Collective2 Collective2
Featured Strategy Day Trade Algo V30/10 Followed by live capital $7,300 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 12/30/2022
Most recent certification approved 12/30/22 9:30 ET
Trades at broker Interactive Brokers (Europe)
Scaling percentage used 100%
# trading signals issued by system since certification 372
# trading signals executed in manager's Interactive Brokers (Europe) account 372
Percent signals followed since 12/30/2022 100%
This information was last updated 10/30/24 16:21 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 12/30/2022, 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.

Quant small cap winners
(143032509)

Powered by BrokerTransmit.
Read important disclosures.

Created by: RAM_Capital RAM_Capital
Started: 12/2022
Stocks
Last trade: 7 days ago
Trading style: Equity Non-hedged Equity Momentum

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 $8.00 per month.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

Trading Category: Equity
Non-hedged Equity
Category: Equity

Non-hedged Equity

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

Momentum

Aims to capitalize on the continuance of existing trends in the market. Trader takes a long position in an asset in an upward trend, and short-sells a security that has been in a downward trend. While similar to Trend-following, tends to be more forward-looking (predicting oncoming trend), while Momentum is more backward-looking (observing already-established price direction).
6.6%
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.

(20.9%)
Max Drawdown
159
Num Trades
47.2%
Win Trades
1.3 : 1
Profit Factor
52.2%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022                                                                             (0.8%)(0.8%)
2023+1.2%(1.4%)(1.6%)+3.6%(0.1%)+4.6%+3.7%+7.0%+8.4%(3.3%)+2.2%+5.0%+32.9%
2024(2.5%)+0.8%+2.3%(7.9%)(1.6%)(7.1%)+7.8%(4.6%)+0.8%(2.6%)            (14.6%)

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.

System developer has asked us to delay this information by 72 hours.

Trading Record

This strategy has placed 370 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/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
9/9/24 10:04 LFVN LIFEVANTAGE CORP LONG 90 9.09 10/21 9:30 12.05 0.37%
Trade id #149322319
Max drawdown($82)
Time9/9/24 15:46
Quant open90
Worst price8.17
Drawdown as % of equity-0.37%
 $265
Includes Typical Broker Commissions trade costs of $1.80
10/7/24 9:30 PDEX PRO-DEX LONG 30 30.94 10/14 9:30 28.63 0.52%
Trade id #149592838
Max drawdown($116)
Time10/8/24 0:00
Quant open30
Worst price27.07
Drawdown as % of equity-0.52%
 ($70)
Includes Typical Broker Commissions trade costs of $0.60
9/16/24 9:30 GHC GRAHAM HOLDINGS CO LONG 2 796.86 10/10 14:00 792.91 0.05%
Trade id #149400307
Max drawdown($12)
Time9/16/24 11:16
Quant open1
Worst price779.45
Drawdown as % of equity-0.05%
 ($8)
Includes Typical Broker Commissions trade costs of $0.04
8/26/24 9:30 ANDE ANDERSONS LONG 33 50.41 10/10 9:52 48.25 0.86%
Trade id #149049738
Max drawdown($190)
Time9/11/24 0:00
Quant open33
Worst price44.65
Drawdown as % of equity-0.86%
 ($72)
Includes Typical Broker Commissions trade costs of $0.66
9/16/24 14:00 FTLF FITLIFE BRANDS INC. LONG 26 32.78 9/30 9:30 32.94 0.06%
Trade id #149411539
Max drawdown($13)
Time9/26/24 0:00
Quant open26
Worst price32.25
Drawdown as % of equity-0.06%
 $3
Includes Typical Broker Commissions trade costs of $0.52
9/9/24 9:30 NR NEWPARK RESOURCES LONG 120 7.24 9/25 10:58 7.05 0.18%
Trade id #149321292
Max drawdown($39)
Time9/11/24 0:00
Quant open120
Worst price6.91
Drawdown as % of equity-0.18%
 ($24)
Includes Typical Broker Commissions trade costs of $2.40
9/19/24 9:30 FCFS FIRST CASH HOLDINGS INC LONG 13 121.10 9/24 13:41 117.29 0.22%
Trade id #149453007
Max drawdown($51)
Time9/20/24 0:00
Quant open13
Worst price117.16
Drawdown as % of equity-0.22%
 ($50)
Includes Typical Broker Commissions trade costs of $0.26
9/16/24 9:30 AAPL APPLE SHORT 5 216.07 9/18 10:26 218.85 0.06%
Trade id #149400487
Max drawdown($12)
Time9/18/24 9:30
Quant open5
Worst price218.66
Drawdown as % of equity-0.06%
 ($14)
Includes Typical Broker Commissions trade costs of $0.10
8/12/24 9:38 IDT IDT LONG 48 35.32 9/16 9:30 37.76 0.19%
Trade id #148890566
Max drawdown($40)
Time8/12/24 12:00
Quant open48
Worst price34.48
Drawdown as % of equity-0.19%
 $116
Includes Typical Broker Commissions trade costs of $0.96
6/10/24 9:30 SCS STEELCASE LONG 155 12.51 9/16 9:30 13.81 0.39%
Trade id #148369473
Max drawdown($87)
Time6/20/24 0:00
Quant open155
Worst price11.95
Drawdown as % of equity-0.39%
 $198
Includes Typical Broker Commissions trade costs of $3.10
9/3/24 9:30 LAUR LAUREATE EDUCATION INC. LONG 111 15.38 9/9 9:31 14.62 0.39%
Trade id #149204492
Max drawdown($86)
Time9/9/24 9:31
Quant open111
Worst price14.60
Drawdown as % of equity-0.39%
 ($86)
Includes Typical Broker Commissions trade costs of $2.22
5/13/24 9:30 LFVN LIFEVANTAGE CORP LONG 336 6.98 9/3 9:30 7.62 2.09%
Trade id #148152867
Max drawdown($447)
Time7/9/24 0:00
Quant open265
Worst price5.22
Drawdown as % of equity-2.09%
 $208
Includes Typical Broker Commissions trade costs of $6.72
8/19/24 9:30 RCMT RCM TECHNOLOGIES LONG 80 19.33 9/3 9:30 20.18 0.21%
Trade id #148951519
Max drawdown($45)
Time8/21/24 0:00
Quant open80
Worst price18.76
Drawdown as % of equity-0.21%
 $66
Includes Typical Broker Commissions trade costs of $1.60
7/29/24 9:30 PBH PRESTIGE CONSUMER HEALTHCARE INC LONG 25 71.01 8/26 9:30 71.94 0.7%
Trade id #148761958
Max drawdown($151)
Time8/12/24 0:00
Quant open25
Worst price64.94
Drawdown as % of equity-0.70%
 $23
Includes Typical Broker Commissions trade costs of $0.50
8/19/24 9:30 GHC GRAHAM HOLDINGS CO LONG 2 758.02 8/26 9:30 791.32 0.12%
Trade id #148951509
Max drawdown($26)
Time8/20/24 0:00
Quant open2
Worst price744.90
Drawdown as % of equity-0.12%
 $67
Includes Typical Broker Commissions trade costs of $0.04
8/12/24 9:30 REPX RILEY EXPLORATION PERMIAN INC LONG 65 26.53 8/20 10:28 26.91 0.23%
Trade id #148890166
Max drawdown($49)
Time8/13/24 0:00
Quant open65
Worst price25.77
Drawdown as % of equity-0.23%
 $24
Includes Typical Broker Commissions trade costs of $1.30
8/12/24 9:30 METC RAMACO RESOURCES INC. COMMON STOCK LONG 125 13.44 8/19 9:57 11.96 1.11%
Trade id #148890171
Max drawdown($241)
Time8/14/24 0:00
Quant open125
Worst price11.51
Drawdown as % of equity-1.11%
 ($189)
Includes Typical Broker Commissions trade costs of $2.50
6/17/24 9:30 ANDE ANDERSONS LONG 39 48.28 8/19 9:30 49.77 0.49%
Trade id #148424260
Max drawdown($106)
Time8/7/24 0:00
Quant open39
Worst price45.55
Drawdown as % of equity-0.49%
 $57
Includes Typical Broker Commissions trade costs of $0.78
11/13/23 9:30 NATR NATURES SUNSHINE PRODUCTS LONG 125 16.79 8/15/24 11:25 12.11 3.43%
Trade id #146417764
Max drawdown($748)
Time8/12/24 0:00
Quant open125
Worst price10.80
Drawdown as % of equity-3.43%
 ($588)
Includes Typical Broker Commissions trade costs of $2.50
7/22/24 9:30 LAUR LAUREATE EDUCATION INC. LONG 120 15.23 8/12 9:30 14.43 0.86%
Trade id #148707573
Max drawdown($195)
Time8/5/24 0:00
Quant open120
Worst price13.60
Drawdown as % of equity-0.86%
 ($98)
Includes Typical Broker Commissions trade costs of $2.40
7/8/24 9:30 CRCT CRICUT INC. CLASS A COMMON STOCK LONG 340 5.60 8/12 9:30 6.34 0.37%
Trade id #148588343
Max drawdown($79)
Time7/9/24 0:00
Quant open340
Worst price5.37
Drawdown as % of equity-0.37%
 $242
Includes Typical Broker Commissions trade costs of $6.80
7/29/24 9:30 FTLF FITLIFE BRANDS INC. LONG 71 32.55 8/12 9:30 29.53 1.67%
Trade id #148761961
Max drawdown($380)
Time8/5/24 0:00
Quant open53
Worst price26.75
Drawdown as % of equity-1.67%
 ($216)
Includes Typical Broker Commissions trade costs of $1.42
7/29/24 9:30 ACU ACME UNITED LONG 40 47.42 8/12 9:30 38.11 2.56%
Trade id #148761949
Max drawdown($582)
Time8/5/24 0:00
Quant open40
Worst price32.85
Drawdown as % of equity-2.56%
 ($374)
Includes Typical Broker Commissions trade costs of $0.80
6/3/24 9:30 DLHC DLH HOLDINGS LONG 166 11.57 8/5 9:30 9.76 1.52%
Trade id #148313314
Max drawdown($335)
Time6/26/24 0:00
Quant open166
Worst price9.55
Drawdown as % of equity-1.52%
 ($304)
Includes Typical Broker Commissions trade costs of $3.32
7/1/24 9:30 HBB HAMILTON BEACH BRANDS HLDG CO LONG 100 17.49 7/29 9:30 20.31 0.59%
Trade id #148543118
Max drawdown($127)
Time7/5/24 0:00
Quant open100
Worst price16.21
Drawdown as % of equity-0.59%
 $280
Includes Typical Broker Commissions trade costs of $2.00
6/24/24 9:30 GHC GRAHAM HOLDINGS CO LONG 2 733.39 7/29 9:30 814.38 0.47%
Trade id #148481867
Max drawdown($100)
Time7/9/24 0:00
Quant open2
Worst price683.00
Drawdown as % of equity-0.47%
 $162
Includes Typical Broker Commissions trade costs of $0.04
7/15/24 9:30 AMPH AMPHASTAR PHARMACEUTICALS INC LONG 47 38.94 7/22 9:30 39.77 0.09%
Trade id #148648068
Max drawdown($19)
Time7/15/24 12:27
Quant open47
Worst price38.52
Drawdown as % of equity-0.09%
 $38
Includes Typical Broker Commissions trade costs of $0.94
7/8/24 9:30 LAUR LAUREATE EDUCATION INC. LONG 125 14.88 7/15 9:30 15.32 0.2%
Trade id #148588323
Max drawdown($43)
Time7/10/24 0:00
Quant open125
Worst price14.53
Drawdown as % of equity-0.20%
 $54
Includes Typical Broker Commissions trade costs of $2.50
7/24/23 9:30 ACU ACME UNITED LONG 65 28.10 7/15/24 9:30 37.95 0.7%
Trade id #145301498
Max drawdown($161)
Time9/11/23 0:00
Quant open65
Worst price25.62
Drawdown as % of equity-0.70%
 $639
Includes Typical Broker Commissions trade costs of $1.30
6/3/24 9:30 LCUT LIFETIME BRANDS LONG 240 10.21 7/12 9:38 7.81 3.57%
Trade id #148313271
Max drawdown($763)
Time7/9/24 0:00
Quant open240
Worst price7.03
Drawdown as % of equity-3.57%
 ($580)
Includes Typical Broker Commissions trade costs of $4.80
Next

Statistics

  • Strategy began
    12/29/2022
  • Suggested Minimum Cap
    $5,000
  • Strategy Age (days)
    671.19
  • Age
    22 months ago
  • What it trades
    Stocks
  • # Trades
    159
  • # Profitable
    75
  • % Profitable
    47.20%
  • Avg trade duration
    42.7 days
  • Max peak-to-valley drawdown
    20.94%
  • drawdown period
    March 27, 2024 - July 10, 2024
  • Annual Return (Compounded)
    6.6%
  • Avg win
    $214.49
  • Avg loss
    $150.88
  • Model Account Values (Raw)
  • Cash
    $15,473
  • Margin Used
    $0
  • Buying Power
    $16,440
  • Ratios
  • W:L ratio
    1.30:1
  • Sharpe Ratio
    0.33
  • Sortino Ratio
    0.46
  • Calmar Ratio
    0.533
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -38.91%
  • Correlation to SP500
    0.30590
  • Return Percent SP500 (cumu) during strategy life
    51.71%
  • Return Statistics
  • Ann Return (w trading costs)
    6.6%
  • Slump
  • Current Slump as Pcnt Equity
    18.20%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.32%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.066%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    10.0%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    65.50%
  • Chance of 20% account loss
    33.50%
  • Chance of 30% account loss
    8.00%
  • Chance of 40% account loss
    1.50%
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    448
  • Popularity (Last 6 weeks)
    854
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    320
  • Popularity (7 days, Percentile 1000 scale)
    755
  • Trades-Own-System Certification
  • Trades Own System?
    Yes
  • TOS percent
    100%
  • Win / Loss
  • Avg Loss
    $151
  • Avg Win
    $214
  • Sum Trade PL (losers)
    $12,674.000
  • Age
  • Num Months filled monthly returns table
    23
  • Win / Loss
  • Sum Trade PL (winners)
    $16,087.000
  • # Winners
    75
  • Num Months Winners
    12
  • Dividends
  • Dividends Received in Model Acct
    432
  • AUM
  • AUM (AutoTrader live capital)
    114395
  • Win / Loss
  • # Losers
    84
  • % Winners
    47.2%
  • Frequency
  • Avg Position Time (mins)
    61471.50
  • Avg Position Time (hrs)
    1024.52
  • Avg Trade Length
    42.7 days
  • Last Trade Ago
    2
  • Leverage
  • Daily leverage (average)
    0.78
  • Daily leverage (max)
    1.49
  • Regression
  • Alpha
    -0.00
  • Beta
    0.33
  • Treynor Index
    0.05
  • 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)
    0.48
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    13.414
  • 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
    0.412
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.399
  • Hold-and-Hope Ratio
    0.084
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.08092
  • SD
    0.14519
  • Sharpe ratio (Glass type estimate)
    0.55730
  • Sharpe ratio (Hedges UMVUE)
    0.53609
  • df
    20.00000
  • t
    0.73724
  • p
    0.41867
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.94102
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.04199
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.95479
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.02697
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.82900
  • Upside Potential Ratio
    2.45020
  • Upside part of mean
    0.23916
  • Downside part of mean
    -0.15824
  • Upside SD
    0.10534
  • Downside SD
    0.09761
  • N nonnegative terms
    12.00000
  • N negative terms
    9.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    21.00000
  • Mean of predictor
    0.21091
  • Mean of criterion
    0.08092
  • SD of predictor
    0.12380
  • SD of criterion
    0.14519
  • Covariance
    -0.00507
  • r
    -0.28200
  • b (slope, estimate of beta)
    -0.33072
  • a (intercept, estimate of alpha)
    0.15067
  • Mean Square Error
    0.02043
  • DF error
    19.00000
  • t(b)
    -1.28119
  • p(b)
    0.67712
  • t(a)
    1.24541
  • p(a)
    0.32733
  • Lowerbound of 95% confidence interval for beta
    -0.87101
  • Upperbound of 95% confidence interval for beta
    0.20956
  • Lowerbound of 95% confidence interval for alpha
    -0.10255
  • Upperbound of 95% confidence interval for alpha
    0.40389
  • Treynor index (mean / b)
    -0.24467
  • Jensen alpha (a)
    0.15067
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.07038
  • SD
    0.14629
  • Sharpe ratio (Glass type estimate)
    0.48110
  • Sharpe ratio (Hedges UMVUE)
    0.46280
  • df
    20.00000
  • t
    0.63644
  • p
    0.42955
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.01376
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.96419
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.02572
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.95131
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.69274
  • Upside Potential Ratio
    2.29600
  • Upside part of mean
    0.23327
  • Downside part of mean
    -0.16289
  • Upside SD
    0.10234
  • Downside SD
    0.10160
  • N nonnegative terms
    12.00000
  • N negative terms
    9.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    21.00000
  • Mean of predictor
    0.20153
  • Mean of criterion
    0.07038
  • SD of predictor
    0.12212
  • SD of criterion
    0.14629
  • Covariance
    -0.00504
  • r
    -0.28212
  • b (slope, estimate of beta)
    -0.33794
  • a (intercept, estimate of alpha)
    0.13849
  • Mean Square Error
    0.02074
  • DF error
    19.00000
  • t(b)
    -1.28177
  • p(b)
    0.67719
  • t(a)
    1.14332
  • p(a)
    0.34023
  • Lowerbound of 95% confidence interval for beta
    -0.88978
  • Upperbound of 95% confidence interval for beta
    0.21389
  • Lowerbound of 95% confidence interval for alpha
    -0.11504
  • Upperbound of 95% confidence interval for alpha
    0.39201
  • Treynor index (mean / b)
    -0.20827
  • Jensen alpha (a)
    0.13849
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06162
  • Expected Shortfall on VaR
    0.07792
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02737
  • Expected Shortfall on VaR
    0.05593
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    21.00000
  • Minimum
    0.89834
  • Quartile 1
    0.98860
  • Median
    1.01423
  • Quartile 3
    1.03933
  • Maximum
    1.07629
  • Mean of quarter 1
    0.95857
  • Mean of quarter 2
    1.00387
  • Mean of quarter 3
    1.02740
  • Mean of quarter 4
    1.05654
  • Inter Quartile Range
    0.05073
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.04762
  • Mean of outliers low
    0.89834
  • 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)
    -1.16706
  • VaR(95%) (moments method)
    0.03405
  • Expected Shortfall (moments method)
    0.03641
  • Extreme Value Index (regression method)
    0.00105
  • VaR(95%) (regression method)
    0.06456
  • Expected Shortfall (regression method)
    0.09596
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00513
  • Quartile 1
    0.01554
  • Median
    0.02049
  • Quartile 3
    0.03173
  • Maximum
    0.17497
  • Mean of quarter 1
    0.01034
  • Mean of quarter 2
    0.02049
  • Mean of quarter 3
    0.03173
  • Mean of quarter 4
    0.17497
  • Inter Quartile Range
    0.01619
  • 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
    0.17497
  • 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)
    0.10725
  • Compounded annual return (geometric extrapolation)
    0.10328
  • Calmar ratio (compounded annual return / max draw down)
    0.59029
  • Compounded annual return / average of 25% largest draw downs
    0.59029
  • Compounded annual return / Expected Shortfall lognormal
    1.32548
  • 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
    0.07727
  • SD
    0.13195
  • Sharpe ratio (Glass type estimate)
    0.58561
  • Sharpe ratio (Hedges UMVUE)
    0.58468
  • df
    473.00000
  • t
    0.78767
  • p
    0.21564
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.87231
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.04299
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.87297
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.04232
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.84195
  • Upside Potential Ratio
    9.17784
  • Upside part of mean
    0.84229
  • Downside part of mean
    -0.76502
  • Upside SD
    0.09473
  • Downside SD
    0.09177
  • N nonnegative terms
    252.00000
  • N negative terms
    222.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    474.00000
  • Mean of predictor
    0.20989
  • Mean of criterion
    0.07727
  • SD of predictor
    0.12821
  • SD of criterion
    0.13195
  • Covariance
    0.00543
  • r
    0.32076
  • b (slope, estimate of beta)
    0.33011
  • a (intercept, estimate of alpha)
    0.00800
  • Mean Square Error
    0.01565
  • DF error
    472.00000
  • t(b)
    7.35743
  • p(b)
    0.00000
  • t(a)
    0.08537
  • p(a)
    0.46600
  • Lowerbound of 95% confidence interval for beta
    0.24195
  • Upperbound of 95% confidence interval for beta
    0.41828
  • Lowerbound of 95% confidence interval for alpha
    -0.17572
  • Upperbound of 95% confidence interval for alpha
    0.19169
  • Treynor index (mean / b)
    0.23407
  • Jensen alpha (a)
    0.00798
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.06856
  • SD
    0.13200
  • Sharpe ratio (Glass type estimate)
    0.51938
  • Sharpe ratio (Hedges UMVUE)
    0.51856
  • df
    473.00000
  • t
    0.69859
  • p
    0.24258
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.93843
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.97666
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.93899
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.97610
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.74076
  • Upside Potential Ratio
    9.05156
  • Upside part of mean
    0.83776
  • Downside part of mean
    -0.76920
  • Upside SD
    0.09402
  • Downside SD
    0.09255
  • N nonnegative terms
    252.00000
  • N negative terms
    222.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    474.00000
  • Mean of predictor
    0.20159
  • Mean of criterion
    0.06856
  • SD of predictor
    0.12820
  • SD of criterion
    0.13200
  • Covariance
    0.00546
  • r
    0.32276
  • b (slope, estimate of beta)
    0.33233
  • a (intercept, estimate of alpha)
    0.00157
  • Mean Square Error
    0.01564
  • DF error
    472.00000
  • t(b)
    7.40859
  • p(b)
    0.00000
  • t(a)
    0.01676
  • p(a)
    0.49332
  • Lowerbound of 95% confidence interval for beta
    0.24419
  • Upperbound of 95% confidence interval for beta
    0.42048
  • Lowerbound of 95% confidence interval for alpha
    -0.18202
  • Upperbound of 95% confidence interval for alpha
    0.18515
  • Treynor index (mean / b)
    0.20630
  • Jensen alpha (a)
    0.00157
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01307
  • Expected Shortfall on VaR
    0.01642
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00649
  • Expected Shortfall on VaR
    0.01246
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    474.00000
  • Minimum
    0.96104
  • Quartile 1
    0.99536
  • Median
    1.00058
  • Quartile 3
    1.00534
  • Maximum
    1.03330
  • Mean of quarter 1
    0.99052
  • Mean of quarter 2
    0.99807
  • Mean of quarter 3
    1.00271
  • Mean of quarter 4
    1.01031
  • Inter Quartile Range
    0.00998
  • Number outliers low
    7.00000
  • Percentage of outliers low
    0.01477
  • Mean of outliers low
    0.97401
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.01266
  • Mean of outliers high
    1.02491
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.18525
  • VaR(95%) (moments method)
    0.00989
  • Expected Shortfall (moments method)
    0.01452
  • Extreme Value Index (regression method)
    0.26152
  • VaR(95%) (regression method)
    0.00932
  • Expected Shortfall (regression method)
    0.01413
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    22.00000
  • Minimum
    0.00270
  • Quartile 1
    0.00511
  • Median
    0.01564
  • Quartile 3
    0.03875
  • Maximum
    0.18991
  • Mean of quarter 1
    0.00373
  • Mean of quarter 2
    0.00877
  • Mean of quarter 3
    0.02817
  • Mean of quarter 4
    0.07825
  • Inter Quartile Range
    0.03364
  • 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
    0.09091
  • Mean of outliers high
    0.14212
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.51508
  • VaR(95%) (moments method)
    0.09451
  • Expected Shortfall (moments method)
    0.20200
  • Extreme Value Index (regression method)
    1.37822
  • VaR(95%) (regression method)
    0.10678
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.10540
  • Compounded annual return (geometric extrapolation)
    0.10127
  • Calmar ratio (compounded annual return / max draw down)
    0.53327
  • Compounded annual return / average of 25% largest draw downs
    1.29422
  • Compounded annual return / Expected Shortfall lognormal
    6.16793
  • 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
    -0.16950
  • SD
    0.14782
  • Sharpe ratio (Glass type estimate)
    -1.14669
  • Sharpe ratio (Hedges UMVUE)
    -1.14006
  • df
    130.00000
  • t
    -0.81083
  • p
    0.53547
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.91982
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.63080
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.91532
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.63521
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.50738
  • Upside Potential Ratio
    6.94761
  • Upside part of mean
    0.78124
  • Downside part of mean
    -0.95074
  • Upside SD
    0.09565
  • Downside SD
    0.11245
  • N nonnegative terms
    61.00000
  • N negative terms
    70.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.26880
  • Mean of criterion
    -0.16950
  • SD of predictor
    0.13101
  • SD of criterion
    0.14782
  • Covariance
    0.00709
  • r
    0.36619
  • b (slope, estimate of beta)
    0.41317
  • a (intercept, estimate of alpha)
    -0.28056
  • Mean Square Error
    0.01907
  • DF error
    129.00000
  • t(b)
    4.46964
  • p(b)
    0.27219
  • t(a)
    -1.42525
  • p(a)
    0.57906
  • Lowerbound of 95% confidence interval for beta
    0.23028
  • Upperbound of 95% confidence interval for beta
    0.59607
  • Lowerbound of 95% confidence interval for alpha
    -0.67004
  • Upperbound of 95% confidence interval for alpha
    0.10891
  • Treynor index (mean / b)
    -0.41024
  • Jensen alpha (a)
    -0.28056
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.18042
  • SD
    0.14816
  • Sharpe ratio (Glass type estimate)
    -1.21769
  • Sharpe ratio (Hedges UMVUE)
    -1.21065
  • df
    130.00000
  • t
    -0.86103
  • p
    0.53765
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.99115
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.56037
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.98636
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.56506
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.58732
  • Upside Potential Ratio
    6.83288
  • Upside part of mean
    0.77663
  • Downside part of mean
    -0.95705
  • Upside SD
    0.09482
  • Downside SD
    0.11366
  • N nonnegative terms
    61.00000
  • N negative terms
    70.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.26011
  • Mean of criterion
    -0.18042
  • SD of predictor
    0.13126
  • SD of criterion
    0.14816
  • Covariance
    0.00720
  • r
    0.37044
  • b (slope, estimate of beta)
    0.41816
  • a (intercept, estimate of alpha)
    -0.28918
  • Mean Square Error
    0.01909
  • DF error
    129.00000
  • t(b)
    4.52967
  • p(b)
    0.26968
  • t(a)
    -1.46905
  • p(a)
    0.58144
  • VAR (95 Confidence Intrvl)
    0.01300
  • Lowerbound of 95% confidence interval for beta
    0.23551
  • Upperbound of 95% confidence interval for beta
    0.60081
  • Lowerbound of 95% confidence interval for alpha
    -0.67866
  • Upperbound of 95% confidence interval for alpha
    0.10029
  • Treynor index (mean / b)
    -0.43145
  • Jensen alpha (a)
    -0.28918
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01562
  • Expected Shortfall on VaR
    0.01937
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00875
  • Expected Shortfall on VaR
    0.01636
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96104
  • Quartile 1
    0.99457
  • Median
    0.99928
  • Quartile 3
    1.00452
  • Maximum
    1.03330
  • Mean of quarter 1
    0.98867
  • Mean of quarter 2
    0.99716
  • Mean of quarter 3
    1.00196
  • Mean of quarter 4
    1.01012
  • Inter Quartile Range
    0.00994
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.01527
  • Mean of outliers low
    0.96522
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.01527
  • Mean of outliers high
    1.02664
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.30260
  • VaR(95%) (moments method)
    0.01230
  • Expected Shortfall (moments method)
    0.02004
  • Extreme Value Index (regression method)
    0.39995
  • VaR(95%) (regression method)
    0.01170
  • Expected Shortfall (regression method)
    0.02040
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.01273
  • Quartile 1
    0.04636
  • Median
    0.07999
  • Quartile 3
    0.11362
  • Maximum
    0.14725
  • Mean of quarter 1
    0.01273
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.14725
  • Inter Quartile Range
    0.06726
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    0.50%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -481874000
  • Max Equity Drawdown (num days)
    105
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.14684
  • Compounded annual return (geometric extrapolation)
    -0.14145
  • Calmar ratio (compounded annual return / max draw down)
    -0.96057
  • Compounded annual return / average of 25% largest draw downs
    -0.96057
  • Compounded annual return / Expected Shortfall lognormal
    -7.30104

Strategy Description

QUANT SMALL CAP WINNERS: Self-made quantitative rotation stock trading system.
• Universe: US micro and small cap stocks (market cap > 70M$), from defensive sectors: utilities, consumer staples, healthcare and energy. These sectors are considered essential and typically maintain their income streams and overall stability during all market conditions.
• Max. number of holdings: 10. Concentrated portfolio.
• Rebalancing: weekly rotation, every week the system checks if value, quality, growth and momentum conditions are met, and send buy/sell trading signals, rebalancing the portfolio accordingly.
• Average trade duration: normally between 30 and 40 days.
• Hedging: when indicator of higher future volatility activates, the system could use a hedge, reducing or selling some or all positions.
• Historical performance, backtest and forward test: > 30%* CAGR since 2000, with much lower DD than benchmark (Russell 2000 or IWM ETF).
* "Disclaimer: Past performance is no guarantee of future results."
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2022-12-29
Suggested Minimum Capital
$5,000
# Trades
159
# Profitable
75
% Profitable
47.2%
Net Dividends
$431
Correlation S&P500
0.306
Sharpe Ratio
0.33
Sortino Ratio
0.46
Beta
0.33
Alpha
-0.00
Leverage
0.78 Average
1.49 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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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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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.