Collective2 Collective2
Featured Strategy Income Trades +20.1% Cumul. Return since Feb 16, 2024 Hypothetical

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

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

Trades-Own-Strategy (TOS) Certification Details
Certification process started 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 717
# trading signals executed in manager's Israel Interactive Trading account 717
Percent signals followed since 09/08/2020 100%
This information was last updated 11/24/24 5:38 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)

Powered by BrokerTransmit.
Read important disclosures.

Created by: ZelikovicInvestmen ZelikovicInvestmen
Started: 09/2020
Stocks
Last trade: 18 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.

Subscription terms. Subscriptions to this system cost $80.00 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."
34.4%
Annual Return (Compounded)

Rate of Return Calculations

Overview

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

How Annualized (Compounded) Rate of Return is calculated

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

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

All results are hypothetical.

(32.6%)
Max Drawdown
318
Num Trades
54.4%
Win Trades
2.3 : 1
Profit Factor
58.8%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020                                                        (1.3%)+7.2%+29.5%+15.1%+57.8%
2021+5.3%+16.6%+6.4%+10.7%+15.8%(1.1%)(7.1%)+2.9%(3.6%)+0.9%(2.1%)+6.2%+60.1%
2022(7.6%)+3.8%+1.3%(1%)+3.8%(16.3%)+3.7%+2.6%(13.7%)+18.3%+6.1%(2.5%)(6.1%)
2023+7.5%(3%)(2.8%)(1.9%)(0.6%)+6.0%+7.1%(10.6%)+2.7%(6.5%)+4.4%+13.4%+13.9%
2024  -  +4.7%+4.2%(11%)+10.2%(3.8%)+7.7%(2.5%)+6.2%(1.5%)+14.2%      +29.2%

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.

Trading Record

This strategy has placed 717 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
9/9/24 9:30 JAKK JAKKS PACIFIC LONG 50 23.55 11/4 9:30 29.84 0.03%
Trade id #149321355
Max drawdown($23)
Time9/11/24 0:00
Quant open50
Worst price23.07
Drawdown as % of equity-0.03%
 $314
Includes Typical Broker Commissions trade costs of $1.00
1/8/24 9:30 HBB HAMILTON BEACH BRANDS HLDG CO LONG 150 18.29 11/4 9:30 25.31 0.72%
Trade id #146930156
Max drawdown($592)
Time6/26/24 0:00
Quant open150
Worst price14.34
Drawdown as % of equity-0.72%
 $1,050
Includes Typical Broker Commissions trade costs of $3.00
10/8/24 4:21 QSG QUANTASING GROUP LIMITED ADS LONG 900 3.46 11/4 7:51 3.51 0.38%
Trade id #149602182
Max drawdown($349)
Time10/25/24 0:00
Quant open450
Worst price2.68
Drawdown as % of equity-0.38%
 $26
Includes Typical Broker Commissions trade costs of $18.00
2/27/24 9:30 GRVY GRAVITY CO LONG 25 72.42 10/7 9:30 61.05 0.4%
Trade id #147459106
Max drawdown($376)
Time10/1/24 0:00
Quant open25
Worst price57.38
Drawdown as % of equity-0.40%
 ($285)
Includes Typical Broker Commissions trade costs of $0.50
9/9/24 9:30 TG TREDEGAR CORPORATION LONG 250 6.06 10/7 9:30 7.18 0.04%
Trade id #149321324
Max drawdown($31)
Time9/11/24 0:00
Quant open250
Worst price5.93
Drawdown as % of equity-0.04%
 $275
Includes Typical Broker Commissions trade costs of $5.00
9/9/24 9:30 RAIL FREIGHTCAR AMERICA LONG 200 8.26 10/7 9:30 12.64 0.12%
Trade id #149321304
Max drawdown($95)
Time9/9/24 10:32
Quant open200
Worst price7.78
Drawdown as % of equity-0.12%
 $873
Includes Typical Broker Commissions trade costs of $4.00
9/9/24 9:30 BBW BUILD-A-BEAR WORKSHOP LONG 40 31.61 10/7 9:30 35.18 0.11%
Trade id #149321300
Max drawdown($91)
Time9/11/24 0:00
Quant open40
Worst price29.32
Drawdown as % of equity-0.11%
 $142
Includes Typical Broker Commissions trade costs of $0.80
2/29/24 9:52 PLCE CHILDRENS PLACE INC. LONG 60 20.53 9/17 11:00 14.95 1.15%
Trade id #147499953
Max drawdown($945)
Time9/9/24 0:00
Quant open60
Worst price4.77
Drawdown as % of equity-1.15%
 ($336)
Includes Typical Broker Commissions trade costs of $1.20
7/15/24 9:33 KEQU KEWAUNEE SCIENTIFIC LONG 50 47.40 9/9 9:33 51.95 0.17%
Trade id #148648403
Max drawdown($142)
Time8/12/24 0:00
Quant open50
Worst price44.54
Drawdown as % of equity-0.17%
 $227
Includes Typical Broker Commissions trade costs of $1.00
8/20/24 9:30 KPLT KATAPULT HOLDINGS INC LONG 150 12.05 9/9 9:30 10.00 0.4%
Trade id #148965444
Max drawdown($331)
Time9/6/24 0:00
Quant open150
Worst price9.84
Drawdown as % of equity-0.40%
 ($311)
Includes Typical Broker Commissions trade costs of $3.00
9/20/23 10:04 VRA VERA BRADLEY LONG 300 6.66 9/9/24 9:30 5.25 0.52%
Trade id #145877586
Max drawdown($430)
Time9/6/24 0:00
Quant open300
Worst price5.22
Drawdown as % of equity-0.52%
 ($428)
Includes Typical Broker Commissions trade costs of $6.00
3/26/24 9:32 WHG WESTWOOD HOLDINGS GROUP LONG 200 12.42 9/9 9:30 12.54 0.34%
Trade id #147735025
Max drawdown($282)
Time5/6/24 0:00
Quant open200
Worst price11.01
Drawdown as % of equity-0.34%
 $20
Includes Typical Broker Commissions trade costs of $4.00
8/21/23 8:00 QUAD QUAD/GRAPHICS LONG 300 5.70 9/9/24 9:30 4.28 0.76%
Trade id #145587386
Max drawdown($522)
Time11/1/23 0:00
Quant open300
Worst price3.96
Drawdown as % of equity-0.76%
 ($432)
Includes Typical Broker Commissions trade costs of $6.00
8/20/24 9:30 APT ALPHA PRO TECH LONG 250 6.32 9/9 9:30 5.70 0.2%
Trade id #148965432
Max drawdown($165)
Time9/9/24 9:30
Quant open250
Worst price5.66
Drawdown as % of equity-0.20%
 ($161)
Includes Typical Broker Commissions trade costs of $5.00
5/21/24 9:30 GTE GRAN TIERRA ENERGY LONG 200 9.23 9/9 9:30 6.55 0.76%
Trade id #148215340
Max drawdown($623)
Time8/5/24 0:00
Quant open200
Worst price6.11
Drawdown as % of equity-0.76%
 ($539)
Includes Typical Broker Commissions trade costs of $4.00
6/17/24 7:32 SGRP SPAR GROUP LONG 800 2.38 9/9 9:11 2.39 0.89%
Trade id #148423727
Max drawdown($768)
Time8/30/24 0:00
Quant open800
Worst price1.42
Drawdown as % of equity-0.89%
 $1
Includes Typical Broker Commissions trade costs of $7.00
6/17/24 9:29 AENT ALLIANCE ENTERTAINMENT HC CLASS A LONG 450 3.74 8/20 9:30 1.55 1.27%
Trade id #148424220
Max drawdown($1,046)
Time8/5/24 0:00
Quant open450
Worst price1.41
Drawdown as % of equity-1.27%
 ($991)
Includes Typical Broker Commissions trade costs of $9.00
6/17/24 9:25 BWEN BROADWIND INC LONG 400 3.73 8/20 9:30 2.12 0.81%
Trade id #148424194
Max drawdown($683)
Time8/19/24 0:00
Quant open400
Worst price2.02
Drawdown as % of equity-0.81%
 ($651)
Includes Typical Broker Commissions trade costs of $8.00
5/21/24 9:30 MYTE MYT NETHERLANDS PARENT BV LONG 400 5.07 8/20 9:30 3.63 0.76%
Trade id #148215376
Max drawdown($628)
Time8/15/24 0:00
Quant open400
Worst price3.50
Drawdown as % of equity-0.76%
 ($585)
Includes Typical Broker Commissions trade costs of $8.00
3/26/24 9:32 APEI AMERICAN PUBLIC EDUCATION LONG 100 15.17 8/20 9:30 14.17 0.41%
Trade id #147735034
Max drawdown($336)
Time8/7/24 0:00
Quant open100
Worst price11.80
Drawdown as % of equity-0.41%
 ($102)
Includes Typical Broker Commissions trade costs of $2.00
7/15/24 9:32 USLM UNITED STATES LIME LONG 20 81.22 8/20 9:30 77.47 0.38%
Trade id #148648329
Max drawdown($315)
Time8/5/24 0:00
Quant open20
Worst price65.45
Drawdown as % of equity-0.38%
 ($75)
Includes Typical Broker Commissions trade costs of $0.40
5/21/24 9:25 REAL THE REALREAL INC. COMMON STOCK LONG 600 3.93 8/20 9:30 2.70 1.22%
Trade id #148215198
Max drawdown($978)
Time8/8/24 0:00
Quant open600
Worst price2.30
Drawdown as % of equity-1.22%
 ($749)
Includes Typical Broker Commissions trade costs of $8.50
5/21/24 7:46 TUP TUPPERWARE BRANDS LONG 1,100 1.85 7/15 9:33 1.30 0.8%
Trade id #148214794
Max drawdown($685)
Time7/12/24 0:00
Quant open1,100
Worst price1.23
Drawdown as % of equity-0.80%
 ($622)
Includes Typical Broker Commissions trade costs of $13.50
5/21/24 7:19 ZENV ZENVIA INC. LONG 450 3.32 7/15 9:32 2.14 0.66%
Trade id #148214751
Max drawdown($564)
Time7/15/24 9:32
Quant open450
Worst price2.07
Drawdown as % of equity-0.66%
 ($544)
Includes Typical Broker Commissions trade costs of $9.00
3/26/24 9:30 LCUT LIFETIME BRANDS LONG 200 9.72 7/15 9:32 7.59 0.66%
Trade id #147734972
Max drawdown($538)
Time7/9/24 0:00
Quant open200
Worst price7.03
Drawdown as % of equity-0.66%
 ($431)
Includes Typical Broker Commissions trade costs of $4.00
2/27/24 9:30 VIRC VIRCO MANUFACTURING LONG 200 9.35 6/18 9:50 16.07 0.02%
Trade id #147459088
Max drawdown($16)
Time2/27/24 9:47
Quant open200
Worst price9.27
Drawdown as % of equity-0.02%
 $1,340
Includes Typical Broker Commissions trade costs of $4.00
5/21/24 9:30 NISN NISUN INTL ENTERPRISE DEVELOPMENT GROUP . CLASS A LONG 300 6.23 6/17 9:30 3.55 1.07%
Trade id #148215370
Max drawdown($906)
Time6/10/24 0:00
Quant open300
Worst price3.21
Drawdown as % of equity-1.07%
 ($809)
Includes Typical Broker Commissions trade costs of $6.00
8/21/23 9:40 HOFT HOOKER FURNISHINGS CORP LONG 100 19.87 6/17/24 9:30 13.82 0.73%
Trade id #145588980
Max drawdown($628)
Time6/14/24 0:00
Quant open100
Worst price13.59
Drawdown as % of equity-0.73%
 ($608)
Includes Typical Broker Commissions trade costs of $2.00
4/24/24 9:31 GCI GANNETT CO INC LONG 600 2.72 6/17 9:30 4.33 0.27%
Trade id #147995603
Max drawdown($219)
Time4/30/24 0:00
Quant open600
Worst price2.35
Drawdown as % of equity-0.27%
 $962
Includes Typical Broker Commissions trade costs of $5.00
5/21/24 9:30 IMMR IMMERSION LONG 180 9.48 6/17 7:21 10.62 0.02%
Trade id #148215354
Max drawdown($12)
Time5/21/24 9:56
Quant open100
Worst price9.31
Drawdown as % of equity-0.02%
 $200
Includes Typical Broker Commissions trade costs of $3.60
Next

Statistics

  • Strategy began
    9/3/2020
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    1542.95
  • Age
    51 months ago
  • What it trades
    Stocks
  • # Trades
    318
  • # Profitable
    173
  • % Profitable
    54.40%
  • Avg trade duration
    156.3 days
  • Max peak-to-valley drawdown
    32.64%
  • drawdown period
    March 29, 2022 - Sept 26, 2022
  • Annual Return (Compounded)
    34.4%
  • Avg win
    $799.14
  • Avg loss
    $437.61
  • Model Account Values (Raw)
  • Cash
    $35,143
  • Margin Used
    $0
  • Buying Power
    $64,134
  • Ratios
  • W:L ratio
    2.29:1
  • Sharpe Ratio
    1
  • Sortino Ratio
    1.45
  • Calmar Ratio
    1.357
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    176.66%
  • Correlation to SP500
    0.40400
  • Return Percent SP500 (cumu) during strategy life
    72.77%
  • Return Statistics
  • Ann Return (w trading costs)
    34.4%
  • Slump
  • Current Slump as Pcnt Equity
    n/a
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    n/a
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.344%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    36.5%
  • Automation
  • Percentage Signals Automated
    n/a
  • Popularity
  • Popularity (Today)
    684
  • Popularity (Last 6 weeks)
    958
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    965
  • Popularity (7 days, Percentile 1000 scale)
    892
  • Trades-Own-System Certification
  • Trades Own System?
    Yes
  • TOS percent
    100%
  • Win / Loss
  • Avg Loss
    $438
  • Avg Win
    $799
  • Sum Trade PL (losers)
    $63,453.000
  • Age
  • Num Months filled monthly returns table
    51
  • Win / Loss
  • Sum Trade PL (winners)
    $138,252.000
  • # Winners
    173
  • Num Months Winners
    31
  • Dividends
  • Dividends Received in Model Acct
    7043
  • AUM
  • AUM (AutoTrader live capital)
    712946
  • Win / Loss
  • # Losers
    145
  • % Winners
    54.4%
  • Frequency
  • Avg Position Time (mins)
    268215.00
  • Avg Position Time (hrs)
    4470.25
  • Avg Trade Length
    186.3 days
  • Last Trade Ago
    18
  • Leverage
  • Daily leverage (average)
    1.00
  • Daily leverage (max)
    1.48
  • Regression
  • Alpha
    0.06
  • Beta
    0.62
  • 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)
    0.33
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    1.641
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.212
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.317
  • Hold-and-Hope Ratio
    0.470
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.31299
  • SD
    0.27054
  • Sharpe ratio (Glass type estimate)
    1.15689
  • Sharpe ratio (Hedges UMVUE)
    1.13908
  • df
    49.00000
  • t
    2.36149
  • p
    0.01111
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.16434
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.13831
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.15277
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.12539
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.57659
  • Upside Potential Ratio
    4.37280
  • Upside part of mean
    0.53118
  • Downside part of mean
    -0.21819
  • Upside SD
    0.25522
  • Downside SD
    0.12147
  • N nonnegative terms
    30.00000
  • N negative terms
    20.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    50.00000
  • Mean of predictor
    0.11487
  • Mean of criterion
    0.31299
  • SD of predictor
    0.16274
  • SD of criterion
    0.27054
  • Covariance
    0.02509
  • r
    0.56996
  • b (slope, estimate of beta)
    0.94751
  • a (intercept, estimate of alpha)
    0.20415
  • Mean Square Error
    0.05044
  • DF error
    48.00000
  • t(b)
    4.80586
  • p(b)
    0.00001
  • t(a)
    1.81726
  • p(a)
    0.03771
  • Lowerbound of 95% confidence interval for beta
    0.55110
  • Upperbound of 95% confidence interval for beta
    1.34392
  • Lowerbound of 95% confidence interval for alpha
    -0.02172
  • Upperbound of 95% confidence interval for alpha
    0.43001
  • Treynor index (mean / b)
    0.33032
  • Jensen alpha (a)
    0.20415
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.27509
  • SD
    0.25895
  • Sharpe ratio (Glass type estimate)
    1.06234
  • Sharpe ratio (Hedges UMVUE)
    1.04598
  • df
    49.00000
  • t
    2.16849
  • p
    0.01750
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.07437
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.04002
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.06372
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.02824
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.16997
  • Upside Potential Ratio
    3.94860
  • Upside part of mean
    0.50057
  • Downside part of mean
    -0.22548
  • Upside SD
    0.23653
  • Downside SD
    0.12677
  • N nonnegative terms
    30.00000
  • N negative terms
    20.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    50.00000
  • Mean of predictor
    0.10121
  • Mean of criterion
    0.27509
  • SD of predictor
    0.16251
  • SD of criterion
    0.25895
  • Covariance
    0.02388
  • r
    0.56749
  • b (slope, estimate of beta)
    0.90427
  • a (intercept, estimate of alpha)
    0.18357
  • Mean Square Error
    0.04641
  • DF error
    48.00000
  • t(b)
    4.77507
  • p(b)
    0.00001
  • t(a)
    1.71138
  • p(a)
    0.04673
  • Lowerbound of 95% confidence interval for beta
    0.52351
  • Upperbound of 95% confidence interval for beta
    1.28503
  • Lowerbound of 95% confidence interval for alpha
    -0.03210
  • Upperbound of 95% confidence interval for alpha
    0.39923
  • Treynor index (mean / b)
    0.30422
  • Jensen alpha (a)
    0.18357
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.09519
  • Expected Shortfall on VaR
    0.12268
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03657
  • Expected Shortfall on VaR
    0.07166
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    50.00000
  • Minimum
    0.87105
  • Quartile 1
    0.96892
  • Median
    1.01829
  • Quartile 3
    1.08009
  • Maximum
    1.26134
  • Mean of quarter 1
    0.94081
  • Mean of quarter 2
    0.99550
  • Mean of quarter 3
    1.04662
  • Mean of quarter 4
    1.12959
  • Inter Quartile Range
    0.11116
  • 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
    0.02000
  • Mean of outliers high
    1.26134
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.03687
  • VaR(95%) (moments method)
    0.06134
  • Expected Shortfall (moments method)
    0.08135
  • Extreme Value Index (regression method)
    -0.00590
  • VaR(95%) (regression method)
    0.05586
  • Expected Shortfall (regression method)
    0.07038
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00528
  • Quartile 1
    0.02930
  • Median
    0.04901
  • Quartile 3
    0.07465
  • Maximum
    0.22250
  • Mean of quarter 1
    0.01684
  • Mean of quarter 2
    0.03197
  • Mean of quarter 3
    0.06604
  • Mean of quarter 4
    0.15001
  • Inter Quartile Range
    0.04535
  • 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
    0.16667
  • Mean of outliers high
    0.22250
  • 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)
    0.60821
  • Compounded annual return (geometric extrapolation)
    0.35391
  • Calmar ratio (compounded annual return / max draw down)
    1.59059
  • Compounded annual return / average of 25% largest draw downs
    2.35925
  • Compounded annual return / Expected Shortfall lognormal
    2.88476
  • 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
    0.31521
  • SD
    0.24361
  • Sharpe ratio (Glass type estimate)
    1.29392
  • Sharpe ratio (Hedges UMVUE)
    1.29303
  • df
    1093.00000
  • t
    2.64401
  • p
    0.44930
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.33294
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.25432
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.33234
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.25371
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.88823
  • Upside Potential Ratio
    9.53761
  • Upside part of mean
    1.59215
  • Downside part of mean
    -1.27694
  • Upside SD
    0.17833
  • Downside SD
    0.16693
  • N nonnegative terms
    610.00000
  • N negative terms
    484.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1094.00000
  • Mean of predictor
    0.11728
  • Mean of criterion
    0.31521
  • SD of predictor
    0.16849
  • SD of criterion
    0.24361
  • Covariance
    0.01679
  • r
    0.40899
  • b (slope, estimate of beta)
    0.59133
  • a (intercept, estimate of alpha)
    0.24600
  • Mean Square Error
    0.04946
  • DF error
    1092.00000
  • t(b)
    14.81080
  • p(b)
    0.29550
  • t(a)
    2.25682
  • p(a)
    0.46593
  • Lowerbound of 95% confidence interval for beta
    0.51299
  • Upperbound of 95% confidence interval for beta
    0.66967
  • Lowerbound of 95% confidence interval for alpha
    0.03210
  • Upperbound of 95% confidence interval for alpha
    0.45961
  • Treynor index (mean / b)
    0.53305
  • Jensen alpha (a)
    0.24586
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.28534
  • SD
    0.24384
  • Sharpe ratio (Glass type estimate)
    1.17018
  • Sharpe ratio (Hedges UMVUE)
    1.16937
  • df
    1093.00000
  • t
    2.39117
  • p
    0.45411
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.20950
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.13033
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.20897
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.12978
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.67638
  • Upside Potential Ratio
    9.26174
  • Upside part of mean
    1.57643
  • Downside part of mean
    -1.29110
  • Upside SD
    0.17534
  • Downside SD
    0.17021
  • N nonnegative terms
    610.00000
  • N negative terms
    484.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1094.00000
  • Mean of predictor
    0.10304
  • Mean of criterion
    0.28534
  • SD of predictor
    0.16869
  • SD of criterion
    0.24384
  • Covariance
    0.01687
  • r
    0.41010
  • b (slope, estimate of beta)
    0.59280
  • a (intercept, estimate of alpha)
    0.22425
  • Mean Square Error
    0.04950
  • DF error
    1092.00000
  • t(b)
    14.85910
  • p(b)
    0.29495
  • t(a)
    2.05810
  • p(a)
    0.46892
  • Lowerbound of 95% confidence interval for beta
    0.51452
  • Upperbound of 95% confidence interval for beta
    0.67108
  • Lowerbound of 95% confidence interval for alpha
    0.01046
  • Upperbound of 95% confidence interval for alpha
    0.43805
  • Treynor index (mean / b)
    0.48133
  • Jensen alpha (a)
    0.22425
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02341
  • Expected Shortfall on VaR
    0.02952
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01034
  • Expected Shortfall on VaR
    0.02094
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1094.00000
  • Minimum
    0.88939
  • Quartile 1
    0.99301
  • Median
    1.00187
  • Quartile 3
    1.01004
  • Maximum
    1.12298
  • Mean of quarter 1
    0.98316
  • Mean of quarter 2
    0.99781
  • Mean of quarter 3
    1.00526
  • Mean of quarter 4
    1.01902
  • Inter Quartile Range
    0.01703
  • Number outliers low
    22.00000
  • Percentage of outliers low
    0.02011
  • Mean of outliers low
    0.95510
  • Number of outliers high
    12.00000
  • Percentage of outliers high
    0.01097
  • Mean of outliers high
    1.04780
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.17229
  • VaR(95%) (moments method)
    0.01653
  • Expected Shortfall (moments method)
    0.02472
  • Extreme Value Index (regression method)
    0.12748
  • VaR(95%) (regression method)
    0.01555
  • Expected Shortfall (regression method)
    0.02228
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    40.00000
  • Minimum
    0.00039
  • Quartile 1
    0.00644
  • Median
    0.01468
  • Quartile 3
    0.04732
  • Maximum
    0.27109
  • Mean of quarter 1
    0.00353
  • Mean of quarter 2
    0.00891
  • Mean of quarter 3
    0.03064
  • Mean of quarter 4
    0.10645
  • Inter Quartile Range
    0.04088
  • 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
    0.05000
  • Mean of outliers high
    0.20433
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.17490
  • VaR(95%) (moments method)
    0.10629
  • Expected Shortfall (moments method)
    0.13323
  • Extreme Value Index (regression method)
    0.19105
  • VaR(95%) (regression method)
    0.09978
  • Expected Shortfall (regression method)
    0.14316
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.64629
  • Compounded annual return (geometric extrapolation)
    0.36785
  • Calmar ratio (compounded annual return / max draw down)
    1.35695
  • Compounded annual return / average of 25% largest draw downs
    3.45553
  • Compounded annual return / Expected Shortfall lognormal
    12.45930
  • 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
    0.39093
  • SD
    0.19674
  • Sharpe ratio (Glass type estimate)
    1.98705
  • Sharpe ratio (Hedges UMVUE)
    1.97557
  • df
    130.00000
  • t
    1.40506
  • p
    0.43885
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.79901
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.76561
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.80662
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.75776
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.15181
  • Upside Potential Ratio
    10.99000
  • Upside part of mean
    1.36312
  • Downside part of mean
    -0.97219
  • Upside SD
    0.15365
  • Downside SD
    0.12403
  • N nonnegative terms
    73.00000
  • N negative terms
    58.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.23133
  • Mean of criterion
    0.39093
  • SD of predictor
    0.13518
  • SD of criterion
    0.19674
  • Covariance
    0.01562
  • r
    0.58750
  • b (slope, estimate of beta)
    0.85500
  • a (intercept, estimate of alpha)
    0.19314
  • Mean Square Error
    0.02554
  • DF error
    129.00000
  • t(b)
    8.24579
  • p(b)
    0.14878
  • t(a)
    0.84975
  • p(a)
    0.45255
  • Lowerbound of 95% confidence interval for beta
    0.64985
  • Upperbound of 95% confidence interval for beta
    1.06016
  • Lowerbound of 95% confidence interval for alpha
    -0.25656
  • Upperbound of 95% confidence interval for alpha
    0.64283
  • Treynor index (mean / b)
    0.45722
  • Jensen alpha (a)
    0.19314
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.37146
  • SD
    0.19637
  • Sharpe ratio (Glass type estimate)
    1.89166
  • Sharpe ratio (Hedges UMVUE)
    1.88073
  • df
    130.00000
  • t
    1.33761
  • p
    0.44174
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.89318
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.66948
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.90049
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.66194
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.95961
  • Upside Potential Ratio
    10.76700
  • Upside part of mean
    1.35136
  • Downside part of mean
    -0.97990
  • Upside SD
    0.15179
  • Downside SD
    0.12551
  • N nonnegative terms
    73.00000
  • N negative terms
    58.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.22212
  • Mean of criterion
    0.37146
  • SD of predictor
    0.13537
  • SD of criterion
    0.19637
  • Covariance
    0.01566
  • r
    0.58912
  • b (slope, estimate of beta)
    0.85460
  • a (intercept, estimate of alpha)
    0.18163
  • Mean Square Error
    0.02537
  • DF error
    129.00000
  • t(b)
    8.28064
  • p(b)
    0.14795
  • t(a)
    0.80215
  • p(a)
    0.45519
  • VAR (95 Confidence Intrvl)
    0.02300
  • Lowerbound of 95% confidence interval for beta
    0.65041
  • Upperbound of 95% confidence interval for beta
    1.05879
  • Lowerbound of 95% confidence interval for alpha
    -0.26636
  • Upperbound of 95% confidence interval for alpha
    0.62962
  • Treynor index (mean / b)
    0.43466
  • Jensen alpha (a)
    0.18163
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01837
  • Expected Shortfall on VaR
    0.02332
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00790
  • Expected Shortfall on VaR
    0.01581
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.95907
  • Quartile 1
    0.99528
  • Median
    1.00164
  • Quartile 3
    1.00694
  • Maximum
    1.04694
  • Mean of quarter 1
    0.98721
  • Mean of quarter 2
    0.99854
  • Mean of quarter 3
    1.00406
  • Mean of quarter 4
    1.01666
  • Inter Quartile Range
    0.01166
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.03053
  • Mean of outliers low
    0.96877
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.02290
  • Mean of outliers high
    1.03648
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.30058
  • VaR(95%) (moments method)
    0.01159
  • Expected Shortfall (moments method)
    0.01419
  • Extreme Value Index (regression method)
    -0.00884
  • VaR(95%) (regression method)
    0.01406
  • Expected Shortfall (regression method)
    0.01977
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    13.00000
  • Minimum
    0.00041
  • Quartile 1
    0.00774
  • Median
    0.01381
  • Quartile 3
    0.03210
  • Maximum
    0.09817
  • Mean of quarter 1
    0.00446
  • Mean of quarter 2
    0.01208
  • Mean of quarter 3
    0.02218
  • Mean of quarter 4
    0.06674
  • Inter Quartile Range
    0.02435
  • 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
    0.07692
  • Mean of outliers high
    0.09817
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.51868
  • VaR(95%) (moments method)
    0.06641
  • Expected Shortfall (moments method)
    0.07609
  • Extreme Value Index (regression method)
    0.29051
  • VaR(95%) (regression method)
    0.09304
  • Last 4 Months - Pcnt Negative
    0.50%
  • Expected Shortfall (regression method)
    0.15586
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -390386000
  • Max Equity Drawdown (num days)
    181
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.44203
  • Compounded annual return (geometric extrapolation)
    0.49088
  • Calmar ratio (compounded annual return / max draw down)
    5.00041
  • Compounded annual return / average of 25% largest draw downs
    7.35544
  • Compounded annual return / Expected Shortfall lognormal
    21.04990

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.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2020-09-03
Suggested Minimum Capital
$15,000
Rank at C2 %
Top 3.5%
Rank # 
#26
# Trades
318
# Profitable
173
% Profitable
54.4%
Net Dividends
$7,042
Correlation S&P500
0.404
Sharpe Ratio
1.00
Sortino Ratio
1.45
Beta
0.62
Alpha
0.06
Leverage
1.00 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.

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Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.

Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

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

Material assumptions and methods used when calculating results

The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.

  • Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
  • Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been re-scaled downward to make current go-forward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
  • All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any per-trade AutoTrade fees, plus estimated broker commissions if any.
  • "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.

Trading is risky

There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.

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