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

Trades-Own-Strategy Certification

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

Trades-Own-Strategy (TOS) Certification Details
Certification process started 11/11/2020
Most recent certification approved 11/11/20 9:30 ET
Trades at broker Israel Interactive Trading
Scaling percentage used 100%
# trading signals issued by system since certification 314
# trading signals executed in manager's Israel Interactive Trading account 314
Percent signals followed since 11/11/2020 100%
This information was last updated 5/20/22 16:41 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 11/11/2020, 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.

Easy Value
(132169961)

Created by: EasyValue EasyValue
Started: 11/2020
Stocks
Last trade: 4 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 $99.00 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."
32.1%
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.

(26.1%)
Max Drawdown
168
Num Trades
62.5%
Win Trades
2.6 : 1
Profit Factor
68.4%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020                                                                      +5.9%+8.3%+14.7%
2021+2.2%  -  +7.3%+5.2%+4.5%(4%)+2.6%+2.3%(7.4%)+2.2%(1.9%)+7.8%+21.6%
2022+3.7%+8.7%+11.2%(9.3%)(2.8%)                                          +10.5%

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 314 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
4/25/22 10:20 DHI DR HORTON LONG 30 70.37 5/16 9:41 66.36 0.42%
Trade id #140250284
Max drawdown($187)
Time5/12/22 0:00
Quant open30
Worst price64.13
Drawdown as % of equity-0.42%
($121)
Includes Typical Broker Commissions trade costs of $0.60
3/28/22 10:01 MRNA MODERNA INC. COMMON STOCK LONG 13 168.82 5/9 9:33 135.03 1.03%
Trade id #139939506
Max drawdown($491)
Time5/6/22 0:00
Quant open13
Worst price131.00
Drawdown as % of equity-1.03%
($439)
Includes Typical Broker Commissions trade costs of $0.26
4/11/22 10:33 FHN FIRST HORIZON CORP LONG 101 23.49 4/25 10:06 22.88 0.14%
Trade id #140097674
Max drawdown($66)
Time4/25/22 9:33
Quant open101
Worst price22.83
Drawdown as % of equity-0.14%
($63)
Includes Typical Broker Commissions trade costs of $2.02
4/11/22 10:37 FITB FIFTH THIRD BANCORP LONG 58 40.99 4/25 9:55 37.90 0.41%
Trade id #140097769
Max drawdown($198)
Time4/25/22 9:37
Quant open58
Worst price37.56
Drawdown as % of equity-0.41%
($180)
Includes Typical Broker Commissions trade costs of $1.16
4/11/22 9:54 QDEL QUIDEL LONG 21 115.04 4/25 9:55 104.93 0.46%
Trade id #140096706
Max drawdown($221)
Time4/25/22 9:31
Quant open21
Worst price104.49
Drawdown as % of equity-0.46%
($212)
Includes Typical Broker Commissions trade costs of $0.42
3/28/22 10:08 BK BANK OF NEW YORK MELLON LONG 42 52.38 4/25 9:30 43.76 0.76%
Trade id #139939854
Max drawdown($372)
Time4/25/22 9:30
Quant open42
Worst price43.52
Drawdown as % of equity-0.76%
($363)
Includes Typical Broker Commissions trade costs of $0.84
3/14/22 9:38 BBWI BATH & BODY WORKS INC LONG 54 47.05 4/11 9:45 47.15 0.31%
Trade id #139769472
Max drawdown($155)
Time4/7/22 0:00
Quant open54
Worst price44.17
Drawdown as % of equity-0.31%
$4
Includes Typical Broker Commissions trade costs of $1.08
2/28/22 10:56 UGI UGI CORP LONG 57 38.60 4/11 9:42 36.31 0.63%
Trade id #139573867
Max drawdown($316)
Time3/11/22 0:00
Quant open57
Worst price33.05
Drawdown as % of equity-0.63%
($131)
Includes Typical Broker Commissions trade costs of $1.14
11/8/21 11:37 NUE NUCOR LONG 14 116.64 4/11/22 9:33 151.09 0.95%
Trade id #138116555
Max drawdown($393)
Time1/24/22 0:00
Quant open14
Worst price88.50
Drawdown as % of equity-0.95%
$482
Includes Typical Broker Commissions trade costs of $0.28
1/31/22 10:54 DHI DR HORTON LONG 30 87.88 4/11 9:31 70.96 1.13%
Trade id #139173113
Max drawdown($572)
Time4/7/22 0:00
Quant open30
Worst price68.79
Drawdown as % of equity-1.13%
($509)
Includes Typical Broker Commissions trade costs of $0.60
2/14/22 10:34 ATKR ATKORE INC LONG 27 106.80 3/28 9:53 102.15 0.78%
Trade id #139380610
Max drawdown($378)
Time3/7/22 0:00
Quant open27
Worst price92.78
Drawdown as % of equity-0.78%
($127)
Includes Typical Broker Commissions trade costs of $0.54
12/6/21 9:48 DKS DICK'S SPORTING GOODS LONG 18 107.98 3/28/22 9:46 108.00 0.64%
Trade id #138471493
Max drawdown($282)
Time2/24/22 0:00
Quant open18
Worst price92.31
Drawdown as % of equity-0.64%
$0
Includes Typical Broker Commissions trade costs of $0.36
8/16/21 9:51 TEF TELEFONICA LONG 341 4.96 3/28/22 9:41 4.69 0.61%
Trade id #136980061
Max drawdown($294)
Time3/7/22 0:00
Quant open341
Worst price4.10
Drawdown as % of equity-0.61%
($100)
Includes Typical Broker Commissions trade costs of $6.82
11/8/21 11:47 CLF CLEVELAND-CLIFFS INC LONG 72 23.89 3/28/22 9:35 32.79 1.4%
Trade id #138117300
Max drawdown($581)
Time1/24/22 0:00
Quant open72
Worst price15.81
Drawdown as % of equity-1.40%
$640
Includes Typical Broker Commissions trade costs of $1.44
2/28/22 10:57 EQT EQT LONG 98 23.05 3/14 9:32 26.12 0.06%
Trade id #139573905
Max drawdown($28)
Time2/28/22 14:12
Quant open98
Worst price22.75
Drawdown as % of equity-0.06%
$299
Includes Typical Broker Commissions trade costs of $1.96
11/22/21 10:38 CHK CHESAPEAKE ENERGY CORPORATION COMMON STOCK LONG 36 62.48 2/28/22 10:41 75.50 1.34%
Trade id #138293866
Max drawdown$424
Time1/12/22 18:57
Quant open
Worst price61.45
Drawdown as % of equity1.34%
$468
Includes Typical Broker Commissions trade costs of $0.72
11/8/21 10:52 BG BUNGE LONG 18 93.27 2/28/22 10:40 104.76 0.67%
Trade id #138115465
Max drawdown$231
Time11/16/21 10:52
Quant open
Worst price84.12
Drawdown as % of equity0.67%
$207
Includes Typical Broker Commissions trade costs of $0.36
12/6/21 10:19 DDS DILLARDS LONG 8 257.28 2/28/22 10:39 260.11 1.2%
Trade id #138472771
Max drawdown$481
Time2/10/22 10:43
Quant open
Worst price216.00
Drawdown as % of equity1.20%
$23
Includes Typical Broker Commissions trade costs of $0.16
1/31/22 9:58 BNTX BIONTECH SE LONG 16 166.28 2/14 10:31 155.17 1.56%
Trade id #139171268
Max drawdown$465
Time2/2/22 6:19
Quant open
Worst price155.38
Drawdown as % of equity1.56%
($178)
Includes Typical Broker Commissions trade costs of $0.32
1/31/22 10:05 GFI GOLD FIELDS LONG 257 10.27 2/14 9:53 12.20 0.58%
Trade id #139171576
Max drawdown$179
Time2/1/22 4:00
Quant open
Worst price10.20
Drawdown as % of equity0.58%
$492
Includes Typical Broker Commissions trade costs of $5.14
12/20/21 9:40 SSL SASOL LONG 157 15.35 1/31/22 9:51 22.24 1.07%
Trade id #138638404
Max drawdown$340
Time1/19/22 6:58
Quant open
Worst price18.79
Drawdown as % of equity1.07%
$1,079
Includes Typical Broker Commissions trade costs of $3.14
12/6/21 10:53 UGI UGI CORP LONG 39 44.90 1/31/22 9:48 44.37 0.36%
Trade id #138473885
Max drawdown$144
Time1/19/22 12:06
Quant open
Worst price43.34
Drawdown as % of equity0.36%
($22)
Includes Typical Broker Commissions trade costs of $0.78
1/18/22 9:49 QDEL QUIDEL LONG 27 112.75 1/31 9:45 104.01 1.71%
Trade id #138988424
Max drawdown$666
Time1/20/22 10:52
Quant open
Worst price91.14
Drawdown as % of equity1.71%
($237)
Includes Typical Broker Commissions trade costs of $0.54
11/22/21 9:58 OVV OVINTIV INC LONG 68 34.80 1/18/22 9:41 40.70 2.13%
Trade id #138292615
Max drawdown$644
Time11/24/21 17:32
Quant open
Worst price29.52
Drawdown as % of equity2.13%
$400
Includes Typical Broker Commissions trade costs of $1.36
10/25/21 10:12 AA ALCOA LONG 45 51.45 12/20 9:35 52.19 1.28%
Trade id #137941373
Max drawdown$432
Time11/12/21 12:05
Quant open
Worst price43.26
Drawdown as % of equity1.28%
$32
Includes Typical Broker Commissions trade costs of $0.90
8/30/21 10:04 SSL SASOL LONG 122 15.16 12/6 9:47 17.76 1.73%
Trade id #137174268
Max drawdown$581
Time10/5/21 9:29
Quant open
Worst price15.07
Drawdown as % of equity1.73%
$316
Includes Typical Broker Commissions trade costs of $2.44
10/25/21 10:00 BTG B2GOLD CORP. LONG 536 4.43 12/6 9:45 3.68 1.65%
Trade id #137940945
Max drawdown$576
Time11/11/21 13:16
Quant open
Worst price3.63
Drawdown as % of equity1.65%
($408)
Includes Typical Broker Commissions trade costs of $5.00
8/16/21 10:11 PHM PULTEGROUP LONG 31 54.41 12/6 9:39 52.70 0.93%
Trade id #136980966
Max drawdown$288
Time8/30/21 8:20
Quant open
Worst price45.58
Drawdown as % of equity0.93%
($54)
Includes Typical Broker Commissions trade costs of $0.62
3/29/21 10:00 GFI GOLD FIELDS LONG 203 9.41 11/22 9:55 10.77 2.93%
Trade id #134908052
Max drawdown$994
Time6/1/21 4:00
Quant open
Worst price7.75
Drawdown as % of equity2.93%
$272
Includes Typical Broker Commissions trade costs of $4.06
10/25/21 10:10 QDEL QUIDEL LONG 16 134.77 11/22 9:42 149.46 1.21%
Trade id #137941317
Max drawdown$382
Time11/4/21 16:13
Quant open
Worst price120.09
Drawdown as % of equity1.21%
$235
Includes Typical Broker Commissions trade costs of $0.32

Statistics

  • Strategy began
    11/10/2020
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    556.39
  • Age
    19 months ago
  • What it trades
    Stocks
  • # Trades
    168
  • # Profitable
    105
  • % Profitable
    62.50%
  • Avg trade duration
    82.8 days
  • Max peak-to-valley drawdown
    26.06%
  • drawdown period
    March 29, 2022 - May 11, 2022
  • Annual Return (Compounded)
    32.1%
  • Avg win
    $251.48
  • Avg loss
    $181.92
  • Model Account Values (Raw)
  • Cash
    $25,510
  • Margin Used
    $0
  • Buying Power
    $25,156
  • Ratios
  • W:L ratio
    2.63:1
  • Sharpe Ratio
    1.1
  • Sortino Ratio
    1.68
  • Calmar Ratio
    2.435
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    43.12%
  • Correlation to SP500
    0.60940
  • Return Percent SP500 (cumu) during strategy life
    9.14%
  • Return Statistics
  • Ann Return (w trading costs)
    32.1%
  • Slump
  • Current Slump as Pcnt Equity
    20.30%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.09%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.321%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    37.3%
  • Automation
  • Percentage Signals Automated
    n/a
  • Popularity
  • Popularity (Today)
    890
  • Popularity (Last 6 weeks)
    991
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    240
  • Popularity (7 days, Percentile 1000 scale)
    965
  • Trades-Own-System Certification
  • Trades Own System?
    Yes
  • TOS percent
    100%
  • Win / Loss
  • Avg Loss
    $182
  • Avg Win
    $251
  • Sum Trade PL (losers)
    $11,461.000
  • Age
  • Num Months filled monthly returns table
    19
  • Win / Loss
  • Sum Trade PL (winners)
    $26,405.000
  • # Winners
    105
  • Num Months Winners
    13
  • Dividends
  • Dividends Received in Model Acct
    3739
  • AUM
  • AUM (AutoTrader live capital)
    782812
  • Win / Loss
  • # Losers
    63
  • % Winners
    62.5%
  • Frequency
  • Avg Position Time (mins)
    119197.00
  • Avg Position Time (hrs)
    1986.62
  • Avg Trade Length
    82.8 days
  • Last Trade Ago
    4
  • Leverage
  • Daily leverage (average)
    0.97
  • Daily leverage (max)
    1.25
  • Regression
  • Alpha
    0.07
  • Beta
    0.80
  • Treynor Index
    0.10
  • 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)
    -0.81
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    -13.269
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    0.584
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.460
  • Hold-and-Hope Ratio
    -0.176
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.33065
  • SD
    0.19990
  • Sharpe ratio (Glass type estimate)
    1.65409
  • Sharpe ratio (Hedges UMVUE)
    1.57984
  • df
    17.00000
  • t
    2.02583
  • p
    0.22865
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.06025
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.32524
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.10627
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.26594
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.03565
  • Upside Potential Ratio
    5.51171
  • Upside part of mean
    0.45159
  • Downside part of mean
    -0.12094
  • Upside SD
    0.20035
  • Downside SD
    0.08193
  • N nonnegative terms
    11.00000
  • N negative terms
    7.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    18.00000
  • Mean of predictor
    0.06907
  • Mean of criterion
    0.33065
  • SD of predictor
    0.11905
  • SD of criterion
    0.19990
  • Covariance
    0.00616
  • r
    0.25905
  • b (slope, estimate of beta)
    0.43496
  • a (intercept, estimate of alpha)
    0.30061
  • Mean Square Error
    0.03961
  • DF error
    16.00000
  • t(b)
    1.07280
  • p(b)
    0.37048
  • t(a)
    1.82306
  • p(a)
    0.29264
  • Lowerbound of 95% confidence interval for beta
    -0.42455
  • Upperbound of 95% confidence interval for beta
    1.29447
  • Lowerbound of 95% confidence interval for alpha
    -0.04895
  • Upperbound of 95% confidence interval for alpha
    0.65017
  • Treynor index (mean / b)
    0.76019
  • Jensen alpha (a)
    0.30061
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.30764
  • SD
    0.19416
  • Sharpe ratio (Glass type estimate)
    1.58443
  • Sharpe ratio (Hedges UMVUE)
    1.51331
  • df
    17.00000
  • t
    1.94053
  • p
    0.23733
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.12172
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.24890
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.16589
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.19251
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.61125
  • Upside Potential Ratio
    5.06902
  • Upside part of mean
    0.43183
  • Downside part of mean
    -0.12419
  • Upside SD
    0.19035
  • Downside SD
    0.08519
  • N nonnegative terms
    11.00000
  • N negative terms
    7.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    18.00000
  • Mean of predictor
    0.06206
  • Mean of criterion
    0.30764
  • SD of predictor
    0.11895
  • SD of criterion
    0.19416
  • Covariance
    0.00660
  • r
    0.28575
  • b (slope, estimate of beta)
    0.46643
  • a (intercept, estimate of alpha)
    0.27869
  • Mean Square Error
    0.03679
  • DF error
    16.00000
  • t(b)
    1.19274
  • p(b)
    0.35712
  • t(a)
    1.75866
  • p(a)
    0.29876
  • Lowerbound of 95% confidence interval for beta
    -0.36257
  • Upperbound of 95% confidence interval for beta
    1.29543
  • Lowerbound of 95% confidence interval for alpha
    -0.05725
  • Upperbound of 95% confidence interval for alpha
    0.61463
  • Treynor index (mean / b)
    0.65957
  • Jensen alpha (a)
    0.27869
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06439
  • Expected Shortfall on VaR
    0.08585
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01933
  • Expected Shortfall on VaR
    0.04171
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    18.00000
  • Minimum
    0.91102
  • Quartile 1
    0.99094
  • Median
    1.01794
  • Quartile 3
    1.05958
  • Maximum
    1.12608
  • Mean of quarter 1
    0.96841
  • Mean of quarter 2
    1.00554
  • Mean of quarter 3
    1.04012
  • Mean of quarter 4
    1.10263
  • Inter Quartile Range
    0.06864
  • 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 for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.46617
  • VaR(95%) (moments method)
    0.03239
  • Expected Shortfall (moments method)
    0.07108
  • Extreme Value Index (regression method)
    0.82475
  • VaR(95%) (regression method)
    0.03786
  • Expected Shortfall (regression method)
    0.21251
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00149
  • Quartile 1
    0.02105
  • Median
    0.03037
  • Quartile 3
    0.04712
  • Maximum
    0.08898
  • Mean of quarter 1
    0.00149
  • Mean of quarter 2
    0.02757
  • Mean of quarter 3
    0.03316
  • Mean of quarter 4
    0.08898
  • Inter Quartile Range
    0.02607
  • 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
    0.25000
  • Mean of outliers high
    0.08898
  • 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)
    0.43614
  • Compounded annual return (geometric extrapolation)
    0.39871
  • Calmar ratio (compounded annual return / max draw down)
    4.48072
  • Compounded annual return / average of 25% largest draw downs
    4.48072
  • Compounded annual return / Expected Shortfall lognormal
    4.64403
  • 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
    0.31617
  • SD
    0.21129
  • Sharpe ratio (Glass type estimate)
    1.49635
  • Sharpe ratio (Hedges UMVUE)
    1.49351
  • df
    395.00000
  • t
    1.83963
  • p
    0.03329
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.10221
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.09307
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.10412
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.09114
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.27774
  • Upside Potential Ratio
    10.59000
  • Upside part of mean
    1.46997
  • Downside part of mean
    -1.15381
  • Upside SD
    0.16014
  • Downside SD
    0.13881
  • N nonnegative terms
    209.00000
  • N negative terms
    187.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    396.00000
  • Mean of predictor
    0.04413
  • Mean of criterion
    0.31617
  • SD of predictor
    0.16480
  • SD of criterion
    0.21129
  • Covariance
    0.02096
  • r
    0.60194
  • b (slope, estimate of beta)
    0.77174
  • a (intercept, estimate of alpha)
    0.28200
  • Mean Square Error
    0.02854
  • DF error
    394.00000
  • t(b)
    14.96260
  • p(b)
    0.00000
  • t(a)
    2.05269
  • p(a)
    0.02038
  • Lowerbound of 95% confidence interval for beta
    0.67034
  • Upperbound of 95% confidence interval for beta
    0.87314
  • Lowerbound of 95% confidence interval for alpha
    0.01191
  • Upperbound of 95% confidence interval for alpha
    0.55230
  • Treynor index (mean / b)
    0.40968
  • Jensen alpha (a)
    0.28211
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.29373
  • SD
    0.21103
  • Sharpe ratio (Glass type estimate)
    1.39191
  • Sharpe ratio (Hedges UMVUE)
    1.38926
  • df
    395.00000
  • t
    1.71122
  • p
    0.04391
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.20612
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.98821
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.20791
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.98643
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.09352
  • Upside Potential Ratio
    10.38580
  • Upside part of mean
    1.45719
  • Downside part of mean
    -1.16346
  • Upside SD
    0.15832
  • Downside SD
    0.14031
  • N nonnegative terms
    209.00000
  • N negative terms
    187.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    396.00000
  • Mean of predictor
    0.03054
  • Mean of criterion
    0.29373
  • SD of predictor
    0.16523
  • SD of criterion
    0.21103
  • Covariance
    0.02098
  • r
    0.60165
  • b (slope, estimate of beta)
    0.76845
  • a (intercept, estimate of alpha)
    0.27027
  • Mean Square Error
    0.02849
  • DF error
    394.00000
  • t(b)
    14.95120
  • p(b)
    0.00000
  • t(a)
    1.96859
  • p(a)
    0.02485
  • Lowerbound of 95% confidence interval for beta
    0.66740
  • Upperbound of 95% confidence interval for beta
    0.86950
  • Lowerbound of 95% confidence interval for alpha
    0.00035
  • Upperbound of 95% confidence interval for alpha
    0.54019
  • Treynor index (mean / b)
    0.38224
  • Jensen alpha (a)
    0.27027
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02012
  • Expected Shortfall on VaR
    0.02543
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00984
  • Expected Shortfall on VaR
    0.01889
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    396.00000
  • Minimum
    0.96242
  • Quartile 1
    0.99350
  • Median
    1.00105
  • Quartile 3
    1.00960
  • Maximum
    1.04911
  • Mean of quarter 1
    0.98477
  • Mean of quarter 2
    0.99789
  • Mean of quarter 3
    1.00487
  • Mean of quarter 4
    1.01772
  • Inter Quartile Range
    0.01610
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.01263
  • Mean of outliers low
    0.96612
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.01010
  • Mean of outliers high
    1.03900
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.19464
  • VaR(95%) (moments method)
    0.01470
  • Expected Shortfall (moments method)
    0.01829
  • Extreme Value Index (regression method)
    -0.21791
  • VaR(95%) (regression method)
    0.01520
  • Expected Shortfall (regression method)
    0.01884
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    30.00000
  • Minimum
    0.00077
  • Quartile 1
    0.00671
  • Median
    0.01559
  • Quartile 3
    0.03628
  • Maximum
    0.15578
  • Mean of quarter 1
    0.00333
  • Mean of quarter 2
    0.00911
  • Mean of quarter 3
    0.02231
  • Mean of quarter 4
    0.07846
  • Inter Quartile Range
    0.02957
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.10000
  • Mean of outliers high
    0.11484
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.61532
  • VaR(95%) (moments method)
    0.08249
  • Expected Shortfall (moments method)
    0.09307
  • Extreme Value Index (regression method)
    -0.00204
  • VaR(95%) (regression method)
    0.10355
  • Expected Shortfall (regression method)
    0.14298
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.41419
  • Compounded annual return (geometric extrapolation)
    0.37939
  • Calmar ratio (compounded annual return / max draw down)
    2.43540
  • Compounded annual return / average of 25% largest draw downs
    4.83520
  • Compounded annual return / Expected Shortfall lognormal
    14.91850
  • 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
    0.29584
  • SD
    0.23602
  • Sharpe ratio (Glass type estimate)
    1.25347
  • Sharpe ratio (Hedges UMVUE)
    1.24622
  • df
    130.00000
  • t
    0.88633
  • p
    0.46125
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.52482
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.02716
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.52972
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.02216
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.87952
  • Upside Potential Ratio
    9.84454
  • Upside part of mean
    1.54957
  • Downside part of mean
    -1.25373
  • Upside SD
    0.17561
  • Downside SD
    0.15740
  • N nonnegative terms
    72.00000
  • N negative terms
    59.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.36918
  • Mean of criterion
    0.29584
  • SD of predictor
    0.22619
  • SD of criterion
    0.23602
  • Covariance
    0.03094
  • r
    0.57962
  • b (slope, estimate of beta)
    0.60482
  • a (intercept, estimate of alpha)
    0.51913
  • Mean Square Error
    0.03728
  • DF error
    129.00000
  • t(b)
    8.07872
  • p(b)
    0.15285
  • t(a)
    1.89157
  • p(a)
    0.39589
  • Lowerbound of 95% confidence interval for beta
    0.45669
  • Upperbound of 95% confidence interval for beta
    0.75294
  • Lowerbound of 95% confidence interval for alpha
    -0.02386
  • Upperbound of 95% confidence interval for alpha
    1.06212
  • Treynor index (mean / b)
    0.48915
  • Jensen alpha (a)
    0.51913
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.26808
  • SD
    0.23572
  • Sharpe ratio (Glass type estimate)
    1.13726
  • Sharpe ratio (Hedges UMVUE)
    1.13069
  • df
    130.00000
  • t
    0.80417
  • p
    0.46482
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.64017
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.91034
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.64452
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.90590
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.68180
  • Upside Potential Ratio
    9.62536
  • Upside part of mean
    1.53427
  • Downside part of mean
    -1.26619
  • Upside SD
    0.17322
  • Downside SD
    0.15940
  • N nonnegative terms
    72.00000
  • N negative terms
    59.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.39492
  • Mean of criterion
    0.26808
  • SD of predictor
    0.22694
  • SD of criterion
    0.23572
  • Covariance
    0.03097
  • r
    0.57893
  • b (slope, estimate of beta)
    0.60132
  • a (intercept, estimate of alpha)
    0.50555
  • Mean Square Error
    0.03723
  • DF error
    129.00000
  • t(b)
    8.06422
  • p(b)
    0.15321
  • t(a)
    1.84205
  • p(a)
    0.39852
  • VAR (95 Confidence Intrvl)
    0.02000
  • Lowerbound of 95% confidence interval for beta
    0.45379
  • Upperbound of 95% confidence interval for beta
    0.74886
  • Lowerbound of 95% confidence interval for alpha
    -0.03746
  • Upperbound of 95% confidence interval for alpha
    1.04856
  • Treynor index (mean / b)
    0.44581
  • Jensen alpha (a)
    0.50555
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02267
  • Expected Shortfall on VaR
    0.02858
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01032
  • Expected Shortfall on VaR
    0.02043
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96242
  • Quartile 1
    0.99382
  • Median
    1.00144
  • Quartile 3
    1.00963
  • Maximum
    1.04911
  • Mean of quarter 1
    0.98294
  • Mean of quarter 2
    0.99846
  • Mean of quarter 3
    1.00470
  • Mean of quarter 4
    1.01894
  • Inter Quartile Range
    0.01581
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.02290
  • Mean of outliers low
    0.96435
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.02290
  • Mean of outliers high
    1.03978
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.22088
  • VaR(95%) (moments method)
    0.01560
  • Expected Shortfall (moments method)
    0.01957
  • Extreme Value Index (regression method)
    -0.30966
  • VaR(95%) (regression method)
    0.01788
  • Expected Shortfall (regression method)
    0.02208
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    11.00000
  • Minimum
    0.00107
  • Quartile 1
    0.00652
  • Median
    0.01019
  • Quartile 3
    0.05232
  • Maximum
    0.15578
  • Mean of quarter 1
    0.00448
  • Mean of quarter 2
    0.00800
  • Mean of quarter 3
    0.03518
  • Mean of quarter 4
    0.09612
  • Inter Quartile Range
    0.04580
  • 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
    0.15578
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -1.18627
  • VaR(95%) (moments method)
    0.10984
  • Expected Shortfall (moments method)
    0.11833
  • Extreme Value Index (regression method)
    0.52730
  • VaR(95%) (regression method)
    0.16136
  • Last 4 Months - Pcnt Negative
    0.50%
  • Expected Shortfall (regression method)
    0.37258
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -323130000
  • Max Equity Drawdown (num days)
    43
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.31901
  • Compounded annual return (geometric extrapolation)
    0.34445
  • Calmar ratio (compounded annual return / max draw down)
    2.21109
  • Compounded annual return / average of 25% largest draw downs
    3.58359
  • Compounded annual return / Expected Shortfall lognormal
    12.05000

Strategy Description

Overview:
Value investing strategy made easy – Investing in good companies that are currently underpriced.

Strategy details:
In value investing we find the real internal value of a company. If the stock price of the company is lower than this real value – we found a bargain.
We buy now, wait for the stock price to reach the real value, and sell.


Our approach stands on three major pillars -
• Real Value – We identify companies where the gap between market price and intrinsic value is significant and targets them for investment.
• Risk Minimization – To reduce the likelihood of losing money we select only those companies where, aside from periodic volatility, the potential for loss is limited.
• Investment Time Horizon – Buy, wait, sell.
Generally, we buy shares and hold them for long periods of time. When do we sell? When the company stock price reaches its real value or when a better deal is found – another company with a bigger price<->value gap.

***************** IMPORTANT NOTE!!!!!************************
Please mark "Join trades in progress" when subscribing to Easy Value. The strategy works as a whole portfolio and choosing "Don't join trades in progress" will produce an unbalanced portfolio.

Contact Easy Value Team (https://collective2.com/send-message-to/134057686) on Collective2 for any issues.

Summary Statistics

Strategy began
2020-11-10
Suggested Minimum Capital
$15,000
# Trades
168
# Profitable
105
% Profitable
62.5%
Net Dividends
Correlation S&P500
0.609
Sharpe Ratio
1.10
Sortino Ratio
1.68
Beta
0.80
Alpha
0.07
Leverage
0.97 Average
1.25 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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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.