Collective2 Collective2
Featured Strategy Easiest +108.7% Annual Return (Compounded) since Mar 27, 2023 Hypothetical

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These are hypothetical performance results that have certain inherent limitations. Learn more
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Trades-Own-Strategy Certification

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

Trades-Own-Strategy (TOS) Certification Details
Certification process started 10/06/2022
Most recent certification approved 10/6/22 11:21 ET
Trades at broker Israel Interactive Trading (Server2)
Scaling percentage used 100%
# trading signals issued by system since certification 218
# trading signals executed in manager's Israel Interactive Trading (Server2) account 218
Percent signals followed since 10/06/2022 100%
This information was last updated 4/18/24 18:34 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 10/06/2022, 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.

DOW JONES STRATEGY
(141957235)

Created by: JonathanLiberman JonathanLiberman
Started: 09/2022
Stocks
Last trade: Today

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 $20.00 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.

16.4%
Annual Return (Compounded)

Rate of Return Calculations

Overview

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

How Annualized (Compounded) Rate of Return is calculated

= ((Ending_equity / Starting_equity) ^ (1 / age_in_years)) - 1

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

All results are hypothetical.

(20.8%)
Max Drawdown
88
Num Trades
75.0%
Win Trades
3.2 : 1
Profit Factor
55.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022                                                        (1.1%)+9.6%+8.6%(4.5%)+12.4%
2023+7.5%(6.9%)+6.6%+5.0%(11%)+11.5%+3.0%(5.4%)(8.8%)(0.4%)+11.1%+7.6%+17.7%
2024+1.2%(2.7%)+0.9%(3.4%)                                                (4.1%)

Model Account Details

A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.

Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.

Trading Record

This strategy has placed 218 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
12/11/23 12:16 DOG PROSHARES SHORT DOW30 LONG 242 29.96 4/18/24 10:56 29.70 n/a ($67)
Includes Typical Broker Commissions trade costs of $4.84
2/13/24 15:53 HON HONEYWELL INTERNATIONAL LONG 3 193.73 3/12 9:36 199.20 n/a $16
Includes Typical Broker Commissions trade costs of $0.06
1/24/24 6:13 MMM 3M LONG 10 96.64 3/12 9:32 98.75 0.95%
Trade id #147109659
Max drawdown($61)
Time3/4/24 0:00
Quant open10
Worst price90.48
Drawdown as % of equity-0.95%
 $21
Includes Typical Broker Commissions trade costs of $0.20
11/20/23 10:04 CVX CHEVRON LONG 8 144.93 2/29/24 10:55 152.05 0.63%
Trade id #146488374
Max drawdown($42)
Time1/18/24 0:00
Quant open8
Worst price139.62
Drawdown as % of equity-0.63%
 $57
Includes Typical Broker Commissions trade costs of $0.16
1/8/24 15:17 HD HOME DEPOT LONG 5 347.75 2/12 10:24 366.63 0.19%
Trade id #146940698
Max drawdown($12)
Time1/9/24 0:00
Quant open5
Worst price345.25
Drawdown as % of equity-0.19%
 $94
Includes Typical Broker Commissions trade costs of $0.10
12/8/23 8:30 PG PROCTER & GAMBLE LONG 5 145.82 2/1/24 7:19 157.08 0.25%
Trade id #146642765
Max drawdown($16)
Time12/15/23 0:00
Quant open5
Worst price142.50
Drawdown as % of equity-0.25%
 $56
Includes Typical Broker Commissions trade costs of $0.10
11/21/23 10:53 WMT WALMART INC LONG 5 154.45 2/1/24 7:00 165.81 0.38%
Trade id #146499756
Max drawdown($24)
Time12/11/23 0:00
Quant open5
Worst price149.54
Drawdown as % of equity-0.38%
 $57
Includes Typical Broker Commissions trade costs of $0.10
11/20/23 10:03 CSCO CISCO SYSTEMS LONG 20 47.74 1/24/24 9:25 51.97 0.05%
Trade id #146488362
Max drawdown($2)
Time12/5/23 0:00
Quant open20
Worst price47.59
Drawdown as % of equity-0.05%
 $85
Includes Typical Broker Commissions trade costs of $0.40
11/20/23 10:04 JNJ JOHNSON & JOHNSON LONG 6 149.41 1/2/24 9:48 159.42 0.02%
Trade id #146488383
Max drawdown($1)
Time11/20/23 12:43
Quant open6
Worst price149.18
Drawdown as % of equity-0.02%
 $60
Includes Typical Broker Commissions trade costs of $0.12
6/12/23 10:18 MRK MERCK LONG 6 109.58 1/2/24 9:48 111.01 1.22%
Trade id #144897333
Max drawdown($62)
Time10/19/23 0:00
Quant open6
Worst price99.14
Drawdown as % of equity-1.22%
 $9
Includes Typical Broker Commissions trade costs of $0.12
1/5/23 12:06 WBA WALGREEN BOOTS ALLIANCE INC. LONG 90 26.24 12/15 13:08 23.72 9.84%
Trade id #143110924
Max drawdown($538)
Time11/13/23 0:00
Quant open60
Worst price20.00
Drawdown as % of equity-9.84%
 ($229)
Includes Typical Broker Commissions trade costs of $1.80
9/21/23 7:35 DOW DOW INC LONG 12 52.14 12/14 11:48 54.32 1.15%
Trade id #145887891
Max drawdown($58)
Time10/25/23 0:00
Quant open12
Worst price47.26
Drawdown as % of equity-1.15%
 $26
Includes Typical Broker Commissions trade costs of $0.24
1/20/23 9:41 MMM 3M LONG 15 110.16 12/4 10:52 104.88 4.29%
Trade id #143281004
Max drawdown($228)
Time6/1/23 0:00
Quant open10
Worst price92.38
Drawdown as % of equity-4.29%
 ($79)
Includes Typical Broker Commissions trade costs of $0.30
8/11/23 9:42 KO COCA-COLA LONG 10 60.81 11/24 11:02 58.49 1.85%
Trade id #145503954
Max drawdown($92)
Time10/6/23 0:00
Quant open10
Worst price51.55
Drawdown as % of equity-1.85%
 ($23)
Includes Typical Broker Commissions trade costs of $0.20
8/2/23 10:10 HON HONEYWELL INTERNATIONAL LONG 4 193.44 11/24 11:02 193.63 1.48%
Trade id #145404866
Max drawdown($74)
Time10/26/23 0:00
Quant open4
Worst price174.88
Drawdown as % of equity-1.48%
 $1
Includes Typical Broker Commissions trade costs of $0.08
9/21/23 7:38 BA BOEING LONG 4 201.01 11/20 10:03 214.41 1.94%
Trade id #145887911
Max drawdown($99)
Time10/25/23 0:00
Quant open4
Worst price176.25
Drawdown as % of equity-1.94%
 $54
Includes Typical Broker Commissions trade costs of $0.08
9/6/23 11:02 MCD MCDONALD'S LONG 3 276.36 11/17 13:50 276.93 1.83%
Trade id #145748934
Max drawdown($91)
Time10/6/23 0:00
Quant open3
Worst price245.73
Drawdown as % of equity-1.83%
 $2
Includes Typical Broker Commissions trade costs of $0.06
5/16/23 10:45 DIS WALT DISNEY LONG 12 88.36 11/17 13:48 94.09 2.3%
Trade id #144625505
Max drawdown($115)
Time10/4/23 0:00
Quant open12
Worst price78.73
Drawdown as % of equity-2.30%
 $69
Includes Typical Broker Commissions trade costs of $0.24
8/11/23 9:41 AXP AMERICAN EXPRESS LONG 5 163.54 11/17 13:47 161.81 2.26%
Trade id #145503918
Max drawdown($113)
Time10/23/23 0:00
Quant open5
Worst price140.91
Drawdown as % of equity-2.26%
 ($9)
Includes Typical Broker Commissions trade costs of $0.10
9/21/23 7:39 AAPL APPLE LONG 4 174.54 11/17 13:47 189.42 0.71%
Trade id #145887920
Max drawdown($35)
Time10/26/23 0:00
Quant open4
Worst price165.67
Drawdown as % of equity-0.71%
 $60
Includes Typical Broker Commissions trade costs of $0.08
5/19/23 9:47 NKE NIKE LONG 12 108.62 11/3 10:33 107.08 4.78%
Trade id #144674518
Max drawdown($239)
Time9/28/23 0:00
Quant open12
Worst price88.66
Drawdown as % of equity-4.78%
 ($19)
Includes Typical Broker Commissions trade costs of $0.24
4/24/23 12:02 VZ VERIZON COMMUNICATIONS LONG 30 35.79 11/3 10:32 36.16 3.39%
Trade id #144406231
Max drawdown($169)
Time10/6/23 0:00
Quant open30
Worst price30.14
Drawdown as % of equity-3.39%
 $10
Includes Typical Broker Commissions trade costs of $0.60
9/6/23 11:01 JNJ JOHNSON & JOHNSON LONG 6 158.43 10/5 9:46 157.71 0.59%
Trade id #145748899
Max drawdown($30)
Time10/2/23 0:00
Quant open6
Worst price153.32
Drawdown as % of equity-0.59%
 ($4)
Includes Typical Broker Commissions trade costs of $0.12
9/6/23 11:05 UNH UNITEDHEALTH GROUP LONG 1 479.33 9/29 8:52 509.88 0.13%
Trade id #145748975
Max drawdown($7)
Time9/12/23 0:00
Quant open1
Worst price472.12
Drawdown as % of equity-0.13%
 $31
Includes Typical Broker Commissions trade costs of $0.02
8/3/23 9:41 TRV TRAVELERS COMPANIES LONG 10 167.20 9/21 15:51 167.07 1.48%
Trade id #145416314
Max drawdown($79)
Time9/8/23 0:00
Quant open10
Worst price159.21
Drawdown as % of equity-1.48%
 ($1)
Includes Typical Broker Commissions trade costs of $0.20
8/28/23 6:37 GS GOLDMAN SACHS GROUP LONG 2 321.32 9/15 6:30 345.17 0.07%
Trade id #145658403
Max drawdown($4)
Time9/6/23 0:00
Quant open2
Worst price319.31
Drawdown as % of equity-0.07%
 $48
Includes Typical Broker Commissions trade costs of $0.04
8/18/23 9:44 MSFT MICROSOFT LONG 2 314.29 9/6 11:03 331.44 0.1%
Trade id #145571494
Max drawdown($5)
Time8/18/23 10:17
Quant open2
Worst price311.55
Drawdown as % of equity-0.10%
 $34
Includes Typical Broker Commissions trade costs of $0.04
2/6/23 11:57 CVX CHEVRON LONG 4 168.73 7/31 13:49 163.79 1.42%
Trade id #143474310
Max drawdown($75)
Time6/1/23 0:00
Quant open4
Worst price149.74
Drawdown as % of equity-1.42%
 ($20)
Includes Typical Broker Commissions trade costs of $0.08
6/7/23 10:20 KO COCA-COLA LONG 10 60.15 7/26 7:32 61.91 0.23%
Trade id #144859770
Max drawdown($13)
Time7/11/23 0:00
Quant open10
Worst price58.84
Drawdown as % of equity-0.23%
 $18
Includes Typical Broker Commissions trade costs of $0.20
6/7/23 10:25 PG PROCTER & GAMBLE LONG 4 144.46 7/24 9:52 152.94 0.02%
Trade id #144859859
Max drawdown($1)
Time6/7/23 11:51
Quant open4
Worst price144.15
Drawdown as % of equity-0.02%
 $34
Includes Typical Broker Commissions trade costs of $0.08
Next

Statistics

  • Strategy began
    9/28/2022
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    568.45
  • Age
    19 months ago
  • What it trades
    Stocks
  • # Trades
    88
  • # Profitable
    66
  • % Profitable
    75.00%
  • Avg trade duration
    63.0 days
  • Max peak-to-valley drawdown
    20.75%
  • drawdown period
    Aug 01, 2023 - Sept 29, 2023
  • Annual Return (Compounded)
    16.4%
  • Avg win
    $44.80
  • Avg loss
    $48.73
  • Model Account Values (Raw)
  • Cash
    $2,063
  • Margin Used
    $0
  • Buying Power
    $1,495
  • Ratios
  • W:L ratio
    3.22:1
  • Sharpe Ratio
    0.75
  • Sortino Ratio
    1.15
  • Calmar Ratio
    2.112
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -7.89%
  • Correlation to SP500
    0.46220
  • Return Percent SP500 (cumu) during strategy life
    35.08%
  • Return Statistics
  • Ann Return (w trading costs)
    16.4%
  • Slump
  • Current Slump as Pcnt Equity
    7.00%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.16%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.164%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    28.2%
  • Automation
  • Percentage Signals Automated
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    823
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    333
  • Popularity (7 days, Percentile 1000 scale)
    728
  • Trades-Own-System Certification
  • Trades Own System?
    Yes
  • TOS percent
    100%
  • Win / Loss
  • Avg Loss
    $49
  • Avg Win
    $45
  • Sum Trade PL (losers)
    $1,072.000
  • Age
  • Num Months filled monthly returns table
    20
  • Win / Loss
  • Sum Trade PL (winners)
    $2,957.000
  • # Winners
    66
  • Num Months Winners
    11
  • Dividends
  • Dividends Received in Model Acct
    492
  • AUM
  • AUM (AutoTrader live capital)
    45619
  • Win / Loss
  • # Losers
    22
  • % Winners
    75.0%
  • Frequency
  • Avg Position Time (mins)
    90775.40
  • Avg Position Time (hrs)
    1512.92
  • Avg Trade Length
    63.0 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    1.60
  • Daily leverage (max)
    2.69
  • Regression
  • Alpha
    0.02
  • Beta
    0.52
  • Treynor Index
    0.08
  • 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)
    0.18
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    3.234
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.885
  • Avg(MAE) / Avg(PL) - Losing trades
    -2.471
  • Hold-and-Hope Ratio
    0.522
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.24968
  • SD
    0.22667
  • Sharpe ratio (Glass type estimate)
    1.10150
  • Sharpe ratio (Hedges UMVUE)
    1.05205
  • df
    17.00000
  • t
    1.34905
  • p
    0.30527
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.55569
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.72821
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.58686
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.69096
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.23809
  • Upside Potential Ratio
    4.17558
  • Upside part of mean
    0.46583
  • Downside part of mean
    -0.21615
  • Upside SD
    0.20317
  • Downside SD
    0.11156
  • N nonnegative terms
    11.00000
  • N negative terms
    7.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    18.00000
  • Mean of predictor
    0.19878
  • Mean of criterion
    0.24968
  • SD of predictor
    0.13129
  • SD of criterion
    0.22667
  • Covariance
    0.02235
  • r
    0.75091
  • b (slope, estimate of beta)
    1.29641
  • a (intercept, estimate of alpha)
    -0.00802
  • Mean Square Error
    0.02381
  • DF error
    16.00000
  • t(b)
    4.54812
  • p(b)
    0.12455
  • t(a)
    -0.05804
  • p(a)
    0.50726
  • Lowerbound of 95% confidence interval for beta
    0.69215
  • Upperbound of 95% confidence interval for beta
    1.90068
  • Lowerbound of 95% confidence interval for alpha
    -0.30087
  • Upperbound of 95% confidence interval for alpha
    0.28484
  • Treynor index (mean / b)
    0.19259
  • Jensen alpha (a)
    -0.00802
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.22331
  • SD
    0.22200
  • Sharpe ratio (Glass type estimate)
    1.00590
  • Sharpe ratio (Hedges UMVUE)
    0.96074
  • df
    17.00000
  • t
    1.23197
  • p
    0.32026
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.64323
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.62693
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.67182
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.59331
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.93736
  • Upside Potential Ratio
    3.86450
  • Upside part of mean
    0.44545
  • Downside part of mean
    -0.22213
  • Upside SD
    0.19343
  • Downside SD
    0.11527
  • N nonnegative terms
    11.00000
  • N negative terms
    7.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    18.00000
  • Mean of predictor
    0.18875
  • Mean of criterion
    0.22331
  • SD of predictor
    0.13015
  • SD of criterion
    0.22200
  • Covariance
    0.02162
  • r
    0.74830
  • b (slope, estimate of beta)
    1.27645
  • a (intercept, estimate of alpha)
    -0.01762
  • Mean Square Error
    0.02304
  • DF error
    16.00000
  • t(b)
    4.51216
  • p(b)
    0.12585
  • t(a)
    -0.13057
  • p(a)
    0.51631
  • Lowerbound of 95% confidence interval for beta
    0.67675
  • Upperbound of 95% confidence interval for beta
    1.87616
  • Lowerbound of 95% confidence interval for alpha
    -0.30372
  • Upperbound of 95% confidence interval for alpha
    0.26848
  • Treynor index (mean / b)
    0.17495
  • Jensen alpha (a)
    -0.01762
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.08314
  • Expected Shortfall on VaR
    0.10712
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03601
  • Expected Shortfall on VaR
    0.06751
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    18.00000
  • Minimum
    0.91251
  • Quartile 1
    0.96952
  • Median
    1.02173
  • Quartile 3
    1.08245
  • Maximum
    1.11971
  • Mean of quarter 1
    0.94645
  • Mean of quarter 2
    0.99431
  • Mean of quarter 3
    1.04822
  • Mean of quarter 4
    1.10281
  • Inter Quartile Range
    0.11293
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.07353
  • VaR(95%) (moments method)
    0.05895
  • Expected Shortfall (moments method)
    0.07401
  • Extreme Value Index (regression method)
    0.78296
  • VaR(95%) (regression method)
    0.06791
  • Expected Shortfall (regression method)
    0.23878
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.03455
  • Quartile 1
    0.03977
  • Median
    0.04847
  • Quartile 3
    0.06379
  • Maximum
    0.11801
  • Mean of quarter 1
    0.03716
  • Mean of quarter 2
    0.04847
  • Mean of quarter 3
    0.06379
  • Mean of quarter 4
    0.11801
  • Inter Quartile Range
    0.02401
  • 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
    0.20000
  • Mean of outliers high
    0.11801
  • 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)
    0.30510
  • Compounded annual return (geometric extrapolation)
    0.28559
  • Calmar ratio (compounded annual return / max draw down)
    2.41996
  • Compounded annual return / average of 25% largest draw downs
    2.41996
  • Compounded annual return / Expected Shortfall lognormal
    2.66610
  • 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
    0.23763
  • SD
    0.15818
  • Sharpe ratio (Glass type estimate)
    1.50225
  • Sharpe ratio (Hedges UMVUE)
    1.49944
  • df
    402.00000
  • t
    1.86313
  • p
    0.03159
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.08239
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.08507
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.08428
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.08316
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.44091
  • Upside Potential Ratio
    10.57660
  • Upside part of mean
    1.02966
  • Downside part of mean
    -0.79203
  • Upside SD
    0.12529
  • Downside SD
    0.09735
  • N nonnegative terms
    211.00000
  • N negative terms
    192.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    403.00000
  • Mean of predictor
    0.17776
  • Mean of criterion
    0.23763
  • SD of predictor
    0.15369
  • SD of criterion
    0.15818
  • Covariance
    0.01173
  • r
    0.48268
  • b (slope, estimate of beta)
    0.49678
  • a (intercept, estimate of alpha)
    0.14900
  • Mean Square Error
    0.01924
  • DF error
    401.00000
  • t(b)
    11.03630
  • p(b)
    -0.00000
  • t(a)
    1.33170
  • p(a)
    0.09186
  • Lowerbound of 95% confidence interval for beta
    0.40829
  • Upperbound of 95% confidence interval for beta
    0.58527
  • Lowerbound of 95% confidence interval for alpha
    -0.07111
  • Upperbound of 95% confidence interval for alpha
    0.36975
  • Treynor index (mean / b)
    0.47834
  • Jensen alpha (a)
    0.14932
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.22508
  • SD
    0.15767
  • Sharpe ratio (Glass type estimate)
    1.42757
  • Sharpe ratio (Hedges UMVUE)
    1.42490
  • df
    402.00000
  • t
    1.77051
  • p
    0.03870
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.15670
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.01010
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.15849
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.00829
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.29338
  • Upside Potential Ratio
    10.41150
  • Upside part of mean
    1.02181
  • Downside part of mean
    -0.79674
  • Upside SD
    0.12393
  • Downside SD
    0.09814
  • N nonnegative terms
    211.00000
  • N negative terms
    192.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    403.00000
  • Mean of predictor
    0.16596
  • Mean of criterion
    0.22508
  • SD of predictor
    0.15322
  • SD of criterion
    0.15767
  • Covariance
    0.01167
  • r
    0.48297
  • b (slope, estimate of beta)
    0.49697
  • a (intercept, estimate of alpha)
    0.14260
  • Mean Square Error
    0.01911
  • DF error
    401.00000
  • t(b)
    11.04490
  • p(b)
    -0.00000
  • t(a)
    1.27660
  • p(a)
    0.10124
  • Lowerbound of 95% confidence interval for beta
    0.40851
  • Upperbound of 95% confidence interval for beta
    0.58543
  • Lowerbound of 95% confidence interval for alpha
    -0.07700
  • Upperbound of 95% confidence interval for alpha
    0.36220
  • Treynor index (mean / b)
    0.45290
  • Jensen alpha (a)
    0.14260
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01505
  • Expected Shortfall on VaR
    0.01904
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00678
  • Expected Shortfall on VaR
    0.01315
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    403.00000
  • Minimum
    0.96959
  • Quartile 1
    0.99598
  • Median
    1.00035
  • Quartile 3
    1.00554
  • Maximum
    1.04435
  • Mean of quarter 1
    0.98971
  • Mean of quarter 2
    0.99845
  • Mean of quarter 3
    1.00263
  • Mean of quarter 4
    1.01327
  • Inter Quartile Range
    0.00956
  • Number outliers low
    12.00000
  • Percentage of outliers low
    0.02978
  • Mean of outliers low
    0.97792
  • Number of outliers high
    17.00000
  • Percentage of outliers high
    0.04218
  • Mean of outliers high
    1.02660
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00366
  • VaR(95%) (moments method)
    0.00928
  • Expected Shortfall (moments method)
    0.01258
  • Extreme Value Index (regression method)
    -0.10323
  • VaR(95%) (regression method)
    0.01003
  • Expected Shortfall (regression method)
    0.01315
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    25.00000
  • Minimum
    0.00080
  • Quartile 1
    0.00334
  • Median
    0.00643
  • Quartile 3
    0.03514
  • Maximum
    0.13628
  • Mean of quarter 1
    0.00232
  • Mean of quarter 2
    0.00523
  • Mean of quarter 3
    0.02116
  • Mean of quarter 4
    0.07775
  • Inter Quartile Range
    0.03180
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.08000
  • Mean of outliers high
    0.11449
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.78673
  • VaR(95%) (moments method)
    0.07618
  • Expected Shortfall (moments method)
    0.08360
  • Extreme Value Index (regression method)
    0.22412
  • VaR(95%) (regression method)
    0.08976
  • Expected Shortfall (regression method)
    0.13996
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.30927
  • Compounded annual return (geometric extrapolation)
    0.28786
  • Calmar ratio (compounded annual return / max draw down)
    2.11237
  • Compounded annual return / average of 25% largest draw downs
    3.70250
  • Compounded annual return / Expected Shortfall lognormal
    15.11670
  • 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
    0.29303
  • SD
    0.12395
  • Sharpe ratio (Glass type estimate)
    2.36412
  • Sharpe ratio (Hedges UMVUE)
    2.35046
  • df
    130.00000
  • t
    1.67169
  • p
    0.42747
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.42691
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.14630
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.43603
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.13695
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.13020
  • Upside Potential Ratio
    11.80350
  • Upside part of mean
    0.83743
  • Downside part of mean
    -0.54440
  • Upside SD
    0.10267
  • Downside SD
    0.07095
  • 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
    0.25127
  • Mean of criterion
    0.29303
  • SD of predictor
    0.11802
  • SD of criterion
    0.12395
  • Covariance
    0.00507
  • r
    0.34635
  • b (slope, estimate of beta)
    0.36376
  • a (intercept, estimate of alpha)
    0.20163
  • Mean Square Error
    0.01362
  • DF error
    129.00000
  • t(b)
    4.19336
  • p(b)
    0.28400
  • t(a)
    1.21091
  • p(a)
    0.43264
  • Lowerbound of 95% confidence interval for beta
    0.19213
  • Upperbound of 95% confidence interval for beta
    0.53539
  • Lowerbound of 95% confidence interval for alpha
    -0.12781
  • Upperbound of 95% confidence interval for alpha
    0.53107
  • Treynor index (mean / b)
    0.80555
  • Jensen alpha (a)
    0.20163
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.28525
  • SD
    0.12354
  • Sharpe ratio (Glass type estimate)
    2.30895
  • Sharpe ratio (Hedges UMVUE)
    2.29561
  • df
    130.00000
  • t
    1.63268
  • p
    0.42912
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.48127
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.09057
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.49021
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.08142
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.99188
  • Upside Potential Ratio
    11.64510
  • Upside part of mean
    0.83213
  • Downside part of mean
    -0.54688
  • Upside SD
    0.10174
  • Downside SD
    0.07146
  • 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
    0.24422
  • Mean of criterion
    0.28525
  • SD of predictor
    0.11789
  • SD of criterion
    0.12354
  • Covariance
    0.00504
  • r
    0.34589
  • b (slope, estimate of beta)
    0.36247
  • a (intercept, estimate of alpha)
    0.19673
  • Mean Square Error
    0.01354
  • DF error
    129.00000
  • t(b)
    4.18706
  • p(b)
    0.28427
  • t(a)
    1.18570
  • p(a)
    0.43402
  • VAR (95 Confidence Intrvl)
    0.01500
  • Lowerbound of 95% confidence interval for beta
    0.19119
  • Upperbound of 95% confidence interval for beta
    0.53375
  • Lowerbound of 95% confidence interval for alpha
    -0.13154
  • Upperbound of 95% confidence interval for alpha
    0.52499
  • Treynor index (mean / b)
    0.78696
  • Jensen alpha (a)
    0.19673
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01140
  • Expected Shortfall on VaR
    0.01454
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00466
  • Expected Shortfall on VaR
    0.00930
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97588
  • Quartile 1
    0.99715
  • Median
    1.00016
  • Quartile 3
    1.00493
  • Maximum
    1.02900
  • Mean of quarter 1
    0.99299
  • Mean of quarter 2
    0.99898
  • Mean of quarter 3
    1.00222
  • Mean of quarter 4
    1.01075
  • Inter Quartile Range
    0.00778
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.01527
  • Mean of outliers low
    0.97762
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.03053
  • Mean of outliers high
    1.02502
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.25270
  • VaR(95%) (moments method)
    0.00706
  • Expected Shortfall (moments method)
    0.01136
  • Extreme Value Index (regression method)
    0.25942
  • VaR(95%) (regression method)
    0.00697
  • Expected Shortfall (regression method)
    0.01118
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    11.00000
  • Minimum
    0.00080
  • Quartile 1
    0.00310
  • Median
    0.00721
  • Quartile 3
    0.01522
  • Maximum
    0.05882
  • Mean of quarter 1
    0.00195
  • Mean of quarter 2
    0.00472
  • Mean of quarter 3
    0.00953
  • Mean of quarter 4
    0.04279
  • Inter Quartile Range
    0.01212
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.18182
  • Mean of outliers high
    0.05420
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -66.19390
  • VaR(95%) (moments method)
    0.04013
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -2.67898
  • VaR(95%) (regression method)
    0.08459
  • Last 4 Months - Pcnt Negative
    0.50%
  • Expected Shortfall (regression method)
    0.08523
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -352057000
  • Max Equity Drawdown (num days)
    59
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.33901
  • Compounded annual return (geometric extrapolation)
    0.36774
  • Calmar ratio (compounded annual return / max draw down)
    6.25144
  • Compounded annual return / average of 25% largest draw downs
    8.59414
  • Compounded annual return / Expected Shortfall lognormal
    25.28470

Strategy Description


My strategy trades companies from the Dow Jones index. These are often old, established companies that are steady and reliable. They don't volatile wildly and that's exactly what I look for - stability.

Part of my strategy involves looking at how
these companies have managed during difficult times. If a company has shown it
can bounce back and recover well, it's a good sign. This resilience is a key
factor in my selection process.
Next, I check the company's financial
health. I dive into their financial reports, studying things like earnings, how
much cash they have on hand, and their overall financial picture. If all the
signs are positive, it means the company is doing well and is likely to
continue to do so.
Only when a company meets both these
criteria - it's resilient and financially healthy - do I consider trading its
shares. My goal is to make steady and consistent profits. It's not about making
a quick profits; it's about long-term gains.
This approach does take hard work and
careful analysis. But it's worth it because it minimizes risk and increases the
chance of making profitable trades. The aim is to build wealth slowly and
steadily, and this strategy has proven to be successful for me in achieving that
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2022-09-28
Suggested Minimum Capital
$15,000
# Trades
88
# Profitable
66
% Profitable
75.0%
Net Dividends
$491
Correlation S&P500
0.462
Sharpe Ratio
0.75
Sortino Ratio
1.15
Beta
0.52
Alpha
0.02
Leverage
1.60 Average
2.69 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.