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
09/08/2020
Most recent certification approved
9/8/20 11:50 ET
Trades at broker
Israel Interactive Trading
Scaling percentage used
100%
# trading signals issued by system since certification
669
# trading signals executed in manager's Israel Interactive Trading account
669
Percent signals followed since 09/08/2020
100%
This information was last updated
9/7/24 22:30 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 09/08/2020,
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.
Hypothetical performance results have many inherent limitations, some of which are described below. No representation is being made that any account will or is likely to achieve profits or losses similar to those shown. In fact, there are frequently sharp differences between hypothetical performance results and the actual results subsequently achieved by any particular trading program.
One of the limitations of hypothetical performance results is that they are generally prepared with the benefit of hindsight. 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.
Yoav Zelikovic
(130961820)
Powered by
BrokerTransmit.
Read important
disclosures.
![Trades-Own-Strategy (TOS) Certification. Trades-Own-Strategy Certification](/images/TOS-big130961820.png)
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 | 09/08/2020 |
Most recent certification approved | 9/8/20 11:50 ET |
Trades at broker | Israel Interactive Trading |
Scaling percentage used | 100% |
# trading signals issued by system since certification | 669 |
# trading signals executed in manager's Israel Interactive Trading account | 669 |
Percent signals followed since 09/08/2020 | 100% |
This information was last updated | 9/7/24 22:30 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 09/08/2020, 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. Hypothetical performance results have many inherent limitations, some of which are described below. No representation is being made that any account will or is likely to achieve profits or losses similar to those shown. In fact, there are frequently sharp differences between hypothetical performance results and the actual results subsequently achieved by any particular trading program.
One of the limitations of hypothetical performance results is that they are generally prepared with the benefit of hindsight. 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.
Powered by
BrokerTransmit.
Read important
disclosures.
Subscription terms. Subscriptions to this system cost $80.00 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.
Non-hedged Equity
Predominantly long equities, although some hedging with short sales of stocks and/or stock index options. Commonly known as "stock-pickers."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.
Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD | |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|
2020 | (1.3%) | +7.2% | +29.5% | +15.1% | +57.8% | ||||||||
2021 | +5.3% | +16.6% | +6.4% | +10.7% | +15.8% | (1.1%) | (7.1%) | +2.9% | (3.6%) | +0.9% | (2.1%) | +6.2% | +60.1% |
2022 | (7.6%) | +3.8% | +1.3% | (1%) | +3.8% | (16.3%) | +3.7% | +2.6% | (13.7%) | +18.3% | +6.1% | (2.5%) | (6.1%) |
2023 | +7.5% | (3%) | (2.8%) | (1.9%) | (0.6%) | +6.0% | +7.1% | (10.6%) | +2.7% | (6.5%) | +4.4% | +13.4% | +13.9% |
2024 | - | +4.7% | +4.2% | (11%) | +10.2% | (3.8%) | +7.7% | (2.5%) | (6%) | +1.6% |
Model Account Details
A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.
Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.
Started | $30,000 | |
Buy Power | $41,793 | |
Cash | $34,752 | |
Equity | $7,041 | |
Cumulative $ | $59,017 | |
Includes dividends and cash-settled expirations: | $6,674 | Itemized |
Total System Equity | $89,017 | |
Margined | $0 | |
Open P/L | $7,041 |
Trading Record
Statistics
-
Strategy began9/3/2020
-
Suggested Minimum Cap$15,000
-
Strategy Age (days)1465.62
-
Age49 months ago
-
What it tradesStocks
-
# Trades303
-
# Profitable159
-
% Profitable52.50%
-
Avg trade duration164.1 days
-
Max peak-to-valley drawdown32.64%
-
drawdown periodMarch 29, 2022 - Sept 26, 2022
-
Annual Return (Compounded)28.5%
-
Avg win$727.13
-
Avg loss$439.39
- Model Account Values (Raw)
-
Cash$34,752
-
Margin Used$0
-
Buying Power$41,793
- Ratios
-
W:L ratio1.93:1
-
Sharpe Ratio0.85
-
Sortino Ratio1.23
-
Calmar Ratio1.16
- CORRELATION STATISTICS
-
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)118.20%
-
Correlation to SP5000.39700
-
Return Percent SP500 (cumu) during strategy life56.54%
- Return Statistics
-
Ann Return (w trading costs)28.5%
- Slump
-
Current Slump as Pcnt Equity12.10%
- Instruments
-
Percent Trades Futuresn/a
- Slump
-
Current Slump, time of slump as pcnt of strategy life0.11%
- Instruments
-
Short Options - Percent Covered100.00%
- Return Statistics
-
Return Pcnt (Compound or Annual, age-based, NFA compliant)0.285%
- Instruments
-
Percent Trades Optionsn/a
-
Percent Trades Stocks1.00%
-
Percent Trades Forexn/a
- Return Statistics
-
Ann Return (Compnd, No Fees)31.1%
- Automation
-
Percentage Signals Automatedn/a
- Popularity
-
Popularity (Today)870
-
Popularity (Last 6 weeks)975
- Trading Style
-
Any stock shorts? 0/10
- Popularity
-
C2 Score952
-
Popularity (7 days, Percentile 1000 scale)936
- Trades-Own-System Certification
-
Trades Own System?Yes
-
TOS percent100%
- Win / Loss
-
Avg Loss$439
-
Avg Win$727
-
Sum Trade PL (losers)$63,272.000
- Age
-
Num Months filled monthly returns table49
- Win / Loss
-
Sum Trade PL (winners)$115,613.000
-
# Winners159
-
Num Months Winners29
- Dividends
-
Dividends Received in Model Acct6674
- AUM
-
AUM (AutoTrader live capital)701019
- Win / Loss
-
# Losers144
-
% Winners52.5%
- Frequency
-
Avg Position Time (mins)265099.00
-
Avg Position Time (hrs)4418.32
-
Avg Trade Length184.1 days
-
Last Trade Ago18
- Leverage
-
Daily leverage (average)1.00
-
Daily leverage (max)1.48
- Regression
-
Alpha0.06
-
Beta0.61
-
Treynor Index0.12
- Maximum Adverse Excursion (MAE)
-
MAE:Equity, average, all trades0.01
-
MAE:PL - worst single value for strategy-
-
MAE:PL (avg, winning trades)-
-
MAE:PL (avg, losing trades)-
-
MAE:PL (avg, all trades)0.46
-
MAE:Equity, average, winning trades0.00
-
MAE:Equity, average, losing trades0.01
-
Avg(MAE) / Avg(PL) - All trades2.240
-
MAE:Equity, losing trades only, 95th Percentile Value for this strat-
-
MAE:Equity, win trades only, 95th Percentile Value for this strat-
-
MAE:Equity, 95th Percentile Value for this strat0.01
-
Avg(MAE) / Avg(PL) - Winning trades0.226
-
Avg(MAE) / Avg(PL) - Losing trades-1.294
-
Hold-and-Hope Ratio0.495
- Analysis based on MONTHLY values, full history
- RATIO STATISTICS
- Ratio statistics of excess return rates
- Statistics related to Sharpe ratio
-
Mean0.29238
-
SD0.27721
-
Sharpe ratio (Glass type estimate)1.05475
-
Sharpe ratio (Hedges UMVUE)1.03745
-
df46.00000
-
t2.08742
-
p0.02121
-
Lowerbound of 95% confidence interval for Sharpe Ratio0.03588
-
Upperbound of 95% confidence interval for Sharpe Ratio2.06273
-
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.02466
-
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.05023
- Statistics related to Sortino ratio
-
Sortino ratio2.33366
-
Upside Potential Ratio4.18630
-
Upside part of mean0.52450
-
Downside part of mean-0.23212
-
Upside SD0.25814
-
Downside SD0.12529
-
N nonnegative terms27.00000
-
N negative terms20.00000
- Statistics related to linear regression on benchmark
-
N of observations47.00000
-
Mean of predictor0.10965
-
Mean of criterion0.29238
-
SD of predictor0.16777
-
SD of criterion0.27721
-
Covariance0.02659
-
r0.57167
-
b (slope, estimate of beta)0.94458
-
a (intercept, estimate of alpha)0.18882
-
Mean Square Error0.05288
-
DF error45.00000
-
t(b)4.67397
-
p(b)0.00001
-
t(a)1.59623
-
p(a)0.05872
-
Lowerbound of 95% confidence interval for beta0.53754
-
Upperbound of 95% confidence interval for beta1.35161
-
Lowerbound of 95% confidence interval for alpha-0.04943
-
Upperbound of 95% confidence interval for alpha0.42706
-
Treynor index (mean / b)0.30954
-
Jensen alpha (a)0.18882
- Ratio statistics of excess log return rates
- Statistics related to Sharpe ratio
-
Mean0.25343
-
SD0.26514
-
Sharpe ratio (Glass type estimate)0.95582
-
Sharpe ratio (Hedges UMVUE)0.94014
-
df46.00000
-
t1.89163
-
p0.03242
-
Lowerbound of 95% confidence interval for Sharpe Ratio-0.05848
-
Upperbound of 95% confidence interval for Sharpe Ratio1.96015
-
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.06867
-
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.94895
- Statistics related to Sortino ratio
-
Sortino ratio1.93817
-
Upside Potential Ratio3.77268
-
Upside part of mean0.49330
-
Downside part of mean-0.23987
-
Upside SD0.23887
-
Downside SD0.13076
-
N nonnegative terms27.00000
-
N negative terms20.00000
- Statistics related to linear regression on benchmark
-
N of observations47.00000
-
Mean of predictor0.09526
-
Mean of criterion0.25343
-
SD of predictor0.16750
-
SD of criterion0.26514
-
Covariance0.02526
-
r0.56887
-
b (slope, estimate of beta)0.90049
-
a (intercept, estimate of alpha)0.16764
-
Mean Square Error0.04861
-
DF error45.00000
-
t(b)4.64006
-
p(b)0.00002
-
t(a)1.48457
-
p(a)0.07231
-
Lowerbound of 95% confidence interval for beta0.50962
-
Upperbound of 95% confidence interval for beta1.29136
-
Lowerbound of 95% confidence interval for alpha-0.05980
-
Upperbound of 95% confidence interval for alpha0.39508
-
Treynor index (mean / b)0.28143
-
Jensen alpha (a)0.16764
- Risk estimates for a one-period unit investment (parametric)
- assuming log normal returns and losses (using central moments from Sharpe statistics)
-
VaR(95%)0.09947
-
Expected Shortfall on VaR0.12747
- assuming Pareto losses only (using partial moments from Sortino statistics)
-
VaR(95%)0.04067
-
Expected Shortfall on VaR0.07742
- ORDER STATISTICS
- Quartiles of return rates
-
Number of observations47.00000
-
Minimum0.87105
-
Quartile 10.96620
-
Median1.01030
-
Quartile 31.07922
-
Maximum1.26134
-
Mean of quarter 10.93854
-
Mean of quarter 20.99189
-
Mean of quarter 31.04496
-
Mean of quarter 41.13291
-
Inter Quartile Range0.11302
-
Number outliers low0.00000
-
Percentage of outliers low0.00000
-
Mean of outliers low0.00000
-
Number of outliers high1.00000
-
Percentage of outliers high0.02128
-
Mean of outliers high1.26134
- Risk estimates for a one-period unit investment (based on Ex
-
Extreme Value Index (moments method)0.16104
-
VaR(95%) (moments method)0.06699
-
Expected Shortfall (moments method)0.09435
-
Extreme Value Index (regression method)0.16985
-
VaR(95%) (regression method)0.05673
-
Expected Shortfall (regression method)0.07478
- DRAW DOWN STATISTICS
- Quartiles of draw downs
-
Number of observations6.00000
-
Minimum0.00528
-
Quartile 10.02930
-
Median0.04901
-
Quartile 30.07465
-
Maximum0.22250
-
Mean of quarter 10.01684
-
Mean of quarter 20.03197
-
Mean of quarter 30.06604
-
Mean of quarter 40.15001
-
Inter Quartile Range0.04535
-
Number outliers low0.00000
-
Percentage of outliers low0.00000
-
Mean of outliers low0.00000
-
Number of outliers high1.00000
-
Percentage of outliers high0.16667
-
Mean of outliers high0.22250
- 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)0.51315
-
Compounded annual return (geometric extrapolation)0.32489
-
Calmar ratio (compounded annual return / max draw down)1.46017
-
Compounded annual return / average of 25% largest draw downs2.16581
-
Compounded annual return / Expected Shortfall lognormal2.54875
-
0.00000
-
0.00000
- Analysis based on DAILY values, full history
- RATIO STATISTICS
- Ratio statistics of excess return rates
- Statistics related to Sharpe ratio
-
Mean0.27597
-
SD0.24607
-
Sharpe ratio (Glass type estimate)1.12152
-
Sharpe ratio (Hedges UMVUE)1.12071
-
df1038.00000
-
t2.23339
-
p0.46542
-
Lowerbound of 95% confidence interval for Sharpe Ratio0.13588
-
Upperbound of 95% confidence interval for Sharpe Ratio2.10668
-
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.13531
-
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.10611
- Statistics related to Sortino ratio
-
Sortino ratio1.61884
-
Upside Potential Ratio9.32053
-
Upside part of mean1.58889
-
Downside part of mean-1.31292
-
Upside SD0.17810
-
Downside SD0.17047
-
N nonnegative terms574.00000
-
N negative terms465.00000
- Statistics related to linear regression on benchmark
-
N of observations1039.00000
-
Mean of predictor0.09971
-
Mean of criterion0.27597
-
SD of predictor0.17080
-
SD of criterion0.24607
-
Covariance0.01689
-
r0.40185
-
b (slope, estimate of beta)0.57893
-
a (intercept, estimate of alpha)0.21800
-
Mean Square Error0.05082
-
DF error1037.00000
-
t(b)14.13190
-
p(b)0.25124
-
t(a)1.92661
-
p(a)0.46200
-
Lowerbound of 95% confidence interval for beta0.49855
-
Upperbound of 95% confidence interval for beta0.65932
-
Lowerbound of 95% confidence interval for alpha-0.00404
-
Upperbound of 95% confidence interval for alpha0.44052
-
Treynor index (mean / b)0.47668
-
Jensen alpha (a)0.21824
- Ratio statistics of excess log return rates
- Statistics related to Sharpe ratio
-
Mean0.24553
-
SD0.24638
-
Sharpe ratio (Glass type estimate)0.99655
-
Sharpe ratio (Hedges UMVUE)0.99583
-
df1038.00000
-
t1.98453
-
p0.46926
-
Lowerbound of 95% confidence interval for Sharpe Ratio0.01119
-
Upperbound of 95% confidence interval for Sharpe Ratio1.98149
-
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.01068
-
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.98098
- Statistics related to Sortino ratio
-
Sortino ratio1.41237
-
Upside Potential Ratio9.04977
-
Upside part of mean1.57322
-
Downside part of mean-1.32769
-
Upside SD0.17508
-
Downside SD0.17384
-
N nonnegative terms574.00000
-
N negative terms465.00000
- Statistics related to linear regression on benchmark
-
N of observations1039.00000
-
Mean of predictor0.08509
-
Mean of criterion0.24553
-
SD of predictor0.17101
-
SD of criterion0.24638
-
Covariance0.01698
-
r0.40311
-
b (slope, estimate of beta)0.58077
-
a (intercept, estimate of alpha)0.19611
-
Mean Square Error0.05089
-
DF error1037.00000
-
t(b)14.18480
-
p(b)0.25050
-
t(a)1.73040
-
p(a)0.46586
-
Lowerbound of 95% confidence interval for beta0.50043
-
Upperbound of 95% confidence interval for beta0.66111
-
Lowerbound of 95% confidence interval for alpha-0.02628
-
Upperbound of 95% confidence interval for alpha0.41849
-
Treynor index (mean / b)0.42276
-
Jensen alpha (a)0.19611
- Risk estimates for a one-period unit investment (parametric)
- assuming log normal returns and losses (using central moments from Sharpe statistics)
-
VaR(95%)0.02381
-
Expected Shortfall on VaR0.02999
- assuming Pareto losses only (using partial moments from Sortino statistics)
-
VaR(95%)0.01072
-
Expected Shortfall on VaR0.02160
- ORDER STATISTICS
- Quartiles of return rates
-
Number of observations1039.00000
-
Minimum0.88939
-
Quartile 10.99283
-
Median1.00179
-
Quartile 31.01011
-
Maximum1.12298
-
Mean of quarter 10.98274
-
Mean of quarter 20.99765
-
Mean of quarter 31.00531
-
Mean of quarter 41.01896
-
Inter Quartile Range0.01728
-
Number outliers low21.00000
-
Percentage of outliers low0.02021
-
Mean of outliers low0.95452
-
Number of outliers high10.00000
-
Percentage of outliers high0.00962
-
Mean of outliers high1.04911
- Risk estimates for a one-period unit investment (based on Ex
-
Extreme Value Index (moments method)0.15113
-
VaR(95%) (moments method)0.01682
-
Expected Shortfall (moments method)0.02476
-
Extreme Value Index (regression method)0.11219
-
VaR(95%) (regression method)0.01595
-
Expected Shortfall (regression method)0.02264
- DRAW DOWN STATISTICS
- Quartiles of draw downs
-
Number of observations34.00000
-
Minimum0.00039
-
Quartile 10.00593
-
Median0.01901
-
Quartile 30.05528
-
Maximum0.27109
-
Mean of quarter 10.00366
-
Mean of quarter 20.01004
-
Mean of quarter 30.03377
-
Mean of quarter 40.11253
-
Inter Quartile Range0.04935
-
Number outliers low0.00000
-
Percentage of outliers low0.00000
-
Mean of outliers low0.00000
-
Number of outliers high2.00000
-
Percentage of outliers high0.05882
-
Mean of outliers high0.20433
- Risk estimates based on draw downs (based on Extreme Value T
-
Extreme Value Index (moments method)-0.39840
-
VaR(95%) (moments method)0.11710
-
Expected Shortfall (moments method)0.13735
-
Extreme Value Index (regression method)0.30539
-
VaR(95%) (regression method)0.10450
-
Expected Shortfall (regression method)0.15818
- COMBINED STATISTICS
-
Annualized return (arithmetic extrapolation)0.49361
-
Compounded annual return (geometric extrapolation)0.31447
-
Calmar ratio (compounded annual return / max draw down)1.16003
-
Compounded annual return / average of 25% largest draw downs2.79468
-
Compounded annual return / Expected Shortfall lognormal10.48750
-
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-0.02131
-
SD0.18282
-
Sharpe ratio (Glass type estimate)-0.11657
-
Sharpe ratio (Hedges UMVUE)-0.11590
-
df130.00000
-
t-0.08243
-
p0.50362
-
Lowerbound of 95% confidence interval for Sharpe Ratio-2.88829
-
Upperbound of 95% confidence interval for Sharpe Ratio2.65539
-
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-2.88774
-
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.65595
- Statistics related to Sortino ratio
-
Sortino ratio-0.15858
-
Upside Potential Ratio8.33572
-
Upside part of mean1.12024
-
Downside part of mean-1.14155
-
Upside SD0.12292
-
Downside SD0.13439
-
N nonnegative terms66.00000
-
N negative terms65.00000
- Statistics related to linear regression on benchmark
-
N of observations131.00000
-
Mean of predictor0.07609
-
Mean of criterion-0.02131
-
SD of predictor0.13386
-
SD of criterion0.18282
-
Covariance0.01394
-
r0.56971
-
b (slope, estimate of beta)0.77811
-
a (intercept, estimate of alpha)-0.08052
-
Mean Square Error0.02275
-
DF error129.00000
-
t(b)7.87326
-
p(b)0.15802
-
t(a)-0.37723
-
p(a)0.52113
-
Lowerbound of 95% confidence interval for beta0.58257
-
Upperbound of 95% confidence interval for beta0.97364
-
Lowerbound of 95% confidence interval for alpha-0.50282
-
Upperbound of 95% confidence interval for alpha0.34179
-
Treynor index (mean / b)-0.02739
-
Jensen alpha (a)-0.08052
- Ratio statistics of excess log return rates
- Statistics related to Sharpe ratio
-
Mean-0.03794
-
SD0.18322
-
Sharpe ratio (Glass type estimate)-0.20708
-
Sharpe ratio (Hedges UMVUE)-0.20589
-
df130.00000
-
t-0.14643
-
p0.50642
-
Lowerbound of 95% confidence interval for Sharpe Ratio-2.97864
-
Upperbound of 95% confidence interval for Sharpe Ratio2.56520
-
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-2.97780
-
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.56603
- Statistics related to Sortino ratio
-
Sortino ratio-0.27915
-
Upside Potential Ratio8.18613
-
Upside part of mean1.11266
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Downside part of mean-1.15060
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Upside SD0.12184
-
Downside SD0.13592
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N nonnegative terms66.00000
-
N negative terms65.00000
- Statistics related to linear regression on benchmark
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N of observations131.00000
-
Mean of predictor0.06716
-
Mean of criterion-0.03794
-
SD of predictor0.13413
-
SD of criterion0.18322
-
Covariance0.01407
-
r0.57262
-
b (slope, estimate of beta)0.78220
-
a (intercept, estimate of alpha)-0.09047
-
Mean Square Error0.02274
-
DF error129.00000
-
t(b)7.93311
-
p(b)0.15650
-
t(a)-0.42405
-
p(a)0.52375
-
VAR (95 Confidence Intrvl)0.02400
-
Lowerbound of 95% confidence interval for beta0.58712
-
Upperbound of 95% confidence interval for beta0.97728
-
Lowerbound of 95% confidence interval for alpha-0.51260
-
Upperbound of 95% confidence interval for alpha0.33165
-
Treynor index (mean / b)-0.04851
-
Jensen alpha (a)-0.09047
- Risk estimates for a one-period unit investment (parametric)
- assuming log normal returns and losses (using central moments from Sharpe statistics)
-
VaR(95%)0.01859
-
Expected Shortfall on VaR0.02321
- assuming Pareto losses only (using partial moments from Sortino statistics)
-
VaR(95%)0.01006
-
Expected Shortfall on VaR0.01893
- ORDER STATISTICS
- Quartiles of return rates
-
Number of observations131.00000
-
Minimum0.95907
-
Quartile 10.99309
-
Median1.00069
-
Quartile 31.00677
-
Maximum1.03245
-
Mean of quarter 10.98564
-
Mean of quarter 20.99729
-
Mean of quarter 31.00366
-
Mean of quarter 41.01362
-
Inter Quartile Range0.01368
-
Number outliers low3.00000
-
Percentage of outliers low0.02290
-
Mean of outliers low0.96616
-
Number of outliers high1.00000
-
Percentage of outliers high0.00763
-
Mean of outliers high1.03245
- Risk estimates for a one-period unit investment (based on Ex
-
Extreme Value Index (moments method)-0.16806
-
VaR(95%) (moments method)0.01434
-
Expected Shortfall (moments method)0.01779
-
Extreme Value Index (regression method)0.05315
-
VaR(95%) (regression method)0.01399
-
Expected Shortfall (regression method)0.01878
- DRAW DOWN STATISTICS
- Quartiles of draw downs
-
Number of observations6.00000
-
Minimum0.00861
-
Quartile 10.01362
-
Median0.01468
-
Quartile 30.07752
-
Maximum0.09982
-
Mean of quarter 10.01108
-
Mean of quarter 20.01381
-
Mean of quarter 30.01556
-
Mean of quarter 40.09899
-
Inter Quartile Range0.06389
-
Number outliers low0.00000
-
Percentage of outliers low0.00000
-
Mean of outliers low0.00000
-
Number of outliers high0.00000
-
Percentage of outliers high0.00000
-
Mean of outliers high0.00000
- Risk estimates based on draw downs (based on Extreme Value T
-
Extreme Value Index (moments method)0.00000
-
VaR(95%) (moments method)0.00000
-
Expected Shortfall (moments method)0.00000
-
Extreme Value Index (regression method)0.00000
-
VaR(95%) (regression method)0.00000
-
Last 4 Months - Pcnt Negative0.75%
-
Expected Shortfall (regression method)0.00000
-
Strat Max DD how much worse than SP500 max DD during strat life?-409125000
-
Max Equity Drawdown (num days)181
- COMBINED STATISTICS
-
Annualized return (arithmetic extrapolation)-0.01001
-
Compounded annual return (geometric extrapolation)-0.00999
-
Calmar ratio (compounded annual return / max draw down)-0.10003
-
Compounded annual return / average of 25% largest draw downs-0.10087
-
Compounded annual return / Expected Shortfall lognormal-0.43019
Strategy Description
1. Micro-Cap Value Stocks
This investment strategy is based on one of the best strategies in the book "What Works on Wall Street" by James P. O'Shaughnessy. This strategy selects a basket of 25 stocks the market cap of which is under $ 300 million (stocks which are excluded from the major indexes in the U.S.A.). These stocks are selected only if they fulfill a number of criteria (including value, quality, momentum, and financial stability) which have been proven by empirical studies to be a source of alpha.
As we have witnessed in the past three years, some of these stocks and this strategy do not outperform the market every year. Nevertheless, this instability per se (which may cause other investors to abandon the strategy at exactly the wrong time) is the key for its success over time as it involves "going against the herd". As Prof. Joel Greenblatt, the author of the book "The Little Book that Beats the Market"), once stated:
"If I wrote a book about a strategy that worked every month, or even every year, everyone would start using it, and it would stop working."
In addition, our implementation of this strategy within our Individual Retirement Accounts (I.R.A.) at a low cost broker is an especially fruitful way to use this strategy. Within the I.R.A. accounts we can implement this strategy with all of its benefits and also enjoy a tax exemption/deferral.
2. Compounders
Our Compounder stocks are usually stocks of holding companies (led by Outsider CEO/Owner Operators) and stocks of public insurance companies around the world. During the past three years (in particular, during the December 2018 fall in the stock market and this year’s Coronavirus meltdown) we were able to increase our stakes in these companies at very attractive prices.
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
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