This system has earned TradesOwnStrategy (TOS) Certification.
This means that the manager of this system trades his own strategy
in a reallife, funded brokerage account.
TradesOwnStrategy (TOS) Certification Details
Certification process started
06/28/2021
Most recent certification approved
6/28/21 9:34 ET
Trades at broker
Interactive Brokers (Stocks, Options, Futures)
Scaling percentage used
100%
# trading signals issued by system since certification
463
# trading signals executed in manager's Interactive Brokers (Stocks, Options, Futures) account
463
Percent signals followed since 06/28/2021
100%
This information was last updated
12/1/22 6:29 ET
Warning: System trading results are still hypothetical.
Even though the system developer is currently trading his own system in a reallife brokerage account,
the trading results presented on this Web site must still be regarded as purely hypothetical results.
This is because (among other reasons) the system developer may not have traded all signals,
particularly those that occurred before 06/28/2021,
and the system developer's results may not match the system results presented here. In addition,
not all subscribers have received the same trades or prices as the system manager has. For these reasons, and others, it is extremely important you remember the following:
About the results you see on this Web site
Past results are not necessarily indicative of future results.
These results are based on simulated or hypothetical performance results.
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.
GardCap Discretionary
(126454200)
This system has earned TradesOwnStrategy (TOS) Certification. This means that the manager of this system trades his own strategy in a reallife, funded brokerage account.
TradesOwnStrategy (TOS) Certification Details  

Certification process started  06/28/2021 
Most recent certification approved  6/28/21 9:34 ET 
Trades at broker  Interactive Brokers (Stocks, Options, Futures) 
Scaling percentage used  100% 
# trading signals issued by system since certification  463 
# trading signals executed in manager's Interactive Brokers (Stocks, Options, Futures) account  463 
Percent signals followed since 06/28/2021  100% 
This information was last updated  12/1/22 6:29 ET 
Warning: System trading results are still hypothetical.
Even though the system developer is currently trading his own system in a reallife brokerage account, the trading results presented on this Web site must still be regarded as purely hypothetical results. This is because (among other reasons) the system developer may not have traded all signals, particularly those that occurred before 06/28/2021, and the system developer's results may not match the system results presented here. In addition, not all subscribers have received the same trades or prices as the system manager has. For these reasons, and others, it is extremely important you remember the following:
About the results you see on this Web site
Past results are not necessarily indicative of future results.
These results are based on simulated or hypothetical performance results. 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.
Subscription terms. Subscriptions to this system cost $250.00 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.
Hedged Equity
Core holding of long equities hedged at all times with short sales of stocks and/or stock index options.Pairs Trading / Relative Value
Seeks to exploit differences in the price or rate of the same or similar securities. The relative value fund trades on gaps, rather than the price of a specific security aloneRate of Return Calculations
Overview
To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.
How Annualized (Compounded) Rate of Return is calculated
= ((Ending_equity / Starting_equity) ^ (1 / age_in_years))  1
Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in markedtomarket equity calculations.
All results are hypothetical.
Jan  Feb  Mar  Apr  May  Jun  Jul  Aug  Sep  Oct  Nov  Dec  YTD  

2019  +1.1%  +1.1%  
2020  +0.7%  +0.8%  (1%)  +0.2%  (0.1%)  (0.7%)  +5.5%    (0.1%)  (0.9%)  +3.9%  +3.9%  +12.7% 
2021  +2.2%  +3.1%  +0.8%  +1.0%  +1.7%  +1.2%  +0.4%    (0.8%)  +3.3%  +1.3%  +0.3%  +15.6% 
2022  +1.3%  (0.8%)  +2.0%  +0.3%  +1.7%    +0.4%  +1.6%  (0.9%)  +0.4%      +6.0% 
Model Account Details
A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.
Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.
Started  $250,000  
Buy Power  $361,764  
Cash  $1  
Equity  $1  
Cumulative $  $111,764  
Includes dividends and cashsettled expirations:  $4,494  Itemized 
Total System Equity  $361,764  
Margined  $1  
Open P/L  $0  
Data has been delayed by 24 hours for nonsubscribers 
System developer has asked us to delay this information by 24 hours.
Trading Record
Statistics

Strategy began12/3/2019

Suggested Minimum Cap$35,000

Strategy Age (days)1093.94

Age36 months ago

What it tradesStocks

# Trades296

# Profitable167

% Profitable56.40%

Avg trade duration8.1 days

Max peaktovalley drawdown3.66%

drawdown periodNov 24, 2020  Dec 01, 2020

Annual Return (Compounded)11.8%

Avg win$1,279

Avg loss$824.27
 Model Account Values (Raw)

Cash$361,764

Margin Used$0

Buying Power$361,764
 Ratios

W:L ratio2.12:1

Sharpe Ratio1.48

Sortino Ratio2.72

Calmar Ratio4.952
 CORRELATION STATISTICS

Return of Strat Pcnt  Return of SP500 Pcnt (cumu)7.74%

Correlation to SP5000.07020

Return Percent SP500 (cumu) during strategy life31.91%
 Return Statistics

Ann Return (w trading costs)11.8%
 Slump

Current Slump as Pcnt Equity1.90%
 Instruments

Percent Trades Futuresn/a
 Slump

Current Slump, time of slump as pcnt of strategy life0.07%
 Instruments

Short Options  Percent Covered100.00%
 Return Statistics

Return Pcnt (Compound or Annual, agebased, NFA compliant)0.118%
 Instruments

Percent Trades Optionsn/a

Percent Trades Stocks1.00%

Percent Trades Forexn/a
 Return Statistics

Ann Return (Compnd, No Fees)13.1%
 Risk of Ruin (MonteCarlo)

Chance of 10% account lossn/a

Chance of 20% account lossn/a

Chance of 30% account lossn/a

Chance of 40% account lossn/a

Chance of 60% account loss (Monte Carlo)n/a

Chance of 70% account loss (Monte Carlo)n/a

Chance of 80% account loss (Monte Carlo)n/a

Chance of 90% account loss (Monte Carlo)n/a
 Automation

Percentage Signals Automatedn/a
 Risk of Ruin (MonteCarlo)

Chance of 50% account lossn/a
 Popularity

Popularity (Today)929

Popularity (Last 6 weeks)981
 Trading Style

Any stock shorts? 0/11
 Popularity

C2 Score987

Popularity (7 days, Percentile 1000 scale)952
 TradesOwnSystem Certification

Trades Own System?Yes

TOS percent100%
 Win / Loss

Avg Loss$824

Avg Win$1,279

Sum Trade PL (losers)$106,331.000
 Age

Num Months filled monthly returns table37
 Win / Loss

Sum Trade PL (winners)$213,601.000

# Winners167

Num Months Winners26
 Dividends

Dividends Received in Model Acct4494
 AUM

AUM (AutoTrader live capital)23689300
 Win / Loss

# Losers129

% Winners56.4%
 Frequency

Avg Position Time (mins)11723.60

Avg Position Time (hrs)195.39

Avg Trade Length8.1 days

Last Trade Ago2
 Leverage

Daily leverage (average)0.41

Daily leverage (max)1.85
 Regression

Alpha0.03

Beta0.01

Treynor Index1.76
 Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.00

MAE:PL  worst single value for strategy

MAE:PL (avg, winning trades)

MAE:PL (avg, losing trades)

MAE:PL (avg, all trades)0.70

MAE:Equity, average, winning trades0.00

MAE:Equity, average, losing trades0.00

Avg(MAE) / Avg(PL)  All trades2.268

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 strat0.00

Avg(MAE) / Avg(PL)  Winning trades0.358

Avg(MAE) / Avg(PL)  Losing trades1.188

HoldandHope Ratio0.441
 Analysis based on MONTHLY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.10133

SD0.05445

Sharpe ratio (Glass type estimate)1.86102

Sharpe ratio (Hedges UMVUE)1.81961

df34.00000

t3.17829

p0.00158

Lowerbound of 95% confidence interval for Sharpe Ratio0.61974

Upperbound of 95% confidence interval for Sharpe Ratio3.07841

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.59319

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.04603
 Statistics related to Sortino ratio

Sortino ratio6.88785

Upside Potential Ratio8.43228

Upside part of mean0.12405

Downside part of mean0.02272

Upside SD0.05932

Downside SD0.01471

N nonnegative terms22.00000

N negative terms13.00000
 Statistics related to linear regression on benchmark

N of observations35.00000

Mean of predictor0.07655

Mean of criterion0.10133

SD of predictor0.19606

SD of criterion0.05445

Covariance0.00185

r0.17293

b (slope, estimate of beta)0.04803

a (intercept, estimate of alpha)0.09765

Mean Square Error0.00296

DF error33.00000

t(b)1.00858

p(b)0.16026

t(a)3.04391

p(a)0.00228

Lowerbound of 95% confidence interval for beta0.04885

Upperbound of 95% confidence interval for beta0.14490

Lowerbound of 95% confidence interval for alpha0.03238

Upperbound of 95% confidence interval for alpha0.16292

Treynor index (mean / b)2.10993

Jensen alpha (a)0.09765
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.09928

SD0.05344

Sharpe ratio (Glass type estimate)1.85786

Sharpe ratio (Hedges UMVUE)1.81653

df34.00000

t3.17291

p0.00160

Lowerbound of 95% confidence interval for Sharpe Ratio0.61692

Upperbound of 95% confidence interval for Sharpe Ratio3.07505

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.59036

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.04269
 Statistics related to Sortino ratio

Sortino ratio6.72030

Upside Potential Ratio8.26211

Upside part of mean0.12205

Downside part of mean0.02278

Upside SD0.05811

Downside SD0.01477

N nonnegative terms22.00000

N negative terms13.00000
 Statistics related to linear regression on benchmark

N of observations35.00000

Mean of predictor0.05725

Mean of criterion0.09928

SD of predictor0.19862

SD of criterion0.05344

Covariance0.00184

r0.17297

b (slope, estimate of beta)0.04654

a (intercept, estimate of alpha)0.09661

Mean Square Error0.00285

DF error33.00000

t(b)1.00886

p(b)0.16019

t(a)3.07761

p(a)0.00209

Lowerbound of 95% confidence interval for beta0.04731

Upperbound of 95% confidence interval for beta0.14039

Lowerbound of 95% confidence interval for alpha0.03275

Upperbound of 95% confidence interval for alpha0.16048

Treynor index (mean / b)2.13330

Jensen alpha (a)0.09661
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.01695

Expected Shortfall on VaR0.02325
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00354

Expected Shortfall on VaR0.00756
 ORDER STATISTICS
 Quartiles of return rates

Number of observations35.00000

Minimum0.98496

Quartile 11.00017

Median1.00639

Quartile 31.01809

Maximum1.05223

Mean of quarter 10.99560

Mean of quarter 21.00331

Mean of quarter 31.01267

Mean of quarter 41.03173

Inter Quartile Range0.01792

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high2.00000

Percentage of outliers high0.05714

Mean of outliers high1.05136
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.74790

VaR(95%) (moments method)0.00318

Expected Shortfall (moments method)0.00398

Extreme Value Index (regression method)0.00196

VaR(95%) (regression method)0.00770

Expected Shortfall (regression method)0.01328
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations7.00000

Minimum0.00011

Quartile 10.00115

Median0.00539

Quartile 30.00792

Maximum0.01504

Mean of quarter 10.00039

Mean of quarter 20.00351

Mean of quarter 30.00652

Mean of quarter 40.01218

Inter Quartile Range0.00677

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high0.00000

Percentage of outliers high0.00000

Mean of outliers high0.00000
 Risk estimates based on draw downs (based on Extreme Value T

Extreme Value Index (moments method)0.00000

VaR(95%) (moments method)0.00000

Expected Shortfall (moments method)0.00000

Extreme Value Index (regression method)0.00000

VaR(95%) (regression method)0.00000

Expected Shortfall (regression method)0.00000
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.15398

Compounded annual return (geometric extrapolation)0.13563

Calmar ratio (compounded annual return / max draw down)9.01483

Compounded annual return / average of 25% largest draw downs11.13220

Compounded annual return / Expected Shortfall lognormal5.83222

0.00000

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

Mean0.09872

SD0.05204

Sharpe ratio (Glass type estimate)1.89699

Sharpe ratio (Hedges UMVUE)1.89514

df772.00000

t3.25839

p0.00058

Lowerbound of 95% confidence interval for Sharpe Ratio0.75143

Upperbound of 95% confidence interval for Sharpe Ratio3.04139

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.75017

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.04011
 Statistics related to Sortino ratio

Sortino ratio3.57273

Upside Potential Ratio10.58680

Upside part of mean0.29252

Downside part of mean0.19381

Upside SD0.04448

Downside SD0.02763

N nonnegative terms295.00000

N negative terms478.00000
 Statistics related to linear regression on benchmark

N of observations773.00000

Mean of predictor0.09858

Mean of criterion0.09872

SD of predictor0.25478

SD of criterion0.05204

Covariance0.00079

r0.05971

b (slope, estimate of beta)0.01220

a (intercept, estimate of alpha)0.09800

Mean Square Error0.00270

DF error771.00000

t(b)1.66080

p(b)0.04858

t(a)3.22145

p(a)0.00066

Lowerbound of 95% confidence interval for beta0.00222

Upperbound of 95% confidence interval for beta0.02661

Lowerbound of 95% confidence interval for alpha0.03809

Upperbound of 95% confidence interval for alpha0.15694

Treynor index (mean / b)8.09481

Jensen alpha (a)0.09752
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.09734

SD0.05188

Sharpe ratio (Glass type estimate)1.87645

Sharpe ratio (Hedges UMVUE)1.87463

df772.00000

t3.22312

p0.00066

Lowerbound of 95% confidence interval for Sharpe Ratio0.73098

Upperbound of 95% confidence interval for Sharpe Ratio3.02077

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.72974

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.01951
 Statistics related to Sortino ratio

Sortino ratio3.51281

Upside Potential Ratio10.51970

Upside part of mean0.29151

Downside part of mean0.19417

Upside SD0.04423

Downside SD0.02771

N nonnegative terms295.00000

N negative terms478.00000
 Statistics related to linear regression on benchmark

N of observations773.00000

Mean of predictor0.06595

Mean of criterion0.09734

SD of predictor0.25602

SD of criterion0.05188

Covariance0.00080

r0.06055

b (slope, estimate of beta)0.01227

a (intercept, estimate of alpha)0.09653

Mean Square Error0.00268

DF error771.00000

t(b)1.68446

p(b)0.04625

t(a)3.19972

p(a)0.00072

Lowerbound of 95% confidence interval for beta0.00203

Upperbound of 95% confidence interval for beta0.02657

Lowerbound of 95% confidence interval for alpha0.03731

Upperbound of 95% confidence interval for alpha0.15576

Treynor index (mean / b)7.93365

Jensen alpha (a)0.09653
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.00489

Expected Shortfall on VaR0.00622
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00193

Expected Shortfall on VaR0.00388
 ORDER STATISTICS
 Quartiles of return rates

Number of observations773.00000

Minimum0.98749

Quartile 10.99945

Median1.00000

Quartile 31.00116

Maximum1.02684

Mean of quarter 10.99741

Mean of quarter 20.99990

Mean of quarter 31.00030

Mean of quarter 41.00434

Inter Quartile Range0.00170

Number outliers low55.00000

Percentage of outliers low0.07115

Mean of outliers low0.99474

Number of outliers high82.00000

Percentage of outliers high0.10608

Mean of outliers high1.00714
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.19116

VaR(95%) (moments method)0.00248

Expected Shortfall (moments method)0.00398

Extreme Value Index (regression method)0.00245

VaR(95%) (regression method)0.00280

Expected Shortfall (regression method)0.00410
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations50.00000

Minimum0.00001

Quartile 10.00209

Median0.00468

Quartile 30.00995

Maximum0.02694

Mean of quarter 10.00071

Mean of quarter 20.00292

Mean of quarter 30.00791

Mean of quarter 40.01728

Inter Quartile Range0.00786

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high2.00000

Percentage of outliers high0.04000

Mean of outliers high0.02586
 Risk estimates based on draw downs (based on Extreme Value T

Extreme Value Index (moments method)1.20792

VaR(95%) (moments method)0.01850

Expected Shortfall (moments method)0.01932

Extreme Value Index (regression method)0.57999

VaR(95%) (regression method)0.01757

Expected Shortfall (regression method)0.01935
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.15153

Compounded annual return (geometric extrapolation)0.13343

Calmar ratio (compounded annual return / max draw down)4.95201

Compounded annual return / average of 25% largest draw downs7.72187

Compounded annual return / Expected Shortfall lognormal21.45500

0.00000

0.00000
 Analysis based on DAILY values, last 6 months only
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.02208

SD0.03827

Sharpe ratio (Glass type estimate)0.57697

Sharpe ratio (Hedges UMVUE)0.57364

df130.00000

t0.40798

p0.48212

Lowerbound of 95% confidence interval for Sharpe Ratio2.19681

Upperbound of 95% confidence interval for Sharpe Ratio3.34858

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation2.19905

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.34632
 Statistics related to Sortino ratio

Sortino ratio0.96869

Upside Potential Ratio8.31603

Upside part of mean0.18956

Downside part of mean0.16748

Upside SD0.03059

Downside SD0.02279

N nonnegative terms34.00000

N negative terms97.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.00682

Mean of criterion0.02208

SD of predictor0.25182

SD of criterion0.03827

Covariance0.00266

r0.27574

b (slope, estimate of beta)0.04191

a (intercept, estimate of alpha)0.02237

Mean Square Error0.00136

DF error129.00000

t(b)3.25813

p(b)0.32671

t(a)0.42827

p(a)0.47602

Lowerbound of 95% confidence interval for beta0.01646

Upperbound of 95% confidence interval for beta0.06735

Lowerbound of 95% confidence interval for alpha0.08096

Upperbound of 95% confidence interval for alpha0.12570

Treynor index (mean / b)0.52691

Jensen alpha (a)0.02237
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.02135

SD0.03823

Sharpe ratio (Glass type estimate)0.55851

Sharpe ratio (Hedges UMVUE)0.55529

df130.00000

t0.39493

p0.48269

Lowerbound of 95% confidence interval for Sharpe Ratio2.21509

Upperbound of 95% confidence interval for Sharpe Ratio3.33019

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation2.21734

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.32791
 Statistics related to Sortino ratio

Sortino ratio0.93427

Upside Potential Ratio8.27309

Upside part of mean0.18907

Downside part of mean0.16772

Upside SD0.03049

Downside SD0.02285

N nonnegative terms34.00000

N negative terms97.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.03823

Mean of criterion0.02135

SD of predictor0.25155

SD of criterion0.03823

Covariance0.00266

r0.27686

b (slope, estimate of beta)0.04208

a (intercept, estimate of alpha)0.02296

Mean Square Error0.00136

DF error129.00000

t(b)3.27239

p(b)0.32603

t(a)0.44024

p(a)0.47535

VAR (95 Confidence Intrvl)0.00500

Lowerbound of 95% confidence interval for beta0.01664

Upperbound of 95% confidence interval for beta0.06752

Lowerbound of 95% confidence interval for alpha0.08023

Upperbound of 95% confidence interval for alpha0.12615

Treynor index (mean / b)0.50746

Jensen alpha (a)0.02296
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.00380

Expected Shortfall on VaR0.00478
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00186

Expected Shortfall on VaR0.00360
 ORDER STATISTICS
 Quartiles of return rates

Number of observations131.00000

Minimum0.99039

Quartile 10.99941

Median1.00000

Quartile 31.00013

Maximum1.00979

Mean of quarter 10.99786

Mean of quarter 20.99992

Mean of quarter 31.00001

Mean of quarter 41.00298

Inter Quartile Range0.00072

Number outliers low15.00000

Percentage of outliers low0.11450

Mean of outliers low0.99670

Number of outliers high21.00000

Percentage of outliers high0.16031

Mean of outliers high1.00432
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.37243

VaR(95%) (moments method)0.00202

Expected Shortfall (moments method)0.00249

Extreme Value Index (regression method)0.08455

VaR(95%) (regression method)0.00206

Expected Shortfall (regression method)0.00279
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations5.00000

Minimum0.00072

Quartile 10.00487

Median0.00995

Quartile 30.01316

Maximum0.02694

Mean of quarter 10.00279

Mean of quarter 20.00995

Mean of quarter 30.01316

Mean of quarter 40.02694

Inter Quartile Range0.00829

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high1.00000

Percentage of outliers high0.20000

Mean of outliers high0.02694
 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 Negative0.50%

Expected Shortfall (regression method)0.00000

Strat Max DD how much worse than SP500 max DD during strat life?380702000

Max Equity Drawdown (num days)7
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.04987

Compounded annual return (geometric extrapolation)0.05049

Calmar ratio (compounded annual return / max draw down)1.87391

Compounded annual return / average of 25% largest draw downs1.87391

Compounded annual return / Expected Shortfall lognormal10.56660
Strategy Description
Low correlation: Low to no correlation with global equities. This strategy is meant to compliment a passive long equities or balanced portfolio. It can be used as a standalone strategy, but this will require extreme patience as returns will often diverge from the broad market.
Low drawdowns: Low drawdowns and the protection of capital is a key element of this strategy since I trade it with margin in my own account.
Accessibility: This strategy will only trade equities, long and short. As such, it should be accessible for most people with regular margin accounts. I do not recommend following this strategy with more than 1020% of your portfolio. Generally, I think relying on any individual discretionary trader or alternative strategy for a greater percentage than that is too risky. Also, considering the fees, minimum allocation should be at least $100,000, otherwise the fees will likely be too big a drag on returns.
Leverage: Low leverage is the norm. It will rarely be more than 100% net long equities. You are welcome to adjust the leverage according to your personal portfolio needs.
Style: Most trades are discretionary and relatively short term (less than a month). Most trades are made using ETFs, although I occasionally invest in individual stocks where no liquid ETF is available, or the opportunity is unique.
I tend to change my mind frequently. If something is not working, I usually get out quickly. As well, there may be periods where I trade infrequently or not at all if I do not see any interesting opportunities.
Feel free to follow my blog (www.gardcapital.com) or me on Twitter (@gardcapital). I also run a group chat on Telegram for subscribers where I post thoughts on markets and trades I am making. If you are a subscriber and would like to join the group chat send me a message and I will send you an invitation link.
Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.
Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.
Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.
About the results you see on this Web site
Past results are not necessarily indicative of future results.
These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have underor overcompensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.
In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.
Material assumptions and methods used when calculating results
The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.
 Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
 Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been rescaled downward to make current goforward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
 All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any pertrade AutoTrade fees, plus estimated broker commissions if any.
 "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.
Trading is risky
There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.
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Suggested Minimum Capital
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.