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
04/04/2023
Most recent certification approved
4/4/23 9:32 ET
Trades at broker
Interactive Brokers (Europe)
Scaling percentage used
100%
# trading signals issued by system since certification
84
# trading signals executed in manager's Interactive Brokers (Europe) account
84
Percent signals followed since 04/04/2023
100%
This information was last updated
10/31/24 19:40 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 04/04/2023,
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.
WS Value Investing
(144168570)
Powered by
BrokerTransmit.
Read important
disclosures.
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 | 04/04/2023 |
Most recent certification approved | 4/4/23 9:32 ET |
Trades at broker | Interactive Brokers (Europe) |
Scaling percentage used | 100% |
# trading signals issued by system since certification | 84 |
# trading signals executed in manager's Interactive Brokers (Europe) account | 84 |
Percent signals followed since 04/04/2023 | 100% |
This information was last updated | 10/31/24 19:40 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 04/04/2023, 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.
Powered by
BrokerTransmit.
Read important
disclosures.
Subscription terms. Subscriptions to this system cost $50.00 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.
Non-hedged Equity
Predominantly long equities, although some hedging with short sales of stocks and/or stock index options. Commonly known as "stock-pickers."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.
Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD | |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|
2023 | (1.1%) | +6.0% | +4.4% | +9.8% | (3.9%) | (9.8%) | (4.9%) | +16.9% | +10.9% | +28.5% | |||
2024 | +4.8% | +7.2% | +6.0% | (8.1%) | +4.6% | +7.1% | (0.5%) | +3.3% | +5.4% | +3.3% | +37.2% |
Model Account Details
A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.
Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.
Started | $100,000 | |
Buy Power | $80,160 | |
Cash | $10,790 | |
Equity | $69,369 | |
Cumulative $ | $78,009 | |
Includes dividends and cash-settled expirations: | $3,034 | Itemized |
Total System Equity | $178,009 | |
Margined | $0 | |
Open P/L | $69,369 |
Trading Record
Statistics
-
Strategy began4/4/2023
-
Suggested Minimum Cap$15,000
-
Strategy Age (days)575.49
-
Age19 months ago
-
What it tradesStocks
-
# Trades61
-
# Profitable40
-
% Profitable65.60%
-
Avg trade duration416.3 days
-
Max peak-to-valley drawdown21.86%
-
drawdown periodAug 01, 2023 - Oct 11, 2023
-
Annual Return (Compounded)43.0%
-
Avg win$2,220
-
Avg loss$658.81
- Model Account Values (Raw)
-
Cash$10,790
-
Margin Used$0
-
Buying Power$80,160
- Ratios
-
W:L ratio6.64:1
-
Sharpe Ratio1.49
-
Sortino Ratio2.49
-
Calmar Ratio4.2
- CORRELATION STATISTICS
-
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)34.53%
-
Correlation to SP5000.75800
-
Return Percent SP500 (cumu) during strategy life39.14%
- Return Statistics
-
Ann Return (w trading costs)43.0%
- Slump
-
Current Slump as Pcnt Equity1.10%
- Instruments
-
Percent Trades Futuresn/a
- Slump
-
Current Slump, time of slump as pcnt of strategy life0.03%
- Instruments
-
Short Options - Percent Covered100.00%
- Return Statistics
-
Return Pcnt (Compound or Annual, age-based, NFA compliant)0.430%
- Instruments
-
Percent Trades Optionsn/a
-
Percent Trades Stocks1.00%
-
Percent Trades Forexn/a
- Return Statistics
-
Ann Return (Compnd, No Fees)44.0%
- Risk of Ruin (Monte-Carlo)
-
Chance of 10% account loss28.00%
-
Chance of 20% account loss7.00%
-
Chance of 30% account loss0.50%
-
Chance of 40% account lossn/a
-
Chance of 60% account loss (Monte Carlo)n/a
-
Chance of 70% account loss (Monte Carlo)n/a
-
Chance of 80% account loss (Monte Carlo)n/a
-
Chance of 90% account loss (Monte Carlo)n/a
- Automation
-
Percentage Signals Automatedn/a
- Risk of Ruin (Monte-Carlo)
-
Chance of 50% account lossn/a
- Popularity
-
Popularity (Today)713
-
Popularity (Last 6 weeks)955
- Trading Style
-
Any stock shorts? 0/10
- Popularity
-
C2 Score995
-
Popularity (7 days, Percentile 1000 scale)940
- Trades-Own-System Certification
-
Trades Own System?Yes
-
TOS percent100%
- Win / Loss
-
Avg Loss$659
-
Avg Win$2,220
-
Sum Trade PL (losers)$13,835.000
- Age
-
Num Months filled monthly returns table19
- Win / Loss
-
Sum Trade PL (winners)$88,807.000
-
# Winners40
-
Num Months Winners13
- Dividends
-
Dividends Received in Model Acct3034
- AUM
-
AUM (AutoTrader live capital)172504
- Win / Loss
-
# Losers21
-
% Winners65.6%
- Frequency
-
Avg Position Time (mins)599415.00
-
Avg Position Time (hrs)9990.25
-
Avg Trade Length416.3 days
-
Last Trade Ago7
- Leverage
-
Daily leverage (average)1.34
-
Daily leverage (max)1.79
- Regression
-
Alpha0.02
-
Beta1.35
-
Treynor Index0.08
- Maximum Adverse Excursion (MAE)
-
MAE:Equity, average, all trades0.00
-
MAE:PL - worst single value for strategy-
-
MAE:PL (avg, winning trades)-
-
MAE:PL (avg, losing trades)-
-
MAE:PL (avg, all trades)5.07
-
MAE:Equity, average, winning trades0.00
-
MAE:Equity, average, losing trades0.01
-
Avg(MAE) / Avg(PL) - All trades0.533
-
MAE:Equity, losing trades only, 95th Percentile Value for this strat-
-
MAE:Equity, win trades only, 95th Percentile Value for this strat-
-
MAE:Equity, 95th Percentile Value for this strat0.01
-
Avg(MAE) / Avg(PL) - Winning trades0.180
-
Avg(MAE) / Avg(PL) - Losing trades-1.655
-
Hold-and-Hope Ratio2.190
- Analysis based on MONTHLY values, full history
- RATIO STATISTICS
- Ratio statistics of excess return rates
- Statistics related to Sharpe ratio
-
Mean0.64174
-
SD0.31127
-
Sharpe ratio (Glass type estimate)2.06167
-
Sharpe ratio (Hedges UMVUE)1.90240
-
df10.00000
-
t1.97390
-
p0.03832
-
Lowerbound of 95% confidence interval for Sharpe Ratio-0.21380
-
Upperbound of 95% confidence interval for Sharpe Ratio4.25193
-
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.30799
-
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation4.11279
- Statistics related to Sortino ratio
-
Sortino ratio8.97736
-
Upside Potential Ratio10.88560
-
Upside part of mean0.77815
-
Downside part of mean-0.13641
-
Upside SD0.34248
-
Downside SD0.07148
-
N nonnegative terms7.00000
-
N negative terms4.00000
- Statistics related to linear regression on benchmark
-
N of observations11.00000
-
Mean of predictor0.36522
-
Mean of criterion0.64174
-
SD of predictor0.15487
-
SD of criterion0.31127
-
Covariance0.04671
-
r0.96902
-
b (slope, estimate of beta)1.94768
-
a (intercept, estimate of alpha)-0.06959
-
Mean Square Error0.00657
-
DF error9.00000
-
t(b)11.77010
-
p(b)0.00000
-
t(a)-0.66909
-
p(a)0.73989
-
Lowerbound of 95% confidence interval for beta1.57334
-
Upperbound of 95% confidence interval for beta2.32202
-
Lowerbound of 95% confidence interval for alpha-0.30486
-
Upperbound of 95% confidence interval for alpha0.16568
-
Treynor index (mean / b)0.32949
-
Jensen alpha (a)-0.06959
- Ratio statistics of excess log return rates
- Statistics related to Sharpe ratio
-
Mean0.58543
-
SD0.28824
-
Sharpe ratio (Glass type estimate)2.03101
-
Sharpe ratio (Hedges UMVUE)1.87410
-
df10.00000
-
t1.94454
-
p0.04024
-
Lowerbound of 95% confidence interval for Sharpe Ratio-0.23873
-
Upperbound of 95% confidence interval for Sharpe Ratio4.21640
-
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.33164
-
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation4.07984
- Statistics related to Sortino ratio
-
Sortino ratio8.04496
-
Upside Potential Ratio9.95100
-
Upside part of mean0.72413
-
Downside part of mean-0.13870
-
Upside SD0.31432
-
Downside SD0.07277
-
N nonnegative terms7.00000
-
N negative terms4.00000
- Statistics related to linear regression on benchmark
-
N of observations11.00000
-
Mean of predictor0.34884
-
Mean of criterion0.58543
-
SD of predictor0.14872
-
SD of criterion0.28824
-
Covariance0.04151
-
r0.96828
-
b (slope, estimate of beta)1.87670
-
a (intercept, estimate of alpha)-0.06924
-
Mean Square Error0.00576
-
DF error9.00000
-
t(b)11.62560
-
p(b)0.00000
-
t(a)-0.71195
-
p(a)0.75273
-
Lowerbound of 95% confidence interval for beta1.51152
-
Upperbound of 95% confidence interval for beta2.24187
-
Lowerbound of 95% confidence interval for alpha-0.28925
-
Upperbound of 95% confidence interval for alpha0.15077
-
Treynor index (mean / b)0.31194
-
Jensen alpha (a)-0.06924
- Risk estimates for a one-period unit investment (parametric)
- assuming log normal returns and losses (using central moments from Sharpe statistics)
-
VaR(95%)0.08431
-
Expected Shortfall on VaR0.11519
- assuming Pareto losses only (using partial moments from Sortino statistics)
-
VaR(95%)0.02170
-
Expected Shortfall on VaR0.04160
- ORDER STATISTICS
- Quartiles of return rates
-
Number of observations11.00000
-
Minimum0.95686
-
Quartile 10.98114
-
Median1.03953
-
Quartile 31.09110
-
Maximum1.21977
-
Mean of quarter 10.96339
-
Mean of quarter 21.01951
-
Mean of quarter 31.06972
-
Mean of quarter 41.17524
-
Inter Quartile Range0.10995
-
Number outliers low0.00000
-
Percentage of outliers low0.00000
-
Mean of outliers low0.00000
-
Number of outliers high0.00000
-
Percentage of outliers high0.00000
-
Mean of outliers high0.00000
- Risk estimates for a one-period unit investment (based on Ex
-
Extreme Value Index (moments method)-1.04166
-
VaR(95%) (moments method)0.04095
-
Expected Shortfall (moments method)0.04260
-
Extreme Value Index (regression method)0.43045
-
VaR(95%) (regression method)0.04377
-
Expected Shortfall (regression method)0.06186
- DRAW DOWN STATISTICS
- Quartiles of draw downs
-
Number of observations3.00000
-
Minimum0.00591
-
Quartile 10.02453
-
Median0.04314
-
Quartile 30.05435
-
Maximum0.06557
-
Mean of quarter 10.00591
-
Mean of quarter 20.04314
-
Mean of quarter 30.00000
-
Mean of quarter 40.06557
-
Inter Quartile Range0.02983
-
Number outliers low0.00000
-
Percentage of outliers low0.00000
-
Mean of outliers low0.00000
-
Number of outliers high0.00000
-
Percentage of outliers high0.00000
-
Mean of outliers high0.00000
- Risk estimates based on draw downs (based on Extreme Value T
-
Extreme Value Index (moments method)0.00000
-
VaR(95%) (moments method)0.00000
-
Expected Shortfall (moments method)0.00000
-
Extreme Value Index (regression method)0.00000
-
VaR(95%) (regression method)0.00000
-
Expected Shortfall (regression method)0.00000
- COMBINED STATISTICS
-
Annualized return (arithmetic extrapolation)0.82316
-
Compounded annual return (geometric extrapolation)0.84657
-
Calmar ratio (compounded annual return / max draw down)12.91190
-
Compounded annual return / average of 25% largest draw downs12.91190
-
Compounded annual return / Expected Shortfall lognormal7.34953
-
0.00000
-
0.00000
- Analysis based on DAILY values, full history
- RATIO STATISTICS
- Ratio statistics of excess return rates
- Statistics related to Sharpe ratio
-
Mean0.61228
-
SD0.27049
-
Sharpe ratio (Glass type estimate)2.26362
-
Sharpe ratio (Hedges UMVUE)2.25693
-
df254.00000
-
t2.23318
-
p0.01320
-
Lowerbound of 95% confidence interval for Sharpe Ratio0.26503
-
Upperbound of 95% confidence interval for Sharpe Ratio4.25785
-
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.26058
-
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation4.25328
- Statistics related to Sortino ratio
-
Sortino ratio3.96856
-
Upside Potential Ratio11.77690
-
Upside part of mean1.81698
-
Downside part of mean-1.20469
-
Upside SD0.22473
-
Downside SD0.15428
-
N nonnegative terms145.00000
-
N negative terms110.00000
- Statistics related to linear regression on benchmark
-
N of observations255.00000
-
Mean of predictor0.34221
-
Mean of criterion0.61228
-
SD of predictor0.15030
-
SD of criterion0.27049
-
Covariance0.03159
-
r0.77710
-
b (slope, estimate of beta)1.39851
-
a (intercept, estimate of alpha)0.13400
-
Mean Square Error0.02910
-
DF error253.00000
-
t(b)19.63940
-
p(b)-0.00000
-
t(a)0.76570
-
p(a)0.22228
-
Lowerbound of 95% confidence interval for beta1.25827
-
Upperbound of 95% confidence interval for beta1.53875
-
Lowerbound of 95% confidence interval for alpha-0.21017
-
Upperbound of 95% confidence interval for alpha0.47757
-
Treynor index (mean / b)0.43781
-
Jensen alpha (a)0.13370
- Ratio statistics of excess log return rates
- Statistics related to Sharpe ratio
-
Mean0.57556
-
SD0.26806
-
Sharpe ratio (Glass type estimate)2.14715
-
Sharpe ratio (Hedges UMVUE)2.14080
-
df254.00000
-
t2.11827
-
p0.01756
-
Lowerbound of 95% confidence interval for Sharpe Ratio0.14966
-
Upperbound of 95% confidence interval for Sharpe Ratio4.14053
-
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.14542
-
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation4.13619
- Statistics related to Sortino ratio
-
Sortino ratio3.67341
-
Upside Potential Ratio11.43880
-
Upside part of mean1.79228
-
Downside part of mean-1.21671
-
Upside SD0.21975
-
Downside SD0.15668
-
N nonnegative terms145.00000
-
N negative terms110.00000
- Statistics related to linear regression on benchmark
-
N of observations255.00000
-
Mean of predictor0.33075
-
Mean of criterion0.57556
-
SD of predictor0.14986
-
SD of criterion0.26806
-
Covariance0.03125
-
r0.77785
-
b (slope, estimate of beta)1.39136
-
a (intercept, estimate of alpha)0.11536
-
Mean Square Error0.02849
-
DF error253.00000
-
t(b)19.68710
-
p(b)-0.00000
-
t(a)0.66806
-
p(a)0.25235
-
Lowerbound of 95% confidence interval for beta1.25218
-
Upperbound of 95% confidence interval for beta1.53055
-
Lowerbound of 95% confidence interval for alpha-0.22472
-
Upperbound of 95% confidence interval for alpha0.45545
-
Treynor index (mean / b)0.41367
-
Jensen alpha (a)0.11536
- Risk estimates for a one-period unit investment (parametric)
- assuming log normal returns and losses (using central moments from Sharpe statistics)
-
VaR(95%)0.02473
-
Expected Shortfall on VaR0.03144
- assuming Pareto losses only (using partial moments from Sortino statistics)
-
VaR(95%)0.00962
-
Expected Shortfall on VaR0.01936
- ORDER STATISTICS
- Quartiles of return rates
-
Number of observations255.00000
-
Minimum0.93243
-
Quartile 10.99442
-
Median1.00187
-
Quartile 31.00938
-
Maximum1.08847
-
Mean of quarter 10.98384
-
Mean of quarter 20.99833
-
Mean of quarter 31.00514
-
Mean of quarter 41.02251
-
Inter Quartile Range0.01496
-
Number outliers low6.00000
-
Percentage of outliers low0.02353
-
Mean of outliers low0.96341
-
Number of outliers high10.00000
-
Percentage of outliers high0.03922
-
Mean of outliers high1.05271
- Risk estimates for a one-period unit investment (based on Ex
-
Extreme Value Index (moments method)-0.47064
-
VaR(95%) (moments method)0.01445
-
Expected Shortfall (moments method)0.01695
-
Extreme Value Index (regression method)-0.07409
-
VaR(95%) (regression method)0.01403
-
Expected Shortfall (regression method)0.01857
- DRAW DOWN STATISTICS
- Quartiles of draw downs
-
Number of observations17.00000
-
Minimum0.00147
-
Quartile 10.00546
-
Median0.01510
-
Quartile 30.05093
-
Maximum0.19723
-
Mean of quarter 10.00316
-
Mean of quarter 20.01266
-
Mean of quarter 30.03065
-
Mean of quarter 40.11826
-
Inter Quartile Range0.04547
-
Number outliers low0.00000
-
Percentage of outliers low0.00000
-
Mean of outliers low0.00000
-
Number of outliers high2.00000
-
Percentage of outliers high0.11765
-
Mean of outliers high0.16141
- Risk estimates based on draw downs (based on Extreme Value T
-
Extreme Value Index (moments method)0.02332
-
VaR(95%) (moments method)0.11008
-
Expected Shortfall (moments method)0.14989
-
Extreme Value Index (regression method)0.90590
-
VaR(95%) (regression method)0.14476
-
Expected Shortfall (regression method)1.29042
- COMBINED STATISTICS
-
Annualized return (arithmetic extrapolation)0.82115
-
Compounded annual return (geometric extrapolation)0.82845
-
Calmar ratio (compounded annual return / max draw down)4.20042
-
Compounded annual return / average of 25% largest draw downs7.00559
-
Compounded annual return / Expected Shortfall lognormal26.35060
-
0.00000
-
0.00000
- Analysis based on DAILY values, last 6 months only
- RATIO STATISTICS
- Ratio statistics of excess return rates
- Statistics related to Sharpe ratio
-
Mean0.32961
-
SD0.22993
-
Sharpe ratio (Glass type estimate)1.43350
-
Sharpe ratio (Hedges UMVUE)1.42522
-
df130.00000
-
t1.01364
-
p0.45572
-
Lowerbound of 95% confidence interval for Sharpe Ratio-1.34644
-
Upperbound of 95% confidence interval for Sharpe Ratio4.20812
-
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-1.35200
-
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation4.20243
- Statistics related to Sortino ratio
-
Sortino ratio2.27120
-
Upside Potential Ratio10.09650
-
Upside part of mean1.46526
-
Downside part of mean-1.13565
-
Upside SD0.17838
-
Downside SD0.14513
-
N nonnegative terms76.00000
-
N negative terms55.00000
- Statistics related to linear regression on benchmark
-
N of observations131.00000
-
Mean of predictor0.21979
-
Mean of criterion0.32961
-
SD of predictor0.13668
-
SD of criterion0.22993
-
Covariance0.02327
-
r0.74030
-
b (slope, estimate of beta)1.24542
-
a (intercept, estimate of alpha)0.05588
-
Mean Square Error0.02408
-
DF error129.00000
-
t(b)12.50710
-
p(b)0.07626
-
t(a)0.25339
-
p(a)0.48580
-
Lowerbound of 95% confidence interval for beta1.04841
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Upperbound of 95% confidence interval for beta1.44244
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Lowerbound of 95% confidence interval for alpha-0.38046
-
Upperbound of 95% confidence interval for alpha0.49223
-
Treynor index (mean / b)0.26466
-
Jensen alpha (a)0.05588
- Ratio statistics of excess log return rates
- Statistics related to Sharpe ratio
-
Mean0.30335
-
SD0.22870
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Sharpe ratio (Glass type estimate)1.32643
-
Sharpe ratio (Hedges UMVUE)1.31876
-
df130.00000
-
t0.93793
-
p0.45901
-
Lowerbound of 95% confidence interval for Sharpe Ratio-1.45260
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Upperbound of 95% confidence interval for Sharpe Ratio4.10038
-
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-1.45767
-
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation4.09520
- Statistics related to Sortino ratio
-
Sortino ratio2.06602
-
Upside Potential Ratio9.87257
-
Upside part of mean1.44957
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Downside part of mean-1.14622
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Upside SD0.17520
-
Downside SD0.14683
-
N nonnegative terms76.00000
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N negative terms55.00000
- Statistics related to linear regression on benchmark
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N of observations131.00000
-
Mean of predictor0.21040
-
Mean of criterion0.30335
-
SD of predictor0.13680
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SD of criterion0.22870
-
Covariance0.02323
-
r0.74252
-
b (slope, estimate of beta)1.24132
-
a (intercept, estimate of alpha)0.04218
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Mean Square Error0.02365
-
DF error129.00000
-
t(b)12.59060
-
p(b)0.07531
-
t(a)0.19309
-
p(a)0.48918
-
VAR (95 Confidence Intrvl)0.02500
-
Lowerbound of 95% confidence interval for beta1.04625
-
Upperbound of 95% confidence interval for beta1.43638
-
Lowerbound of 95% confidence interval for alpha-0.39005
-
Upperbound of 95% confidence interval for alpha0.47441
-
Treynor index (mean / b)0.24438
-
Jensen alpha (a)0.04218
- Risk estimates for a one-period unit investment (parametric)
- assuming log normal returns and losses (using central moments from Sharpe statistics)
-
VaR(95%)0.02184
-
Expected Shortfall on VaR0.02758
- assuming Pareto losses only (using partial moments from Sortino statistics)
-
VaR(95%)0.00891
-
Expected Shortfall on VaR0.01799
- ORDER STATISTICS
- Quartiles of return rates
-
Number of observations131.00000
-
Minimum0.96520
-
Quartile 10.99460
-
Median1.00158
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Quartile 31.00759
-
Maximum1.06837
-
Mean of quarter 10.98432
-
Mean of quarter 20.99895
-
Mean of quarter 31.00414
-
Mean of quarter 41.01813
-
Inter Quartile Range0.01298
-
Number outliers low5.00000
-
Percentage of outliers low0.03817
-
Mean of outliers low0.97011
-
Number of outliers high4.00000
-
Percentage of outliers high0.03053
-
Mean of outliers high1.04383
- Risk estimates for a one-period unit investment (based on Ex
-
Extreme Value Index (moments method)-0.35997
-
VaR(95%) (moments method)0.01399
-
Expected Shortfall (moments method)0.01693
-
Extreme Value Index (regression method)-0.29064
-
VaR(95%) (regression method)0.01792
-
Expected Shortfall (regression method)0.02263
- DRAW DOWN STATISTICS
- Quartiles of draw downs
-
Number of observations10.00000
-
Minimum0.00147
-
Quartile 10.00611
-
Median0.01409
-
Quartile 30.04539
-
Maximum0.12559
-
Mean of quarter 10.00300
-
Mean of quarter 20.01058
-
Mean of quarter 30.01832
-
Mean of quarter 40.08713
-
Inter Quartile Range0.03928
-
Number outliers low0.00000
-
Percentage of outliers low0.00000
-
Mean of outliers low0.00000
-
Number of outliers high1.00000
-
Percentage of outliers high0.10000
-
Mean of outliers high0.12559
- Risk estimates based on draw downs (based on Extreme Value T
-
Extreme Value Index (moments method)-3.57292
-
VaR(95%) (moments method)0.09713
-
Expected Shortfall (moments method)0.09738
-
Extreme Value Index (regression method)-0.43412
-
VaR(95%) (regression method)0.13675
-
Last 4 Months - Pcnt Negative0.25%
-
Expected Shortfall (regression method)0.15995
-
Strat Max DD how much worse than SP500 max DD during strat life?-380844000
-
Max Equity Drawdown (num days)71
- COMBINED STATISTICS
-
Annualized return (arithmetic extrapolation)0.36027
-
Compounded annual return (geometric extrapolation)0.39272
-
Calmar ratio (compounded annual return / max draw down)3.12688
-
Compounded annual return / average of 25% largest draw downs4.50707
-
Compounded annual return / Expected Shortfall lognormal14.23680
Strategy Description
Investire in maniera sicura puntando a rendimenti annualizzati di oltre il 20%, comprando le azioni delle aziende più importanti della Borsa Americana…solo quando sono (ampiamente) sottovalutate del mercato.
##Come funziona nel dettaglio la strategia##
1. Seleziono il top 1% delle migliori aziende Americane.
Tramite il mio sistema di analisi fondamentale, composto da oltre 20 parametri seleziono le aziende più sane e profittevoli del mercato.
2. Calcolo il valore intrinseco di ognuna delle aziende attraverso il mio modello valutativo proprietario
3. Apro una posizione, con una frazione del capitale, SOLO e quando i titoli selezionati sono scontati di almeno il l 20-30% rispetto al loro valore intrinseco (durante i periodi di ribasso dei mercati).
4.Incremento ulteriormente la posizione, facendo uno o più altri ingressi se i titoli dovessero scendere ulteriormente, con sconti del 50-60% (durante i Bear Markets).
5. Tengo le azioni in portafoglio a lungo termine, puntando a rendimenti fino ad oltre il 100%, guadagnando:
- dalla ripresa delle loro quotazioni, durante le fasi rialziste
-dall’ulteriore incremento del prezzo delle azioni negli anni successivi, a seguito dell’incremento degli utili che avranno queste aziende in espansione
6. Vendo le azioni che ho in portafoglio solo in 2 casi.
Ovvero quando:
-il titolo raggiunge una quotazioni di oltre il 50% rispetto al mio valore intrinseco
-oppure l’azienda arriva a maturazione,e non riesce più a crescere
#Minimizzazione del Rischio#
Parto dal presupposto che non c’è niente di più sicuro al Mondo che investire e diventare soci delle migliori aziende del pianeta; per di più comprandone le azioni con degli sconti di almeno il 30%!
Detto ciò, applico una seri di precauzioni per ridurre il rischio quasi a zero.
-Apro solo posizioni long
-Non utilizzo alcuna leva finanziaria
-Diversifico il portafoglio con oltre 40 titoli, appartenenti a 5 settori differenti
-Ogni titolo in portafoglio ha lo stesso peso, e incide per il 2.5% del totale del capitale
-Entro su ogni azione a step, sfruttando a mio favore gli ulteriori ribassi
##Rendimenti#
Nonostante sia una strategia che ho deciso di condividere su Collective2 solo ad Aprile 2023, questa è la stessa strategia che utilizzo per investire il mio patrimonio, dal 2015.
Il rendimento cumulativo, negli ultimi 7 anni è stato del 158%.
Fino ad ora ha chiuso tutti gli anni in profitto, con picchi di guadagno del 41.2%, come nel 2020.
##Per chi è adatta la strategia?##
E’ adatta ad investitori di lungo termine, che hanno un orizzonte temporale di almeno 3-5 anni.
#Come si comporta la strategia durante i Bear Markets?##
I Bear Markets sono la cosa migliore che possa capitare alla mia strategia!
.
Più le azioni vengono svendute dagli investitori in panico durante i crolli di mercato, e più io accumulo titoli a prezzi stracciati!
I quali mi restituiranno rendimenti a tripla cifra durante il successivo Bull Market!
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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