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Diversified American Dream

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

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

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."
33.8%
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.

(36.2%)
Max Drawdown
165
Num Trades
52.7%
Win Trades
2.5 : 1
Profit Factor
57.1%
Win Months
Hypothetical Monthly Returns (includes system fee and Interactive Brokers commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022                                                                             (0.5%)(0.5%)
2023+11.3%(4%)+8.0%(9.9%)+16.0%+11.6%+13.0%(8.8%)(13.2%)(8.2%)+31.5%+22.5%+78.1%
2024(3.5%)+16.8%+5.5%(15.5%)+11.1%+3.8%+1.4%(8.3%)+9.2%+11.6%+24.4%(16.8%)+35.8%
2025+5.6%(13.9%)(12.8%)                                                      (20.6%)

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 168 hours.

Trading Record

This strategy has placed 171 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
11/6/23 15:57 CVNA CARVANA CO LONG 23 33.26 3/7/25 9:32 183.72 0.2%
Trade id #146350991
Max drawdown($126)
Time11/13/23 0:00
Quant open23
Worst price27.75
Drawdown as % of equity-0.20%
 $3,459
Includes Typical Broker Commissions trade costs of $2.00
8/2/24 15:51 ACN ACCENTURE LONG 11 321.95 3/6/25 13:37 342.24 0.14%
Trade id #148812182
Max drawdown($128)
Time8/5/24 0:00
Quant open11
Worst price310.23
Drawdown as % of equity-0.14%
 $221
Includes Typical Broker Commissions trade costs of $2.00
12/18/24 15:54 ETSY ETSY INC. COMMON STOCK LONG 96 56.66 3/6/25 11:40 46.98 0.85%
Trade id #150358336
Max drawdown($934)
Time3/6/25 11:40
Quant open96
Worst price46.93
Drawdown as % of equity-0.85%
 ($931)
Includes Typical Broker Commissions trade costs of $2.00
8/5/24 15:57 MSCI MSCI LONG 7 518.13 3/4/25 11:24 562.09 0.01%
Trade id #148835808
Max drawdown($4)
Time8/5/24 16:00
Quant open7
Worst price517.43
Drawdown as % of equity-0.01%
 $306
Includes Typical Broker Commissions trade costs of $2.00
10/28/24 15:52 GTLB GITLAB INC. CLASS A COMMON STOCK LONG 90 53.88 3/4/25 9:30 53.68 0.05%
Trade id #149868426
Max drawdown($54)
Time10/31/24 0:00
Quant open90
Worst price53.28
Drawdown as % of equity-0.05%
 ($20)
Includes Typical Broker Commissions trade costs of $2.00
8/7/24 15:59 ILMN ILLUMINA LONG 28 121.08 2/27/25 14:42 88.90 0.81%
Trade id #148861007
Max drawdown($901)
Time2/27/25 14:42
Quant open28
Worst price88.90
Drawdown as % of equity-0.81%
 ($903)
Includes Typical Broker Commissions trade costs of $2.00
1/31/25 15:30 SNPS SYNOPSYS LONG 10 524.92 2/27 14:32 456.56 0.62%
Trade id #150734616
Max drawdown($683)
Time2/27/25 14:32
Quant open10
Worst price456.56
Drawdown as % of equity-0.62%
 ($686)
Includes Typical Broker Commissions trade costs of $2.00
4/17/23 15:26 HIVE DIGITAL TECHNOLOGIES LTD LONG 250 3.83 2/26/25 11:51 2.14 0.38%
Trade id #144341426
Max drawdown($422)
Time2/26/25 11:51
Quant open250
Worst price2.14
Drawdown as % of equity-0.38%
 ($425)
Includes Typical Broker Commissions trade costs of $2.50
4/15/24 15:57 PYPL PAYPAL HOLDINGS CORP LONG 60 63.59 2/24/25 10:01 74.54 0.39%
Trade id #147913752
Max drawdown($396)
Time7/26/24 0:00
Quant open60
Worst price56.97
Drawdown as % of equity-0.39%
 $655
Includes Typical Broker Commissions trade costs of $2.00
12/5/23 15:53 HUT HUT 8 MINING CORP. COMMON SHARES LONG 40 11.35 2/24/25 9:57 16.54 0.25%
Trade id #146619841
Max drawdown($206)
Time1/19/24 0:00
Quant open40
Worst price6.18
Drawdown as % of equity-0.25%
 $206
Includes Typical Broker Commissions trade costs of $2.00
6/4/24 15:52 FVRR FIVERR INTERNATIONAL LTD LONG 138 24.44 2/21/25 11:30 26.86 0.48%
Trade id #148329526
Max drawdown($505)
Time7/2/24 0:00
Quant open138
Worst price20.77
Drawdown as % of equity-0.48%
 $332
Includes Typical Broker Commissions trade costs of $2.00
7/26/24 15:49 AI C3.AI INC LONG 96 27.80 2/20/25 9:57 28.69 0.96%
Trade id #148753724
Max drawdown($858)
Time9/5/24 0:00
Quant open96
Worst price18.85
Drawdown as % of equity-0.96%
 $83
Includes Typical Broker Commissions trade costs of $2.00
3/6/24 13:33 IREN IREN LIMITED LONG 374 5.43 1/28/25 11:26 9.40 0.54%
Trade id #147556232
Max drawdown($480)
Time5/1/24 0:00
Quant open374
Worst price4.15
Drawdown as % of equity-0.54%
 $1,479
Includes Typical Broker Commissions trade costs of $3.74
1/13/23 15:37 NVDA NVIDIA LONG 150 16.89 1/27/25 11:27 119.70 0.05%
Trade id #148382645
Max drawdown($23)
Time1/19/23 0:00
Quant open150
Worst price16.73
Drawdown as % of equity-0.05%
 $15,420
Includes Typical Broker Commissions trade costs of $2.00
4/16/24 15:42 WULF TERAWULF INC. COMMON STOCK LONG 920 1.89 1/27/25 11:08 4.70 0.02%
Trade id #147927499
Max drawdown($13)
Time4/16/24 15:56
Quant open920
Worst price1.87
Drawdown as % of equity-0.02%
 $2,581
Includes Typical Broker Commissions trade costs of $9.20
4/26/24 15:43 BILI BILIBILI INC. ADS LONG 200 13.19 1/10/25 9:30 16.15 0.2%
Trade id #148026153
Max drawdown($175)
Time5/1/24 0:00
Quant open200
Worst price12.31
Drawdown as % of equity-0.20%
 $591
Includes Typical Broker Commissions trade costs of $2.00
10/31/24 15:38 CZR CAESERS ENTERTAINMENT INC LONG 120 39.98 1/10/25 9:30 31.29 0.85%
Trade id #149923742
Max drawdown($1,069)
Time1/10/25 9:30
Quant open120
Worst price31.06
Drawdown as % of equity-0.85%
 ($1,044)
Includes Typical Broker Commissions trade costs of $2.00
8/9/24 15:44 BITF BITFARMS LTD. COMMON STOCK LONG 1,150 2.27 12/31 12:39 1.49 0.73%
Trade id #148881299
Max drawdown($902)
Time12/31/24 12:39
Quant open1,150
Worst price1.49
Drawdown as % of equity-0.73%
 ($913)
Includes Typical Broker Commissions trade costs of $11.50
5/2/24 15:56 BABA ALIBABA GROUP HOLDING LIMITED LONG 46 80.38 12/20 9:30 82.27 0.38%
Trade id #148078435
Max drawdown($394)
Time6/28/24 0:00
Quant open46
Worst price71.80
Drawdown as % of equity-0.38%
 $85
Includes Typical Broker Commissions trade costs of $2.00
8/2/24 15:39 ADBE ADOBE INC LONG 7 525.48 12/20 9:30 432.74 0.51%
Trade id #148811878
Max drawdown($651)
Time12/20/24 9:30
Quant open7
Worst price432.47
Drawdown as % of equity-0.51%
 ($651)
Includes Typical Broker Commissions trade costs of $2.00
4/19/24 15:52 CGC CANOPY GROWTH CORP LONG 170 7.95 12/19 14:44 2.75 0.67%
Trade id #147961669
Max drawdown($883)
Time12/19/24 14:44
Quant open170
Worst price2.75
Drawdown as % of equity-0.67%
 ($885)
Includes Typical Broker Commissions trade costs of $2.00
6/4/24 15:40 UNH UNITEDHEALTH GROUP LONG 8 504.43 12/11 9:50 537.23 0.2%
Trade id #148329336
Max drawdown($210)
Time6/20/24 0:00
Quant open8
Worst price478.11
Drawdown as % of equity-0.20%
 $260
Includes Typical Broker Commissions trade costs of $2.00
8/5/24 15:43 PFE PFIZER LONG 120 29.77 11/15 9:31 25.15 0.44%
Trade id #148835392
Max drawdown($573)
Time11/15/24 9:31
Quant open120
Worst price25.00
Drawdown as % of equity-0.44%
 ($556)
Includes Typical Broker Commissions trade costs of $2.00
5/6/24 15:56 HSY HERSHEY COMPANY LONG 20 196.70 10/30 14:37 177.40 0.32%
Trade id #148104260
Max drawdown($389)
Time10/30/24 14:37
Quant open20
Worst price177.22
Drawdown as % of equity-0.32%
 ($388)
Includes Typical Broker Commissions trade costs of $2.00
8/5/24 15:47 ZTS ZOETIS INC LONG 21 174.62 10/25 15:59 179.85 0.01%
Trade id #148835491
Max drawdown($10)
Time8/5/24 15:53
Quant open21
Worst price174.10
Drawdown as % of equity-0.01%
 $108
Includes Typical Broker Commissions trade costs of $2.00
2/16/24 11:41 ENPH ENPHASE ENERGY LONG 18 136.08 10/23 9:30 76.86 0.92%
Trade id #147356130
Max drawdown($1,069)
Time10/23/24 9:30
Quant open18
Worst price76.68
Drawdown as % of equity-0.92%
 ($1,068)
Includes Typical Broker Commissions trade costs of $2.00
11/14/23 15:30 VZ VERIZON COMMUNICATIONS LONG 75 35.90 10/22/24 9:34 40.80 0.01%
Trade id #146437613
Max drawdown($6)
Time11/14/23 15:52
Quant open75
Worst price35.81
Drawdown as % of equity-0.01%
 $366
Includes Typical Broker Commissions trade costs of $2.00
2/22/24 14:24 TSN TYSON FOODS LONG 73 53.05 10/8 10:01 57.58 0.07%
Trade id #147414447
Max drawdown($68)
Time3/4/24 0:00
Quant open73
Worst price52.11
Drawdown as % of equity-0.07%
 $329
Includes Typical Broker Commissions trade costs of $2.00
4/15/24 15:59 MRNA MODERNA INC. COMMON STOCK LONG 30 103.91 9/3 15:35 72.95 1.02%
Trade id #147913824
Max drawdown($929)
Time9/3/24 15:35
Quant open30
Worst price72.91
Drawdown as % of equity-1.02%
 ($931)
Includes Typical Broker Commissions trade costs of $2.00
11/15/23 15:55 TASK TASKUS INC. CLASS A COMMON STOCK LONG 120 12.72 8/30/24 10:53 13.07 0.28%
Trade id #146453916
Max drawdown($259)
Time4/16/24 0:00
Quant open120
Worst price10.56
Drawdown as % of equity-0.28%
 $39
Includes Typical Broker Commissions trade costs of $2.00
Next

Statistics

  • Strategy began
    12/27/2022
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    807.7
  • Age
    27 months ago
  • What it trades
    Stocks
  • # Trades
    165
  • # Profitable
    87
  • % Profitable
    52.70%
  • Avg trade duration
    190.0 days
  • Max peak-to-valley drawdown
    36.24%
  • drawdown period
    Dec 06, 2024 - March 13, 2025
  • Annual Return (Compounded)
    34.2%
  • Avg win
    $1,010
  • Avg loss
    $476.85
  • Model Account Values (Raw)
  • Cash
    $50,208
  • Margin Used
    $0
  • Buying Power
    $54,391
  • Ratios
  • W:L ratio
    2.46:1
  • Sharpe Ratio
    0.82
  • Sortino Ratio
    1.19
  • Calmar Ratio
    1.072
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    47.91%
  • Correlation to SP500
    0.61360
  • Return Percent SP500 (cumu) during strategy life
    44.19%
  • Return Statistics
  • Ann Return (w trading costs)
    34.2%
  • Slump
  • Current Slump as Pcnt Equity
    56.80%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.12%
  • Return Statistics
  • Return Pcnt Since TOS Status
    12.250%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.342%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    36.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    59.00%
  • Chance of 20% account loss
    30.50%
  • Chance of 30% account loss
    19.50%
  • Chance of 40% account loss
    3.00%
  • 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
    0.50%
  • Popularity
  • Popularity (Today)
    485
  • Popularity (Last 6 weeks)
    912
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Performance-weighted percentile
    470
  • Popularity (7 days, Percentile 1000 scale)
    745
  • Trades-Own-System Certification
  • Trades Own System?
    Yes
  • TOS percent
    80%
  • Win / Loss
  • Avg Loss
    $489
  • Avg Win
    $1,007
  • Sum Trade PL (losers)
    $38,603.000
  • Age
  • Num Months filled monthly returns table
    28
  • Win / Loss
  • Sum Trade PL (winners)
    $86,583.000
  • # Winners
    86
  • Num Months Winners
    16
  • Dividends
  • Dividends Received in Model Acct
    1874
  • AUM
  • AUM (AutoTrader live capital)
    130952
  • Win / Loss
  • # Losers
    79
  • % Winners
    52.1%
  • Frequency
  • Avg Position Time (mins)
    273573.00
  • Avg Position Time (hrs)
    4559.55
  • Avg Trade Length
    190.0 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    1.13
  • Daily leverage (max)
    1.84
  • Regression
  • Alpha
    0.02
  • Beta
    1.59
  • Treynor Index
    0.06
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.12
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    1.225
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    0.174
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.095
  • Hold-and-Hope Ratio
    0.813
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.42681
  • SD
    0.43373
  • Sharpe ratio (Glass type estimate)
    0.98404
  • Sharpe ratio (Hedges UMVUE)
    0.95417
  • df
    25.00000
  • t
    1.44847
  • p
    0.07996
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.38424
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.33356
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.40337
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.31172
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.07545
  • Upside Potential Ratio
    4.13854
  • Upside part of mean
    0.85108
  • Downside part of mean
    -0.42427
  • Upside SD
    0.39215
  • Downside SD
    0.20565
  • N nonnegative terms
    14.00000
  • N negative terms
    12.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    26.00000
  • Mean of predictor
    0.17115
  • Mean of criterion
    0.42681
  • SD of predictor
    0.13266
  • SD of criterion
    0.43373
  • Covariance
    0.04771
  • r
    0.82910
  • b (slope, estimate of beta)
    2.71068
  • a (intercept, estimate of alpha)
    -0.03711
  • Mean Square Error
    0.06126
  • DF error
    24.00000
  • t(b)
    7.26477
  • p(b)
    0.00000
  • t(a)
    -0.20633
  • p(a)
    0.58086
  • Lowerbound of 95% confidence interval for beta
    1.94058
  • Upperbound of 95% confidence interval for beta
    3.48077
  • Lowerbound of 95% confidence interval for alpha
    -0.40833
  • Upperbound of 95% confidence interval for alpha
    0.33411
  • Treynor index (mean / b)
    0.15746
  • Jensen alpha (a)
    -0.03711
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.33566
  • SD
    0.41372
  • Sharpe ratio (Glass type estimate)
    0.81131
  • Sharpe ratio (Hedges UMVUE)
    0.78668
  • df
    25.00000
  • t
    1.19421
  • p
    0.12180
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.54674
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.15368
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.56259
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.13595
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.53818
  • Upside Potential Ratio
    3.58260
  • Upside part of mean
    0.78179
  • Downside part of mean
    -0.44613
  • Upside SD
    0.35546
  • Downside SD
    0.21822
  • N nonnegative terms
    14.00000
  • N negative terms
    12.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    26.00000
  • Mean of predictor
    0.16134
  • Mean of criterion
    0.33566
  • SD of predictor
    0.13072
  • SD of criterion
    0.41372
  • Covariance
    0.04517
  • r
    0.83523
  • b (slope, estimate of beta)
    2.64345
  • a (intercept, estimate of alpha)
    -0.09084
  • Mean Square Error
    0.05392
  • DF error
    24.00000
  • t(b)
    7.44087
  • p(b)
    0.00000
  • t(a)
    -0.54124
  • p(a)
    0.70333
  • Lowerbound of 95% confidence interval for beta
    1.91023
  • Upperbound of 95% confidence interval for beta
    3.37667
  • Lowerbound of 95% confidence interval for alpha
    -0.43724
  • Upperbound of 95% confidence interval for alpha
    0.25556
  • Treynor index (mean / b)
    0.12698
  • Jensen alpha (a)
    -0.09084
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.15505
  • Expected Shortfall on VaR
    0.19541
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.07902
  • Expected Shortfall on VaR
    0.13733
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    26.00000
  • Minimum
    0.83427
  • Quartile 1
    0.93508
  • Median
    1.01483
  • Quartile 3
    1.12280
  • Maximum
    1.31404
  • Mean of quarter 1
    0.89590
  • Mean of quarter 2
    0.97438
  • Mean of quarter 3
    1.08272
  • Mean of quarter 4
    1.19591
  • Inter Quartile Range
    0.18773
  • 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)
    -1.39739
  • VaR(95%) (moments method)
    0.11535
  • Expected Shortfall (moments method)
    0.11889
  • Extreme Value Index (regression method)
    -0.62536
  • VaR(95%) (regression method)
    0.09358
  • Expected Shortfall (regression method)
    0.09863
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.07129
  • Quartile 1
    0.11600
  • Median
    0.12367
  • Quartile 3
    0.24568
  • Maximum
    0.26434
  • Mean of quarter 1
    0.09364
  • Mean of quarter 2
    0.12367
  • Mean of quarter 3
    0.24568
  • Mean of quarter 4
    0.26434
  • Inter Quartile Range
    0.12968
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.55310
  • Compounded annual return (geometric extrapolation)
    0.43845
  • Calmar ratio (compounded annual return / max draw down)
    1.65861
  • Compounded annual return / average of 25% largest draw downs
    1.65861
  • Compounded annual return / Expected Shortfall lognormal
    2.24377
  • 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
    0.34582
  • SD
    0.33822
  • Sharpe ratio (Glass type estimate)
    1.02244
  • Sharpe ratio (Hedges UMVUE)
    1.02110
  • df
    572.00000
  • t
    1.51205
  • p
    0.06554
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.30464
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.34865
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.30554
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.34774
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.49013
  • Upside Potential Ratio
    9.83990
  • Upside part of mean
    2.28356
  • Downside part of mean
    -1.93774
  • Upside SD
    0.24657
  • Downside SD
    0.23207
  • N nonnegative terms
    308.00000
  • N negative terms
    265.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    573.00000
  • Mean of predictor
    0.14823
  • Mean of criterion
    0.34582
  • SD of predictor
    0.13228
  • SD of criterion
    0.33822
  • Covariance
    0.02754
  • r
    0.61548
  • b (slope, estimate of beta)
    1.57370
  • a (intercept, estimate of alpha)
    0.11300
  • Mean Square Error
    0.07118
  • DF error
    571.00000
  • t(b)
    18.66070
  • p(b)
    -0.00000
  • t(a)
    0.62232
  • p(a)
    0.26699
  • Lowerbound of 95% confidence interval for beta
    1.40806
  • Upperbound of 95% confidence interval for beta
    1.73934
  • Lowerbound of 95% confidence interval for alpha
    -0.24266
  • Upperbound of 95% confidence interval for alpha
    0.46775
  • Treynor index (mean / b)
    0.21975
  • Jensen alpha (a)
    0.11254
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.28844
  • SD
    0.33856
  • Sharpe ratio (Glass type estimate)
    0.85195
  • Sharpe ratio (Hedges UMVUE)
    0.85083
  • df
    572.00000
  • t
    1.25991
  • p
    0.10411
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.47462
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.17786
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.47541
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.17707
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.21880
  • Upside Potential Ratio
    9.52268
  • Upside part of mean
    2.25361
  • Downside part of mean
    -1.96517
  • Upside SD
    0.24235
  • Downside SD
    0.23666
  • N nonnegative terms
    308.00000
  • N negative terms
    265.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    573.00000
  • Mean of predictor
    0.13944
  • Mean of criterion
    0.28844
  • SD of predictor
    0.13236
  • SD of criterion
    0.33856
  • Covariance
    0.02761
  • r
    0.61609
  • b (slope, estimate of beta)
    1.57589
  • a (intercept, estimate of alpha)
    0.06870
  • Mean Square Error
    0.07124
  • DF error
    571.00000
  • t(b)
    18.69010
  • p(b)
    -0.00000
  • t(a)
    0.37984
  • p(a)
    0.35210
  • Lowerbound of 95% confidence interval for beta
    1.41028
  • Upperbound of 95% confidence interval for beta
    1.74150
  • Lowerbound of 95% confidence interval for alpha
    -0.28654
  • Upperbound of 95% confidence interval for alpha
    0.42395
  • Treynor index (mean / b)
    0.18303
  • Jensen alpha (a)
    0.06870
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03276
  • Expected Shortfall on VaR
    0.04114
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01631
  • Expected Shortfall on VaR
    0.03134
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    573.00000
  • Minimum
    0.92295
  • Quartile 1
    0.98939
  • Median
    1.00186
  • Quartile 3
    1.01477
  • Maximum
    1.08089
  • Mean of quarter 1
    0.97514
  • Mean of quarter 2
    0.99577
  • Mean of quarter 3
    1.00767
  • Mean of quarter 4
    1.02731
  • Inter Quartile Range
    0.02538
  • Number outliers low
    7.00000
  • Percentage of outliers low
    0.01222
  • Mean of outliers low
    0.93571
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.00873
  • Mean of outliers high
    1.06131
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.10922
  • VaR(95%) (moments method)
    0.02356
  • Expected Shortfall (moments method)
    0.03021
  • Extreme Value Index (regression method)
    -0.00961
  • VaR(95%) (regression method)
    0.02514
  • Expected Shortfall (regression method)
    0.03399
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    32.00000
  • Minimum
    0.00146
  • Quartile 1
    0.01032
  • Median
    0.02670
  • Quartile 3
    0.06767
  • Maximum
    0.34704
  • Mean of quarter 1
    0.00407
  • Mean of quarter 2
    0.01893
  • Mean of quarter 3
    0.04349
  • Mean of quarter 4
    0.18750
  • Inter Quartile Range
    0.05736
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.15625
  • Mean of outliers high
    0.24715
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.51088
  • VaR(95%) (moments method)
    0.17832
  • Expected Shortfall (moments method)
    0.21003
  • Extreme Value Index (regression method)
    -0.24804
  • VaR(95%) (regression method)
    0.21824
  • Expected Shortfall (regression method)
    0.27857
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.45606
  • Compounded annual return (geometric extrapolation)
    0.37210
  • Calmar ratio (compounded annual return / max draw down)
    1.07222
  • Compounded annual return / average of 25% largest draw downs
    1.98459
  • Compounded annual return / Expected Shortfall lognormal
    9.04409
  • 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
    0.20313
  • SD
    0.36412
  • Sharpe ratio (Glass type estimate)
    0.55785
  • Sharpe ratio (Hedges UMVUE)
    0.55463
  • df
    130.00000
  • t
    0.39446
  • p
    0.48271
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.21575
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.32953
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.21800
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.32726
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.80130
  • Upside Potential Ratio
    9.23188
  • Upside part of mean
    2.34024
  • Downside part of mean
    -2.13712
  • Upside SD
    0.25975
  • Downside SD
    0.25350
  • N nonnegative terms
    69.00000
  • N negative terms
    62.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.00919
  • Mean of criterion
    0.20313
  • SD of predictor
    0.13648
  • SD of criterion
    0.36412
  • Covariance
    0.02848
  • r
    0.57310
  • b (slope, estimate of beta)
    1.52896
  • a (intercept, estimate of alpha)
    0.21718
  • Mean Square Error
    0.08973
  • DF error
    129.00000
  • t(b)
    7.94299
  • p(b)
    0.15625
  • t(a)
    0.51268
  • p(a)
    0.47130
  • Lowerbound of 95% confidence interval for beta
    1.14811
  • Upperbound of 95% confidence interval for beta
    1.90981
  • Lowerbound of 95% confidence interval for alpha
    -0.62097
  • Upperbound of 95% confidence interval for alpha
    1.05534
  • Treynor index (mean / b)
    0.13285
  • Jensen alpha (a)
    0.21718
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.13717
  • SD
    0.36458
  • Sharpe ratio (Glass type estimate)
    0.37625
  • Sharpe ratio (Hedges UMVUE)
    0.37407
  • df
    130.00000
  • t
    0.26605
  • p
    0.48834
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.39654
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.14771
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.39810
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.14625
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.53000
  • Upside Potential Ratio
    8.91384
  • Upside part of mean
    2.30709
  • Downside part of mean
    -2.16992
  • Upside SD
    0.25493
  • Downside SD
    0.25882
  • N nonnegative terms
    69.00000
  • N negative terms
    62.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.01847
  • Mean of criterion
    0.13717
  • SD of predictor
    0.13683
  • SD of criterion
    0.36458
  • Covariance
    0.02853
  • r
    0.57190
  • b (slope, estimate of beta)
    1.52385
  • a (intercept, estimate of alpha)
    0.16532
  • Mean Square Error
    0.09014
  • DF error
    129.00000
  • t(b)
    7.91831
  • p(b)
    0.15687
  • t(a)
    0.38934
  • p(a)
    0.47819
  • VAR (95 Confidence Intrvl)
    0.03300
  • Lowerbound of 95% confidence interval for beta
    1.14309
  • Upperbound of 95% confidence interval for beta
    1.90461
  • Lowerbound of 95% confidence interval for alpha
    -0.67478
  • Upperbound of 95% confidence interval for alpha
    1.00542
  • Treynor index (mean / b)
    0.09002
  • Jensen alpha (a)
    0.16532
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03587
  • Expected Shortfall on VaR
    0.04486
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01827
  • Expected Shortfall on VaR
    0.03479
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.93286
  • Quartile 1
    0.98950
  • Median
    1.00124
  • Quartile 3
    1.01416
  • Maximum
    1.05884
  • Mean of quarter 1
    0.97267
  • Mean of quarter 2
    0.99526
  • Mean of quarter 3
    1.00757
  • Mean of quarter 4
    1.02822
  • Inter Quartile Range
    0.02466
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.02290
  • Mean of outliers low
    0.93883
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.02290
  • Mean of outliers high
    1.05711
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.69541
  • VaR(95%) (moments method)
    0.02559
  • Expected Shortfall (moments method)
    0.02865
  • Extreme Value Index (regression method)
    -0.04736
  • VaR(95%) (regression method)
    0.02628
  • Expected Shortfall (regression method)
    0.03523
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    11.00000
  • Minimum
    0.00110
  • Quartile 1
    0.00918
  • Median
    0.01883
  • Quartile 3
    0.03776
  • Maximum
    0.34704
  • Mean of quarter 1
    0.00551
  • Mean of quarter 2
    0.01575
  • Mean of quarter 3
    0.02755
  • Mean of quarter 4
    0.15304
  • Inter Quartile Range
    0.02858
  • 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
    0.09091
  • Mean of outliers high
    0.34704
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.66362
  • VaR(95%) (moments method)
    0.15803
  • Expected Shortfall (moments method)
    0.54173
  • Extreme Value Index (regression method)
    2.82270
  • VaR(95%) (regression method)
    0.46270
  • Last 4 Months - Pcnt Negative
    0.75%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -408273000
  • Max Equity Drawdown (num days)
    97
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.17209
  • Compounded annual return (geometric extrapolation)
    0.17949
  • Calmar ratio (compounded annual return / max draw down)
    0.51720
  • Compounded annual return / average of 25% largest draw downs
    1.17280
  • Compounded annual return / Expected Shortfall lognormal
    4.00068

Strategy Description

Summary Statistics

Strategy began
2022-12-27
Suggested Minimum Capital
$15,000
# Trades
165
# Profitable
87
% Profitable
52.7%
Net Dividends
$1,873
Correlation S&P500
0.614
Sharpe Ratio
0.82
Sortino Ratio
1.19
Beta
1.59
Alpha
0.02
Leverage
1.13 Average
1.84 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

Stratify Trading 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.

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.