This system has earned TradesOwnStrategy (TOS) Certification.
This means that the manager of this system trades his own strategy
in a reallife, funded brokerage account.
TradesOwnStrategy (TOS) Certification Details
Certification process started
06/28/2021
Most recent certification approved
6/28/21 9:34 ET
Trades at broker
Interactive Brokers (Stocks, Options, Futures)
Scaling percentage used
100%
# trading signals issued by system since certification
485
# trading signals executed in manager's Interactive Brokers (Stocks, Options, Futures) account
485
Percent signals followed since 06/28/2021
100%
This information was last updated
1/27/23 7:54 ET
Warning: System trading results are still hypothetical.
Even though the system developer is currently trading his own system in a reallife 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 06/28/2021,
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.
GardCap Discretionary
(126454200)
This system has earned TradesOwnStrategy (TOS) Certification. This means that the manager of this system trades his own strategy in a reallife, funded brokerage account.
TradesOwnStrategy (TOS) Certification Details  

Certification process started  06/28/2021 
Most recent certification approved  6/28/21 9:34 ET 
Trades at broker  Interactive Brokers (Stocks, Options, Futures) 
Scaling percentage used  100% 
# trading signals issued by system since certification  485 
# trading signals executed in manager's Interactive Brokers (Stocks, Options, Futures) account  485 
Percent signals followed since 06/28/2021  100% 
This information was last updated  1/27/23 7:54 ET 
Warning: System trading results are still hypothetical.
Even though the system developer is currently trading his own system in a reallife 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 06/28/2021, 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.
Subscription terms. Subscriptions to this system cost $125.00 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.
Hedged Equity
Core holding of long equities hedged at all times with short sales of stocks and/or stock index options.Pairs Trading / Relative Value
Seeks to exploit differences in the price or rate of the same or similar securities. The relative value fund trades on gaps, rather than the price of a specific security aloneRate 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 markedtomarket equity calculations.
All results are hypothetical.
Jan  Feb  Mar  Apr  May  Jun  Jul  Aug  Sep  Oct  Nov  Dec  YTD  

2019  +1.2%  +1.2%  
2020  +0.8%  +0.9%  (1%)  +0.3%    (0.6%)  +5.5%    (0.1%)  (0.8%)  +3.9%  +3.9%  +13.3% 
2021  +2.2%  +3.2%  +0.9%  +1.1%  +1.7%  +1.2%  +0.4%  +0.1%  (0.7%)  +3.3%  +1.3%  +0.4%  +16.0% 
2022  +1.3%  (0.8%)  +2.0%  +0.3%  +1.7%  +0.1%  +0.4%  +1.6%  (0.9%)  +0.5%    (2.1%)  +4.1% 
2023  +1.2%  +1.2% 
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  $250,000  
Buy Power  $326,437  
Cash  $1  
Equity  $1  
Cumulative $  $108,821  
Includes dividends and cashsettled expirations:  $4,494  Itemized 
Total System Equity  $358,821  
Margined  $1  
Open P/L  $0  
Data has been delayed by 24 hours for nonsubscribers 
System developer has asked us to delay this information by 24 hours.
Trading Record
Statistics

Strategy began12/3/2019

Suggested Minimum Cap$5,000

Strategy Age (days)1151.06

Age38 months ago

What it tradesStocks

# Trades308

# Profitable173

% Profitable56.20%

Avg trade duration8.0 days

Max peaktovalley drawdown3.96%

drawdown periodSept 12, 2022  Jan 09, 2023

Annual Return (Compounded)11.3%

Avg win$1,265

Avg loss$849.46
 Model Account Values (Raw)

Cash$325,700

Margin Used$0

Buying Power$326,437
 Ratios

W:L ratio2.01:1

Sharpe Ratio1.44

Sortino Ratio2.6

Calmar Ratio3.643
 CORRELATION STATISTICS

Return of Strat Pcnt  Return of SP500 Pcnt (cumu)8.89%

Correlation to SP5000.07820

Return Percent SP500 (cumu) during strategy life31.27%
 Return Statistics

Ann Return (w trading costs)11.3%
 Slump

Current Slump as Pcnt Equity2.70%
 Instruments

Percent Trades Futuresn/a
 Slump

Current Slump, time of slump as pcnt of strategy life0.12%
 Instruments

Short Options  Percent Covered100.00%
 Return Statistics

Return Pcnt (Compound or Annual, agebased, NFA compliant)0.113%
 Instruments

Percent Trades Optionsn/a

Percent Trades Stocks1.00%

Percent Trades Forexn/a
 Return Statistics

Ann Return (Compnd, No Fees)12.1%
 Risk of Ruin (MonteCarlo)

Chance of 10% account lossn/a

Chance of 20% account lossn/a

Chance of 30% account lossn/a

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 (MonteCarlo)

Chance of 50% account lossn/a
 Popularity

Popularity (Today)837

Popularity (Last 6 weeks)971
 Trading Style

Any stock shorts? 0/11
 Popularity

C2 Score992

Popularity (7 days, Percentile 1000 scale)937
 TradesOwnSystem Certification

Trades Own System?Yes

TOS percent100%
 Win / Loss

Avg Loss$849

Avg Win$1,266

Sum Trade PL (losers)$114,677.000
 Age

Num Months filled monthly returns table38
 Win / Loss

Sum Trade PL (winners)$219,005.000

# Winners173

Num Months Winners29
 Dividends

Dividends Received in Model Acct4494
 AUM

AUM (AutoTrader live capital)12301700
 Win / Loss

# Losers135

% Winners56.2%
 Frequency

Avg Position Time (mins)11496.20

Avg Position Time (hrs)191.60

Avg Trade Length8.0 days

Last Trade Ago1
 Leverage

Daily leverage (average)0.40

Daily leverage (max)1.85
 Regression

Alpha0.02

Beta0.02

Treynor Index1.51
 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)0.63

MAE:Equity, average, winning trades0.00

MAE:Equity, average, losing trades0.00

Avg(MAE) / Avg(PL)  All trades2.477

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 strat0.00

Avg(MAE) / Avg(PL)  Winning trades0.358

Avg(MAE) / Avg(PL)  Losing trades1.178

HoldandHope Ratio0.404
 Analysis based on MONTHLY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.09053

SD0.05603

Sharpe ratio (Glass type estimate)1.61571

Sharpe ratio (Hedges UMVUE)1.58178

df36.00000

t2.83710

p0.00372

Lowerbound of 95% confidence interval for Sharpe Ratio0.42914

Upperbound of 95% confidence interval for Sharpe Ratio2.78213

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.40731

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.75624
 Statistics related to Sortino ratio

Sortino ratio4.58140

Upside Potential Ratio6.06183

Upside part of mean0.11979

Downside part of mean0.02925

Upside SD0.05786

Downside SD0.01976

N nonnegative terms23.00000

N negative terms14.00000
 Statistics related to linear regression on benchmark

N of observations37.00000

Mean of predictor0.06570

Mean of criterion0.09053

SD of predictor0.19238

SD of criterion0.05603

Covariance0.00222

r0.20549

b (slope, estimate of beta)0.05985

a (intercept, estimate of alpha)0.08660

Mean Square Error0.00309

DF error35.00000

t(b)1.24217

p(b)0.11122

t(a)2.72070

p(a)0.00504

Lowerbound of 95% confidence interval for beta0.03796

Upperbound of 95% confidence interval for beta0.15766

Lowerbound of 95% confidence interval for alpha0.02198

Upperbound of 95% confidence interval for alpha0.15122

Treynor index (mean / b)1.51268

Jensen alpha (a)0.08660
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.08850

SD0.05512

Sharpe ratio (Glass type estimate)1.60570

Sharpe ratio (Hedges UMVUE)1.57197

df36.00000

t2.81951

p0.00389

Lowerbound of 95% confidence interval for Sharpe Ratio0.41986

Upperbound of 95% confidence interval for Sharpe Ratio2.77144

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.39821

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.74573
 Statistics related to Sortino ratio

Sortino ratio4.44810

Upside Potential Ratio5.92494

Upside part of mean0.11788

Downside part of mean0.02938

Upside SD0.05668

Downside SD0.01990

N nonnegative terms23.00000

N negative terms14.00000
 Statistics related to linear regression on benchmark

N of observations37.00000

Mean of predictor0.04717

Mean of criterion0.08850

SD of predictor0.19481

SD of criterion0.05512

Covariance0.00220

r0.20462

b (slope, estimate of beta)0.05789

a (intercept, estimate of alpha)0.08577

Mean Square Error0.00299

DF error35.00000

t(b)1.23674

p(b)0.11221

t(a)2.74565

p(a)0.00473

Lowerbound of 95% confidence interval for beta0.03714

Upperbound of 95% confidence interval for beta0.15293

Lowerbound of 95% confidence interval for alpha0.02235

Upperbound of 95% confidence interval for alpha0.14919

Treynor index (mean / b)1.52865

Jensen alpha (a)0.08577
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.01862

Expected Shortfall on VaR0.02511
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00459

Expected Shortfall on VaR0.00994
 ORDER STATISTICS
 Quartiles of return rates

Number of observations37.00000

Minimum0.97840

Quartile 11.00000

Median1.00639

Quartile 31.01783

Maximum1.05223

Mean of quarter 10.99387

Mean of quarter 21.00331

Mean of quarter 31.01236

Mean of quarter 41.03173

Inter Quartile Range0.01783

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high3.00000

Percentage of outliers high0.08108

Mean of outliers high1.04920
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.53745

VaR(95%) (moments method)0.00357

Expected Shortfall (moments method)0.00461

Extreme Value Index (regression method)0.05748

VaR(95%) (regression method)0.01095

Expected Shortfall (regression method)0.01939
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations7.00000

Minimum0.00011

Quartile 10.00115

Median0.00539

Quartile 30.00792

Maximum0.02199

Mean of quarter 10.00039

Mean of quarter 20.00351

Mean of quarter 30.00652

Mean of quarter 40.01566

Inter Quartile Range0.00677

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high1.00000

Percentage of outliers high0.14286

Mean of outliers high0.02199
 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)0.14004

Compounded annual return (geometric extrapolation)0.12345

Calmar ratio (compounded annual return / max draw down)5.61384

Compounded annual return / average of 25% largest draw downs7.88525

Compounded annual return / Expected Shortfall lognormal4.91722

0.00000

0.00000
 Analysis based on DAILY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.08975

SD0.05145

Sharpe ratio (Glass type estimate)1.74437

Sharpe ratio (Hedges UMVUE)1.74276

df813.00000

t3.07468

p0.00109

Lowerbound of 95% confidence interval for Sharpe Ratio0.62868

Upperbound of 95% confidence interval for Sharpe Ratio2.85904

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.62758

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.85793
 Statistics related to Sortino ratio

Sortino ratio3.22460

Upside Potential Ratio10.18780

Upside part of mean0.28355

Downside part of mean0.19380

Upside SD0.04359

Downside SD0.02783

N nonnegative terms304.00000

N negative terms510.00000
 Statistics related to linear regression on benchmark

N of observations814.00000

Mean of predictor0.09140

Mean of criterion0.08975

SD of predictor0.25124

SD of criterion0.05145

Covariance0.00088

r0.06788

b (slope, estimate of beta)0.01390

a (intercept, estimate of alpha)0.08800

Mean Square Error0.00264

DF error812.00000

t(b)1.93889

p(b)0.02643

t(a)3.03552

p(a)0.00124

Lowerbound of 95% confidence interval for beta0.00017

Upperbound of 95% confidence interval for beta0.02797

Lowerbound of 95% confidence interval for alpha0.03126

Upperbound of 95% confidence interval for alpha0.14569

Treynor index (mean / b)6.45593

Jensen alpha (a)0.08848
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.08841

SD0.05129

Sharpe ratio (Glass type estimate)1.72351

Sharpe ratio (Hedges UMVUE)1.72192

df813.00000

t3.03792

p0.00123

Lowerbound of 95% confidence interval for Sharpe Ratio0.60790

Upperbound of 95% confidence interval for Sharpe Ratio2.83811

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.60682

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.83702
 Statistics related to Sortino ratio

Sortino ratio3.16722

Upside Potential Ratio10.12350

Upside part of mean0.28257

Downside part of mean0.19417

Upside SD0.04334

Downside SD0.02791

N nonnegative terms304.00000

N negative terms510.00000
 Statistics related to linear regression on benchmark

N of observations814.00000

Mean of predictor0.05967

Mean of criterion0.08841

SD of predictor0.25244

SD of criterion0.05129

Covariance0.00089

r0.06871

b (slope, estimate of beta)0.01396

a (intercept, estimate of alpha)0.08757

Mean Square Error0.00262

DF error812.00000

t(b)1.96258

p(b)0.02502

t(a)3.01424

p(a)0.00133

Lowerbound of 95% confidence interval for beta0.00000

Upperbound of 95% confidence interval for beta0.02793

Lowerbound of 95% confidence interval for alpha0.03054

Upperbound of 95% confidence interval for alpha0.14460

Treynor index (mean / b)6.33211

Jensen alpha (a)0.08757
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.00486

Expected Shortfall on VaR0.00618
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00195

Expected Shortfall on VaR0.00391
 ORDER STATISTICS
 Quartiles of return rates

Number of observations814.00000

Minimum0.98749

Quartile 10.99948

Median1.00000

Quartile 31.00105

Maximum1.02684

Mean of quarter 10.99739

Mean of quarter 20.99992

Mean of quarter 31.00026

Mean of quarter 41.00422

Inter Quartile Range0.00156

Number outliers low69.00000

Percentage of outliers low0.08477

Mean of outliers low0.99505

Number of outliers high94.00000

Percentage of outliers high0.11548

Mean of outliers high1.00672
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.18624

VaR(95%) (moments method)0.00248

Expected Shortfall (moments method)0.00398

Extreme Value Index (regression method)0.01327

VaR(95%) (regression method)0.00282

Expected Shortfall (regression method)0.00412
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations50.00000

Minimum0.00001

Quartile 10.00209

Median0.00468

Quartile 30.00995

Maximum0.03386

Mean of quarter 10.00071

Mean of quarter 20.00292

Mean of quarter 30.00791

Mean of quarter 40.01781

Inter Quartile Range0.00786

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high2.00000

Percentage of outliers high0.04000

Mean of outliers high0.02931
 Risk estimates based on draw downs (based on Extreme Value T

Extreme Value Index (moments method)0.77709

VaR(95%) (moments method)0.01912

Expected Shortfall (moments method)0.02080

Extreme Value Index (regression method)0.20113

VaR(95%) (regression method)0.01800

Expected Shortfall (regression method)0.02147
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.14011

Compounded annual return (geometric extrapolation)0.12335

Calmar ratio (compounded annual return / max draw down)3.64331

Compounded annual return / average of 25% largest draw downs6.92523

Compounded annual return / Expected Shortfall lognormal19.96120

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

Mean0.01580

SD0.03706

Sharpe ratio (Glass type estimate)0.42633

Sharpe ratio (Hedges UMVUE)0.42387

df130.00000

t0.30146

p0.51321

Lowerbound of 95% confidence interval for Sharpe Ratio3.19790

Upperbound of 95% confidence interval for Sharpe Ratio2.34669

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation3.19615

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.34842
 Statistics related to Sortino ratio

Sortino ratio0.60442

Upside Potential Ratio5.94628

Upside part of mean0.15545

Downside part of mean0.17125

Upside SD0.02609

Downside SD0.02614

N nonnegative terms32.00000

N negative terms99.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.00796

Mean of criterion0.01580

SD of predictor0.22860

SD of criterion0.03706

Covariance0.00218

r0.25704

b (slope, estimate of beta)0.04167

a (intercept, estimate of alpha)0.01547

Mean Square Error0.00129

DF error129.00000

t(b)3.02092

p(b)0.33818

t(a)0.30422

p(a)0.51704

Lowerbound of 95% confidence interval for beta0.01438

Upperbound of 95% confidence interval for beta0.06897

Lowerbound of 95% confidence interval for alpha0.11608

Upperbound of 95% confidence interval for alpha0.08514

Treynor index (mean / b)0.37916

Jensen alpha (a)0.01547
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.01648

SD0.03707

Sharpe ratio (Glass type estimate)0.44463

Sharpe ratio (Hedges UMVUE)0.44206

df130.00000

t0.31440

p0.51378

Lowerbound of 95% confidence interval for Sharpe Ratio3.21612

Upperbound of 95% confidence interval for Sharpe Ratio2.32855

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation3.21439

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.33027
 Statistics related to Sortino ratio

Sortino ratio0.62852

Upside Potential Ratio5.91451

Upside part of mean0.15510

Downside part of mean0.17158

Upside SD0.02602

Downside SD0.02622

N nonnegative terms32.00000

N negative terms99.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.03381

Mean of criterion0.01648

SD of predictor0.22809

SD of criterion0.03707

Covariance0.00220

r0.26016

b (slope, estimate of beta)0.04228

a (intercept, estimate of alpha)0.01505

Mean Square Error0.00129

DF error129.00000

t(b)3.06020

p(b)0.33627

t(a)0.29622

p(a)0.51660

VAR (95 Confidence Intrvl)0.00500

Lowerbound of 95% confidence interval for beta0.01494

Upperbound of 95% confidence interval for beta0.06961

Lowerbound of 95% confidence interval for alpha0.11559

Upperbound of 95% confidence interval for alpha0.08549

Treynor index (mean / b)0.38983

Jensen alpha (a)0.01505
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.00382

Expected Shortfall on VaR0.00477
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00192

Expected Shortfall on VaR0.00387
 ORDER STATISTICS
 Quartiles of return rates

Number of observations131.00000

Minimum0.99039

Quartile 10.99984

Median1.00000

Quartile 31.00004

Maximum1.00781

Mean of quarter 10.99773

Mean of quarter 20.99999

Mean of quarter 31.00000

Mean of quarter 41.00246

Inter Quartile Range0.00020

Number outliers low29.00000

Percentage of outliers low0.22137

Mean of outliers low0.99745

Number of outliers high28.00000

Percentage of outliers high0.21374

Mean of outliers high1.00287
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.14328

VaR(95%) (moments method)0.00205

Expected Shortfall (moments method)0.00282

Extreme Value Index (regression method)0.05152

VaR(95%) (regression method)0.00260

Expected Shortfall (regression method)0.00408
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations3.00000

Minimum0.00072

Quartile 10.00285

Median0.00497

Quartile 30.01941

Maximum0.03386

Mean of quarter 10.00072

Mean of quarter 20.00497

Mean of quarter 30.00000

Mean of quarter 40.03386

Inter Quartile Range0.01657

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

Last 4 Months  Pcnt Negative0.25%

Expected Shortfall (regression method)0.00000

Strat Max DD how much worse than SP500 max DD during strat life?358294000

Max Equity Drawdown (num days)119
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.01146

Compounded annual return (geometric extrapolation)0.01149

Calmar ratio (compounded annual return / max draw down)0.33941

Compounded annual return / average of 25% largest draw downs0.33941

Compounded annual return / Expected Shortfall lognormal2.40654
Strategy Description
Low correlation: Low to no correlation with global equities. This strategy is meant to compliment a passive long equities or balanced portfolio. It can be used as a standalone strategy, but this will require extreme patience as returns will often diverge from the broad market.
Low drawdowns: Low drawdowns and the protection of capital is a key element of this strategy since I trade it with margin in my own account.
Accessibility: This strategy will only trade equities, long and short. As such, it should be accessible for most people with regular margin accounts. I do not recommend following this strategy with more than 1020% of your portfolio. Generally, I think relying on any individual discretionary trader or alternative strategy for a greater percentage than that is too risky. Also, considering the fees, minimum allocation should be at least $100,000, otherwise the fees will likely be too big a drag on returns.
Leverage: Low leverage is the norm. It will rarely be more than 100% net long equities. You are welcome to adjust the leverage according to your personal portfolio needs.
Style: Most trades are discretionary and relatively short term (less than a month). Most trades are made using ETFs, although I occasionally invest in individual stocks where no liquid ETF is available, or the opportunity is unique.
I tend to change my mind frequently. If something is not working, I usually get out quickly. As well, there may be periods where I trade infrequently or not at all if I do not see any interesting opportunities.
Feel free to follow my blog (www.gardcapital.com) or me on Twitter (@gardcapital). I also run a group chat on Telegram for subscribers where I post thoughts on markets and trades I am making. If you are a subscriber and would like to join the group chat send me a message and I will send you an invitation link.
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 underor overcompensated 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 rescaled downward to make current goforward 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 pertrade 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.
Not available
This feature isn't available under your current Trade Leader Plan.
Strategy is now visible
This strategy is now visible to the public. New subscribers will be able to follow it.
If you designate your strategy as Private, it will no longer be visible to the public.
No subscribers and simulations will be allowed. If you have subscribers, the strategy will still be visible to them.
If you have simulations, they will be stopped.
Continue to designate your strategy as Private?
Strategy is no longer visible
This strategy is no longer visible to anyone except current subscribers.
(Current subscribers will remain subscribed. You can see who is subscribed, and control their subscriptions, on your Subscriber Management screen.)
Finally, please note that you can restore public visibility at any time.
This strategy is no longer visible to the public. No subscribers will be allowed.
You can restore public visibility at any time.
Suggested Minimum Capital
This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.