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
200
# trading signals executed in manager's Interactive Brokers (Stocks, Options, Futures) account
200
Percent signals followed since 06/28/2021
100%
This information was last updated
11/28/21 0:07 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 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.
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  200 
# trading signals executed in manager's Interactive Brokers (Stocks, Options, Futures) account  200 
Percent signals followed since 06/28/2021  100% 
This information was last updated  11/28/21 0:07 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 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.
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 $250.00 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.
Nonhedged Equity
Predominantly long equities, although some hedging with short sales of stocks and/or stock index options. Commonly known as "stockpickers."Shortterm Reversal
Exploits the tendency of stocks with strong gains and stocks with strong losses to reverse in a shortterm time frame (up to one month).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 markedtomarket equity calculations.
All results are hypothetical.
Jan  Feb  Mar  Apr  May  Jun  Jul  Aug  Sep  Oct  Nov  Dec  YTD  

2019  +1.1%  +1.1%  
2020  +0.7%  +0.8%  (1%)  +0.2%  (0.1%)  (0.7%)  +5.5%    (0.1%)  (0.9%)  +3.9%  +3.9%  +12.7% 
2021  +2.2%  +3.1%  +0.8%  +1.0%  +1.7%  +1.2%  +0.4%    (0.8%)  +3.3%  +1.2%  +15.1% 
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  $206,064  
Cash  $395,913  
Equity  $562  
Cumulative $  $86,273  
Includes dividends and cashsettled expirations:  $1,042  Itemized 
Total System Equity  $336,273  
Margined  $190,411  
Open P/L  $562 
Trading Record
Statistics

Strategy began12/3/2019

Suggested Minimum Cap$35,000

Strategy Age (days)725.66

Age24 months ago

What it tradesStocks

# Trades187

# Profitable108

% Profitable57.80%

Avg trade duration9.5 days

Max peaktovalley drawdown3.66%

drawdown periodNov 24, 2020  Dec 01, 2020

Annual Return (Compounded)14.5%

Avg win$1,290

Avg loss$685.42
 Model Account Values (Raw)

Cash$395,913

Margin Used$190,411

Buying Power$206,064
 Ratios

W:L ratio2.64:1

Sharpe Ratio1.75

Sortino Ratio3.28

Calmar Ratio6.662
 CORRELATION STATISTICS

Return of Strat Pcnt  Return of SP500 Pcnt (cumu)17.41%

Correlation to SP5000.06150

Return Percent SP500 (cumu) during strategy life48.54%
 Return Statistics

Ann Return (w trading costs)14.5%
 Slump

Current Slump as Pcnt Equity1.90%
 Instruments

Percent Trades Futuresn/a
 Slump

Current Slump, time of slump as pcnt of strategy life0.02%
 Instruments

Short Options  Percent Covered100.00%
 Return Statistics

Return Pcnt (Compound or Annual, agebased, NFA compliant)0.145%
 Instruments

Percent Trades Optionsn/a

Percent Trades Stocks1.00%

Percent Trades Forexn/a
 Return Statistics

Ann Return (Compnd, No Fees)16.1%
 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)865

Popularity (Last 6 weeks)991
 Trading Style

Any stock shorts? 0/11
 Popularity

C2 Score985

Popularity (7 days, Percentile 1000 scale)955
 Management

No Subs Allowed Flag (1: no subs)0

Strat abandoned?0
 TradesOwnSystem Certification

Trades Own System?Yes

TOS percent100%
 Win / Loss

Avg Loss$685

Avg Win$1,291

Sum Trade PL (losers)$54,148.000
 AUM

AUM (AutoTrader num accounts)26
 Age

Num Months filled monthly returns table24
 Win / Loss

Sum Trade PL (winners)$139,378.000

# Winners108

Num Months Winners17
 Dividends

Dividends Received in Model Acct1042
 AUM

AUM (AutoTrader live capital)9534850
 Win / Loss

# Losers79

% Winners57.8%
 Frequency

Avg Position Time (mins)13613.50

Avg Position Time (hrs)226.89

Avg Trade Length9.5 days

Last Trade Ago1
 Leverage

Daily leverage (average)0.40

Daily leverage (max)1.85
 Regression

Alpha0.03

Beta0.01

Treynor Index2.42
 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)1.00

MAE:Equity, average, winning trades0.00

MAE:Equity, average, losing trades0.00

Avg(MAE) / Avg(PL)  All trades1.581

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 trades0.363

Avg(MAE) / Avg(PL)  Losing trades1.243

HoldandHope Ratio0.637
 Analysis based on MONTHLY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.13246

SD0.05929

Sharpe ratio (Glass type estimate)2.23393

Sharpe ratio (Hedges UMVUE)2.15675

df22.00000

t3.09274

p0.00266

Lowerbound of 95% confidence interval for Sharpe Ratio0.65267

Upperbound of 95% confidence interval for Sharpe Ratio3.77348

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.60422

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.70928
 Statistics related to Sortino ratio

Sortino ratio13.81240

Upside Potential Ratio15.21730

Upside part of mean0.14593

Downside part of mean0.01347

Upside SD0.06880

Downside SD0.00959

N nonnegative terms16.00000

N negative terms7.00000
 Statistics related to linear regression on benchmark

N of observations23.00000

Mean of predictor0.20581

Mean of criterion0.13246

SD of predictor0.17430

SD of criterion0.05929

Covariance0.00229

r0.22170

b (slope, estimate of beta)0.07542

a (intercept, estimate of alpha)0.11694

Mean Square Error0.00350

DF error21.00000

t(b)1.04189

p(b)0.36003

t(a)2.58320

p(a)0.20045

Lowerbound of 95% confidence interval for beta0.07512

Upperbound of 95% confidence interval for beta0.22596

Lowerbound of 95% confidence interval for alpha0.02280

Upperbound of 95% confidence interval for alpha0.21108

Treynor index (mean / b)1.75627

Jensen alpha (a)0.11694
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.12981

SD0.05799

Sharpe ratio (Glass type estimate)2.23839

Sharpe ratio (Hedges UMVUE)2.16105

df22.00000

t3.09891

p0.00262

Lowerbound of 95% confidence interval for Sharpe Ratio0.65657

Upperbound of 95% confidence interval for Sharpe Ratio3.77845

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.60800

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.71411
 Statistics related to Sortino ratio

Sortino ratio13.50200

Upside Potential Ratio14.90480

Upside part of mean0.14330

Downside part of mean0.01349

Upside SD0.06730

Downside SD0.00961

N nonnegative terms16.00000

N negative terms7.00000
 Statistics related to linear regression on benchmark

N of observations23.00000

Mean of predictor0.18911

Mean of criterion0.12981

SD of predictor0.17572

SD of criterion0.05799

Covariance0.00235

r0.23025

b (slope, estimate of beta)0.07599

a (intercept, estimate of alpha)0.11544

Mean Square Error0.00334

DF error21.00000

t(b)1.08426

p(b)0.35473

t(a)2.63701

p(a)0.19618

Lowerbound of 95% confidence interval for beta0.06976

Upperbound of 95% confidence interval for beta0.22173

Lowerbound of 95% confidence interval for alpha0.02440

Upperbound of 95% confidence interval for alpha0.20648

Treynor index (mean / b)1.70833

Jensen alpha (a)0.11544
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.01658

Expected Shortfall on VaR0.02342
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00178

Expected Shortfall on VaR0.00410
 ORDER STATISTICS
 Quartiles of return rates

Number of observations23.00000

Minimum0.99068

Quartile 11.00124

Median1.00639

Quartile 31.02058

Maximum1.05223

Mean of quarter 10.99813

Mean of quarter 21.00464

Mean of quarter 31.01261

Mean of quarter 41.03796

Inter Quartile Range0.01934

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high2.00000

Percentage of outliers high0.08696

Mean of outliers high1.05136
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.60496

VaR(95%) (moments method)0.00183

Expected Shortfall (moments method)0.00657

Extreme Value Index (regression method)2.50742

VaR(95%) (regression method)0.00270

Expected Shortfall (regression method)0.00000
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations3.00000

Minimum0.00011

Quartile 10.00087

Median0.00163

Quartile 30.00547

Maximum0.00932

Mean of quarter 10.00011

Mean of quarter 20.00163

Mean of quarter 30.00000

Mean of quarter 40.00932

Inter Quartile Range0.00460

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high0.00000

Percentage of outliers high0.00000

Mean of outliers high0.00000
 Risk estimates based on draw downs (based on Extreme Value T

Extreme Value Index (moments method)0.00000

VaR(95%) (moments method)0.00000

Expected Shortfall (moments method)0.00000

Extreme Value Index (regression method)0.00000

VaR(95%) (regression method)0.00000

Expected Shortfall (regression method)0.00000
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.18415

Compounded annual return (geometric extrapolation)0.17084

Calmar ratio (compounded annual return / max draw down)18.32690

Compounded annual return / average of 25% largest draw downs18.32690

Compounded annual return / Expected Shortfall lognormal7.29545

0.00000

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

Mean0.12644

SD0.05621

Sharpe ratio (Glass type estimate)2.24945

Sharpe ratio (Hedges UMVUE)2.24613

df508.00000

t3.13534

p0.00091

Lowerbound of 95% confidence interval for Sharpe Ratio0.83543

Upperbound of 95% confidence interval for Sharpe Ratio3.66136

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.83319

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.65907
 Statistics related to Sortino ratio

Sortino ratio4.35885

Upside Potential Ratio11.24390

Upside part of mean0.32616

Downside part of mean0.19972

Upside SD0.04871

Downside SD0.02901

N nonnegative terms197.00000

N negative terms312.00000
 Statistics related to linear regression on benchmark

N of observations509.00000

Mean of predictor0.21026

Mean of criterion0.12644

SD of predictor0.26147

SD of criterion0.05621

Covariance0.00074

r0.05004

b (slope, estimate of beta)0.01076

a (intercept, estimate of alpha)0.12400

Mean Square Error0.00316

DF error507.00000

t(b)1.12821

p(b)0.12988

t(a)3.07628

p(a)0.00110

Lowerbound of 95% confidence interval for beta0.00798

Upperbound of 95% confidence interval for beta0.02949

Lowerbound of 95% confidence interval for alpha0.04487

Upperbound of 95% confidence interval for alpha0.20349

Treynor index (mean / b)11.75340

Jensen alpha (a)0.12418
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.12483

SD0.05601

Sharpe ratio (Glass type estimate)2.22864

Sharpe ratio (Hedges UMVUE)2.22535

df508.00000

t3.10633

p0.00100

Lowerbound of 95% confidence interval for Sharpe Ratio0.81474

Upperbound of 95% confidence interval for Sharpe Ratio3.64042

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.81253

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.63816
 Statistics related to Sortino ratio

Sortino ratio4.29006

Upside Potential Ratio11.16770

Upside part of mean0.32495

Downside part of mean0.20012

Upside SD0.04841

Downside SD0.02910

N nonnegative terms197.00000

N negative terms312.00000
 Statistics related to linear regression on benchmark

N of observations509.00000

Mean of predictor0.17576

Mean of criterion0.12483

SD of predictor0.26325

SD of criterion0.05601

Covariance0.00075

r0.05120

b (slope, estimate of beta)0.01089

a (intercept, estimate of alpha)0.12291

Mean Square Error0.00314

DF error507.00000

t(b)1.15440

p(b)0.12444

t(a)3.05708

p(a)0.00118

Lowerbound of 95% confidence interval for beta0.00765

Upperbound of 95% confidence interval for beta0.02943

Lowerbound of 95% confidence interval for alpha0.04392

Upperbound of 95% confidence interval for alpha0.20191

Treynor index (mean / b)11.45840

Jensen alpha (a)0.12291
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.00520

Expected Shortfall on VaR0.00664
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00198

Expected Shortfall on VaR0.00400
 ORDER STATISTICS
 Quartiles of return rates

Number of observations509.00000

Minimum0.98749

Quartile 10.99948

Median1.00000

Quartile 31.00141

Maximum1.02684

Mean of quarter 10.99731

Mean of quarter 20.99991

Mean of quarter 31.00036

Mean of quarter 41.00480

Inter Quartile Range0.00193

Number outliers low31.00000

Percentage of outliers low0.06090

Mean of outliers low0.99405

Number of outliers high46.00000

Percentage of outliers high0.09037

Mean of outliers high1.00836
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.26722

VaR(95%) (moments method)0.00260

Expected Shortfall (moments method)0.00449

Extreme Value Index (regression method)0.04030

VaR(95%) (regression method)0.00275

Expected Shortfall (regression method)0.00409
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations37.00000

Minimum0.00001

Quartile 10.00212

Median0.00373

Quartile 30.00966

Maximum0.02477

Mean of quarter 10.00104

Mean of quarter 20.00290

Mean of quarter 30.00734

Mean of quarter 40.01744

Inter Quartile Range0.00755

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 high0.02268
 Risk estimates based on draw downs (based on Extreme Value T

Extreme Value Index (moments method)1.45986

VaR(95%) (moments method)0.01788

Expected Shortfall (moments method)0.01842

Extreme Value Index (regression method)0.84554

VaR(95%) (regression method)0.01730

Expected Shortfall (regression method)0.01844
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.17782

Compounded annual return (geometric extrapolation)0.16502

Calmar ratio (compounded annual return / max draw down)6.66227

Compounded annual return / average of 25% largest draw downs9.46132

Compounded annual return / Expected Shortfall lognormal24.85800

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

Mean0.09404

SD0.05523

Sharpe ratio (Glass type estimate)1.70282

Sharpe ratio (Hedges UMVUE)1.69297

df130.00000

t1.20407

p0.44749

Lowerbound of 95% confidence interval for Sharpe Ratio1.07986

Upperbound of 95% confidence interval for Sharpe Ratio4.47907

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.08646

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation4.47241
 Statistics related to Sortino ratio

Sortino ratio2.91464

Upside Potential Ratio10.63980

Upside part of mean0.34328

Downside part of mean0.24924

Upside SD0.04494

Downside SD0.03226

N nonnegative terms63.00000

N negative terms68.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.15696

Mean of criterion0.09404

SD of predictor0.10630

SD of criterion0.05523

Covariance0.00015

r0.02544

b (slope, estimate of beta)0.01322

a (intercept, estimate of alpha)0.09196

Mean Square Error0.00307

DF error129.00000

t(b)0.28902

p(b)0.48381

t(a)1.16846

p(a)0.43496

Lowerbound of 95% confidence interval for beta0.07726

Upperbound of 95% confidence interval for beta0.10369

Lowerbound of 95% confidence interval for alpha0.06376

Upperbound of 95% confidence interval for alpha0.24768

Treynor index (mean / b)7.11521

Jensen alpha (a)0.09196
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.09250

SD0.05514

Sharpe ratio (Glass type estimate)1.67767

Sharpe ratio (Hedges UMVUE)1.66797

df130.00000

t1.18629

p0.44826

Lowerbound of 95% confidence interval for Sharpe Ratio1.10478

Upperbound of 95% confidence interval for Sharpe Ratio4.45382

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.11124

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation4.44718
 Statistics related to Sortino ratio

Sortino ratio2.85885

Upside Potential Ratio10.57730

Upside part of mean0.34224

Downside part of mean0.24974

Upside SD0.04475

Downside SD0.03236

N nonnegative terms63.00000

N negative terms68.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.15128

Mean of criterion0.09250

SD of predictor0.10647

SD of criterion0.05514

Covariance0.00015

r0.02540

b (slope, estimate of beta)0.01316

a (intercept, estimate of alpha)0.09051

Mean Square Error0.00306

DF error129.00000

t(b)0.28862

p(b)0.48383

t(a)1.15220

p(a)0.43586

VAR (95 Confidence Intrvl)0.00500

Lowerbound of 95% confidence interval for beta0.07703

Upperbound of 95% confidence interval for beta0.10334

Lowerbound of 95% confidence interval for alpha0.06491

Upperbound of 95% confidence interval for alpha0.24593

Treynor index (mean / b)7.03111

Jensen alpha (a)0.09051
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.00524

Expected Shortfall on VaR0.00665
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00224

Expected Shortfall on VaR0.00441
 ORDER STATISTICS
 Quartiles of return rates

Number of observations131.00000

Minimum0.99067

Quartile 10.99896

Median1.00000

Quartile 31.00153

Maximum1.01307

Mean of quarter 10.99679

Mean of quarter 20.99965

Mean of quarter 31.00074

Mean of quarter 41.00469

Inter Quartile Range0.00257

Number outliers low6.00000

Percentage of outliers low0.04580

Mean of outliers low0.99300

Number of outliers high10.00000

Percentage of outliers high0.07634

Mean of outliers high1.00867
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.23269

VaR(95%) (moments method)0.00299

Expected Shortfall (moments method)0.00487

Extreme Value Index (regression method)0.20156

VaR(95%) (regression method)0.00336

Expected Shortfall (regression method)0.00543
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations12.00000

Minimum0.00021

Quartile 10.00200

Median0.00401

Quartile 30.00990

Maximum0.02157

Mean of quarter 10.00070

Mean of quarter 20.00264

Mean of quarter 30.00621

Mean of quarter 40.01671

Inter Quartile Range0.00789

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)0.15529

VaR(95%) (moments method)0.01824

Expected Shortfall (moments method)0.02260

Extreme Value Index (regression method)4.42071

VaR(95%) (regression method)0.02513

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?302229000

Max Equity Drawdown (num days)7
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.12411

Compounded annual return (geometric extrapolation)0.12796

Calmar ratio (compounded annual return / max draw down)5.93219

Compounded annual return / average of 25% largest draw downs7.65619

Compounded annual return / Expected Shortfall lognormal19.24080
Strategy Description
Low correlation: Low to no correlation with global equities. This strategy is meant to compliment a passive long equities or balanced portfolio. That is how I treat it in my own portfolio. I trade this strategy with margin as a compliment to my long only momentum rotation strategy. 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. I am retired and trade for a living. I rely on my returns to support myself so large drawdowns are undesirable and damaging as they reduce the sustainable withdrawal rate of my portfolio.
Accessibility: This strategy will only trade equities, long and short. As such, it should be accessible for most people with regular margin accounts. As well, size is not an issue. Both large and small accounts can follow this strategy. However, I would 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.
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 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.
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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.