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Algebra Russian Fund
(132009577)

Created by: Traderkhved Traderkhved
Started: 11/2020
Stocks
Last trade: 11 days ago
Trading style: Equity Non-hedged Equity

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 $199.00 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."
56.2%
Cumul. Return

Rate of Return Calculations

Overview

To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.

How Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

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

All results are hypothetical.

(7.9%)
Max Drawdown
148
Num Trades
63.5%
Win Trades
2.1 : 1
Profit Factor
81.8%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020                                                                      +17.6%+11.7%+31.4%
2021+0.3%+1.4%+4.4%+1.8%+4.1%(1.4%)+5.3%(1.1%)+2.8%                  +18.9%

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 49 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 100 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
9/8/21 13:02 RSX VANECK VECTORS RUSSIA ETF LONG 2,004 29.99 9/15 9:32 30.42 0.51%
Trade id #137292173
Max drawdown($187)
Time9/9/21 0:00
Quant open668
Worst price29.68
Drawdown as % of equity-0.51%
$852
Includes Typical Broker Commissions trade costs of $10.00
9/2/21 9:39 RSX VANECK VECTORS RUSSIA ETF LONG 1,400 29.96 9/3 12:55 30.16 0.42%
Trade id #137223508
Max drawdown($154)
Time9/2/21 14:52
Quant open1,400
Worst price29.85
Drawdown as % of equity-0.42%
$275
Includes Typical Broker Commissions trade costs of $5.00
8/26/21 9:34 RSX VANECK VECTORS RUSSIA ETF SHORT 1,400 28.61 9/2 9:39 29.96 5.29%
Trade id #137132483
Max drawdown($1,974)
Time9/2/21 9:30
Quant open1,400
Worst price30.02
Drawdown as % of equity-5.29%
($1,895)
Includes Typical Broker Commissions trade costs of $5.00
8/24/21 9:36 NILSY MMC NORILSK NICKEL PJSC AMERICAN DEPOSITARY RECEIP LONG 647 32.44 8/26 9:31 32.02 0.64%
Trade id #137095178
Max drawdown($252)
Time8/26/21 9:30
Quant open647
Worst price32.05
Drawdown as % of equity-0.64%
($277)
Includes Typical Broker Commissions trade costs of $5.00
8/19/21 9:40 SLV ISHARES SILVER TRUST LONG 924 21.64 8/26 9:31 21.91 1.05%
Trade id #137035058
Max drawdown($411)
Time8/20/21 0:00
Quant open924
Worst price21.20
Drawdown as % of equity-1.05%
$244
Includes Typical Broker Commissions trade costs of $5.00
8/19/21 13:31 RSX VANECK VECTORS RUSSIA ETF SHORT 712 28.65 8/24 9:33 28.95 0.58%
Trade id #137042056
Max drawdown($227)
Time8/24/21 9:31
Quant open712
Worst price28.97
Drawdown as % of equity-0.58%
($219)
Includes Typical Broker Commissions trade costs of $5.00
8/3/21 9:32 RSX VANECK VECTORS RUSSIA ETF SHORT 712 28.80 8/19 9:32 28.67 1.45%
Trade id #136800270
Max drawdown($558)
Time8/17/21 0:00
Quant open712
Worst price29.59
Drawdown as % of equity-1.45%
$88
Includes Typical Broker Commissions trade costs of $5.00
8/17/21 10:56 UNG UNITED STATES NATURAL GAS SHORT 1,481 13.47 8/19 9:32 13.25 0.31%
Trade id #137000099
Max drawdown($118)
Time8/18/21 0:00
Quant open1,481
Worst price13.55
Drawdown as % of equity-0.31%
$321
Includes Typical Broker Commissions trade costs of $5.00
8/12/21 9:32 SLV ISHARES SILVER TRUST LONG 926 21.61 8/17 9:54 22.08 0.7%
Trade id #136935134
Max drawdown($268)
Time8/12/21 9:37
Quant open926
Worst price21.32
Drawdown as % of equity-0.70%
$430
Includes Typical Broker Commissions trade costs of $5.00
7/27/21 10:01 RSX VANECK VECTORS RUSSIA ETF LONG 2,121 28.44 8/3 9:31 28.84 0.49%
Trade id #136693669
Max drawdown($183)
Time7/27/21 12:19
Quant open1,414
Worst price28.20
Drawdown as % of equity-0.49%
$834
Includes Typical Broker Commissions trade costs of $17.07
7/20/21 12:36 RSX VANECK VECTORS RUSSIA ETF LONG 1,872 27.81 7/26 9:32 28.20 0.08%
Trade id #136595303
Max drawdown($28)
Time7/20/21 13:28
Quant open936
Worst price27.76
Drawdown as % of equity-0.08%
$714
Includes Typical Broker Commissions trade costs of $21.22
7/19/21 13:14 RSX VANECK VECTORS RUSSIA ETF SHORT 685 27.51 7/19 15:20 27.48 0.11%
Trade id #136561892
Max drawdown($41)
Time7/19/21 14:20
Quant open685
Worst price27.57
Drawdown as % of equity-0.11%
$16
Includes Typical Broker Commissions trade costs of $5.00
7/15/21 9:31 RSX VANECK VECTORS RUSSIA ETF SHORT 1,329 28.61 7/19 9:34 27.67 0.3%
Trade id #136503752
Max drawdown($106)
Time7/15/21 10:10
Quant open1,329
Worst price28.69
Drawdown as % of equity-0.30%
$1,244
Includes Typical Broker Commissions trade costs of $5.00
7/13/21 9:48 SBRCY SBERBANK RUSSIA LONG 681 16.31 7/15 9:30 16.20 0.28%
Trade id #136466701
Max drawdown($102)
Time7/14/21 0:00
Quant open681
Worst price16.16
Drawdown as % of equity-0.28%
($80)
Includes Typical Broker Commissions trade costs of $5.00
7/12/21 10:40 RSX VANECK VECTORS RUSSIA ETF LONG 974 28.89 7/15 9:30 28.59 0.89%
Trade id #136430448
Max drawdown($321)
Time7/15/21 9:30
Quant open974
Worst price28.56
Drawdown as % of equity-0.89%
($297)
Includes Typical Broker Commissions trade costs of $5.00
7/12/21 10:18 SLV ISHARES SILVER TRUST LONG 525 24.15 7/15 9:30 24.38 0.14%
Trade id #136429866
Max drawdown($52)
Time7/13/21 0:00
Quant open525
Worst price24.05
Drawdown as % of equity-0.14%
$116
Includes Typical Broker Commissions trade costs of $5.00
7/8/21 11:33 RSX VANECK VECTORS RUSSIA ETF SHORT 648 28.55 7/12 10:39 28.88 0.59%
Trade id #136382701
Max drawdown($213)
Time7/12/21 10:39
Quant open648
Worst price28.88
Drawdown as % of equity-0.59%
($219)
Includes Typical Broker Commissions trade costs of $5.00
7/7/21 11:13 BNO UNITED STATES BRENT OIL SHORT 1,000 18.84 7/8 11:32 19.00 0.43%
Trade id #136362419
Max drawdown($155)
Time7/8/21 11:31
Quant open1,000
Worst price19.00
Drawdown as % of equity-0.43%
($165)
Includes Typical Broker Commissions trade costs of $8.65
7/7/21 11:29 UUP INVESCO DB US DOLLAR INDEX SHORT 445 24.93 7/7 11:29 24.94 0.01%
Trade id #136362722
Max drawdown($4)
Time7/7/21 11:29
Quant open445
Worst price24.94
Drawdown as % of equity-0.01%
($13)
Includes Typical Broker Commissions trade costs of $8.90
7/6/21 13:31 BNO UNITED STATES BRENT OIL SHORT 676 19.22 7/7 11:07 18.91 0.3%
Trade id #136347797
Max drawdown($108)
Time7/7/21 9:36
Quant open676
Worst price19.38
Drawdown as % of equity-0.30%
$205
Includes Typical Broker Commissions trade costs of $5.00
6/30/21 15:29 RSX VANECK VECTORS RUSSIA ETF SHORT 621 28.95 7/7 11:07 28.80 0.75%
Trade id #136273980
Max drawdown($273)
Time7/1/21 0:00
Quant open621
Worst price29.39
Drawdown as % of equity-0.75%
$88
Includes Typical Broker Commissions trade costs of $5.00
6/28/21 9:43 SLV ISHARES SILVER TRUST LONG 784 24.18 7/1 9:32 24.32 0.92%
Trade id #136230000
Max drawdown($337)
Time6/29/21 0:00
Quant open784
Worst price23.75
Drawdown as % of equity-0.92%
$105
Includes Typical Broker Commissions trade costs of $5.00
6/25/21 13:12 UUP INVESCO DB US DOLLAR INDEX LONG 1,500 24.69 6/30 15:09 24.85 0.04%
Trade id #136213526
Max drawdown($15)
Time6/25/21 15:45
Quant open1,500
Worst price24.68
Drawdown as % of equity-0.04%
$235
Includes Typical Broker Commissions trade costs of $5.00
6/28/21 10:21 RSX VANECK VECTORS RUSSIA ETF LONG 647 29.26 6/29 14:00 28.81 0.9%
Trade id #136231946
Max drawdown($329)
Time6/29/21 11:51
Quant open647
Worst price28.75
Drawdown as % of equity-0.90%
($296)
Includes Typical Broker Commissions trade costs of $5.00
6/24/21 9:51 SLV ISHARES SILVER TRUST LONG 471 24.18 6/25 12:32 24.09 0.26%
Trade id #136192316
Max drawdown($94)
Time6/24/21 15:54
Quant open471
Worst price23.98
Drawdown as % of equity-0.26%
($51)
Includes Typical Broker Commissions trade costs of $9.42
6/24/21 11:14 SBRCY SBERBANK RUSSIA LONG 698 17.18 6/25 12:32 17.26 0.07%
Trade id #136194842
Max drawdown($24)
Time6/24/21 15:33
Quant open698
Worst price17.14
Drawdown as % of equity-0.07%
$54
Includes Typical Broker Commissions trade costs of $5.00
6/24/21 9:42 RSX VANECK VECTORS RUSSIA ETF LONG 1,305 29.07 6/25 12:32 29.25 0.18%
Trade id #136191983
Max drawdown($65)
Time6/24/21 9:46
Quant open1,305
Worst price29.02
Drawdown as % of equity-0.18%
$230
Includes Typical Broker Commissions trade costs of $5.00
6/15/21 11:30 UUP INVESCO DB US DOLLAR INDEX LONG 3,120 24.50 6/24 9:40 24.66 0.03%
Trade id #136063870
Max drawdown($10)
Time6/16/21 0:00
Quant open1,560
Worst price24.34
Drawdown as % of equity-0.03%
$492
Includes Typical Broker Commissions trade costs of $7.50
6/9/21 10:43 GLD SPDR GOLD SHARES LONG 64 176.97 6/16 14:57 171.84 0.99%
Trade id #135982030
Max drawdown($355)
Time6/16/21 14:50
Quant open64
Worst price171.41
Drawdown as % of equity-0.99%
($329)
Includes Typical Broker Commissions trade costs of $1.28
6/7/21 14:29 SLV ISHARES SILVER TRUST LONG 442 25.91 6/16 11:56 25.75 0.61%
Trade id #135946284
Max drawdown($221)
Time6/15/21 0:00
Quant open442
Worst price25.41
Drawdown as % of equity-0.61%
($77)
Includes Typical Broker Commissions trade costs of $8.84

Statistics

  • Strategy began
    11/2/2020
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    327.97
  • Age
    11 months ago
  • What it trades
    Stocks
  • # Trades
    148
  • # Profitable
    94
  • % Profitable
    63.50%
  • Avg trade duration
    4.9 days
  • Max peak-to-valley drawdown
    7.93%
  • drawdown period
    Aug 24, 2021 - Sept 13, 2021
  • Cumul. Return
    56.2%
  • Avg win
    $350.01
  • Avg loss
    $284.70
  • Model Account Values (Raw)
  • Cash
    $29,726
  • Margin Used
    $0
  • Buying Power
    $27,927
  • Ratios
  • W:L ratio
    2.14:1
  • Sharpe Ratio
    2.44
  • Sortino Ratio
    4.55
  • Calmar Ratio
    13.648
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    21.65%
  • Correlation to SP500
    0.16790
  • Return Percent SP500 (cumu) during strategy life
    34.60%
  • Return Statistics
  • Ann Return (w trading costs)
    63.6%
  • Slump
  • Current Slump as Pcnt Equity
    2.10%
  • Instruments
  • Percent Trades Futures
    0.04%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.01%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.562%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    0.96%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    80.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    1.50%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 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)
    0
  • Popularity (Last 6 weeks)
    925
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    980
  • Popularity (7 days, Percentile 1000 scale)
    855
  • 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
    $285
  • Avg Win
    $350
  • Sum Trade PL (losers)
    $15,374.000
  • Age
  • Num Months filled monthly returns table
    11
  • Win / Loss
  • Sum Trade PL (winners)
    $32,901.000
  • # Winners
    94
  • Num Months Winners
    9
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    54
  • % Winners
    63.5%
  • Frequency
  • Avg Position Time (mins)
    7055.88
  • Avg Position Time (hrs)
    117.60
  • Avg Trade Length
    4.9 days
  • Last Trade Ago
    3
  • Leverage
  • Daily leverage (average)
    1.02
  • Daily leverage (max)
    3.03
  • Regression
  • Alpha
    0.12
  • Beta
    0.23
  • Treynor Index
    0.61
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.09
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    1.965
  • 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
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    0.349
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.280
  • Hold-and-Hope Ratio
    0.519
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.60589
  • SD
    0.27003
  • Sharpe ratio (Glass type estimate)
    2.24378
  • Sharpe ratio (Hedges UMVUE)
    2.05054
  • df
    9.00000
  • t
    2.04828
  • p
    0.03540
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.18357
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.57150
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.29618
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.39725
  • Statistics related to Sortino ratio
  • Sortino ratio
    19.40830
  • Upside Potential Ratio
    21.10920
  • Upside part of mean
    0.65899
  • Downside part of mean
    -0.05310
  • Upside SD
    0.30861
  • Downside SD
    0.03122
  • N nonnegative terms
    7.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    10.00000
  • Mean of predictor
    0.36134
  • Mean of criterion
    0.60589
  • SD of predictor
    0.11252
  • SD of criterion
    0.27003
  • Covariance
    0.02228
  • r
    0.73315
  • b (slope, estimate of beta)
    1.75939
  • a (intercept, estimate of alpha)
    -0.02985
  • Mean Square Error
    0.03794
  • DF error
    8.00000
  • t(b)
    3.04923
  • p(b)
    0.00792
  • t(a)
    -0.10007
  • p(a)
    0.53862
  • Lowerbound of 95% confidence interval for beta
    0.42884
  • Upperbound of 95% confidence interval for beta
    3.08995
  • Lowerbound of 95% confidence interval for alpha
    -0.71778
  • Upperbound of 95% confidence interval for alpha
    0.65808
  • Treynor index (mean / b)
    0.34437
  • Jensen alpha (a)
    -0.02985
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.56220
  • SD
    0.24313
  • Sharpe ratio (Glass type estimate)
    2.31230
  • Sharpe ratio (Hedges UMVUE)
    2.11315
  • df
    9.00000
  • t
    2.11083
  • p
    0.03199
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.12953
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.65267
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.24539
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.47169
  • Statistics related to Sortino ratio
  • Sortino ratio
    17.86320
  • Upside Potential Ratio
    19.56200
  • Upside part of mean
    0.61566
  • Downside part of mean
    -0.05347
  • Upside SD
    0.28027
  • Downside SD
    0.03147
  • N nonnegative terms
    7.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    10.00000
  • Mean of predictor
    0.34997
  • Mean of criterion
    0.56220
  • SD of predictor
    0.10709
  • SD of criterion
    0.24313
  • Covariance
    0.01847
  • r
    0.70947
  • b (slope, estimate of beta)
    1.61078
  • a (intercept, estimate of alpha)
    -0.00153
  • Mean Square Error
    0.03303
  • DF error
    8.00000
  • t(b)
    2.84740
  • p(b)
    0.01078
  • t(a)
    -0.00546
  • p(a)
    0.50211
  • Lowerbound of 95% confidence interval for beta
    0.30627
  • Upperbound of 95% confidence interval for beta
    2.91530
  • Lowerbound of 95% confidence interval for alpha
    -0.64899
  • Upperbound of 95% confidence interval for alpha
    0.64592
  • Treynor index (mean / b)
    0.34902
  • Jensen alpha (a)
    -0.00153
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06630
  • Expected Shortfall on VaR
    0.09298
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00720
  • Expected Shortfall on VaR
    0.01536
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    10.00000
  • Minimum
    0.97836
  • Quartile 1
    1.00254
  • Median
    1.04709
  • Quartile 3
    1.05567
  • Maximum
    1.25149
  • Mean of quarter 1
    0.98758
  • Mean of quarter 2
    1.03405
  • Mean of quarter 3
    1.05085
  • Mean of quarter 4
    1.13188
  • Inter Quartile Range
    0.05313
  • 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
    0.10000
  • Mean of outliers high
    1.25149
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -9.24794
  • VaR(95%) (moments method)
    0.00987
  • Expected Shortfall (moments method)
    0.00987
  • Extreme Value Index (regression method)
    -0.70035
  • VaR(95%) (regression method)
    0.02489
  • Expected Shortfall (regression method)
    0.02870
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.00381
  • Quartile 1
    0.00781
  • Median
    0.01181
  • Quartile 3
    0.01672
  • Maximum
    0.02164
  • Mean of quarter 1
    0.00381
  • Mean of quarter 2
    0.01181
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.02164
  • Inter Quartile Range
    0.00891
  • 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)
    0.76221
  • Compounded annual return (geometric extrapolation)
    0.80417
  • Calmar ratio (compounded annual return / max draw down)
    37.15600
  • Compounded annual return / average of 25% largest draw downs
    37.15600
  • Compounded annual return / Expected Shortfall lognormal
    8.64903
  • 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
    0.59150
  • SD
    0.17200
  • Sharpe ratio (Glass type estimate)
    3.43892
  • Sharpe ratio (Hedges UMVUE)
    3.42774
  • df
    231.00000
  • t
    3.23605
  • p
    0.00069
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.32903
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.54157
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.32159
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.53390
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.80937
  • Upside Potential Ratio
    14.57470
  • Upside part of mean
    1.26603
  • Downside part of mean
    -0.67453
  • Upside SD
    0.15247
  • Downside SD
    0.08687
  • N nonnegative terms
    124.00000
  • N negative terms
    108.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    232.00000
  • Mean of predictor
    0.31596
  • Mean of criterion
    0.59150
  • SD of predictor
    0.12774
  • SD of criterion
    0.17200
  • Covariance
    0.00322
  • r
    0.14677
  • b (slope, estimate of beta)
    0.19763
  • a (intercept, estimate of alpha)
    0.52900
  • Mean Square Error
    0.02907
  • DF error
    230.00000
  • t(b)
    2.25029
  • p(b)
    0.01269
  • t(a)
    2.88613
  • p(a)
    0.00214
  • Lowerbound of 95% confidence interval for beta
    0.02459
  • Upperbound of 95% confidence interval for beta
    0.37067
  • Lowerbound of 95% confidence interval for alpha
    0.16787
  • Upperbound of 95% confidence interval for alpha
    0.89023
  • Treynor index (mean / b)
    2.99297
  • Jensen alpha (a)
    0.52905
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.57620
  • SD
    0.17078
  • Sharpe ratio (Glass type estimate)
    3.37403
  • Sharpe ratio (Hedges UMVUE)
    3.36306
  • df
    231.00000
  • t
    3.17499
  • p
    0.00085
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.26508
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.47588
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.25777
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.46835
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.57843
  • Upside Potential Ratio
    14.32220
  • Upside part of mean
    1.25448
  • Downside part of mean
    -0.67828
  • Upside SD
    0.15045
  • Downside SD
    0.08759
  • N nonnegative terms
    124.00000
  • N negative terms
    108.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    232.00000
  • Mean of predictor
    0.30763
  • Mean of criterion
    0.57620
  • SD of predictor
    0.12768
  • SD of criterion
    0.17078
  • Covariance
    0.00312
  • r
    0.14324
  • b (slope, estimate of beta)
    0.19159
  • a (intercept, estimate of alpha)
    0.51726
  • Mean Square Error
    0.02869
  • DF error
    230.00000
  • t(b)
    2.19501
  • p(b)
    0.01458
  • t(a)
    2.84223
  • p(a)
    0.00244
  • Lowerbound of 95% confidence interval for beta
    0.01961
  • Upperbound of 95% confidence interval for beta
    0.36358
  • Lowerbound of 95% confidence interval for alpha
    0.15868
  • Upperbound of 95% confidence interval for alpha
    0.87585
  • Treynor index (mean / b)
    3.00742
  • Jensen alpha (a)
    0.51726
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01504
  • Expected Shortfall on VaR
    0.01937
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00566
  • Expected Shortfall on VaR
    0.01129
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    232.00000
  • Minimum
    0.96828
  • Quartile 1
    0.99654
  • Median
    1.00073
  • Quartile 3
    1.00677
  • Maximum
    1.05418
  • Mean of quarter 1
    0.99108
  • Mean of quarter 2
    0.99887
  • Mean of quarter 3
    1.00344
  • Mean of quarter 4
    1.01607
  • Inter Quartile Range
    0.01023
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.01724
  • Mean of outliers low
    0.97471
  • Number of outliers high
    12.00000
  • Percentage of outliers high
    0.05172
  • Mean of outliers high
    1.03069
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.09718
  • VaR(95%) (moments method)
    0.00832
  • Expected Shortfall (moments method)
    0.01195
  • Extreme Value Index (regression method)
    -0.14169
  • VaR(95%) (regression method)
    0.00858
  • Expected Shortfall (regression method)
    0.01104
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    19.00000
  • Minimum
    0.00078
  • Quartile 1
    0.00710
  • Median
    0.01421
  • Quartile 3
    0.03475
  • Maximum
    0.06079
  • Mean of quarter 1
    0.00374
  • Mean of quarter 2
    0.01027
  • Mean of quarter 3
    0.02737
  • Mean of quarter 4
    0.04627
  • Inter Quartile Range
    0.02765
  • 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)
    -0.61513
  • VaR(95%) (moments method)
    0.05197
  • Expected Shortfall (moments method)
    0.05611
  • Extreme Value Index (regression method)
    -0.04148
  • VaR(95%) (regression method)
    0.05458
  • Expected Shortfall (regression method)
    0.06501
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.79881
  • Compounded annual return (geometric extrapolation)
    0.82962
  • Calmar ratio (compounded annual return / max draw down)
    13.64770
  • Compounded annual return / average of 25% largest draw downs
    17.93000
  • Compounded annual return / Expected Shortfall lognormal
    42.83930
  • 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
    0.37962
  • SD
    0.12784
  • Sharpe ratio (Glass type estimate)
    2.96956
  • Sharpe ratio (Hedges UMVUE)
    2.95240
  • df
    130.00000
  • t
    2.09980
  • p
    0.40944
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.16887
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.75918
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.15746
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.74734
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.73155
  • Upside Potential Ratio
    14.03820
  • Upside part of mean
    0.92981
  • Downside part of mean
    -0.55018
  • Upside SD
    0.11127
  • Downside SD
    0.06623
  • N nonnegative terms
    68.00000
  • N negative terms
    63.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.23954
  • Mean of criterion
    0.37962
  • SD of predictor
    0.10886
  • SD of criterion
    0.12784
  • Covariance
    0.00040
  • r
    0.02873
  • b (slope, estimate of beta)
    0.03374
  • a (intercept, estimate of alpha)
    0.37154
  • Mean Square Error
    0.01646
  • DF error
    129.00000
  • t(b)
    0.32641
  • p(b)
    0.48171
  • t(a)
    2.02922
  • p(a)
    0.38861
  • Lowerbound of 95% confidence interval for beta
    -0.17075
  • Upperbound of 95% confidence interval for beta
    0.23822
  • Lowerbound of 95% confidence interval for alpha
    0.00928
  • Upperbound of 95% confidence interval for alpha
    0.73381
  • Treynor index (mean / b)
    11.25290
  • Jensen alpha (a)
    0.37154
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.37126
  • SD
    0.12720
  • Sharpe ratio (Glass type estimate)
    2.91870
  • Sharpe ratio (Hedges UMVUE)
    2.90183
  • df
    130.00000
  • t
    2.06384
  • p
    0.41094
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.11881
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.70765
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.10767
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.69599
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.57690
  • Upside Potential Ratio
    13.87370
  • Upside part of mean
    0.92360
  • Downside part of mean
    -0.55233
  • Upside SD
    0.11023
  • Downside SD
    0.06657
  • N nonnegative terms
    68.00000
  • N negative terms
    63.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.23353
  • Mean of criterion
    0.37126
  • SD of predictor
    0.10884
  • SD of criterion
    0.12720
  • Covariance
    0.00037
  • r
    0.02678
  • b (slope, estimate of beta)
    0.03130
  • a (intercept, estimate of alpha)
    0.36395
  • Mean Square Error
    0.01629
  • DF error
    129.00000
  • t(b)
    0.30427
  • p(b)
    0.48295
  • t(a)
    1.99852
  • p(a)
    0.39023
  • VAR (95 Confidence Intrvl)
    0.01500
  • Lowerbound of 95% confidence interval for beta
    -0.17221
  • Upperbound of 95% confidence interval for beta
    0.23481
  • Lowerbound of 95% confidence interval for alpha
    0.00364
  • Upperbound of 95% confidence interval for alpha
    0.72427
  • Treynor index (mean / b)
    11.86270
  • Jensen alpha (a)
    0.36395
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01144
  • Expected Shortfall on VaR
    0.01468
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00474
  • Expected Shortfall on VaR
    0.00909
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.98399
  • Quartile 1
    0.99690
  • Median
    1.00020
  • Quartile 3
    1.00490
  • Maximum
    1.03081
  • Mean of quarter 1
    0.99290
  • Mean of quarter 2
    0.99898
  • Mean of quarter 3
    1.00257
  • Mean of quarter 4
    1.01180
  • Inter Quartile Range
    0.00799
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.00763
  • Mean of outliers low
    0.98399
  • Number of outliers high
    9.00000
  • Percentage of outliers high
    0.06870
  • Mean of outliers high
    1.02127
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.07249
  • VaR(95%) (moments method)
    0.00701
  • Expected Shortfall (moments method)
    0.00972
  • Extreme Value Index (regression method)
    -0.25113
  • VaR(95%) (regression method)
    0.00671
  • Expected Shortfall (regression method)
    0.00811
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.00169
  • Quartile 1
    0.00604
  • Median
    0.01001
  • Quartile 3
    0.02531
  • Maximum
    0.06079
  • Mean of quarter 1
    0.00381
  • Mean of quarter 2
    0.00712
  • Mean of quarter 3
    0.01367
  • Mean of quarter 4
    0.04505
  • Inter Quartile Range
    0.01927
  • 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
    0.10000
  • Mean of outliers high
    0.06079
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -7.82771
  • VaR(95%) (moments method)
    0.04837
  • Expected Shortfall (moments method)
    0.04837
  • Extreme Value Index (regression method)
    -1.15750
  • VaR(95%) (regression method)
    0.06887
  • Last 4 Months - Pcnt Negative
    0.50%
  • Expected Shortfall (regression method)
    0.07239
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -349571000
  • Max Equity Drawdown (num days)
    20
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.44179
  • Compounded annual return (geometric extrapolation)
    0.49059
  • Calmar ratio (compounded annual return / max draw down)
    8.07040
  • Compounded annual return / average of 25% largest draw downs
    10.88960
  • Compounded annual return / Expected Shortfall lognormal
    33.41920

Strategy Description

*Russia is not an easy country with its own political and economic risks. But knowing and understanding these risks as well as the prospects for the development of individual enterprises can bring you excellent income!
*I have been working on the Russian stock market since 1995 and, using my experience, I want to introduce you an actively managed strategy based on the best and most promising companies (ADR) of the Russian economy. Classic value investing backed by technical analysis and a proven trading system;
*Min leverage;
*Shorts allowed;
*Due to the small number of Russian ADRs, the Fund also operates with commodities (futures, ETFs) as the basis of the Russian economy, and US dollar Index;
*This strategy is not a "magic system" that make 200% in a month and then disappear. This is a professional and painstaking hedge fund job. Long-term copy only. Better from 6 month;
*CONTINUOUSLY FOLLOWING THE STRATEGY MULTIPLIES THE CHANCES OF SUCCESS!

Summary Statistics

Strategy began
2020-11-02
Suggested Minimum Capital
$35,000
Rank at C2 %
Top 2.0%
Rank # 
#16
# Trades
148
# Profitable
94
% Profitable
63.5%
Correlation S&P500
0.168
Sharpe Ratio
2.44
Sortino Ratio
4.55
Beta
0.23
Alpha
0.12
Leverage
1.02 Average
3.03 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.