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

Trades-Own-Strategy Certification

This system has earned Trades-Own-Strategy (TOS) Certification. This means that the manager of this system trades his own strategy in a real-life, funded brokerage account.

Trades-Own-Strategy (TOS) Certification Details
Certification process started 09/06/2021
Most recent certification approved 9/15/21 9:35 ET
Trades at broker Interactive Brokers (Stocks, Options, Futures)
Scaling percentage used 100%
# trading signals issued by system since certification 6
# trading signals executed in manager's Interactive Brokers (Stocks, Options, Futures) account 5
Percent signals followed since 09/06/2021 83.3%
This information was last updated 9/24/21 9:30 ET

Warning: System trading results are still hypothetical.

Even though the system developer is currently trading his own system in a real-life 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 09/06/2021, 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 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.

You may be interested to learn more technical details about how Collective2 calculates the hypothetical results you see on this web site.

Stocks for Div yield
(130018805)

Created by: Warrior Warrior
Started: 07/2020
Stocks
Last trade: 9 days ago
Trading style: Equity Non-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 $99.00 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
Non-hedged Equity
Category: Equity

Non-hedged Equity

Predominantly long equities, although some hedging with short sales of stocks and/or stock index options. Commonly known as "stock-pickers."
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.
14.4%
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.

(14.5%)
Max Drawdown
85
Num Trades
63.5%
Win Trades
3.9 : 1
Profit Factor
73.3%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020                                          (0.1%)+0.4%(1.1%)(0.6%)+2.4%+1.4%+2.5%
2021+0.9%+3.3%+5.4%+2.1%+1.2%+0.3%(0.1%)+0.9%+0.2%                  +14.9%

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.

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

Trading Record

This strategy has placed 5 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
8/9/21 11:37 IP INTERNATIONAL PAPER LONG 125 58.37 9/8 9:30 58.21 0.08%
Trade id #136885296
Max drawdown($90)
Time8/19/21 0:00
Quant open125
Worst price57.65
Drawdown as % of equity-0.08%
($22)
Includes Typical Broker Commissions trade costs of $2.50
6/29/21 9:30 QYLD GLOBAL X NASDAQ 100 COVERED CALL ETF LONG 330 22.44 9/3 10:01 23.02 0.14%
Trade id #136248405
Max drawdown($168)
Time7/19/21 0:00
Quant open330
Worst price21.93
Drawdown as % of equity-0.14%
$184
Includes Typical Broker Commissions trade costs of $6.60
8/17/21 10:42 ABBV ABBVIE INC LONG 60 118.63 9/1 10:43 117.20 0.12%
Trade id #136999778
Max drawdown($145)
Time8/19/21 0:00
Quant open60
Worst price116.21
Drawdown as % of equity-0.12%
($87)
Includes Typical Broker Commissions trade costs of $1.20
7/16/21 13:41 AEP AMERICAN ELECTRIC POWER LONG 85 87.89 8/25 11:05 88.58 0.24%
Trade id #136534030
Max drawdown($278)
Time7/21/21 0:00
Quant open85
Worst price84.61
Drawdown as % of equity-0.24%
$57
Includes Typical Broker Commissions trade costs of $1.70
7/19/21 9:30 XLU UTILITIES SELECT SECTOR SPDR LONG 113 66.06 8/24 9:55 68.26 0.15%
Trade id #136553969
Max drawdown($178)
Time7/19/21 13:37
Quant open113
Worst price64.48
Drawdown as % of equity-0.15%
$247
Includes Typical Broker Commissions trade costs of $2.26
6/24/21 9:30 SO SOUTHERN LONG 120 61.54 8/24 9:55 65.58 0.15%
Trade id #136190921
Max drawdown($171)
Time6/30/21 0:00
Quant open120
Worst price60.12
Drawdown as % of equity-0.15%
$483
Includes Typical Broker Commissions trade costs of $2.40
7/16/21 9:30 DUK DUKE ENERGY LONG 72 104.00 8/24 9:47 104.77 0.08%
Trade id #136525733
Max drawdown($90)
Time7/19/21 0:00
Quant open72
Worst price102.74
Drawdown as % of equity-0.08%
$54
Includes Typical Broker Commissions trade costs of $1.44
7/9/21 9:40 BTI BRITISH AMERICAN TOBACCO LONG 195 38.48 8/19 10:42 36.50 0.33%
Trade id #136399585
Max drawdown($393)
Time8/19/21 10:42
Quant open195
Worst price36.46
Drawdown as % of equity-0.33%
($390)
Includes Typical Broker Commissions trade costs of $3.90
7/22/21 9:49 MS MORGAN STANLEY LONG 78 96.00 8/19 9:30 99.64 0.12%
Trade id #136631747
Max drawdown($141)
Time7/23/21 0:00
Quant open78
Worst price94.19
Drawdown as % of equity-0.12%
$282
Includes Typical Broker Commissions trade costs of $1.56
7/22/21 9:30 STX SEAGATE TECHNOLOGY LONG 90 82.46 8/17 9:30 89.60 0.04%
Trade id #136629563
Max drawdown($45)
Time7/22/21 10:07
Quant open90
Worst price81.96
Drawdown as % of equity-0.04%
$641
Includes Typical Broker Commissions trade costs of $1.80
7/29/21 14:29 RIO RIO TINTO LONG 84 89.23 8/12 9:30 79.57 0.7%
Trade id #136744803
Max drawdown($829)
Time8/12/21 9:30
Quant open84
Worst price79.35
Drawdown as % of equity-0.70%
($813)
Includes Typical Broker Commissions trade costs of $1.68
7/13/21 9:30 ABBV ABBVIE INC LONG 63 117.59 8/5 9:30 114.81 0.21%
Trade id #136465642
Max drawdown($242)
Time7/19/21 0:00
Quant open63
Worst price113.74
Drawdown as % of equity-0.21%
($176)
Includes Typical Broker Commissions trade costs of $1.26
7/12/21 9:30 EIX EDISON INTERNATIONAL LONG 125 58.13 7/30 14:04 54.68 0.37%
Trade id #136428120
Max drawdown($438)
Time7/30/21 14:04
Quant open125
Worst price54.62
Drawdown as % of equity-0.37%
($434)
Includes Typical Broker Commissions trade costs of $2.50
6/10/21 10:28 GSK GLAXOSMITHKLINE LONG 187 40.07 7/19 9:30 39.15 0.17%
Trade id #136003606
Max drawdown($194)
Time6/22/21 0:00
Quant open187
Worst price39.03
Drawdown as % of equity-0.17%
($176)
Includes Typical Broker Commissions trade costs of $3.74
7/16/21 13:22 AEP AMERICAN ELECTRIC POWER SHORT 85 88.00 7/16 13:40 87.91 0%
Trade id #136533777
Max drawdown($0)
Time7/16/21 13:25
Quant open85
Worst price88.01
Drawdown as % of equity-0.00%
$6
Includes Typical Broker Commissions trade costs of $1.70
5/18/21 9:30 AVGO BROADCOM LIMITED ORDINARY SHARES LONG 11 443.92 7/2 12:11 456.09 0.17%
Trade id #135662755
Max drawdown($200)
Time5/19/21 0:00
Quant open11
Worst price425.70
Drawdown as % of equity-0.17%
$134
Includes Typical Broker Commissions trade costs of $0.22
3/10/21 10:22 MBT MOBILE TELESYSTEMS LONG 590 8.48 6/30 12:30 9.28 0.2%
Trade id #134537486
Max drawdown($230)
Time4/9/21 0:00
Quant open590
Worst price8.09
Drawdown as % of equity-0.20%
$467
Includes Typical Broker Commissions trade costs of $5.00
4/19/21 11:51 NVS NOVARTIS LONG 60 88.32 6/25 11:07 92.26 0.16%
Trade id #135214947
Max drawdown($189)
Time4/30/21 0:00
Quant open60
Worst price85.17
Drawdown as % of equity-0.16%
$235
Includes Typical Broker Commissions trade costs of $1.20
2/26/21 13:37 PEP PEPSICO LONG 40 129.77 6/24 9:31 144.67 0.05%
Trade id #134315041
Max drawdown($58)
Time3/4/21 0:00
Quant open40
Worst price128.32
Drawdown as % of equity-0.05%
$595
Includes Typical Broker Commissions trade costs of $0.80
2/11/21 13:54 PM PHILIP MORRIS LONG 60 85.39 6/24 9:30 97.92 0.08%
Trade id #134016272
Max drawdown($84)
Time2/26/21 0:00
Quant open60
Worst price83.98
Drawdown as % of equity-0.08%
$751
Includes Typical Broker Commissions trade costs of $1.20
3/10/21 10:14 RDIV INVESCO S&P ULTRA DIVIDEND REVENUE ETF LONG 125 40.56 6/17 12:20 41.25 0.27%
Trade id #134537161
Max drawdown($298)
Time3/25/21 0:00
Quant open125
Worst price38.17
Drawdown as % of equity-0.27%
$84
Includes Typical Broker Commissions trade costs of $2.50
4/6/21 9:30 XLE ENERGY SELECT SECTOR SPDR LONG 105 49.35 6/17 11:50 53.94 0.28%
Trade id #135022111
Max drawdown($325)
Time4/21/21 0:00
Quant open105
Worst price46.25
Drawdown as % of equity-0.28%
$480
Includes Typical Broker Commissions trade costs of $2.10
4/7/21 9:33 DLR DIGITAL REALTY TRUST LONG 35 145.03 6/17 9:30 156.56 0.15%
Trade id #135041486
Max drawdown($165)
Time4/12/21 0:00
Quant open35
Worst price140.29
Drawdown as % of equity-0.15%
$403
Includes Typical Broker Commissions trade costs of $0.70
1/5/21 10:51 GD GENERAL DYNAMICS LONG 35 145.20 5/19 10:11 185.50 0.02%
Trade id #133182098
Max drawdown($16)
Time1/5/21 11:15
Quant open35
Worst price144.73
Drawdown as % of equity-0.02%
$1,410
Includes Typical Broker Commissions trade costs of $0.70
1/28/21 9:30 PGR PROGRESSIVE LONG 57 87.52 5/19 9:37 102.66 0.14%
Trade id #133664659
Max drawdown($149)
Time2/16/21 0:00
Quant open57
Worst price84.89
Drawdown as % of equity-0.14%
$862
Includes Typical Broker Commissions trade costs of $1.14
3/10/21 10:25 VOD VODAFONE GROUP PLC AMERICAN DE LONG 280 18.02 5/18 9:30 19.07 0.01%
Trade id #134537730
Max drawdown($11)
Time3/10/21 10:32
Quant open280
Worst price17.98
Drawdown as % of equity-0.01%
$288
Includes Typical Broker Commissions trade costs of $5.60
5/3/21 9:30 VZ VERIZON COMMUNICATIONS LONG 90 58.23 5/17 15:39 57.93 0.03%
Trade id #135418607
Max drawdown($32)
Time5/3/21 15:55
Quant open90
Worst price57.87
Drawdown as % of equity-0.03%
($29)
Includes Typical Broker Commissions trade costs of $1.80
3/23/21 10:53 RIO RIO TINTO LONG 65 75.19 5/13 13:23 89.28 0.09%
Trade id #134802068
Max drawdown($102)
Time3/25/21 0:00
Quant open65
Worst price73.61
Drawdown as % of equity-0.09%
$915
Includes Typical Broker Commissions trade costs of $1.30
3/24/21 9:30 NRG NRG ENERGY LONG 140 35.82 5/5 10:01 34.63 0.14%
Trade id #134831100
Max drawdown($167)
Time5/5/21 10:01
Quant open140
Worst price34.62
Drawdown as % of equity-0.14%
($170)
Includes Typical Broker Commissions trade costs of $2.80
3/1/21 9:49 CSCO CISCO SYSTEMS LONG 110 45.53 5/4 11:13 50.34 0.14%
Trade id #134337852
Max drawdown($151)
Time3/4/21 0:00
Quant open110
Worst price44.15
Drawdown as % of equity-0.14%
$527
Includes Typical Broker Commissions trade costs of $2.20

Statistics

  • Strategy began
    7/10/2020
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    442.53
  • Age
    15 months ago
  • What it trades
    Stocks
  • # Trades
    85
  • # Profitable
    54
  • % Profitable
    63.50%
  • Avg trade duration
    41.8 days
  • Max peak-to-valley drawdown
    14.5%
  • drawdown period
    March 17, 2021 - March 23, 2021
  • Annual Return (Compounded)
    14.4%
  • Avg win
    $462.65
  • Avg loss
    $252.00
  • Model Account Values (Raw)
  • Cash
    $112,486
  • Margin Used
    $0
  • Buying Power
    $112,651
  • Ratios
  • W:L ratio
    3.93:1
  • Sharpe Ratio
    1.53
  • Sortino Ratio
    2.26
  • Calmar Ratio
    5.456
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -22.04%
  • Correlation to SP500
    0.35870
  • Return Percent SP500 (cumu) during strategy life
    39.89%
  • Return Statistics
  • Ann Return (w trading costs)
    14.4%
  • Slump
  • Current Slump as Pcnt Equity
    1.00%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.10%
  • Return Statistics
  • Return Pcnt Since TOS Status
    -1.910%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.144%
  • Instruments
  • Percent Trades Options
    0.01%
  • Percent Trades Stocks
    0.99%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    16.2%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    30.00%
  • Chance of 20% account loss
    3.00%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    537
  • Popularity (Last 6 weeks)
    864
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    932
  • Popularity (7 days, Percentile 1000 scale)
    408
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Strat abandoned?
    0
  • Trades-Own-System Certification
  • Trades Own System?
    Yes
  • TOS percent
    100%
  • Win / Loss
  • Avg Loss
    $252
  • Avg Win
    $463
  • Sum Trade PL (losers)
    $7,812.000
  • AUM
  • AUM (AutoTrader num accounts)
    1
  • Age
  • Num Months filled monthly returns table
    15
  • Win / Loss
  • Sum Trade PL (winners)
    $24,983.000
  • # Winners
    54
  • Num Months Winners
    12
  • Dividends
  • Dividends Received in Model Acct
    2847
  • AUM
  • AUM (AutoTrader live capital)
    119839
  • Win / Loss
  • # Losers
    31
  • % Winners
    63.5%
  • Frequency
  • Avg Position Time (mins)
    60210.10
  • Avg Position Time (hrs)
    1003.50
  • Avg Trade Length
    41.8 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    0.40
  • Daily leverage (max)
    0.86
  • Regression
  • Alpha
    0.02
  • Beta
    0.16
  • Treynor Index
    0.20
  • 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)
    0.12
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    0.937
  • 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
    0.300
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.090
  • Hold-and-Hope Ratio
    1.074
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.12715
  • SD
    0.05831
  • Sharpe ratio (Glass type estimate)
    2.18044
  • Sharpe ratio (Hedges UMVUE)
    2.05176
  • df
    13.00000
  • t
    2.35515
  • p
    0.17008
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.15085
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.14136
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.07321
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.03031
  • Statistics related to Sortino ratio
  • Sortino ratio
    7.09195
  • Upside Potential Ratio
    8.86828
  • Upside part of mean
    0.15900
  • Downside part of mean
    -0.03185
  • Upside SD
    0.06468
  • Downside SD
    0.01793
  • 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
    0.27042
  • Mean of criterion
    0.12715
  • SD of predictor
    0.06983
  • SD of criterion
    0.05831
  • Covariance
    0.00114
  • r
    0.27965
  • b (slope, estimate of beta)
    0.23354
  • a (intercept, estimate of alpha)
    0.06400
  • Mean Square Error
    0.00340
  • DF error
    12.00000
  • t(b)
    1.00898
  • p(b)
    0.36018
  • t(a)
    0.77445
  • p(a)
    0.39091
  • Lowerbound of 95% confidence interval for beta
    -0.27077
  • Upperbound of 95% confidence interval for beta
    0.73786
  • Lowerbound of 95% confidence interval for alpha
    -0.11605
  • Upperbound of 95% confidence interval for alpha
    0.24404
  • Treynor index (mean / b)
    0.54444
  • Jensen alpha (a)
    0.06400
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.12465
  • SD
    0.05750
  • Sharpe ratio (Glass type estimate)
    2.16780
  • Sharpe ratio (Hedges UMVUE)
    2.03987
  • df
    13.00000
  • t
    2.34150
  • p
    0.17127
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.14034
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.12686
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.06314
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.01660
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.93189
  • Upside Potential Ratio
    8.70777
  • Upside part of mean
    0.15659
  • Downside part of mean
    -0.03193
  • Upside SD
    0.06357
  • Downside SD
    0.01798
  • 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
    0.26465
  • Mean of criterion
    0.12465
  • SD of predictor
    0.06805
  • SD of criterion
    0.05750
  • Covariance
    0.00111
  • r
    0.28342
  • b (slope, estimate of beta)
    0.23949
  • a (intercept, estimate of alpha)
    0.06127
  • Mean Square Error
    0.00329
  • DF error
    12.00000
  • t(b)
    1.02379
  • p(b)
    0.35829
  • t(a)
    0.75100
  • p(a)
    0.39406
  • Lowerbound of 95% confidence interval for beta
    -0.27019
  • Upperbound of 95% confidence interval for beta
    0.74917
  • Lowerbound of 95% confidence interval for alpha
    -0.11649
  • Upperbound of 95% confidence interval for alpha
    0.23903
  • Treynor index (mean / b)
    0.52049
  • Jensen alpha (a)
    0.06127
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01677
  • Expected Shortfall on VaR
    0.02355
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00421
  • Expected Shortfall on VaR
    0.00886
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    14.00000
  • Minimum
    0.99009
  • Quartile 1
    0.99877
  • Median
    1.01333
  • Quartile 3
    1.02477
  • Maximum
    1.04299
  • Mean of quarter 1
    0.99304
  • Mean of quarter 2
    1.00676
  • Mean of quarter 3
    1.01825
  • Mean of quarter 4
    1.03344
  • Inter Quartile Range
    0.02600
  • 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)
    -46.68110
  • VaR(95%) (moments method)
    0.00559
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -1.60050
  • VaR(95%) (regression method)
    0.00918
  • Expected Shortfall (regression method)
    0.00948
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.00741
  • Quartile 1
    0.00771
  • Median
    0.00802
  • Quartile 3
    0.00897
  • Maximum
    0.00991
  • Mean of quarter 1
    0.00741
  • Mean of quarter 2
    0.00802
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00991
  • Inter Quartile Range
    0.00125
  • 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)
    0.16698
  • Compounded annual return (geometric extrapolation)
    0.16481
  • Calmar ratio (compounded annual return / max draw down)
    16.63140
  • Compounded annual return / average of 25% largest draw downs
    16.63140
  • Compounded annual return / Expected Shortfall lognormal
    6.99802
  • 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
    0.12656
  • SD
    0.06009
  • Sharpe ratio (Glass type estimate)
    2.10623
  • Sharpe ratio (Hedges UMVUE)
    2.10116
  • df
    312.00000
  • t
    2.30212
  • p
    0.01099
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.30382
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.90535
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.30041
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.90192
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.09014
  • Upside Potential Ratio
    9.60098
  • Upside part of mean
    0.39322
  • Downside part of mean
    -0.26666
  • Upside SD
    0.04453
  • Downside SD
    0.04096
  • N nonnegative terms
    174.00000
  • N negative terms
    139.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    313.00000
  • Mean of predictor
    0.26365
  • Mean of criterion
    0.12656
  • SD of predictor
    0.14446
  • SD of criterion
    0.06009
  • Covariance
    0.00318
  • r
    0.36651
  • b (slope, estimate of beta)
    0.15245
  • a (intercept, estimate of alpha)
    0.08600
  • Mean Square Error
    0.00314
  • DF error
    311.00000
  • t(b)
    6.94692
  • p(b)
    -0.00000
  • t(a)
    1.67515
  • p(a)
    0.04745
  • Lowerbound of 95% confidence interval for beta
    0.10927
  • Upperbound of 95% confidence interval for beta
    0.19563
  • Lowerbound of 95% confidence interval for alpha
    -0.01508
  • Upperbound of 95% confidence interval for alpha
    0.18781
  • Treynor index (mean / b)
    0.83018
  • Jensen alpha (a)
    0.08637
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.12472
  • SD
    0.06013
  • Sharpe ratio (Glass type estimate)
    2.07424
  • Sharpe ratio (Hedges UMVUE)
    2.06925
  • df
    312.00000
  • t
    2.26715
  • p
    0.01203
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.27206
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.87318
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.26873
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.86978
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.02871
  • Upside Potential Ratio
    9.52433
  • Upside part of mean
    0.39219
  • Downside part of mean
    -0.26748
  • Upside SD
    0.04435
  • Downside SD
    0.04118
  • N nonnegative terms
    174.00000
  • N negative terms
    139.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    313.00000
  • Mean of predictor
    0.25307
  • Mean of criterion
    0.12472
  • SD of predictor
    0.14473
  • SD of criterion
    0.06013
  • Covariance
    0.00319
  • r
    0.36707
  • b (slope, estimate of beta)
    0.15249
  • a (intercept, estimate of alpha)
    0.08613
  • Mean Square Error
    0.00314
  • DF error
    311.00000
  • t(b)
    6.95916
  • p(b)
    -0.00000
  • t(a)
    1.67068
  • p(a)
    0.04790
  • Lowerbound of 95% confidence interval for beta
    0.10938
  • Upperbound of 95% confidence interval for beta
    0.19560
  • Lowerbound of 95% confidence interval for alpha
    -0.01531
  • Upperbound of 95% confidence interval for alpha
    0.18756
  • Treynor index (mean / b)
    0.81786
  • Jensen alpha (a)
    0.08613
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00562
  • Expected Shortfall on VaR
    0.00716
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00213
  • Expected Shortfall on VaR
    0.00458
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    313.00000
  • Minimum
    0.98141
  • Quartile 1
    0.99921
  • Median
    1.00038
  • Quartile 3
    1.00236
  • Maximum
    1.01815
  • Mean of quarter 1
    0.99639
  • Mean of quarter 2
    0.99982
  • Mean of quarter 3
    1.00136
  • Mean of quarter 4
    1.00485
  • Inter Quartile Range
    0.00315
  • Number outliers low
    14.00000
  • Percentage of outliers low
    0.04473
  • Mean of outliers low
    0.99055
  • Number of outliers high
    8.00000
  • Percentage of outliers high
    0.02556
  • Mean of outliers high
    1.01028
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.20734
  • VaR(95%) (moments method)
    0.00293
  • Expected Shortfall (moments method)
    0.00481
  • Extreme Value Index (regression method)
    0.12296
  • VaR(95%) (regression method)
    0.00353
  • Expected Shortfall (regression method)
    0.00561
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    18.00000
  • Minimum
    0.00035
  • Quartile 1
    0.00252
  • Median
    0.00824
  • Quartile 3
    0.01838
  • Maximum
    0.03022
  • Mean of quarter 1
    0.00143
  • Mean of quarter 2
    0.00399
  • Mean of quarter 3
    0.01334
  • Mean of quarter 4
    0.02241
  • Inter Quartile Range
    0.01587
  • 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)
    -0.03089
  • VaR(95%) (moments method)
    0.02453
  • Expected Shortfall (moments method)
    0.02830
  • Extreme Value Index (regression method)
    0.76249
  • VaR(95%) (regression method)
    0.02561
  • Expected Shortfall (regression method)
    0.05700
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.16742
  • Compounded annual return (geometric extrapolation)
    0.16489
  • Calmar ratio (compounded annual return / max draw down)
    5.45638
  • Compounded annual return / average of 25% largest draw downs
    7.35932
  • Compounded annual return / Expected Shortfall lognormal
    23.03060
  • 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
    0.10158
  • SD
    0.04871
  • Sharpe ratio (Glass type estimate)
    2.08529
  • Sharpe ratio (Hedges UMVUE)
    2.07324
  • df
    130.00000
  • t
    1.47452
  • p
    0.43587
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.70196
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.86479
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.71000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.85648
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.10581
  • Upside Potential Ratio
    10.01350
  • Upside part of mean
    0.32750
  • Downside part of mean
    -0.22592
  • Upside SD
    0.03639
  • Downside SD
    0.03271
  • N nonnegative terms
    71.00000
  • N negative terms
    60.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.23954
  • Mean of criterion
    0.10158
  • SD of predictor
    0.10886
  • SD of criterion
    0.04871
  • Covariance
    0.00272
  • r
    0.51256
  • b (slope, estimate of beta)
    0.22936
  • a (intercept, estimate of alpha)
    0.04664
  • Mean Square Error
    0.00176
  • DF error
    129.00000
  • t(b)
    6.77995
  • p(b)
    0.18860
  • t(a)
    0.77818
  • p(a)
    0.45652
  • Lowerbound of 95% confidence interval for beta
    0.16243
  • Upperbound of 95% confidence interval for beta
    0.29629
  • Lowerbound of 95% confidence interval for alpha
    -0.07194
  • Upperbound of 95% confidence interval for alpha
    0.16521
  • Treynor index (mean / b)
    0.44288
  • Jensen alpha (a)
    0.04664
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.10037
  • SD
    0.04872
  • Sharpe ratio (Glass type estimate)
    2.06003
  • Sharpe ratio (Hedges UMVUE)
    2.04812
  • df
    130.00000
  • t
    1.45666
  • p
    0.43664
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.72694
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.83925
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.73484
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.83109
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.05863
  • Upside Potential Ratio
    9.95885
  • Upside part of mean
    0.32681
  • Downside part of mean
    -0.22644
  • Upside SD
    0.03630
  • Downside SD
    0.03282
  • N nonnegative terms
    71.00000
  • N negative terms
    60.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.23353
  • Mean of criterion
    0.10037
  • SD of predictor
    0.10884
  • SD of criterion
    0.04872
  • Covariance
    0.00272
  • r
    0.51311
  • b (slope, estimate of beta)
    0.22969
  • a (intercept, estimate of alpha)
    0.04673
  • Mean Square Error
    0.00176
  • DF error
    129.00000
  • t(b)
    6.78982
  • p(b)
    0.18830
  • t(a)
    0.78021
  • p(a)
    0.45641
  • VAR (95 Confidence Intrvl)
    0.00600
  • Lowerbound of 95% confidence interval for beta
    0.16276
  • Upperbound of 95% confidence interval for beta
    0.29662
  • Lowerbound of 95% confidence interval for alpha
    -0.07177
  • Upperbound of 95% confidence interval for alpha
    0.16523
  • Treynor index (mean / b)
    0.43698
  • Jensen alpha (a)
    0.04673
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00456
  • Expected Shortfall on VaR
    0.00581
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00185
  • Expected Shortfall on VaR
    0.00389
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.98966
  • Quartile 1
    0.99930
  • Median
    1.00022
  • Quartile 3
    1.00200
  • Maximum
    1.00925
  • Mean of quarter 1
    0.99696
  • Mean of quarter 2
    0.99984
  • Mean of quarter 3
    1.00104
  • Mean of quarter 4
    1.00416
  • Inter Quartile Range
    0.00269
  • Number outliers low
    6.00000
  • Percentage of outliers low
    0.04580
  • Mean of outliers low
    0.99237
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.02290
  • Mean of outliers high
    1.00754
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.14385
  • VaR(95%) (moments method)
    0.00252
  • Expected Shortfall (moments method)
    0.00396
  • Extreme Value Index (regression method)
    0.38187
  • VaR(95%) (regression method)
    0.00270
  • Expected Shortfall (regression method)
    0.00528
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.00035
  • Quartile 1
    0.00135
  • Median
    0.00367
  • Quartile 3
    0.01494
  • Maximum
    0.01998
  • Mean of quarter 1
    0.00086
  • Mean of quarter 2
    0.00291
  • Mean of quarter 3
    0.01071
  • Mean of quarter 4
    0.01887
  • Inter Quartile Range
    0.01359
  • 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)
    -7.02697
  • VaR(95%) (moments method)
    0.01889
  • Expected Shortfall (moments method)
    0.01889
  • Extreme Value Index (regression method)
    -1.34680
  • VaR(95%) (regression method)
    0.02152
  • Last 4 Months - Pcnt Negative
    0.25%
  • Expected Shortfall (regression method)
    0.02189
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -370609000
  • Max Equity Drawdown (num days)
    6
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.13248
  • Compounded annual return (geometric extrapolation)
    0.13687
  • Calmar ratio (compounded annual return / max draw down)
    6.85131
  • Compounded annual return / average of 25% largest draw downs
    7.25389
  • Compounded annual return / Expected Shortfall lognormal
    23.56410

Strategy Description

This strategy will invest in over-sold stocks with upward momentum that have dividend yields above 3% and relatively low P/E ratios.

Manual trailing stops are used to protect profitable positions. Stops are updated regularly as the stock rises. Stocks will sell off when they hit the stop during a market pullback.

Please note this strategy invests in conservative, high yielding stocks. Therefore it is unlikely to beat the S&P 500 on a regular basis. However, the strategy has produced above average returns with the combination of capital gains and dividend yield. This strategy is best suited for those looking for a conservative approach to a portion of their portfolio.

This strategy buys and holds positions for 4 to 6 months or longer. The number of trades is minimal. Therefore, it is best suited for patient investors

Summary Statistics

Strategy began
2020-07-10
Suggested Minimum Capital
$35,000
Rank at C2 %
Top 6.8%
Rank # 
#53
# Trades
85
# Profitable
54
% Profitable
63.5%
Net Dividends
Correlation S&P500
0.359
Sharpe Ratio
1.53
Sortino Ratio
2.26
Beta
0.16
Alpha
0.02
Leverage
0.40 Average
0.86 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

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

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

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

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

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

Latest Activity

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subscribed on started simulation #SUBSCRIBEDDATE#

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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Suggested Minimum Capital

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