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Aduna Cap REITS Plus
(129948064)

Created by: AlfonsoAduna AlfonsoAduna
Started: 07/2020
Stocks
Last trade: 10 days ago
Trading style: Equity Hedged Equity Sector Rotation

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

Subscription terms. Subscriptions to this system cost $30.00 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.
Sector Rotation
Category: Equity

Sector Rotation

Uses the proceeds from the sale of securities related to a particular investment sector for the purchase of securities in another sector. This strategy is used as a method for capturing returns from market cycles and diversifying holdings over a specified holding period.
67.5%
Annual Return (Compounded)

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 marked-to-market equity calculations.

All results are hypothetical.

(26.2%)
Max Drawdown
93
Num Trades
67.7%
Win Trades
7.5 : 1
Profit Factor
66.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020                                          (1.5%)+12.5%(9.6%)+1.2%+30.5%+15.0%+52.2%
2021(0.5%)+11.0%+7.3%+7.2%(5%)+0.1%+1.7%+6.2%(5.2%)                  +23.8%

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 29 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 138 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
8/5/20 15:42 DIS WALT DISNEY LONG 300 130.35 8/9/21 10:49 174.15 3.86%
Trade id #130476022
Max drawdown($3,937)
Time10/29/20 0:00
Quant open300
Worst price117.23
Drawdown as % of equity-3.86%
$13,132
Includes Typical Broker Commissions trade costs of $6.00
12/29/20 12:26 GOOD GLADSTONE COMMERCIAL LONG 200 17.69 3/18/21 13:26 20.22 0.03%
Trade id #133073505
Max drawdown($46)
Time2/1/21 0:00
Quant open200
Worst price17.46
Drawdown as % of equity-0.03%
$502
Includes Typical Broker Commissions trade costs of $4.00
12/9/20 14:48 MO ALTRIA LONG 50 42.67 3/18/21 13:26 50.41 0.09%
Trade id #132728121
Max drawdown($133)
Time1/4/21 0:00
Quant open50
Worst price40.00
Drawdown as % of equity-0.09%
$386
Includes Typical Broker Commissions trade costs of $1.00
12/14/20 13:38 HOFT HOOKER FURNISHINGS CORP LONG 75 33.03 3/18/21 13:25 38.84 0.16%
Trade id #132804552
Max drawdown($237)
Time1/28/21 0:00
Quant open75
Worst price29.86
Drawdown as % of equity-0.16%
$435
Includes Typical Broker Commissions trade costs of $1.50
12/9/20 14:47 HBI HANESBRANDS LONG 150 14.12 3/18/21 13:25 20.85 0.05%
Trade id #132728092
Max drawdown($68)
Time12/14/20 0:00
Quant open150
Worst price13.66
Drawdown as % of equity-0.05%
$1,007
Includes Typical Broker Commissions trade costs of $3.00
12/9/20 14:46 GILD GILEAD SCIENCES LONG 35 60.70 3/18/21 13:25 64.36 0.1%
Trade id #132728024
Max drawdown($145)
Time12/30/20 0:00
Quant open35
Worst price56.56
Drawdown as % of equity-0.10%
$127
Includes Typical Broker Commissions trade costs of $0.70
11/5/20 14:30 AAIC ARLINGTON ASSET INVESTMENT CORP LONG 350 2.79 3/18/21 13:25 4.09 0.05%
Trade id #132100635
Max drawdown($56)
Time11/6/20 0:00
Quant open350
Worst price2.63
Drawdown as % of equity-0.05%
$448
Includes Typical Broker Commissions trade costs of $7.00
11/5/20 14:29 SLRC SLR INVESTMENT CORP LONG 200 16.65 3/18/21 13:24 18.61 0.03%
Trade id #132100627
Max drawdown($35)
Time11/10/20 0:00
Quant open200
Worst price16.48
Drawdown as % of equity-0.03%
$388
Includes Typical Broker Commissions trade costs of $4.00
11/5/20 14:29 PMT PENNYMAC MORTGAGE LONG 200 16.14 3/18/21 13:24 19.72 0.09%
Trade id #132100629
Max drawdown($106)
Time11/6/20 0:00
Quant open200
Worst price15.61
Drawdown as % of equity-0.09%
$712
Includes Typical Broker Commissions trade costs of $4.00
11/5/20 14:29 GPMT GRANITE POINT MORTGAGE TRUST INC LONG 300 6.94 3/18/21 13:24 12.27 0.03%
Trade id #132100618
Max drawdown($33)
Time11/5/20 15:18
Quant open300
Worst price6.83
Drawdown as % of equity-0.03%
$1,593
Includes Typical Broker Commissions trade costs of $6.00
11/5/20 14:28 CIM CHIMERA INVESTMENT LONG 300 9.11 3/18/21 13:24 12.98 0.09%
Trade id #132100613
Max drawdown($102)
Time11/6/20 0:00
Quant open300
Worst price8.77
Drawdown as % of equity-0.09%
$1,155
Includes Typical Broker Commissions trade costs of $6.00
11/5/20 14:27 TWO TWO HARBORS INVESTMENT LONG 400 5.50 3/18/21 13:24 7.67 0.08%
Trade id #132100592
Max drawdown($88)
Time11/6/20 0:00
Quant open400
Worst price5.28
Drawdown as % of equity-0.08%
$860
Includes Typical Broker Commissions trade costs of $8.00
11/5/20 14:27 AGNCO AGNC INVESTMENT CORP. CUM CONV RED PFD R LONG 55 22.19 3/18/21 13:23 24.65 0.02%
Trade id #132100581
Max drawdown($17)
Time11/6/20 0:00
Quant open55
Worst price21.88
Drawdown as % of equity-0.02%
$134
Includes Typical Broker Commissions trade costs of $1.10
11/5/20 14:27 NLY-F ANNALY CAPITAL MANAGEMENT 6.95% SER F PFD LONG 50 22.40 3/18/21 13:23 25.02 0.01%
Trade id #132100570
Max drawdown($8)
Time11/6/20 0:00
Quant open50
Worst price22.24
Drawdown as % of equity-0.01%
$130
Includes Typical Broker Commissions trade costs of $1.00
11/5/20 14:30 NRZ NEW RESIDENTIAL INVESTMENT LONG 350 8.03 3/18/21 13:22 11.35 0.09%
Trade id #132100662
Max drawdown($101)
Time11/6/20 0:00
Quant open350
Worst price7.74
Drawdown as % of equity-0.09%
$1,155
Includes Typical Broker Commissions trade costs of $7.00
7/21/20 13:41 ACI ALBERTSONS COS INC LONG 1,700 14.89 3/18/21 13:22 16.33 3.27%
Trade id #130193130
Max drawdown($3,345)
Time9/18/20 0:00
Quant open1,500
Worst price12.91
Drawdown as % of equity-3.27%
$2,433
Includes Typical Broker Commissions trade costs of $22.00
11/4/20 15:50 ABR ARBOR REALTY TRUST LONG 250 12.77 3/17/21 15:00 16.72 0.03%
Trade id #132080583
Max drawdown($42)
Time11/12/20 0:00
Quant open250
Worst price12.60
Drawdown as % of equity-0.03%
$983
Includes Typical Broker Commissions trade costs of $5.00
11/5/20 14:26 NLY ANNALY CAPITAL LONG 300 7.39 3/17/21 15:00 8.80 0.06%
Trade id #132100560
Max drawdown($63)
Time11/6/20 0:00
Quant open300
Worst price7.18
Drawdown as % of equity-0.06%
$417
Includes Typical Broker Commissions trade costs of $6.00
11/5/20 14:28 NYMT NEW YORK MORTGAGE TRUST LONG 1,000 2.77 3/17/21 15:00 4.65 0.07%
Trade id #132100598
Max drawdown($80)
Time11/6/20 0:00
Quant open1,000
Worst price2.69
Drawdown as % of equity-0.07%
$1,875
Includes Typical Broker Commissions trade costs of $5.00
7/16/20 11:58 QQQ POWERSHARES QQQ LONG 108 258.16 1/8/21 15:51 292.09 0.58%
Trade id #130118370
Max drawdown($583)
Time7/24/20 0:00
Quant open100
Worst price251.32
Drawdown as % of equity-0.58%
$3,662
Includes Typical Broker Commissions trade costs of $2.16
7/16/20 11:58 SPY SPDR S&P 500 LONG 130 322.52 1/8/21 15:51 349.01 0.06%
Trade id #130118368
Max drawdown($59)
Time7/16/20 15:00
Quant open100
Worst price319.21
Drawdown as % of equity-0.06%
$3,441
Includes Typical Broker Commissions trade costs of $2.60
7/16/20 11:58 DIA SPDR DOW JONES INDUSTRIAL AVER LONG 138 268.85 1/8/21 15:51 284.40 0.78%
Trade id #130118366
Max drawdown($803)
Time10/30/20 0:00
Quant open108
Worst price261.41
Drawdown as % of equity-0.78%
$2,142
Includes Typical Broker Commissions trade costs of $2.76
8/5/20 15:43 PSQ PROSHARES SHORT QQQ LONG 100 17.28 11/4 13:14 15.85 0.17%
Trade id #130476066
Max drawdown($193)
Time9/2/20 0:00
Quant open100
Worst price15.35
Drawdown as % of equity-0.17%
($145)
Includes Typical Broker Commissions trade costs of $2.00
7/16/20 12:01 KHC2221A37.5 KHC Jan21'22 37.5 call LONG 10 3.20 11/4 13:14 1.47 2.21%
Trade id #130118459
Max drawdown($2,190)
Time9/23/20 0:00
Quant open10
Worst price1.01
Drawdown as % of equity-2.21%
($1,744)
Includes Typical Broker Commissions trade costs of $14.00
7/16/20 11:57 KHC THE KRAFT HEINZ COMPANY COMMON STOCK LONG 100 34.22 11/4 13:14 32.14 0.6%
Trade id #130118359
Max drawdown($565)
Time9/25/20 0:00
Quant open100
Worst price28.56
Drawdown as % of equity-0.60%
($210)
Includes Typical Broker Commissions trade costs of $2.00
9/3/20 13:14 TQQQ PROSHARES ULTRAPRO QQQ LONG 10 149.81 10/13 12:12 155.21 0.42%
Trade id #130984017
Max drawdown($417)
Time9/21/20 0:00
Quant open10
Worst price108.10
Drawdown as % of equity-0.42%
$54
Includes Typical Broker Commissions trade costs of $0.20
7/7/20 11:58 PSQ2016J18 PSQ Oct16'20 18 call LONG 5 1.15 9/21 10:51 0.45 0.43%
Trade id #129948226
Max drawdown($475)
Time8/26/20 0:00
Quant open5
Worst price0.20
Drawdown as % of equity-0.43%
($357)
Includes Typical Broker Commissions trade costs of $7.00
7/7/20 12:02 SH2020K22 SH Nov20'20 22 call LONG 2 1.40 9/21 10:51 0.65 0.19%
Trade id #129948362
Max drawdown($204)
Time9/15/20 0:00
Quant open2
Worst price0.38
Drawdown as % of equity-0.19%
($153)
Includes Typical Broker Commissions trade costs of $2.80
7/7/20 11:58 PSQ2021H18 PSQ Aug21'20 18 call LONG 5 0.80 8/22 9:35 0.00 0.36%
Trade id #129948243
Max drawdown($390)
Time8/18/20 0:00
Quant open5
Worst price0.02
Drawdown as % of equity-0.36%
($404)
Includes Typical Broker Commissions trade costs of $3.50
7/7/20 11:54 DIA2217R265 DIA Jun17'22 265 put SHORT 1 36.35 8/6 14:56 32.05 n/a $428
Includes Typical Broker Commissions trade costs of $2.00

Statistics

  • Strategy began
    7/7/2020
  • Suggested Minimum Cap
    $25,000
  • Strategy Age (days)
    445.57
  • Age
    15 months ago
  • What it trades
    Stocks
  • # Trades
    93
  • # Profitable
    63
  • % Profitable
    67.70%
  • Avg trade duration
    175.0 days
  • Max peak-to-valley drawdown
    26.24%
  • drawdown period
    Sept 07, 2021 - Sept 21, 2021
  • Annual Return (Compounded)
    67.5%
  • Avg win
    $1,417
  • Avg loss
    $447.67
  • Model Account Values (Raw)
  • Cash
    $4,316
  • Margin Used
    $0
  • Buying Power
    $49,338
  • Ratios
  • W:L ratio
    7.48:1
  • Sharpe Ratio
    1.75
  • Sortino Ratio
    2.77
  • Calmar Ratio
    4.585
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    46.84%
  • Correlation to SP500
    0.49670
  • Return Percent SP500 (cumu) during strategy life
    41.65%
  • Return Statistics
  • Ann Return (w trading costs)
    67.5%
  • Slump
  • Current Slump as Pcnt Equity
    9.20%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.04%
  • Instruments
  • Short Options - Percent Covered
    n/a
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.675%
  • Instruments
  • Percent Trades Options
    0.10%
  • Percent Trades Stocks
    0.90%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    68.8%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    50.00%
  • Chance of 20% account loss
    16.50%
  • Chance of 30% account loss
    2.50%
  • Chance of 40% account loss
    1.00%
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    684
  • Popularity (Last 6 weeks)
    904
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    876
  • Popularity (7 days, Percentile 1000 scale)
    681
  • 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
    $474
  • Avg Win
    $1,561
  • Sum Trade PL (losers)
    $14,230.000
  • Age
  • Num Months filled monthly returns table
    15
  • Win / Loss
  • Sum Trade PL (winners)
    $98,354.000
  • # Winners
    63
  • Num Months Winners
    10
  • Dividends
  • Dividends Received in Model Acct
    5575
  • Win / Loss
  • # Losers
    30
  • % Winners
    67.7%
  • Frequency
  • Avg Position Time (mins)
    251964.00
  • Avg Position Time (hrs)
    4199.40
  • Avg Trade Length
    175.0 days
  • Last Trade Ago
    10
  • Leverage
  • Daily leverage (average)
    1.54
  • Daily leverage (max)
    2.26
  • Regression
  • Alpha
    0.08
  • Beta
    0.90
  • Treynor Index
    0.17
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -3.19
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    0.591
  • 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
    0.245
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.421
  • Hold-and-Hope Ratio
    2.003
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.60325
  • SD
    0.25063
  • Sharpe ratio (Glass type estimate)
    2.40696
  • Sharpe ratio (Hedges UMVUE)
    2.26490
  • df
    13.00000
  • t
    2.59981
  • p
    0.15014
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.33786
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.40303
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.25229
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.27751
  • Statistics related to Sortino ratio
  • Sortino ratio
    11.71070
  • Upside Potential Ratio
    13.33660
  • Upside part of mean
    0.68701
  • Downside part of mean
    -0.08375
  • Upside SD
    0.29326
  • Downside SD
    0.05151
  • N nonnegative terms
    10.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    14.00000
  • Mean of predictor
    0.27701
  • Mean of criterion
    0.60325
  • SD of predictor
    0.06860
  • SD of criterion
    0.25063
  • Covariance
    0.00863
  • r
    0.50183
  • b (slope, estimate of beta)
    1.83332
  • a (intercept, estimate of alpha)
    0.09541
  • Mean Square Error
    0.05091
  • DF error
    12.00000
  • t(b)
    2.00977
  • p(b)
    0.24909
  • t(a)
    0.29102
  • p(a)
    0.45814
  • Lowerbound of 95% confidence interval for beta
    -0.15420
  • Upperbound of 95% confidence interval for beta
    3.82083
  • Lowerbound of 95% confidence interval for alpha
    -0.61893
  • Upperbound of 95% confidence interval for alpha
    0.80975
  • Treynor index (mean / b)
    0.32905
  • Jensen alpha (a)
    0.09541
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.56165
  • SD
    0.23325
  • Sharpe ratio (Glass type estimate)
    2.40787
  • Sharpe ratio (Hedges UMVUE)
    2.26576
  • df
    13.00000
  • t
    2.60080
  • p
    0.15006
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.33861
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.40410
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.25301
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.27852
  • Statistics related to Sortino ratio
  • Sortino ratio
    10.74100
  • Upside Potential Ratio
    12.36490
  • Upside part of mean
    0.64656
  • Downside part of mean
    -0.08491
  • Upside SD
    0.27217
  • Downside SD
    0.05229
  • N nonnegative terms
    10.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    14.00000
  • Mean of predictor
    0.27116
  • Mean of criterion
    0.56165
  • SD of predictor
    0.06664
  • SD of criterion
    0.23325
  • Covariance
    0.00777
  • r
    0.50010
  • b (slope, estimate of beta)
    1.75043
  • a (intercept, estimate of alpha)
    0.08699
  • Mean Square Error
    0.04420
  • DF error
    12.00000
  • t(b)
    2.00053
  • p(b)
    0.24995
  • t(a)
    0.28347
  • p(a)
    0.45922
  • Lowerbound of 95% confidence interval for beta
    -0.15599
  • Upperbound of 95% confidence interval for beta
    3.65686
  • Lowerbound of 95% confidence interval for alpha
    -0.58166
  • Upperbound of 95% confidence interval for alpha
    0.75564
  • Treynor index (mean / b)
    0.32086
  • Jensen alpha (a)
    0.08699
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06195
  • Expected Shortfall on VaR
    0.08769
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01084
  • Expected Shortfall on VaR
    0.02388
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    14.00000
  • Minimum
    0.96167
  • Quartile 1
    1.00043
  • Median
    1.05074
  • Quartile 3
    1.08312
  • Maximum
    1.20980
  • Mean of quarter 1
    0.97790
  • Mean of quarter 2
    1.02318
  • Mean of quarter 3
    1.06483
  • Mean of quarter 4
    1.14019
  • Inter Quartile Range
    0.08270
  • 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
    0.07143
  • Mean of outliers high
    1.20980
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -91.94610
  • VaR(95%) (moments method)
    0.00549
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -1.22355
  • VaR(95%) (regression method)
    0.03299
  • Expected Shortfall (regression method)
    0.03557
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.00135
  • Quartile 1
    0.01984
  • Median
    0.03833
  • Quartile 3
    0.04323
  • Maximum
    0.04814
  • Mean of quarter 1
    0.00135
  • Mean of quarter 2
    0.03833
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.04814
  • Inter Quartile Range
    0.02339
  • 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)
    0.84802
  • Compounded annual return (geometric extrapolation)
    0.80318
  • Calmar ratio (compounded annual return / max draw down)
    16.68580
  • Compounded annual return / average of 25% largest draw downs
    16.68580
  • Compounded annual return / Expected Shortfall lognormal
    9.15900
  • 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
    0.55328
  • SD
    0.26510
  • Sharpe ratio (Glass type estimate)
    2.08709
  • Sharpe ratio (Hedges UMVUE)
    2.08212
  • df
    315.00000
  • t
    2.29211
  • p
    0.01128
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.29340
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.87757
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.29007
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.87417
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.39866
  • Upside Potential Ratio
    11.26840
  • Upside part of mean
    1.83442
  • Downside part of mean
    -1.28114
  • Upside SD
    0.21147
  • Downside SD
    0.16279
  • N nonnegative terms
    180.00000
  • N negative terms
    136.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    316.00000
  • Mean of predictor
    0.27137
  • Mean of criterion
    0.55328
  • SD of predictor
    0.14429
  • SD of criterion
    0.26510
  • Covariance
    0.01824
  • r
    0.47686
  • b (slope, estimate of beta)
    0.87613
  • a (intercept, estimate of alpha)
    0.31600
  • Mean Square Error
    0.05447
  • DF error
    314.00000
  • t(b)
    9.61351
  • p(b)
    0.00000
  • t(a)
    1.47479
  • p(a)
    0.07064
  • Lowerbound of 95% confidence interval for beta
    0.69682
  • Upperbound of 95% confidence interval for beta
    1.05545
  • Lowerbound of 95% confidence interval for alpha
    -0.10542
  • Upperbound of 95% confidence interval for alpha
    0.73646
  • Treynor index (mean / b)
    0.63150
  • Jensen alpha (a)
    0.31552
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.51791
  • SD
    0.26372
  • Sharpe ratio (Glass type estimate)
    1.96388
  • Sharpe ratio (Hedges UMVUE)
    1.95920
  • df
    315.00000
  • t
    2.15679
  • p
    0.01589
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.17114
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.75361
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.16800
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.75040
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.13406
  • Upside Potential Ratio
    10.96770
  • Upside part of mean
    1.81243
  • Downside part of mean
    -1.29452
  • Upside SD
    0.20747
  • Downside SD
    0.16525
  • N nonnegative terms
    180.00000
  • N negative terms
    136.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    316.00000
  • Mean of predictor
    0.26081
  • Mean of criterion
    0.51791
  • SD of predictor
    0.14455
  • SD of criterion
    0.26372
  • Covariance
    0.01820
  • r
    0.47753
  • b (slope, estimate of beta)
    0.87117
  • a (intercept, estimate of alpha)
    0.29070
  • Mean Square Error
    0.05386
  • DF error
    314.00000
  • t(b)
    9.63083
  • p(b)
    0.00000
  • t(a)
    1.36717
  • p(a)
    0.08628
  • Lowerbound of 95% confidence interval for beta
    0.69319
  • Upperbound of 95% confidence interval for beta
    1.04915
  • Lowerbound of 95% confidence interval for alpha
    -0.12766
  • Upperbound of 95% confidence interval for alpha
    0.70906
  • Treynor index (mean / b)
    0.59450
  • Jensen alpha (a)
    0.29070
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02452
  • Expected Shortfall on VaR
    0.03112
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01023
  • Expected Shortfall on VaR
    0.02051
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    316.00000
  • Minimum
    0.94019
  • Quartile 1
    0.99337
  • Median
    1.00233
  • Quartile 3
    1.01058
  • Maximum
    1.08396
  • Mean of quarter 1
    0.98311
  • Mean of quarter 2
    0.99791
  • Mean of quarter 3
    1.00620
  • Mean of quarter 4
    1.02166
  • Inter Quartile Range
    0.01720
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.01582
  • Mean of outliers low
    0.95558
  • Number of outliers high
    11.00000
  • Percentage of outliers high
    0.03481
  • Mean of outliers high
    1.04886
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.22752
  • VaR(95%) (moments method)
    0.01676
  • Expected Shortfall (moments method)
    0.02650
  • Extreme Value Index (regression method)
    -0.15343
  • VaR(95%) (regression method)
    0.01575
  • Expected Shortfall (regression method)
    0.02007
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    27.00000
  • Minimum
    0.00136
  • Quartile 1
    0.00729
  • Median
    0.01539
  • Quartile 3
    0.04111
  • Maximum
    0.15834
  • Mean of quarter 1
    0.00419
  • Mean of quarter 2
    0.01345
  • Mean of quarter 3
    0.02339
  • Mean of quarter 4
    0.09138
  • Inter Quartile Range
    0.03381
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.11111
  • Mean of outliers high
    0.13183
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.03413
  • VaR(95%) (moments method)
    0.09524
  • Expected Shortfall (moments method)
    0.12351
  • Extreme Value Index (regression method)
    0.65809
  • VaR(95%) (regression method)
    0.09776
  • Expected Shortfall (regression method)
    0.23703
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.77234
  • Compounded annual return (geometric extrapolation)
    0.72601
  • Calmar ratio (compounded annual return / max draw down)
    4.58521
  • Compounded annual return / average of 25% largest draw downs
    7.94527
  • Compounded annual return / Expected Shortfall lognormal
    23.33160
  • 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
    0.20821
  • SD
    0.21532
  • Sharpe ratio (Glass type estimate)
    0.96696
  • Sharpe ratio (Hedges UMVUE)
    0.96138
  • df
    130.00000
  • t
    0.68375
  • p
    0.47007
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.80915
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.73945
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.81289
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.73564
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.36534
  • Upside Potential Ratio
    8.93482
  • Upside part of mean
    1.36250
  • Downside part of mean
    -1.15430
  • Upside SD
    0.15139
  • Downside SD
    0.15249
  • N nonnegative terms
    72.00000
  • N negative terms
    59.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.23954
  • Mean of criterion
    0.20821
  • SD of predictor
    0.10886
  • SD of criterion
    0.21532
  • Covariance
    0.00881
  • r
    0.37590
  • b (slope, estimate of beta)
    0.74352
  • a (intercept, estimate of alpha)
    0.03010
  • Mean Square Error
    0.04012
  • DF error
    129.00000
  • t(b)
    4.60737
  • p(b)
    0.26645
  • t(a)
    0.10528
  • p(a)
    0.49410
  • Lowerbound of 95% confidence interval for beta
    0.42423
  • Upperbound of 95% confidence interval for beta
    1.06281
  • Lowerbound of 95% confidence interval for alpha
    -0.53554
  • Upperbound of 95% confidence interval for alpha
    0.59574
  • Treynor index (mean / b)
    0.28003
  • Jensen alpha (a)
    0.03010
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.18505
  • SD
    0.21575
  • Sharpe ratio (Glass type estimate)
    0.85773
  • Sharpe ratio (Hedges UMVUE)
    0.85277
  • df
    130.00000
  • t
    0.60651
  • p
    0.47344
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.91761
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.62993
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.92097
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.62652
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.19301
  • Upside Potential Ratio
    8.71048
  • Upside part of mean
    1.35112
  • Downside part of mean
    -1.16607
  • Upside SD
    0.14920
  • Downside SD
    0.15511
  • N nonnegative terms
    72.00000
  • N negative terms
    59.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.23353
  • Mean of criterion
    0.18505
  • SD of predictor
    0.10884
  • SD of criterion
    0.21575
  • Covariance
    0.00880
  • r
    0.37484
  • b (slope, estimate of beta)
    0.74299
  • a (intercept, estimate of alpha)
    0.01154
  • Mean Square Error
    0.04032
  • DF error
    129.00000
  • t(b)
    4.59213
  • p(b)
    0.26708
  • t(a)
    0.04028
  • p(a)
    0.49774
  • VAR (95 Confidence Intrvl)
    0.02500
  • Lowerbound of 95% confidence interval for beta
    0.42287
  • Upperbound of 95% confidence interval for beta
    1.06311
  • Lowerbound of 95% confidence interval for alpha
    -0.55524
  • Upperbound of 95% confidence interval for alpha
    0.57831
  • Treynor index (mean / b)
    0.24906
  • Jensen alpha (a)
    0.01154
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02099
  • Expected Shortfall on VaR
    0.02642
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00945
  • Expected Shortfall on VaR
    0.01917
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.94019
  • Quartile 1
    0.99438
  • Median
    1.00204
  • Quartile 3
    1.00893
  • Maximum
    1.06045
  • Mean of quarter 1
    0.98498
  • Mean of quarter 2
    0.99797
  • Mean of quarter 3
    1.00531
  • Mean of quarter 4
    1.01547
  • Inter Quartile Range
    0.01454
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.02290
  • Mean of outliers low
    0.95688
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.00763
  • Mean of outliers high
    1.06045
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.11788
  • VaR(95%) (moments method)
    0.01383
  • Expected Shortfall (moments method)
    0.02026
  • Extreme Value Index (regression method)
    0.29986
  • VaR(95%) (regression method)
    0.01470
  • Expected Shortfall (regression method)
    0.02486
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00275
  • Quartile 1
    0.00985
  • Median
    0.01527
  • Quartile 3
    0.06377
  • Maximum
    0.13222
  • Mean of quarter 1
    0.00371
  • Mean of quarter 2
    0.01515
  • Mean of quarter 3
    0.02262
  • Mean of quarter 4
    0.11857
  • Inter Quartile Range
    0.05392
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    0.25%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -314168000
  • Max Equity Drawdown (num days)
    14
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.22471
  • Compounded annual return (geometric extrapolation)
    0.23733
  • Calmar ratio (compounded annual return / max draw down)
    1.79497
  • Compounded annual return / average of 25% largest draw downs
    2.00161
  • Compounded annual return / Expected Shortfall lognormal
    8.98322

Strategy Description

This strategy looks for REITS that have long term growth opportunities but also for stocks that can help boost the total portfolio. This strategy will focus on maintaining at least 50% in REITs and the other in stocks.

Summary Statistics

Strategy began
2020-07-07
Suggested Minimum Capital
$25,000
Rank at C2 
#97
# Trades
93
# Profitable
63
% Profitable
67.7%
Net Dividends
Correlation S&P500
0.497
Sharpe Ratio
1.75
Sortino Ratio
2.77
Beta
0.90
Alpha
0.08
Leverage
1.54 Average
2.26 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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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.