Welcome to Collective2

Follow these tips for a better experience

Ok, let's start

Close
Add to Watch List Create new Watch List
Add
Enter a name for your Watch List.
Watch List name must be less than 60 characters.
You have reached the maximum number of custom Watch Lists.
You have reached the maximum number of strategies in this Watch List.
Strategy added to Watch List. Go to Watch List

Sim is unavailable for this strategy, because you've recently "Simmed" it.

You already have a live, full-featured subscription to this strategy.

Okay, no problem

Reach out to us when you are ready. You can schedule your free training session at any time by clicking the button.

Remember, this training is free, low pressure, and (we hope!) fun.

Got it

Later

You can find it here.

Got it

Video Saved for Later

You can watch this video later. Just click this button at the top of the screen whenever you're ready to watch it.

Got it
These are hypothetical performance results that have certain inherent limitations. Learn more

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 09/08/2020
Most recent certification approved 9/8/20 11:50 ET
Trades at broker Israel Interactive Trading
Scaling percentage used 100%
# trading signals issued by system since certification 599
# trading signals executed in manager's Israel Interactive Trading account 599
Percent signals followed since 09/08/2020 100%
This information was last updated 3/28/24 11:12 ET

Warning: System trading results are still hypothetical.

Even though the system developer is currently trading his own system in a real-life brokerage account, the trading results presented on this Web site must still be regarded as purely hypothetical results. This is because (among other reasons) the system developer may not have traded all signals, particularly those that occurred before 09/08/2020, and the system developer's results may not match the system results presented here. In addition, not all subscribers have received the same trades or prices as the system manager has. For these reasons, and others, it is extremely important you remember the following:

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results. Hypothetical performance results have many inherent limitations, some of which are described below. No representation is being made that any account will or is likely to achieve profits or losses similar to those shown. In fact, there are frequently sharp differences between hypothetical performance results and the actual results subsequently achieved by any particular trading program.

One of the limitations of hypothetical performance results is that they are generally prepared with the benefit of hindsight. In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

You may be interested to learn more technical details about how Collective2 calculates the hypothetical results you see on this web site.

Yoav Zelikovic
(130961820)

Created by: ZelikovicInvestmen ZelikovicInvestmen
Started: 09/2020
Stocks
Last trade: Today
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.

Subscription terms. Subscriptions to this system cost $120.00 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."
34.3%
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.

(33.2%)
Max Drawdown
277
Num Trades
55.6%
Win Trades
2.2 : 1
Profit Factor
60.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020                                                        (1.4%)+7.1%+29.5%+15.1%+57.2%
2021+5.2%+16.6%+6.4%+10.7%+15.5%(1.2%)(7%)+2.8%(3.7%)+0.9%(2.2%)+6.2%+59.2%
2022(7.8%)+3.8%+1.3%(1.1%)+3.8%(16.6%)+3.7%+2.6%(14%)+18.6%+6.2%(2.6%)(6.8%)
2023+7.5%(3.1%)(2.9%)(2%)(0.6%)+6.0%+7.2%(10.8%)+2.7%(6.7%)+4.5%+13.6%+13.5%
2024  -  +4.7%+3.5%                                                      +8.4%

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

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
1/8/24 9:40 ZIMV ZIMVIE INC. COMMON STOCK LONG 150 17.16 3/26 9:30 16.16 0.23%
Trade id #146930703
Max drawdown($184)
Time1/30/24 0:00
Quant open150
Worst price15.93
Drawdown as % of equity-0.23%
($154)
Includes Typical Broker Commissions trade costs of $3.00
3/6/23 12:45 SCX L.S. STARRETT COMPANY LONG 180 11.98 3/26/24 9:16 15.86 0.89%
Trade id #143789540
Max drawdown($617)
Time11/30/23 0:00
Quant open180
Worst price8.55
Drawdown as % of equity-0.89%
$694
Includes Typical Broker Commissions trade costs of $3.60
2/27/24 9:30 LFMD CONVERSION LABS INC LONG 200 7.90 3/26 6:50 10.60 0.2%
Trade id #147459100
Max drawdown($161)
Time3/5/24 0:00
Quant open200
Worst price7.09
Drawdown as % of equity-0.20%
$536
Includes Typical Broker Commissions trade costs of $4.00
2/20/24 11:48 PLCE CHILDRENS PLACE INC. LONG 70 22.63 2/29 8:59 24.79 0.34%
Trade id #147380795
Max drawdown($279)
Time2/23/24 0:00
Quant open35
Worst price18.50
Drawdown as % of equity-0.34%
$150
Includes Typical Broker Commissions trade costs of $1.40
12/11/23 11:35 MKTW MARKETWISE INC LONG 1,000 2.69 2/27/24 9:30 1.78 1.18%
Trade id #146660379
Max drawdown($967)
Time2/21/24 0:00
Quant open1,000
Worst price1.72
Drawdown as % of equity-1.18%
($926)
Includes Typical Broker Commissions trade costs of $12.50
1/29/24 9:30 SURG SURGEPAYS INC COMMON STOCK LONG 300 6.67 2/27 4:00 7.46 0.04%
Trade id #147146962
Max drawdown($34)
Time1/29/24 9:33
Quant open300
Worst price6.56
Drawdown as % of equity-0.04%
$231
Includes Typical Broker Commissions trade costs of $6.00
8/7/23 11:00 PLCE CHILDRENS PLACE INC. LONG 70 29.12 2/16/24 10:23 29.72 1.8%
Trade id #145459920
Max drawdown($1,457)
Time2/9/24 0:00
Quant open70
Worst price8.30
Drawdown as % of equity-1.80%
$41
Includes Typical Broker Commissions trade costs of $1.40
1/8/24 7:36 DTC SOLO BRANDS INC LONG 500 3.88 2/1 14:23 2.80 0.74%
Trade id #146929455
Max drawdown($596)
Time1/29/24 0:00
Quant open500
Worst price2.69
Drawdown as % of equity-0.74%
($550)
Includes Typical Broker Commissions trade costs of $10.00
1/10/24 11:50 HNRG HALLADOR ENERGY LONG 200 8.73 1/23 10:26 8.76 0.2%
Trade id #146965043
Max drawdown($155)
Time1/17/24 0:00
Quant open200
Worst price7.95
Drawdown as % of equity-0.20%
$3
Includes Typical Broker Commissions trade costs of $4.00
11/13/23 11:11 TRUE TRUECAR INC LONG 660 2.65 1/8/24 9:30 3.10 0.14%
Trade id #146420101
Max drawdown($93)
Time11/17/23 0:00
Quant open660
Worst price2.50
Drawdown as % of equity-0.14%
$289
Includes Typical Broker Commissions trade costs of $9.10
11/13/23 9:30 HNRG HALLADOR ENERGY LONG 140 12.26 1/8/24 9:30 9.08 0.61%
Trade id #146417780
Max drawdown($493)
Time12/29/23 0:00
Quant open140
Worst price8.73
Drawdown as % of equity-0.61%
($448)
Includes Typical Broker Commissions trade costs of $2.80
1/9/23 13:27 PANL PANGAEA LOGISTICS LONG 355 5.46 1/8/24 9:30 8.02 0.22%
Trade id #143150154
Max drawdown($142)
Time3/21/23 0:00
Quant open355
Worst price5.06
Drawdown as % of equity-0.22%
$903
Includes Typical Broker Commissions trade costs of $7.10
8/21/23 9:30 OSUR ORASURE TECHNOLOGIES LONG 300 6.66 1/8/24 9:30 8.07 0.74%
Trade id #145588001
Max drawdown($486)
Time10/30/23 0:00
Quant open300
Worst price5.04
Drawdown as % of equity-0.74%
$418
Includes Typical Broker Commissions trade costs of $6.00
10/18/22 10:09 VIRC VIRCO MANUFACTURING LONG 450 4.15 1/8/24 7:47 12.40 0.24%
Trade id #142207510
Max drawdown($167)
Time5/2/23 0:00
Quant open250
Worst price3.54
Drawdown as % of equity-0.24%
$3,706
Includes Typical Broker Commissions trade costs of $9.00
8/21/23 8:57 LFMD CONVERSION LABS INC LONG 500 3.82 12/11 11:56 8.07 0.26%
Trade id #145587615
Max drawdown($180)
Time8/28/23 0:00
Quant open500
Worst price3.46
Drawdown as % of equity-0.26%
$2,113
Includes Typical Broker Commissions trade costs of $10.00
1/9/23 13:24 YI 111 INC. AMERICAN DEPOSITARY SHARES LONG 440 3.39 11/13 10:02 2.16 0.86%
Trade id #143150125
Max drawdown($586)
Time10/25/23 0:00
Quant open440
Worst price2.06
Drawdown as % of equity-0.86%
($550)
Includes Typical Broker Commissions trade costs of $8.80
8/21/23 9:30 GCI GANNETT CO INC LONG 650 2.97 11/13 10:01 1.88 1.26%
Trade id #145587940
Max drawdown($848)
Time11/2/23 0:00
Quant open650
Worst price1.66
Drawdown as % of equity-1.26%
($717)
Includes Typical Broker Commissions trade costs of $9.00
10/16/23 9:30 CDLX CARDLYTICS INC. COMMON STOCK LONG 200 11.42 11/13 9:30 6.06 1.74%
Trade id #146138267
Max drawdown($1,142)
Time11/10/23 0:00
Quant open200
Worst price5.71
Drawdown as % of equity-1.74%
($1,076)
Includes Typical Broker Commissions trade costs of $4.00
10/16/23 9:30 GRPN GROUPON INC LONG 150 12.87 11/13 9:27 10.79 0.55%
Trade id #146138280
Max drawdown($359)
Time11/10/23 0:00
Quant open75
Worst price8.08
Drawdown as % of equity-0.55%
($315)
Includes Typical Broker Commissions trade costs of $3.00
5/1/23 11:16 JAKK JAKKS PACIFIC LONG 100 21.20 10/16 9:33 16.74 0.64%
Trade id #144487340
Max drawdown($454)
Time10/13/23 0:00
Quant open100
Worst price16.66
Drawdown as % of equity-0.64%
($449)
Includes Typical Broker Commissions trade costs of $2.00
8/1/23 10:41 FRD FRIEDMAN INDUSTRIES LONG 176 17.79 10/16 9:33 12.01 1.48%
Trade id #145393147
Max drawdown($1,031)
Time10/16/23 9:33
Quant open176
Worst price11.93
Drawdown as % of equity-1.48%
($1,021)
Includes Typical Broker Commissions trade costs of $3.52
5/30/23 10:14 GOCO GENWORTH FINANCIAL INC COMMON S LONG 100 18.43 10/16 9:32 12.76 0.81%
Trade id #144779207
Max drawdown($571)
Time10/13/23 0:00
Quant open100
Worst price12.72
Drawdown as % of equity-0.81%
($570)
Includes Typical Broker Commissions trade costs of $2.00
4/3/23 9:39 EEX EMERALD HOLDING INC LONG 700 4.33 10/16 9:29 5.64 0.68%
Trade id #144153382
Max drawdown($472)
Time9/26/23 0:00
Quant open700
Worst price3.65
Drawdown as % of equity-0.68%
$910
Includes Typical Broker Commissions trade costs of $9.50
8/21/23 8:00 HNRG HALLADOR ENERGY LONG 230 10.87 10/16 9:28 14.46 0.16%
Trade id #145587383
Max drawdown($110)
Time8/31/23 0:00
Quant open150
Worst price10.22
Drawdown as % of equity-0.16%
$819
Includes Typical Broker Commissions trade costs of $4.60
1/9/23 13:20 JFIN JIAYIN GROUP INC LONG 600 3.07 10/2 9:29 4.92 0.57%
Trade id #143150074
Max drawdown($394)
Time3/13/23 0:00
Quant open600
Worst price2.41
Drawdown as % of equity-0.57%
$1,106
Includes Typical Broker Commissions trade costs of $8.50
7/5/23 9:37 DSKE DASEKE INC. LONG 300 7.16 8/21 9:30 5.29 0.79%
Trade id #145118072
Max drawdown($578)
Time8/17/23 0:00
Quant open300
Worst price5.23
Drawdown as % of equity-0.79%
($565)
Includes Typical Broker Commissions trade costs of $6.00
7/5/23 9:35 BTMD BIOTE CORP. CLASS A LONG 400 6.52 8/21 9:30 4.61 1.12%
Trade id #145118001
Max drawdown($816)
Time8/18/23 0:00
Quant open400
Worst price4.48
Drawdown as % of equity-1.12%
($774)
Includes Typical Broker Commissions trade costs of $8.00
5/30/23 9:38 LFVN LIFEVANTAGE CORP LONG 450 4.54 8/21 9:30 4.96 0.21%
Trade id #144778275
Max drawdown($152)
Time7/7/23 0:00
Quant open450
Worst price4.20
Drawdown as % of equity-0.21%
$180
Includes Typical Broker Commissions trade costs of $9.00
1/9/23 13:25 UONEK URBAN ONE INC. CLASS D LONG 410 4.75 8/21 9:30 5.02 0.29%
Trade id #143150130
Max drawdown($215)
Time2/14/23 0:00
Quant open410
Worst price4.22
Drawdown as % of equity-0.29%
$103
Includes Typical Broker Commissions trade costs of $8.20
12/12/22 12:14 NETI ENETI INC LONG 250 9.54 8/21/23 8:21 10.83 0.64%
Trade id #142848312
Max drawdown($447)
Time5/2/23 0:00
Quant open250
Worst price7.75
Drawdown as % of equity-0.64%
$317
Includes Typical Broker Commissions trade costs of $5.00

Statistics

  • Strategy began
    9/3/2020
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    1302.15
  • Age
    43 months ago
  • What it trades
    Stocks
  • # Trades
    277
  • # Profitable
    154
  • % Profitable
    55.60%
  • Avg trade duration
    175.2 days
  • Max peak-to-valley drawdown
    33.24%
  • drawdown period
    March 29, 2022 - Sept 26, 2022
  • Annual Return (Compounded)
    34.3%
  • Avg win
    $726.89
  • Avg loss
    $433.76
  • Model Account Values (Raw)
  • Cash
    $32,519
  • Margin Used
    $0
  • Buying Power
    $49,178
  • Ratios
  • W:L ratio
    2.20:1
  • Sharpe Ratio
    0.96
  • Sortino Ratio
    1.39
  • Calmar Ratio
    1.404
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    134.98%
  • Correlation to SP500
    0.38580
  • Return Percent SP500 (cumu) during strategy life
    51.91%
  • Return Statistics
  • Ann Return (w trading costs)
    34.3%
  • Slump
  • Current Slump as Pcnt Equity
    5.30%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.00%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.343%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    37.6%
  • Automation
  • Percentage Signals Automated
    n/a
  • Popularity
  • Popularity (Today)
    713
  • Popularity (Last 6 weeks)
    954
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    988
  • Popularity (7 days, Percentile 1000 scale)
    902
  • Trades-Own-System Certification
  • Trades Own System?
    Yes
  • TOS percent
    100%
  • Win / Loss
  • Avg Loss
    $434
  • Avg Win
    $727
  • Sum Trade PL (losers)
    $53,353.000
  • Age
  • Num Months filled monthly returns table
    43
  • Win / Loss
  • Sum Trade PL (winners)
    $111,941.000
  • # Winners
    154
  • Num Months Winners
    26
  • Dividends
  • Dividends Received in Model Acct
    5207
  • AUM
  • AUM (AutoTrader live capital)
    904583
  • Win / Loss
  • # Losers
    123
  • % Winners
    55.6%
  • Frequency
  • Avg Position Time (mins)
    252239.00
  • Avg Position Time (hrs)
    4203.98
  • Avg Trade Length
    175.2 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    0.99
  • Daily leverage (max)
    1.48
  • Regression
  • Alpha
    0.07
  • Beta
    0.60
  • Treynor Index
    0.14
  • 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)
    0.16
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    1.709
  • 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
    0.217
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.312
  • Hold-and-Hope Ratio
    0.521
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.33014
  • SD
    0.28517
  • Sharpe ratio (Glass type estimate)
    1.15767
  • Sharpe ratio (Hedges UMVUE)
    1.13634
  • df
    41.00000
  • t
    2.16580
  • p
    0.01810
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.07402
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.22803
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.06021
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.21247
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.61392
  • Upside Potential Ratio
    4.38902
  • Upside part of mean
    0.55433
  • Downside part of mean
    -0.22419
  • Upside SD
    0.26929
  • Downside SD
    0.12630
  • N nonnegative terms
    25.00000
  • N negative terms
    17.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    42.00000
  • Mean of predictor
    0.10514
  • Mean of criterion
    0.33014
  • SD of predictor
    0.17131
  • SD of criterion
    0.28517
  • Covariance
    0.02785
  • r
    0.57016
  • b (slope, estimate of beta)
    0.94913
  • a (intercept, estimate of alpha)
    0.23035
  • Mean Square Error
    0.05626
  • DF error
    40.00000
  • t(b)
    4.38939
  • p(b)
    0.00004
  • t(a)
    1.78834
  • p(a)
    0.04065
  • Lowerbound of 95% confidence interval for beta
    0.51211
  • Upperbound of 95% confidence interval for beta
    1.38615
  • Lowerbound of 95% confidence interval for alpha
    -0.02998
  • Upperbound of 95% confidence interval for alpha
    0.49067
  • Treynor index (mean / b)
    0.34783
  • Jensen alpha (a)
    0.23035
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.28834
  • SD
    0.27244
  • Sharpe ratio (Glass type estimate)
    1.05838
  • Sharpe ratio (Hedges UMVUE)
    1.03888
  • df
    41.00000
  • t
    1.98005
  • p
    0.02722
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.02000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.12451
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.03262
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.11038
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.18329
  • Upside Potential Ratio
    3.94090
  • Upside part of mean
    0.52046
  • Downside part of mean
    -0.23212
  • Upside SD
    0.24888
  • Downside SD
    0.13207
  • N nonnegative terms
    25.00000
  • N negative terms
    17.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    42.00000
  • Mean of predictor
    0.09025
  • Mean of criterion
    0.28834
  • SD of predictor
    0.17111
  • SD of criterion
    0.27244
  • Covariance
    0.02642
  • r
    0.56672
  • b (slope, estimate of beta)
    0.90234
  • a (intercept, estimate of alpha)
    0.20691
  • Mean Square Error
    0.05164
  • DF error
    40.00000
  • t(b)
    4.35027
  • p(b)
    0.00005
  • t(a)
    1.68347
  • p(a)
    0.05004
  • Lowerbound of 95% confidence interval for beta
    0.48312
  • Upperbound of 95% confidence interval for beta
    1.32155
  • Lowerbound of 95% confidence interval for alpha
    -0.04149
  • Upperbound of 95% confidence interval for alpha
    0.45531
  • Treynor index (mean / b)
    0.31955
  • Jensen alpha (a)
    0.20691
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.09997
  • Expected Shortfall on VaR
    0.12870
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03780
  • Expected Shortfall on VaR
    0.07443
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    42.00000
  • Minimum
    0.87105
  • Quartile 1
    0.96721
  • Median
    1.01077
  • Quartile 3
    1.08347
  • Maximum
    1.26134
  • Mean of quarter 1
    0.93814
  • Mean of quarter 2
    0.99631
  • Mean of quarter 3
    1.04567
  • Mean of quarter 4
    1.13763
  • Inter Quartile Range
    0.11626
  • 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
    0.02381
  • Mean of outliers high
    1.26134
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.23069
  • VaR(95%) (moments method)
    0.06946
  • Expected Shortfall (moments method)
    0.10302
  • Extreme Value Index (regression method)
    0.25758
  • VaR(95%) (regression method)
    0.06984
  • Expected Shortfall (regression method)
    0.10441
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00528
  • Quartile 1
    0.00844
  • Median
    0.04351
  • Quartile 3
    0.11376
  • Maximum
    0.22250
  • Mean of quarter 1
    0.00528
  • Mean of quarter 2
    0.00949
  • Mean of quarter 3
    0.07752
  • Mean of quarter 4
    0.22250
  • Inter Quartile Range
    0.10532
  • 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)
    0.57854
  • Compounded annual return (geometric extrapolation)
    0.37197
  • Calmar ratio (compounded annual return / max draw down)
    1.67175
  • Compounded annual return / average of 25% largest draw downs
    1.67175
  • Compounded annual return / Expected Shortfall lognormal
    2.89012
  • 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
    0.32673
  • SD
    0.25266
  • Sharpe ratio (Glass type estimate)
    1.29316
  • Sharpe ratio (Hedges UMVUE)
    1.29211
  • df
    922.00000
  • t
    2.42718
  • p
    0.00770
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.24692
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.33872
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.24621
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.33801
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.87953
  • Upside Potential Ratio
    9.50451
  • Upside part of mean
    1.65221
  • Downside part of mean
    -1.32548
  • Upside SD
    0.18427
  • Downside SD
    0.17383
  • N nonnegative terms
    516.00000
  • N negative terms
    407.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    923.00000
  • Mean of predictor
    0.10629
  • Mean of criterion
    0.32673
  • SD of predictor
    0.17449
  • SD of criterion
    0.25266
  • Covariance
    0.01716
  • r
    0.38920
  • b (slope, estimate of beta)
    0.56354
  • a (intercept, estimate of alpha)
    0.26700
  • Mean Square Error
    0.05422
  • DF error
    921.00000
  • t(b)
    12.82260
  • p(b)
    -0.00000
  • t(a)
    2.14918
  • p(a)
    0.01594
  • Lowerbound of 95% confidence interval for beta
    0.47729
  • Upperbound of 95% confidence interval for beta
    0.64980
  • Lowerbound of 95% confidence interval for alpha
    0.02317
  • Upperbound of 95% confidence interval for alpha
    0.51048
  • Treynor index (mean / b)
    0.57977
  • Jensen alpha (a)
    0.26683
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.29459
  • SD
    0.25296
  • Sharpe ratio (Glass type estimate)
    1.16459
  • Sharpe ratio (Hedges UMVUE)
    1.16364
  • df
    922.00000
  • t
    2.18587
  • p
    0.01454
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.11870
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.20987
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.11806
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.20923
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.66073
  • Upside Potential Ratio
    9.21970
  • Upside part of mean
    1.63545
  • Downside part of mean
    -1.34086
  • Upside SD
    0.18106
  • Downside SD
    0.17739
  • N nonnegative terms
    516.00000
  • N negative terms
    407.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    923.00000
  • Mean of predictor
    0.09103
  • Mean of criterion
    0.29459
  • SD of predictor
    0.17470
  • SD of criterion
    0.25296
  • Covariance
    0.01725
  • r
    0.39032
  • b (slope, estimate of beta)
    0.56518
  • a (intercept, estimate of alpha)
    0.24314
  • Mean Square Error
    0.05430
  • DF error
    921.00000
  • t(b)
    12.86600
  • p(b)
    -0.00000
  • t(a)
    1.95747
  • p(a)
    0.02530
  • Lowerbound of 95% confidence interval for beta
    0.47897
  • Upperbound of 95% confidence interval for beta
    0.65139
  • Lowerbound of 95% confidence interval for alpha
    -0.00063
  • Upperbound of 95% confidence interval for alpha
    0.48691
  • Treynor index (mean / b)
    0.52124
  • Jensen alpha (a)
    0.24314
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02428
  • Expected Shortfall on VaR
    0.03062
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01071
  • Expected Shortfall on VaR
    0.02172
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    923.00000
  • Minimum
    0.88939
  • Quartile 1
    0.99289
  • Median
    1.00202
  • Quartile 3
    1.01063
  • Maximum
    1.12298
  • Mean of quarter 1
    0.98248
  • Mean of quarter 2
    0.99776
  • Mean of quarter 3
    1.00561
  • Mean of quarter 4
    1.01958
  • Inter Quartile Range
    0.01773
  • Number outliers low
    19.00000
  • Percentage of outliers low
    0.02058
  • Mean of outliers low
    0.95365
  • Number of outliers high
    8.00000
  • Percentage of outliers high
    0.00867
  • Mean of outliers high
    1.05214
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.16196
  • VaR(95%) (moments method)
    0.01698
  • Expected Shortfall (moments method)
    0.02530
  • Extreme Value Index (regression method)
    0.08553
  • VaR(95%) (regression method)
    0.01637
  • Expected Shortfall (regression method)
    0.02310
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    31.00000
  • Minimum
    0.00039
  • Quartile 1
    0.00568
  • Median
    0.01229
  • Quartile 3
    0.04882
  • Maximum
    0.27109
  • Mean of quarter 1
    0.00341
  • Mean of quarter 2
    0.00842
  • Mean of quarter 3
    0.03120
  • Mean of quarter 4
    0.10832
  • Inter Quartile Range
    0.04314
  • 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
    0.06452
  • Mean of outliers high
    0.20433
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.10604
  • VaR(95%) (moments method)
    0.10983
  • Expected Shortfall (moments method)
    0.15642
  • Extreme Value Index (regression method)
    0.56034
  • VaR(95%) (regression method)
    0.12086
  • Expected Shortfall (regression method)
    0.26897
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.60027
  • Compounded annual return (geometric extrapolation)
    0.38057
  • Calmar ratio (compounded annual return / max draw down)
    1.40387
  • Compounded annual return / average of 25% largest draw downs
    3.51347
  • Compounded annual return / Expected Shortfall lognormal
    12.43060
  • 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
    0.42186
  • SD
    0.18216
  • Sharpe ratio (Glass type estimate)
    2.31583
  • Sharpe ratio (Hedges UMVUE)
    2.30244
  • df
    130.00000
  • t
    1.63754
  • p
    0.42892
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.47460
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.09752
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.48346
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.08834
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.83843
  • Upside Potential Ratio
    12.44520
  • Upside part of mean
    1.36777
  • Downside part of mean
    -0.94591
  • Upside SD
    0.14673
  • Downside SD
    0.10990
  • N nonnegative terms
    74.00000
  • N negative terms
    57.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.36231
  • Mean of criterion
    0.42186
  • SD of predictor
    0.11712
  • SD of criterion
    0.18216
  • Covariance
    0.00843
  • r
    0.39535
  • b (slope, estimate of beta)
    0.61489
  • a (intercept, estimate of alpha)
    0.19908
  • Mean Square Error
    0.02821
  • DF error
    129.00000
  • t(b)
    4.88858
  • p(b)
    0.25503
  • t(a)
    0.82305
  • p(a)
    0.45403
  • Lowerbound of 95% confidence interval for beta
    0.36603
  • Upperbound of 95% confidence interval for beta
    0.86374
  • Lowerbound of 95% confidence interval for alpha
    -0.27948
  • Upperbound of 95% confidence interval for alpha
    0.67763
  • Treynor index (mean / b)
    0.68607
  • Jensen alpha (a)
    0.19908
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.40509
  • SD
    0.18161
  • Sharpe ratio (Glass type estimate)
    2.23056
  • Sharpe ratio (Hedges UMVUE)
    2.21767
  • df
    130.00000
  • t
    1.57725
  • p
    0.43149
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.55859
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.01136
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.56721
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.00255
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.65570
  • Upside Potential Ratio
    12.24620
  • Upside part of mean
    1.35701
  • Downside part of mean
    -0.95192
  • Upside SD
    0.14518
  • Downside SD
    0.11081
  • N nonnegative terms
    74.00000
  • N negative terms
    57.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.35523
  • Mean of criterion
    0.40509
  • SD of predictor
    0.11699
  • SD of criterion
    0.18161
  • Covariance
    0.00843
  • r
    0.39669
  • b (slope, estimate of beta)
    0.61581
  • a (intercept, estimate of alpha)
    0.18634
  • Mean Square Error
    0.02801
  • DF error
    129.00000
  • t(b)
    4.90817
  • p(b)
    0.25425
  • t(a)
    0.77371
  • p(a)
    0.45677
  • VAR (95 Confidence Intrvl)
    0.02400
  • Lowerbound of 95% confidence interval for beta
    0.36757
  • Upperbound of 95% confidence interval for beta
    0.86405
  • Lowerbound of 95% confidence interval for alpha
    -0.29016
  • Upperbound of 95% confidence interval for alpha
    0.66283
  • Treynor index (mean / b)
    0.65782
  • Jensen alpha (a)
    0.18634
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01677
  • Expected Shortfall on VaR
    0.02136
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00769
  • Expected Shortfall on VaR
    0.01465
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97047
  • Quartile 1
    0.99487
  • Median
    1.00241
  • Quartile 3
    1.00797
  • Maximum
    1.03406
  • Mean of quarter 1
    0.98809
  • Mean of quarter 2
    0.99813
  • Mean of quarter 3
    1.00471
  • Mean of quarter 4
    1.01603
  • Inter Quartile Range
    0.01309
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.00763
  • Mean of outliers low
    0.97047
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.02290
  • Mean of outliers high
    1.03283
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.38218
  • VaR(95%) (moments method)
    0.01165
  • Expected Shortfall (moments method)
    0.01380
  • Extreme Value Index (regression method)
    -0.22932
  • VaR(95%) (regression method)
    0.01231
  • Expected Shortfall (regression method)
    0.01530
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.00610
  • Quartile 1
    0.00960
  • Median
    0.02844
  • Quartile 3
    0.04300
  • Maximum
    0.07316
  • Mean of quarter 1
    0.00744
  • Mean of quarter 2
    0.01860
  • Mean of quarter 3
    0.03510
  • Mean of quarter 4
    0.05779
  • Inter Quartile Range
    0.03340
  • 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)
    -3.48989
  • VaR(95%) (moments method)
    0.06522
  • Expected Shortfall (moments method)
    0.06536
  • Extreme Value Index (regression method)
    -0.59845
  • VaR(95%) (regression method)
    0.07817
  • Last 4 Months - Pcnt Negative
    0.25%
  • Expected Shortfall (regression method)
    0.08549
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -374041000
  • Max Equity Drawdown (num days)
    181
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.48345
  • Compounded annual return (geometric extrapolation)
    0.54187
  • Calmar ratio (compounded annual return / max draw down)
    7.40647
  • Compounded annual return / average of 25% largest draw downs
    9.37622
  • Compounded annual return / Expected Shortfall lognormal
    25.37200

Strategy Description


1. Micro-Cap Value Stocks
This investment strategy is based on one of the best strategies in the book "What Works on Wall Street" by James P. O'Shaughnessy. This strategy selects a basket of 25 stocks the market cap of which is under $ 300 million (stocks which are excluded from the major indexes in the U.S.A.). These stocks are selected only if they fulfill a number of criteria (including value, quality, momentum, and financial stability) which have been proven by empirical studies to be a source of alpha.
As we have witnessed in the past three years, some of these stocks and this strategy do not outperform the market every year. Nevertheless, this instability per se (which may cause other investors to abandon the strategy at exactly the wrong time) is the key for its success over time as it involves "going against the herd". As Prof. Joel Greenblatt, the author of the book "The Little Book that Beats the Market"), once stated:
"If I wrote a book about a strategy that worked every month, or even every year, everyone would start using it, and it would stop working."
In addition, our implementation of this strategy within our Individual Retirement Accounts (I.R.A.) at a low cost broker is an especially fruitful way to use this strategy. Within the I.R.A. accounts we can implement this strategy with all of its benefits and also enjoy a tax exemption/deferral.

2. Compounders
Our Compounder stocks are usually stocks of holding companies (led by Outsider CEO/Owner Operators) and stocks of public insurance companies around the world. During the past three years (in particular, during the December 2018 fall in the stock market and this year’s Coronavirus meltdown) we were able to increase our stakes in these companies at very attractive prices.

Summary Statistics

Strategy began
2020-09-03
Suggested Minimum Capital
$15,000
Rank at C2 %
Top 1.2%
Rank # 
#10
# Trades
277
# Profitable
154
% Profitable
55.6%
Net Dividends
Correlation S&P500
0.386
Sharpe Ratio
0.96
Sortino Ratio
1.39
Beta
0.60
Alpha
0.07
Leverage
0.99 Average
1.48 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

#PERSONNAME#
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.

Okay, gotcha.

Not available

This feature isn't available under your current Trade Leader Plan.

Want to see available plans and features?

Please hold...

Strategy is now visible

This strategy is now visible to the public. New subscribers will be able to follow it.

If you designate your strategy as Private, it will no longer be visible to the public.

No subscribers and simulations will be allowed. If you have subscribers, the strategy will still be visible to them.
If you have simulations, they will be stopped.

Continue to designate your strategy as Private?

Strategy is no longer visible

This strategy is no longer visible to anyone except current subscribers.

(Current subscribers will remain subscribed. You can see who is subscribed, and control their subscriptions, on your Subscriber Management screen.)

Finally, please note that you can restore public visibility at any time.

This strategy is no longer visible to the public. No subscribers will be allowed.

You can restore public visibility at any time.

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.