative terms7.00000
 Statistics related to linear regression on benchmark

N of observations21.00000

Mean of predictor0.18296

Mean of criterion0.12155

SD of predictor0.18281

SD of criterion0.06021

Covariance0.00248

r0.22495

b (slope, estimate of beta)0.07409

a (intercept, estimate of alpha)0.10799

Mean Square Error0.00362

DF error19.00000

t(b)1.00631

p(b)0.35801

t(a)2.27591

p(a)0.21624

Lowerbound of 95% confidence interval for beta0.08001

Upperbound of 95% confidence interval for beta0.22818

Lowerbound of 95% confidence interval for alpha0.00868

Upperbound of 95% confidence interval for alpha0.20731

Treynor index (mean / b)1.64063

Jensen alpha (a)0.10799
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.01829

Expected Shortfall on VaR0.02537
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00211

Expected Shortfall on VaR0.00468
 ORDER STATISTICS
 Quartiles of return rates

Number of observations21.00000

Minimum0.99068

Quartile 11.00078

Median1.00592

Quartile 31.01429

Maximum1.05223

Mean of quarter 10.99813

Mean of quarter 21.00429

Mean of quarter 31.01022

Mean of quarter 41.04099

Inter Quartile Range0.01351

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high3.00000

Percentage of outliers high0.14286

Mean of outliers high1.04920
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.60496

VaR(95%) (moments method)0.00200

Expected Shortfall (moments method)0.00701

Extreme Value Index (regression method)2.50742

VaR(95%) (regression method)0.00317

Expected Shortfall (regression method)0.00000
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations3.00000

Minimum0.00011

Quartile 10.00087

Median0.00163

Quartile 30.00547

Maximum0.00932

Mean of quarter 10.00011

Mean of quarter 20.00163

Mean of quarter 30.00000

Mean of quarter 40.00932

Inter Quartile Range0.00460

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high0.00000

Percentage of outliers high0.00000

Mean of outliers high0.00000
 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)0.17082

Compounded annual return (geometric extrapolation)0.16120

Calmar ratio (compounded annual return / max draw down)17.29360

Compounded annual return / average of 25% largest draw downs17.29360

Compounded annual return / Expected Shortfall lognormal6.35308

0.00000

0.00000
 Analysis based on DAILY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.11101

SD0.05307

Sharpe ratio (Glass type estimate)2.09170

Sharpe ratio (Hedges UMVUE)2.08831

df463.00000

t2.78361

p0.00280

Lowerbound of 95% confidence interval for Sharpe Ratio0.61167

Upperbound of 95% confidence interval for Sharpe Ratio3.56954

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.60940

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.56723
 Statistics related to Sortino ratio

Sortino ratio4.07566

Upside Potential Ratio10.80720

Upside part of mean0.29437

Downside part of mean0.18335

Upside SD0.04600

Downside SD0.02724

N nonnegative terms175.00000

N negative terms289.00000
 Statistics related to linear regression on benchmark

N of observations464.00000

Mean of predictor0.21528

Mean of criterion0.11101

SD of predictor0.27130

SD of criterion0.05307

Covariance0.00077

r0.05332

b (slope, estimate of beta)0.01043

a (intercept, estimate of alpha)0.10900

Mean Square Error0.00281

DF error462.00000

t(b)1.14761

p(b)0.12586

t(a)2.72496

p(a)0.00334

Lowerbound of 95% confidence interval for beta0.00743

Upperbound of 95% confidence interval for beta0.02829

Lowerbound of 95% confidence interval for alpha0.03033

Upperbound of 95% confidence interval for alpha0.18721

Treynor index (mean / b)10.64380

Jensen alpha (a)0.10877
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.10958

SD0.05287

Sharpe ratio (Glass type estimate)2.07269

Sharpe ratio (Hedges UMVUE)2.06933

df463.00000

t2.75831

p0.00302

Lowerbound of 95% confidence interval for Sharpe Ratio0.59277

Upperbound of 95% confidence interval for Sharpe Ratio3.55042

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.59053

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.54814
 Statistics related to Sortino ratio

Sortino ratio4.01082

Upside Potential Ratio10.73480

Upside part of mean0.29329

Downside part of mean0.18371

Upside SD0.04570

Downside SD0.02732

N nonnegative terms175.00000

N negative terms289.00000
 Statistics related to linear regression on benchmark

N of observations464.00000

Mean of predictor0.17815

Mean of criterion0.10958

SD of predictor0.27316

SD of criterion0.05287

Covariance0.00079

r0.05458

b (slope, estimate of beta)0.01056

a (intercept, estimate of alpha)0.10770

Mean Square Error0.00279

DF error462.00000

t(b)1.17493

p(b)0.12031

t(a)2.70985

p(a)0.00349

Lowerbound of 95% confidence interval for beta0.00710

Upperbound of 95% confidence interval for beta0.02823

Lowerbound of 95% confidence interval for alpha0.02960

Upperbound of 95% confidence interval for alpha0.18580

Treynor index (mean / b)10.37320

Jensen alpha (a)0.10770
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.00494

Expected Shortfall on VaR0.00630
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00183

Expected Shortfall on VaR0.00373
 ORDER STATISTICS
 Quartiles of return rates

Number of observations464.00000

Minimum0.98749

Quartile 10.99960

Median1.00000

Quartile 31.00120

Maximum1.02684

Mean of quarter 10.99752

Mean of quarter 20.99995

Mean of quarter 31.00029

Mean of quarter 41.00436

Inter Quartile Range0.00159

Number outliers low37.00000

Percentage of outliers low0.07974

Mean of outliers low0.99506

Number of outliers high52.00000

Percentage of outliers high0.11207

Mean of outliers high1.00692
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.20108

VaR(95%) (moments method)0.00240

Expected Shortfall (moments method)0.00392

Extreme Value Index (regression method)0.00111

VaR(95%) (regression method)0.00247

Expected Shortfall (regression method)0.00359
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations33.00000

Minimum0.00001

Quartile 10.00212

Median0.00367

Quartile 30.00936

Maximum0.02477

Mean of quarter 10.00099

Mean of quarter 20.00279

Mean of quarter 30.00694

Mean of quarter 40.01726

Inter Quartile Range0.00724

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high3.00000

Percentage of outliers high0.09091

Mean of outliers high0.02268
 Risk estimates based on draw downs (based on Extreme Value T

Extreme Value Index (moments method)0.50831

VaR(95%) (moments method)0.01801

Expected Shortfall (moments method)0.02038

Extreme Value Index (regression method)0.79442

VaR(95%) (regression method)0.01681

Expected Shortfall (regression method)0.01801
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.15567

Compounded annual return (geometric extrapolation)0.14739

Calmar ratio (compounded annual return / max draw down)5.95046

Compounded annual return / average of 25% largest draw downs8.53996

Compounded annual return / Expected Shortfall lognormal23.40070

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

Mean0.03637

SD0.03927

Sharpe ratio (Glass type estimate)0.92608

Sharpe ratio (Hedges UMVUE)0.92073

df130.00000

t0.65484

p0.47133

Lowerbound of 95% confidence interval for Sharpe Ratio1.84970

Upperbound of 95% confidence interval for Sharpe Ratio3.69848

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.85334

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.69479
 Statistics related to Sortino ratio

Sortino ratio1.38229

Upside Potential Ratio9.41797

Upside part of mean0.24777

Downside part of mean0.21140

Upside SD0.02904

Downside SD0.02631

N nonnegative terms67.00000

N negative terms64.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.23954

Mean of criterion0.03637

SD of predictor0.10886

SD of criterion0.03927

Covariance0.00004

r0.00863

b (slope, estimate of beta)0.00311

a (intercept, estimate of alpha)0.03562

Mean Square Error0.00155

DF error129.00000

t(b)0.09806

p(b)0.49450

t(a)0.63309

p(a)0.46459

Lowerbound of 95% confidence interval for beta0.05972

Upperbound of 95% confidence interval for beta0.06595

Lowerbound of 95% confidence interval for alpha0.07570

Upperbound of 95% confidence interval for alpha0.14694

Treynor index (mean / b)11.67710

Jensen alpha (a)0.03562
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.03559

SD0.03925

Sharpe ratio (Glass type estimate)0.90681

Sharpe ratio (Hedges UMVUE)0.90157

df130.00000

t0.64121

p0.47192

Lowerbound of 95% confidence interval for Sharpe Ratio1.86888

Upperbound of 95% confidence interval for Sharpe Ratio3.67912

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.87240

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.67554
 Statistics related to Sortino ratio

Sortino ratio1.35016

Upside Potential Ratio9.38136

Upside part of mean0.24732

Downside part of mean0.21173

Upside SD0.02896

Downside SD0.02636

N nonnegative terms67.00000

N negative terms64.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.23353

Mean of criterion0.03559

SD of predictor0.10884

SD of criterion0.03925

Covariance0.00004

r0.00949

b (slope, estimate of beta)0.00342

a (intercept, estimate of alpha)0.03480

Mean Square Error0.00155

DF error129.00000

t(b)0.10777

p(b)0.49396

t(a)0.61898

p(a)0.46537

VAR (95 Confidence Intrvl)0.00500

Lowerbound of 95% confidence interval for beta0.05940

Upperbound of 95% confidence interval for beta0.06624

Lowerbound of 95% confidence interval for alpha0.07643

Upperbound of 95% confidence interval for alpha0.14602

Treynor index (mean / b)10.40240

Jensen alpha (a)0.03480
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.00385

Expected Shortfall on VaR0.00485
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00183

Expected Shortfall on VaR0.00357
 ORDER STATISTICS
 Quartiles of return rates

Number of observations131.00000

Minimum0.99205

Quartile 10.99914

Median1.00016

Quartile 31.00158

Maximum1.00868

Mean of quarter 10.99724

Mean of quarter 20.99977

Mean of quarter 31.00081

Mean of quarter 41.00317

Inter Quartile Range0.00244

Number outliers low4.00000

Percentage of outliers low0.03053

Mean of outliers low0.99451

Number of outliers high4.00000

Percentage of outliers high0.03053

Mean of outliers high1.00695
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.87686

VaR(95%) (moments method)0.00235

Expected Shortfall (moments method)0.00258

Extreme Value Index (regression method)0.49295

VaR(95%) (regression method)0.00279

Expected Shortfall (regression method)0.00331
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations14.00000

Minimum0.00021

Quartile 10.00244

Median0.00354

Quartile 30.00637

Maximum0.02157

Mean of quarter 10.00111

Mean of quarter 20.00290

Mean of quarter 30.00501

Mean of quarter 40.01352

Inter Quartile Range0.00392

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high2.00000

Percentage of outliers high0.14286

Mean of outliers high0.01954
 Risk estimates based on draw downs (based on Extreme Value T

Extreme Value Index (moments method)0.72553

VaR(95%) (moments method)0.01479

Expected Shortfall (moments method)0.01663

Extreme Value Index (regression method)0.50745

VaR(95%) (regression method)0.01916

Last 4 Months  Pcnt Negative0.25%

Expected Shortfall (regression method)0.02233

Strat Max DD how much worse than SP500 max DD during strat life?290702000

Max Equity Drawdown (num days)7
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.06452

Compounded annual return (geometric extrapolation)0.06556

Calmar ratio (compounded annual return / max draw down)3.03943

Compounded annual return / average of 25% largest draw downs4.84804

Compounded annual return / Expected Shortfall lognormal13.50660
Strategy Description
Low correlation: Low to no correlation with global equities. This strategy is meant to compliment a passive long equities or balanced portfolio. That is how I treat it in my own portfolio. Most of my money is managed via systematic long only strategies that hold lowcost ETFs (see GardCap Core Portfolio). I trade this strategy with margin.
Low drawdowns: I am retired and rely on my investment portfolio to support myself so large drawdowns are undesirable and damaging as they reduce the sustainable withdrawal rate of my portfolio.
Accessibility: This strategy will only trade equities, long and short. As such, it should be accessible for most people with regular margin accounts. As well, size is not an issue. Both large and small accounts can follow this strategy. However, I would not recommend following this strategy with more than 10% of your portfolio. Generally, I think relying on any individual discretionary trader or alternative strategy for a greater percentage than that is too risky.
Leverage: Low leverage is the norm. It will rarely be more than 100% net long equities.
Style: Most trades are discretionary and relatively short term (less than a month). Most trades are made using ETFs, although I occasionally invest in individual stocks where no liquid ETF is available, or the opportunity is unique. Generally, I do not like to take single stock risk.
I tend to change my mind frequently. If something is not working, I usually get out quickly. As well, there may be periods where I trade infrequently or not at all if I do not see any interesting opportunities.
Feel free to follow my blog (www.gardcapital.com) or me on Twitter (@gardcapital). I occassionally share my thoughts on markets or specific trades that I find interesting,
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 underor overcompensated 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 rescaled downward to make current goforward 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 pertrade 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
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