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

Investing on Steroids
(113402357)

Created by: AlexLevin AlexLevin
Started: 08/2017
Stocks
Last trade: 1,303 days ago
Trading style: Equity Non-hedged Equity Sector: Technology

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 $199.00 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."
Sector: Technology
Category: Equity

Sector: Technology

Focuses primarily on stocks of technology companies.
12.2%
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.

(32.5%)
Max Drawdown
58
Num Trades
89.7%
Win Trades
5.0 : 1
Profit Factor
61.2%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2017                                                 +3.0%(4.2%)(0.4%)(3%)(5.3%)(9.7%)
2018+3.7%+11.6%+0.2%+5.0%+7.1%+14.6%(0.2%)+4.4%(5.1%)(13.3%)(2.3%)(11%)+11.4%
2019+17.7%+0.7%+5.0%+2.5%(7.6%)+7.2%+3.3%(1.3%)+3.6%+4.5%+11.8%+2.1%+59.1%
2020(0.5%)+6.1%(4.2%)+8.6%+6.1%+1.1%(0.6%)+2.8%+0.3%(0.4%)+1.8%+0.3%+22.8%
2021  -  +1.6%+0.9%+1.3%+0.4%(0.5%)+0.3%+0.9%(0.4%)+0.8%(0.5%)(0.1%)+4.8%
2022+1.2%+0.1%(0.3%)(1.6%)(0.1%)(1.1%)+0.7%+0.1%(0.8%)+1.3%+0.5%(1.5%)(1.5%)
2023+1.2%+0.2%(2.4%)+1.1%+0.2%(0.1%)+1.2%(1%)(0.2%)(0.3%)+0.9%+1.5%+2.3%
2024+0.3%+1.0%+0.7%                                                      +2.0%

Model Account Details

A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.

Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.

System developer has asked us to delay this information by 168 hours.

Trading Record

This strategy has placed 81 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
7/1/20 13:23 WORK SLACK TECHNOLOGIES INC LONG 600 30.70 9/2 12:21 33.54 2.01%
Trade id #129849236
Max drawdown($1,903)
Time8/11/20 0:00
Quant open600
Worst price27.53
Drawdown as % of equity-2.01%
$1,697
Includes Typical Broker Commissions trade costs of $5.00
2/28/20 10:55 DIS WALT DISNEY LONG 80 115.53 8/5 9:52 128.75 3.87%
Trade id #127766888
Max drawdown($2,916)
Time3/18/20 0:00
Quant open80
Worst price79.07
Drawdown as % of equity-3.87%
$1,056
Includes Typical Broker Commissions trade costs of $1.60
2/28/20 9:46 SFIX STITCH FIX INC. CLASS A COMMON STOCK LONG 300 23.46 7/1 13:23 25.81 4.76%
Trade id #127763908
Max drawdown($3,769)
Time3/16/20 0:00
Quant open300
Worst price10.90
Drawdown as % of equity-4.76%
$698
Includes Typical Broker Commissions trade costs of $6.00
2/28/20 9:43 YEXT YEXT INC LONG 600 15.35 6/4 9:53 17.92 5.01%
Trade id #127763699
Max drawdown($4,072)
Time4/3/20 0:00
Quant open600
Worst price8.56
Drawdown as % of equity-5.01%
$1,538
Includes Typical Broker Commissions trade costs of $5.00
2/28/20 9:44 NEWR NEW RELIC INC LONG 200 53.88 5/7 10:14 56.37 5.17%
Trade id #127763759
Max drawdown($4,077)
Time3/18/20 0:00
Quant open200
Worst price33.49
Drawdown as % of equity-5.17%
$494
Includes Typical Broker Commissions trade costs of $4.00
4/29/20 9:40 WORK SLACK TECHNOLOGIES INC LONG 500 25.49 5/7 10:14 28.84 0.09%
Trade id #128786542
Max drawdown($84)
Time5/1/20 0:00
Quant open500
Worst price25.32
Drawdown as % of equity-0.09%
$1,666
Includes Typical Broker Commissions trade costs of $10.00
4/2/20 9:54 ZM ZOOM VIDEO COMMUNICATIONS INC. CLASS A LONG 100 120.28 4/13 12:46 136.44 1.39%
Trade id #128376421
Max drawdown($1,174)
Time4/6/20 0:00
Quant open100
Worst price108.53
Drawdown as % of equity-1.39%
$1,615
Includes Typical Broker Commissions trade costs of $2.00
3/20/20 12:58 RDFN REDFIN CORPORATION COMMON STOCK LONG 900 11.83 3/24 10:42 15.00 0.88%
Trade id #128163759
Max drawdown($694)
Time3/23/20 0:00
Quant open900
Worst price11.06
Drawdown as % of equity-0.88%
$2,847
Includes Typical Broker Commissions trade costs of $5.00
3/13/20 12:08 WORK SLACK TECHNOLOGIES INC LONG 500 16.41 3/24 10:42 26.89 0.79%
Trade id #128033441
Max drawdown($655)
Time3/16/20 0:00
Quant open500
Worst price15.10
Drawdown as % of equity-0.79%
$5,230
Includes Typical Broker Commissions trade costs of $10.00
3/2/20 10:38 WORK SLACK TECHNOLOGIES INC LONG 500 26.28 3/5 11:27 29.64 0.1%
Trade id #127804434
Max drawdown($85)
Time3/3/20 0:00
Quant open500
Worst price26.11
Drawdown as % of equity-0.10%
$1,670
Includes Typical Broker Commissions trade costs of $10.00
10/3/19 15:05 WORK SLACK TECHNOLOGIES INC LONG 1,000 23.61 2/19/20 9:43 27.88 2.84%
Trade id #125621143
Max drawdown($2,199)
Time11/12/19 0:00
Quant open500
Worst price19.53
Drawdown as % of equity-2.84%
$4,263
Includes Typical Broker Commissions trade costs of $12.50
6/25/18 9:40 BIDU BAIDU LONG 100 236.22 1/16/20 9:48 129.66 21.78%
Trade id #118622041
Max drawdown($14,282)
Time8/15/19 0:00
Quant open100
Worst price93.39
Drawdown as % of equity-21.78%
($10,657)
Includes Typical Broker Commissions trade costs of $2.00
12/12/19 14:45 AYX ALTERYX INC LONG 150 93.60 12/26 10:46 104.67 0.08%
Trade id #126604018
Max drawdown($63)
Time12/12/19 14:53
Quant open150
Worst price93.18
Drawdown as % of equity-0.08%
$1,657
Includes Typical Broker Commissions trade costs of $3.00
8/5/19 11:44 FB META PLATFORMS INC LONG 70 182.94 11/27 15:42 202.37 0.98%
Trade id #124770214
Max drawdown($689)
Time10/2/19 0:00
Quant open70
Worst price173.09
Drawdown as % of equity-0.98%
$1,359
Includes Typical Broker Commissions trade costs of $1.40
10/17/19 10:25 YEXT YEXT INC LONG 600 15.48 11/26 9:30 17.27 1.01%
Trade id #125833234
Max drawdown($719)
Time10/21/19 0:00
Quant open600
Worst price14.28
Drawdown as % of equity-1.01%
$1,069
Includes Typical Broker Commissions trade costs of $5.00
10/28/19 10:09 ZS ZSCALER INC. COMMON STOCK LONG 200 42.58 11/26 9:30 50.32 0.11%
Trade id #125973531
Max drawdown($80)
Time10/28/19 14:01
Quant open200
Worst price42.18
Drawdown as % of equity-0.11%
$1,543
Includes Typical Broker Commissions trade costs of $4.00
11/5/19 11:14 AYX ALTERYX INC LONG 130 91.25 11/20 15:54 106.90 0.11%
Trade id #126077805
Max drawdown($81)
Time11/8/19 0:00
Quant open130
Worst price90.62
Drawdown as % of equity-0.11%
$2,031
Includes Typical Broker Commissions trade costs of $2.60
7/9/18 9:38 MMYT MAKEMYTRIP LONG 300 34.98 11/4/19 15:21 26.78 8.99%
Trade id #118822393
Max drawdown($4,595)
Time12/24/18 0:00
Quant open300
Worst price19.66
Drawdown as % of equity-8.99%
($2,465)
Includes Typical Broker Commissions trade costs of $6.00
7/16/19 15:03 RDFN REDFIN CORPORATION COMMON STOCK LONG 800 17.23 11/4 10:17 18.51 2.87%
Trade id #124484428
Max drawdown($2,024)
Time10/2/19 0:00
Quant open800
Worst price14.70
Drawdown as % of equity-2.87%
$1,022
Includes Typical Broker Commissions trade costs of $5.00
9/4/19 11:58 Z ZILLOW GROUP INC. CLASS C LONG 350 31.79 10/28 10:09 34.65 1.67%
Trade id #125218438
Max drawdown($1,162)
Time10/3/19 0:00
Quant open350
Worst price28.46
Drawdown as % of equity-1.67%
$995
Includes Typical Broker Commissions trade costs of $7.00
5/1/19 11:15 GOOG ALPHABET INC CLASS C LONG 10 1176.99 10/28 10:07 1284.33 2.41%
Trade id #123491824
Max drawdown($1,519)
Time6/3/19 0:00
Quant open10
Worst price1025.00
Drawdown as % of equity-2.41%
$1,073
Includes Typical Broker Commissions trade costs of $0.20
9/6/19 13:56 WORK SLACK TECHNOLOGIES INC SHORT 300 27.47 10/3 15:05 24.89 0.13%
Trade id #125251637
Max drawdown($90)
Time9/6/19 15:21
Quant open300
Worst price27.77
Drawdown as % of equity-0.13%
$768
Includes Typical Broker Commissions trade costs of $6.00
8/5/19 11:42 DOCU DOCUSIGN INC. COMMON STOCK LONG 300 44.77 9/6 13:55 55.52 0.72%
Trade id #124770190
Max drawdown($492)
Time8/14/19 0:00
Quant open300
Worst price43.13
Drawdown as % of equity-0.72%
$3,220
Includes Typical Broker Commissions trade costs of $6.00
8/5/19 11:43 NVDA NVIDIA LONG 75 151.03 8/20 11:03 168.46 0.42%
Trade id #124770205
Max drawdown($272)
Time8/15/19 0:00
Quant open75
Worst price147.39
Drawdown as % of equity-0.42%
$1,306
Includes Typical Broker Commissions trade costs of $1.50
5/31/19 14:56 FB META PLATFORMS INC LONG 75 178.18 7/10 9:53 201.92 2.05%
Trade id #123893639
Max drawdown($1,300)
Time5/31/19 14:56
Quant open75
Worst price160.84
Drawdown as % of equity-2.05%
$1,780
Includes Typical Broker Commissions trade costs of $1.50
5/31/19 14:59 RDFN REDFIN CORPORATION COMMON STOCK LONG 1,000 15.87 6/10 10:11 18.23 0.73%
Trade id #123893655
Max drawdown($476)
Time6/3/19 13:18
Quant open1,000
Worst price15.39
Drawdown as % of equity-0.73%
$2,355
Includes Typical Broker Commissions trade costs of $5.00
5/31/19 14:55 FB META PLATFORMS INC SHORT 150 178.04 5/31 14:55 178.18 0.03%
Trade id #123893624
Max drawdown($21)
Time5/31/19 14:55
Quant open0
Worst price178.18
Drawdown as % of equity-0.03%
($24)
Includes Typical Broker Commissions trade costs of $3.00
3/20/19 10:08 ZG ZILLOW GROUP INC. CLASS A COMMON STOCK LONG 250 36.30 5/31 14:49 42.58 1.74%
Trade id #122989222
Max drawdown($1,206)
Time5/2/19 15:05
Quant open250
Worst price31.47
Drawdown as % of equity-1.74%
$1,565
Includes Typical Broker Commissions trade costs of $5.00
7/26/18 15:13 FB META PLATFORMS INC LONG 100 175.12 4/25/19 10:11 193.36 1.74%
Trade id #119143841
Max drawdown($1,178)
Time3/28/19 9:33
Quant open100
Worst price163.33
Drawdown as % of equity-1.74%
$1,822
Includes Typical Broker Commissions trade costs of $2.00
3/5/19 9:49 AYX ALTERYX INC LONG 200 65.69 3/11 13:39 75.02 0.35%
Trade id #122788347
Max drawdown($234)
Time3/5/19 9:55
Quant open200
Worst price64.52
Drawdown as % of equity-0.35%
$1,861
Includes Typical Broker Commissions trade costs of $4.00

Statistics

  • Strategy began
    8/29/2017
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    2400.05
  • Age
    80 months ago
  • What it trades
    Stocks
  • # Trades
    58
  • # Profitable
    52
  • % Profitable
    89.70%
  • Avg trade duration
    114.9 days
  • Max peak-to-valley drawdown
    32.54%
  • drawdown period
    Aug 27, 2018 - Dec 26, 2018
  • Annual Return (Compounded)
    12.2%
  • Avg win
    $1,557
  • Avg loss
    $2,747
  • Model Account Values (Raw)
  • Cash
    $107,251
  • Margin Used
    $0
  • Buying Power
    $109,768
  • Ratios
  • W:L ratio
    4.98:1
  • Sharpe Ratio
    0.61
  • Sortino Ratio
    0.92
  • Calmar Ratio
    0.887
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -0.39%
  • Correlation to SP500
    0.43590
  • Return Percent SP500 (cumu) during strategy life
    114.55%
  • Return Statistics
  • Ann Return (w trading costs)
    12.2%
  • Slump
  • Current Slump as Pcnt Equity
    0.10%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    n/a
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.122%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    13.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    33.00%
  • Chance of 20% account loss
    7.00%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/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 Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $2,748
  • Avg Win
    $1,558
  • Sum Trade PL (losers)
    $16,487.000
  • Age
  • Num Months filled monthly returns table
    80
  • Win / Loss
  • Sum Trade PL (winners)
    $80,999.000
  • # Winners
    52
  • Num Months Winners
    50
  • Dividends
  • Dividends Received in Model Acct
    1142
  • Win / Loss
  • # Losers
    6
  • % Winners
    89.7%
  • Frequency
  • Avg Position Time (mins)
    165428.00
  • Avg Position Time (hrs)
    2757.14
  • Avg Trade Length
    114.9 days
  • Last Trade Ago
    1300
  • Leverage
  • Daily leverage (average)
    0.93
  • Daily leverage (max)
    1.78
  • Regression
  • Alpha
    0.02
  • Beta
    0.33
  • Treynor Index
    0.09
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.03
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    15.60
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    39.72
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.67
  • MAE:Equity, average, winning trades
    0.02
  • MAE:Equity, average, losing trades
    0.10
  • Avg(MAE) / Avg(PL) - All trades
    1.627
  • 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
    0.727
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.813
  • Hold-and-Hope Ratio
    0.617
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.21330
  • SD
    0.19790
  • Sharpe ratio (Glass type estimate)
    1.07782
  • Sharpe ratio (Hedges UMVUE)
    1.05844
  • df
    42.00000
  • t
    2.04028
  • p
    0.02382
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.01116
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.13231
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.00140
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.11828
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.94742
  • Upside Potential Ratio
    3.35466
  • Upside part of mean
    0.36743
  • Downside part of mean
    -0.15413
  • Upside SD
    0.17334
  • Downside SD
    0.10953
  • N nonnegative terms
    27.00000
  • N negative terms
    16.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    43.00000
  • Mean of predictor
    0.16282
  • Mean of criterion
    0.21330
  • SD of predictor
    0.26972
  • SD of criterion
    0.19790
  • Covariance
    0.03058
  • r
    0.57290
  • b (slope, estimate of beta)
    0.42035
  • a (intercept, estimate of alpha)
    0.14486
  • Mean Square Error
    0.02695
  • DF error
    41.00000
  • t(b)
    4.47563
  • p(b)
    0.00003
  • t(a)
    1.64492
  • p(a)
    0.05382
  • Lowerbound of 95% confidence interval for beta
    0.23068
  • Upperbound of 95% confidence interval for beta
    0.61003
  • Lowerbound of 95% confidence interval for alpha
    -0.03299
  • Upperbound of 95% confidence interval for alpha
    0.32270
  • Treynor index (mean / b)
    0.50743
  • Jensen alpha (a)
    0.14486
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.19231
  • SD
    0.19612
  • Sharpe ratio (Glass type estimate)
    0.98056
  • Sharpe ratio (Hedges UMVUE)
    0.96293
  • df
    42.00000
  • t
    1.85618
  • p
    0.03523
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.08131
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.03128
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.09274
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.01860
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.65775
  • Upside Potential Ratio
    3.03908
  • Upside part of mean
    0.35254
  • Downside part of mean
    -0.16024
  • Upside SD
    0.16490
  • Downside SD
    0.11600
  • N nonnegative terms
    27.00000
  • N negative terms
    16.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    43.00000
  • Mean of predictor
    0.12252
  • Mean of criterion
    0.19231
  • SD of predictor
    0.29198
  • SD of criterion
    0.19612
  • Covariance
    0.03349
  • r
    0.58490
  • b (slope, estimate of beta)
    0.39287
  • a (intercept, estimate of alpha)
    0.14417
  • Mean Square Error
    0.02592
  • DF error
    41.00000
  • t(b)
    4.61741
  • p(b)
    0.00002
  • t(a)
    1.68252
  • p(a)
    0.05004
  • Lowerbound of 95% confidence interval for beta
    0.22104
  • Upperbound of 95% confidence interval for beta
    0.56470
  • Lowerbound of 95% confidence interval for alpha
    -0.02888
  • Upperbound of 95% confidence interval for alpha
    0.31722
  • Treynor index (mean / b)
    0.48949
  • Jensen alpha (a)
    0.14417
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07420
  • Expected Shortfall on VaR
    0.09565
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02372
  • Expected Shortfall on VaR
    0.05245
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    43.00000
  • Minimum
    0.86718
  • Quartile 1
    0.98871
  • Median
    1.01949
  • Quartile 3
    1.04982
  • Maximum
    1.14049
  • Mean of quarter 1
    0.95608
  • Mean of quarter 2
    1.00188
  • Mean of quarter 3
    1.03001
  • Mean of quarter 4
    1.09335
  • Inter Quartile Range
    0.06111
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.04651
  • Mean of outliers low
    0.87115
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.65421
  • VaR(95%) (moments method)
    0.04472
  • Expected Shortfall (moments method)
    0.14271
  • Extreme Value Index (regression method)
    0.18168
  • VaR(95%) (regression method)
    0.04567
  • Expected Shortfall (regression method)
    0.07526
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.01071
  • Quartile 1
    0.02035
  • Median
    0.04501
  • Quartile 3
    0.10885
  • Maximum
    0.21174
  • Mean of quarter 1
    0.01404
  • Mean of quarter 2
    0.02926
  • Mean of quarter 3
    0.06075
  • Mean of quarter 4
    0.16831
  • Inter Quartile Range
    0.08850
  • 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)
    0.33527
  • Compounded annual return (geometric extrapolation)
    0.24634
  • Calmar ratio (compounded annual return / max draw down)
    1.16344
  • Compounded annual return / average of 25% largest draw downs
    1.46364
  • Compounded annual return / Expected Shortfall lognormal
    2.57556
  • 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
    0.21765
  • SD
    0.18355
  • Sharpe ratio (Glass type estimate)
    1.18574
  • Sharpe ratio (Hedges UMVUE)
    1.18480
  • df
    949.00000
  • t
    2.25788
  • p
    0.01209
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.15477
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.21611
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.15414
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.21547
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.81082
  • Upside Potential Ratio
    8.91252
  • Upside part of mean
    1.07121
  • Downside part of mean
    -0.85357
  • Upside SD
    0.13925
  • Downside SD
    0.12019
  • N nonnegative terms
    512.00000
  • N negative terms
    438.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    950.00000
  • Mean of predictor
    0.20869
  • Mean of criterion
    0.21765
  • SD of predictor
    0.25484
  • SD of criterion
    0.18355
  • Covariance
    0.01989
  • r
    0.42512
  • b (slope, estimate of beta)
    0.30620
  • a (intercept, estimate of alpha)
    0.15400
  • Mean Square Error
    0.02763
  • DF error
    948.00000
  • t(b)
    14.46130
  • p(b)
    0.00000
  • t(a)
    1.75893
  • p(a)
    0.03946
  • Lowerbound of 95% confidence interval for beta
    0.26465
  • Upperbound of 95% confidence interval for beta
    0.34775
  • Lowerbound of 95% confidence interval for alpha
    -0.01779
  • Upperbound of 95% confidence interval for alpha
    0.32528
  • Treynor index (mean / b)
    0.71079
  • Jensen alpha (a)
    0.15374
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.20080
  • SD
    0.18289
  • Sharpe ratio (Glass type estimate)
    1.09794
  • Sharpe ratio (Hedges UMVUE)
    1.09707
  • df
    949.00000
  • t
    2.09069
  • p
    0.01841
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.06720
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.12815
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.06660
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.12754
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.64982
  • Upside Potential Ratio
    8.72255
  • Upside part of mean
    1.06162
  • Downside part of mean
    -0.86082
  • Upside SD
    0.13694
  • Downside SD
    0.12171
  • N nonnegative terms
    512.00000
  • N negative terms
    438.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    950.00000
  • Mean of predictor
    0.17598
  • Mean of criterion
    0.20080
  • SD of predictor
    0.25601
  • SD of criterion
    0.18289
  • Covariance
    0.01989
  • r
    0.42486
  • b (slope, estimate of beta)
    0.30351
  • a (intercept, estimate of alpha)
    0.14738
  • Mean Square Error
    0.02744
  • DF error
    948.00000
  • t(b)
    14.45050
  • p(b)
    0.00000
  • t(a)
    1.69274
  • p(a)
    0.04542
  • Lowerbound of 95% confidence interval for beta
    0.26230
  • Upperbound of 95% confidence interval for beta
    0.34473
  • Lowerbound of 95% confidence interval for alpha
    -0.02349
  • Upperbound of 95% confidence interval for alpha
    0.31826
  • Treynor index (mean / b)
    0.66158
  • Jensen alpha (a)
    0.14738
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01766
  • Expected Shortfall on VaR
    0.02228
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00705
  • Expected Shortfall on VaR
    0.01464
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    950.00000
  • Minimum
    0.95135
  • Quartile 1
    0.99661
  • Median
    1.00079
  • Quartile 3
    1.00547
  • Maximum
    1.08892
  • Mean of quarter 1
    0.98825
  • Mean of quarter 2
    0.99900
  • Mean of quarter 3
    1.00278
  • Mean of quarter 4
    1.01371
  • Inter Quartile Range
    0.00886
  • Number outliers low
    54.00000
  • Percentage of outliers low
    0.05684
  • Mean of outliers low
    0.97454
  • Number of outliers high
    40.00000
  • Percentage of outliers high
    0.04211
  • Mean of outliers high
    1.03070
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.35896
  • VaR(95%) (moments method)
    0.01086
  • Expected Shortfall (moments method)
    0.02040
  • Extreme Value Index (regression method)
    0.17473
  • VaR(95%) (regression method)
    0.01065
  • Expected Shortfall (regression method)
    0.01690
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    54.00000
  • Minimum
    0.00004
  • Quartile 1
    0.00197
  • Median
    0.00698
  • Quartile 3
    0.02194
  • Maximum
    0.28986
  • Mean of quarter 1
    0.00076
  • Mean of quarter 2
    0.00478
  • Mean of quarter 3
    0.01095
  • Mean of quarter 4
    0.07344
  • Inter Quartile Range
    0.01997
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.11111
  • Mean of outliers high
    0.12803
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.60866
  • VaR(95%) (moments method)
    0.07802
  • Expected Shortfall (moments method)
    0.21749
  • Extreme Value Index (regression method)
    0.87248
  • VaR(95%) (regression method)
    0.08028
  • Expected Shortfall (regression method)
    0.59897
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.35623
  • Compounded annual return (geometric extrapolation)
    0.25697
  • Calmar ratio (compounded annual return / max draw down)
    0.88653
  • Compounded annual return / average of 25% largest draw downs
    3.49924
  • Compounded annual return / Expected Shortfall lognormal
    11.53430
  • 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
    0.09388
  • SD
    0.07705
  • Sharpe ratio (Glass type estimate)
    1.21840
  • Sharpe ratio (Hedges UMVUE)
    1.21136
  • df
    130.00000
  • t
    0.86154
  • p
    0.46233
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.55966
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.99187
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.56436
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.98707
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.70432
  • Upside Potential Ratio
    9.11816
  • Upside part of mean
    0.50225
  • Downside part of mean
    -0.40837
  • Upside SD
    0.05377
  • Downside SD
    0.05508
  • N nonnegative terms
    68.00000
  • N negative terms
    63.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.64483
  • Mean of criterion
    0.09388
  • SD of predictor
    0.38013
  • SD of criterion
    0.07705
  • Covariance
    0.01290
  • r
    0.44041
  • b (slope, estimate of beta)
    0.08927
  • a (intercept, estimate of alpha)
    0.03631
  • Mean Square Error
    0.00482
  • DF error
    129.00000
  • t(b)
    5.57155
  • p(b)
    0.22897
  • t(a)
    0.36775
  • p(a)
    0.47940
  • Lowerbound of 95% confidence interval for beta
    0.05757
  • Upperbound of 95% confidence interval for beta
    0.12097
  • Lowerbound of 95% confidence interval for alpha
    -0.15906
  • Upperbound of 95% confidence interval for alpha
    0.23169
  • Treynor index (mean / b)
    1.05162
  • Jensen alpha (a)
    0.03631
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.09090
  • SD
    0.07718
  • Sharpe ratio (Glass type estimate)
    1.17780
  • Sharpe ratio (Hedges UMVUE)
    1.17099
  • df
    130.00000
  • t
    0.83283
  • p
    0.46358
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.59988
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.95113
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.60447
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.94645
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.63995
  • Upside Potential Ratio
    9.03431
  • Upside part of mean
    0.50076
  • Downside part of mean
    -0.40986
  • Upside SD
    0.05357
  • Downside SD
    0.05543
  • N nonnegative terms
    68.00000
  • N negative terms
    63.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.57219
  • Mean of criterion
    0.09090
  • SD of predictor
    0.38099
  • SD of criterion
    0.07718
  • Covariance
    0.01288
  • r
    0.43794
  • b (slope, estimate of beta)
    0.08872
  • a (intercept, estimate of alpha)
    0.04014
  • Mean Square Error
    0.00485
  • DF error
    129.00000
  • t(b)
    5.53287
  • p(b)
    0.23039
  • t(a)
    0.40573
  • p(a)
    0.47728
  • VAR (95 Confidence Intrvl)
    0.01800
  • Lowerbound of 95% confidence interval for beta
    0.05699
  • Upperbound of 95% confidence interval for beta
    0.12044
  • Lowerbound of 95% confidence interval for alpha
    -0.15559
  • Upperbound of 95% confidence interval for alpha
    0.23587
  • Treynor index (mean / b)
    1.02462
  • Jensen alpha (a)
    0.04014
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00747
  • Expected Shortfall on VaR
    0.00944
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00348
  • Expected Shortfall on VaR
    0.00706
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97760
  • Quartile 1
    0.99789
  • Median
    1.00030
  • Quartile 3
    1.00309
  • Maximum
    1.01041
  • Mean of quarter 1
    0.99469
  • Mean of quarter 2
    0.99935
  • Mean of quarter 3
    1.00173
  • Mean of quarter 4
    1.00613
  • Inter Quartile Range
    0.00520
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.03053
  • Mean of outliers low
    0.98578
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.21630
  • VaR(95%) (moments method)
    0.00521
  • Expected Shortfall (moments method)
    0.00814
  • Extreme Value Index (regression method)
    -0.02092
  • VaR(95%) (regression method)
    0.00521
  • Expected Shortfall (regression method)
    0.00706
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    11.00000
  • Minimum
    0.00032
  • Quartile 1
    0.00180
  • Median
    0.00675
  • Quartile 3
    0.00901
  • Maximum
    0.04750
  • Mean of quarter 1
    0.00079
  • Mean of quarter 2
    0.00393
  • Mean of quarter 3
    0.00789
  • Mean of quarter 4
    0.02245
  • Inter Quartile Range
    0.00721
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.09091
  • Mean of outliers high
    0.04750
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.64587
  • VaR(95%) (moments method)
    0.02579
  • Expected Shortfall (moments method)
    0.07984
  • Extreme Value Index (regression method)
    3.35633
  • VaR(95%) (regression method)
    0.06945
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -526625000
  • Max Equity Drawdown (num days)
    121
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.12241
  • Compounded annual return (geometric extrapolation)
    0.12615
  • Calmar ratio (compounded annual return / max draw down)
    2.65584
  • Compounded annual return / average of 25% largest draw downs
    5.61863
  • Compounded annual return / Expected Shortfall lognormal
    13.36110

Strategy Description

The classic value investor buys undervalued stocks and waits until they appreciate in value. It usually takes between 3 and 5 years for average trade. I apply value investing to growths stocks. This is what allows me to make much more frequent trades and to possibly increase my returns. Growths stocks are much more volatile. This is what gives me an opportunity to make 2 to 6 trades a year, harvesting a target of 10 to 15% profits for each trade and an annual return of 20 to 50%.

Of course, these are goals only. No performance can be guaranteed, and the actual real-world results may be vastly different from these goals.

It took me 10 years of investing/trading to develop and test this strategy. My background in technology and lifetime hobby of being an investor allows me to find undervalued tech companies with strong growth prospects and wide moats mostly. Most analysts can't understand the business behind such companies, i.e. what makes them often undervalued and fluctuate under fundamental values. But the prices almost always quickly return back as businesses report strong growth or bring a portion of good news.

The strategy works best in growing markets. If the economy stagnates or market falls, trades occur much less frequently, and returns diminish. I can't guaranty the strategy will work each and every year, but I must say that I invest most of my own wealth in the same stocks and my family's future depends on my investing abilities, risks, and some luck.

To learn more about my investing approach, check out my article on Medium: https://medium.com/@alexeylevin_73209/no-value-investing-isnt-dead-f165f5414792

Summary Statistics

Strategy began
2017-08-29
Suggested Minimum Capital
$15,000
# Trades
58
# Profitable
52
% Profitable
89.7%
Net Dividends
Correlation S&P500
0.436
Sharpe Ratio
0.61
Sortino Ratio
0.92
Beta
0.33
Alpha
0.02
Leverage
0.93 Average
1.78 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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