Collective2 Collective2
Featured Strategy Cryptoverse +56.7% Annual Return (Compounded) since Jun 13, 2022 Hypothetical

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Tradestreaming Hedge Fund Guru Portfolio
(70822709)

Created by: ZackMiller3 ZackMiller3
Started: 02/2012
Stocks
Last trade: 433 days ago

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

Subscription terms. You can subscribe to this system for free.

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.

23.5%
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.

(25.0%)
Max Drawdown
53
Num Trades
71.7%
Win Trades
5.0 : 1
Profit Factor
60.8%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2012       +1.6%+3.0%+0.5%(6.7%)+6.5%(0.2%)+2.3%+0.8%(2.7%)+0.9%+3.8%+9.4%
2013+2.9%+1.7%+2.7%+1.0%+5.0%(4.9%)+9.9%(2.9%)+8.2%+0.8%+4.0%(8.5%)+19.8%
2014+10.0%+3.9%(6.1%)(3.9%)+1.0%+7.0%(1%)+7.5%(10.6%)+4.1%+6.3%+1.8%+19.3%
2015(2.1%)+4.3%+4.8%(3.6%)+1.2%(3.2%)(0.4%)(5.8%)(6.8%)+12.4%+1.0%+0.8%+1.1%
2016(18.1%)+4.3%+3.2%(2.1%)(1.5%)(4.3%)+8.0%(0.5%)+4.4%  -  +7.0%+4.4%+1.9%
2017+5.5%+4.3%(1.7%)+0.6%+0.5%+3.5%+7.7%+3.4%(0.6%)+3.8%+0.1%+1.0%+31.6%
2018+8.5%(5.8%)(9.4%)+6.1%+5.8%(4.4%)(5.5%)+6.0%(2.2%)(10.8%)+2.6%(11.1%)(20.7%)
2019+15.2%+2.1%(0.4%)+8.9%(0.7%)(1.3%)  -  (4.7%)  -  +3.1%+5.0%+5.5%+36.2%
2020(6.5%)(5.2%)(29.3%)+11.8%+18.3%+6.5%+1.9%+17.4%(6.2%)+3.9%+10.8%+1.9%+16.3%
2021(5.5%)+9.3%+4.0%(0.4%)+2.8%+1.0%(1.1%)+1.5%(3.2%)+2.3%+0.3%(1.8%)+8.8%
2022(9.4%)(9.6%)+6.6%(5.2%)(3.5%)(12.7%)(7.9%)(2.4%)(5.4%)(9.5%)+12.8%+9.8%(33.6%)
2023+10.5%+5.8%+1.1%+2.8%(0.3%)+12.6%(0.4%)(3%)+0.7%  -  
2024+10.7%+13.2%+3.5%(2.6%)+2.9%  -  +0.5%+3.6%+3.0%+4.0%+1.8%+2.3%+103.5%

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

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
5/26/15 9:30 HZNP HORIZON THERAPIES PUBLIC LTD LONG 65 32.00 10/5/23 9:30 116.50 3.42%
Trade id #94617018
Max drawdown($762)
Time11/23/15 7:10
Quant open65
Worst price0.00
Drawdown as % of equity-3.42%
 $5,492
Includes Typical Broker Commissions trade costs of $1.30
5/26/15 9:30 AAPL APPLE LONG 15 132.60 8/24 9:30 95.74 2.78%
Trade id #94616927
Max drawdown($566)
Time8/24/15 9:30
Quant open15
Worst price94.85
Drawdown as % of equity-2.78%
 ($553)
Includes Typical Broker Commissions trade costs of $0.30
11/24/14 9:30 PCYC PHARMACYCLICS INC LONG 14 141.14 5/26/15 16:01 261.25 10.85%
Trade id #90957225
Max drawdown($1,951)
Time6/10/15 2:26
Quant open14
Worst price0.00
Drawdown as % of equity-10.85%
 $1,682
Includes Typical Broker Commissions trade costs of $0.28
2/23/15 9:31 WMB WILLIAMS COMPANIES LONG 40 48.56 5/26 9:31 52.63 0.03%
Trade id #92686078
Max drawdown($6)
Time5/7/15 10:06
Quant open40
Worst price48.41
Drawdown as % of equity-0.03%
 $162
Includes Typical Broker Commissions trade costs of $0.80
2/23/15 9:30 VC VISTEON CORPORATION COMMON STOCK LONG 20 100.75 5/26 9:30 109.29 0%
Trade id #92685952
Max drawdown($0)
Time4/17/15 9:31
Quant open20
Worst price100.72
Drawdown as % of equity-0.00%
 $171
Includes Typical Broker Commissions trade costs of $0.40
11/24/14 9:30 FB META PLATFORMS INC LONG 27 73.60 5/26/15 9:30 80.43 0.02%
Trade id #90957249
Max drawdown($4)
Time2/9/15 9:39
Quant open27
Worst price73.45
Drawdown as % of equity-0.02%
 $183
Includes Typical Broker Commissions trade costs of $0.54
11/24/14 9:30 SHPG SHIRE LONG 10 211.93 2/23/15 9:30 237.94 0.05%
Trade id #90957239
Max drawdown($10)
Time1/16/15 10:49
Quant open10
Worst price210.92
Drawdown as % of equity-0.05%
 $260
Includes Typical Broker Commissions trade costs of $0.20
2/24/14 9:30 ENT GLOBAL EAGLE ENTERTAINMENT INC LONG 120 17.68 2/23/15 9:30 13.08 3.08%
Trade id #86127199
Max drawdown($622)
Time2/12/15 7:03
Quant open120
Worst price12.49
Drawdown as % of equity-3.08%
 ($554)
Includes Typical Broker Commissions trade costs of $2.40
5/23/14 9:31 ZINC HORSEHEAD HLDG CORP LONG 115 17.24 2/23/15 9:30 13.42 2.45%
Trade id #87731538
Max drawdown($497)
Time2/11/15 15:50
Quant open115
Worst price12.92
Drawdown as % of equity-2.45%
 ($442)
Includes Typical Broker Commissions trade costs of $2.30
5/23/13 9:31 HCA HCA HEALTHCARE INC LONG 39 41.18 2/23/15 9:30 70.44 0.01%
Trade id #81056460
Max drawdown($1)
Time7/15/13 10:37
Quant open27
Worst price36.97
Drawdown as % of equity-0.01%
 $1,140
Includes Typical Broker Commissions trade costs of $0.78
11/24/14 9:30 HTZ HERTZ GLOBAL HOLDINGS INC COMMON STOCK LONG 85 24.09 2/23/15 9:30 23.20 1.65%
Trade id #90957316
Max drawdown($337)
Time2/2/15 10:16
Quant open85
Worst price20.12
Drawdown as % of equity-1.65%
 ($78)
Includes Typical Broker Commissions trade costs of $1.70
8/22/13 9:30 ELN ELAN LONG 66 15.01 12/18/14 16:01 18.12 3.36%
Trade id #82656709
Max drawdown($574)
Time1/14/14 2:26
Quant open66
Worst price0.00
Drawdown as % of equity-3.36%
 $204
Includes Typical Broker Commissions trade costs of $1.32
5/23/14 9:30 NE NOBLE CORP LONG 65 30.68 11/24 9:30 21.24 3.91%
Trade id #87731514
Max drawdown($751)
Time11/4/14 19:11
Quant open65
Worst price19.12
Drawdown as % of equity-3.91%
 ($615)
Includes Typical Broker Commissions trade costs of $1.30
8/25/14 9:30 GEVA WYNAGEVA BIOPHARMA CORP LONG 28 72.94 11/24 9:30 74.08 0.78%
Trade id #89250514
Max drawdown($148)
Time11/6/14 10:34
Quant open28
Worst price67.63
Drawdown as % of equity-0.78%
 $31
Includes Typical Broker Commissions trade costs of $0.56
5/23/14 9:30 BIDU BAIDU LONG 12 163.35 11/24 9:30 247.76 0.17%
Trade id #87731440
Max drawdown($30)
Time6/4/14 9:38
Quant open12
Worst price160.80
Drawdown as % of equity-0.17%
 $1,013
Includes Typical Broker Commissions trade costs of $0.24
8/22/13 9:30 SPY SPDR S&P 500 LONG 10 173.25 8/25/14 9:30 200.15 0.02%
Trade id #82656529
Max drawdown($2)
Time10/9/13 11:24
Quant open6
Worst price164.53
Drawdown as % of equity-0.02%
 $269
Includes Typical Broker Commissions trade costs of $0.20
5/23/14 9:30 SGEN SEATTLE GENETICS LONG 60 34.35 8/25 9:30 43.06 0.19%
Trade id #87731465
Max drawdown($36)
Time7/28/14 10:30
Quant open60
Worst price33.75
Drawdown as % of equity-0.19%
 $522
Includes Typical Broker Commissions trade costs of $1.20
8/22/12 9:30 PCYC PHARMACYCLICS INC LONG 16 62.05 5/23/14 9:30 94.13 0.03%
Trade id #76176680
Max drawdown($4)
Time1/7/13 9:35
Quant open16
Worst price61.77
Drawdown as % of equity-0.03%
 $513
Includes Typical Broker Commissions trade costs of $0.32
2/24/14 9:30 BAC BANK OF AMERICA CORPORATION LONG 120 16.35 5/23 9:30 14.72 1.35%
Trade id #86127161
Max drawdown($237)
Time5/16/14 10:09
Quant open120
Worst price14.37
Drawdown as % of equity-1.35%
 ($198)
Includes Typical Broker Commissions trade costs of $2.40
11/25/13 13:54 AAPL APPLE LONG 28 73.60 5/23/14 9:30 85.01 0.36%
Trade id #84266911
Max drawdown($63)
Time1/31/14 10:41
Quant open2
Worst price493.55
Drawdown as % of equity-0.36%
 $330
Includes Typical Broker Commissions trade costs of $0.57
2/24/14 9:30 VOD VODAFONE GROUP PLC AMERICAN DE LONG 50 41.51 5/23 9:30 34.56 2.13%
Trade id #86127168
Max drawdown($370)
Time5/20/14 13:55
Quant open50
Worst price34.10
Drawdown as % of equity-2.13%
 ($348)
Includes Typical Broker Commissions trade costs of $1.00
8/22/13 9:30 EQIX EQUINIX INC. COMMON STOCK REI LONG 10 175.98 5/23/14 9:30 194.67 0.09%
Trade id #82656668
Max drawdown($14)
Time4/16/14 9:52
Quant open10
Worst price174.51
Drawdown as % of equity-0.09%
 $187
Includes Typical Broker Commissions trade costs of $0.20
8/22/13 9:30 PCLN THE PRICELINE GROUP INC. COMMO LONG 1 945.26 2/24/14 9:30 1318.21 0.05%
Trade id #82656582
Max drawdown($8)
Time9/4/13 9:44
Quant open1
Worst price937.21
Drawdown as % of equity-0.05%
 $373
Includes Typical Broker Commissions trade costs of $0.02
2/22/13 9:30 GOOG ALPHABET INC CLASS C LONG 1 799.26 11/25 13:54 1048.97 0.02%
Trade id #79358268
Max drawdown($2)
Time4/26/13 12:12
Quant open1
Worst price796.58
Drawdown as % of equity-0.02%
 $250
Includes Typical Broker Commissions trade costs of $0.02
5/23/13 9:31 C CITIGROUP LONG 20 49.20 8/22 9:30 49.62 0.06%
Trade id #81056364
Max drawdown($8)
Time8/20/13 9:48
Quant open20
Worst price48.77
Drawdown as % of equity-0.06%
 $8
Includes Typical Broker Commissions trade costs of $0.40
5/23/12 9:30 BAC BANK OF AMERICA CORPORATION LONG 140 6.90 8/22/13 9:30 14.44 0%
Trade id #73936735
Max drawdown$0
Time7/23/12 9:31
Quant open140
Worst price6.90
Drawdown as % of equity0.00%
 $1,053
Includes Typical Broker Commissions trade costs of $2.80
5/23/13 9:30 AON AON LONG 15 65.09 8/22 9:30 68.09 0.01%
Trade id #81056291
Max drawdown($0)
Time7/10/13 14:50
Quant open15
Worst price65.04
Drawdown as % of equity-0.01%
 $45
Includes Typical Broker Commissions trade costs of $0.30
5/23/13 9:30 ALK ALASKA AIR GROUP LONG 36 28.45 8/22 9:30 29.45 0.04%
Trade id #81056330
Max drawdown($6)
Time8/13/13 12:11
Quant open18
Worst price56.52
Drawdown as % of equity-0.04%
 $35
Includes Typical Broker Commissions trade costs of $0.72
2/22/12 9:31 BP BP LONG 21 47.01 8/22/13 9:30 40.82 0.9%
Trade id #70855326
Max drawdown($136)
Time8/21/13 16:00
Quant open21
Worst price40.51
Drawdown as % of equity-0.90%
 ($130)
Includes Typical Broker Commissions trade costs of $0.42
2/22/12 9:31 AAPL APPLE LONG 14 71.83 5/23/13 9:31 61.03 1.75%
Trade id #70855361
Max drawdown($241)
Time4/24/13 9:31
Quant open2
Worst price392.50
Drawdown as % of equity-1.75%
 ($151)
Includes Typical Broker Commissions trade costs of $0.28
Next

Statistics

  • Strategy began
    2/21/2012
  • Suggested Minimum Cap
    $10,000
  • Strategy Age (days)
    4675.55
  • Age
    156 months ago
  • What it trades
    Stocks
  • # Trades
    53
  • # Profitable
    38
  • % Profitable
    71.70%
  • Avg trade duration
    774.9 days
  • Max peak-to-valley drawdown
    25.02%
  • drawdown period
    March 06, 2014 - April 13, 2014
  • Annual Return (Compounded)
    23.5%
  • Avg win
    $1,107
  • Avg loss
    $592.67
  • Model Account Values (Raw)
  • Cash
    $19,260
  • Margin Used
    $0
  • Buying Power
    $43,467
  • Ratios
  • W:L ratio
    5.03:1
  • Sharpe Ratio
    0.43
  • Sortino Ratio
    0.63
  • Calmar Ratio
    0.904
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    68.49%
  • Correlation to SP500
    0.65580
  • Return Percent SP500 (cumu) during strategy life
    346.64%
  • Return Statistics
  • Ann Return (w trading costs)
    23.5%
  • Slump
  • Current Slump as Pcnt Equity
    n/a
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    n/a
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.235%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    12.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    13.33%
  • Chance of 40% account loss
    6.67%
  • 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
  • Chance of 100% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    6.67%
  • Popularity
  • Popularity (Today)
    611
  • Popularity (Last 6 weeks)
    950
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    839
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $593
  • Avg Win
    $1,108
  • Sum Trade PL (losers)
    $8,890.000
  • Age
  • Num Months filled monthly returns table
    155
  • Win / Loss
  • Sum Trade PL (winners)
    $42,098.000
  • # Winners
    38
  • Num Months Winners
    94
  • Dividends
  • Dividends Received in Model Acct
    2575
  • Win / Loss
  • # Losers
    15
  • % Winners
    71.7%
  • Frequency
  • Avg Position Time (mins)
    1115790.00
  • Avg Position Time (hrs)
    18596.40
  • Avg Trade Length
    774.9 days
  • Last Trade Ago
    432
  • Regression
  • Alpha
    0.00
  • Beta
    0.95
  • Treynor Index
    0.03
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    14.75
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    31.92
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.04
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.04
  • Avg(MAE) / Avg(PL) - All trades
    0.356
  • 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
    0.10
  • Avg(MAE) / Avg(PL) - Winning trades
    0.143
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.568
  • Hold-and-Hope Ratio
    2.958
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.21244
  • SD
    0.16530
  • Sharpe ratio (Glass type estimate)
    1.28516
  • Sharpe ratio (Hedges UMVUE)
    1.26360
  • df
    45.00000
  • t
    2.51620
  • p
    0.00775
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.24302
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.31398
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.22906
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.29814
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.29928
  • Upside Potential Ratio
    3.70724
  • Upside part of mean
    0.34252
  • Downside part of mean
    -0.13009
  • Upside SD
    0.14817
  • Downside SD
    0.09239
  • N nonnegative terms
    31.00000
  • N negative terms
    15.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    46.00000
  • Mean of predictor
    0.10583
  • Mean of criterion
    0.21244
  • SD of predictor
    0.10515
  • SD of criterion
    0.16530
  • Covariance
    0.01189
  • r
    0.68430
  • b (slope, estimate of beta)
    1.07573
  • a (intercept, estimate of alpha)
    0.09859
  • Mean Square Error
    0.01486
  • DF error
    44.00000
  • t(b)
    6.22476
  • p(b)
    0.00000
  • t(a)
    1.51936
  • p(a)
    0.06791
  • Lowerbound of 95% confidence interval for beta
    0.72744
  • Upperbound of 95% confidence interval for beta
    1.42401
  • Lowerbound of 95% confidence interval for alpha
    -0.03219
  • Upperbound of 95% confidence interval for alpha
    0.22937
  • Treynor index (mean / b)
    0.19748
  • Jensen alpha (a)
    0.09859
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.19731
  • SD
    0.16442
  • Sharpe ratio (Glass type estimate)
    1.20000
  • Sharpe ratio (Hedges UMVUE)
    1.17987
  • df
    45.00000
  • t
    2.34946
  • p
    0.01162
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.16260
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.22486
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.14956
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.21018
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.02306
  • Upside Potential Ratio
    3.40276
  • Upside part of mean
    0.33187
  • Downside part of mean
    -0.13456
  • Upside SD
    0.14205
  • Downside SD
    0.09753
  • N nonnegative terms
    31.00000
  • N negative terms
    15.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    46.00000
  • Mean of predictor
    0.09988
  • Mean of criterion
    0.19731
  • SD of predictor
    0.10557
  • SD of criterion
    0.16442
  • Covariance
    0.01181
  • r
    0.68045
  • b (slope, estimate of beta)
    1.05980
  • a (intercept, estimate of alpha)
    0.09146
  • Mean Square Error
    0.01485
  • DF error
    44.00000
  • t(b)
    6.15947
  • p(b)
    0.00000
  • t(a)
    1.41652
  • p(a)
    0.08183
  • Lowerbound of 95% confidence interval for beta
    0.71304
  • Upperbound of 95% confidence interval for beta
    1.40657
  • Lowerbound of 95% confidence interval for alpha
    -0.03866
  • Upperbound of 95% confidence interval for alpha
    0.22158
  • Treynor index (mean / b)
    0.18617
  • Jensen alpha (a)
    0.09146
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05977
  • Expected Shortfall on VaR
    0.07809
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01815
  • Expected Shortfall on VaR
    0.04115
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    46.00000
  • Minimum
    0.85906
  • Quartile 1
    0.98803
  • Median
    1.02236
  • Quartile 3
    1.04427
  • Maximum
    1.15486
  • Mean of quarter 1
    0.96051
  • Mean of quarter 2
    1.00870
  • Mean of quarter 3
    1.03274
  • Mean of quarter 4
    1.07255
  • Inter Quartile Range
    0.05624
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.02174
  • Mean of outliers low
    0.85906
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.02174
  • Mean of outliers high
    1.15486
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00635
  • VaR(95%) (moments method)
    0.03184
  • Expected Shortfall (moments method)
    0.04461
  • Extreme Value Index (regression method)
    0.18335
  • VaR(95%) (regression method)
    0.04799
  • Expected Shortfall (regression method)
    0.07920
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    11.00000
  • Minimum
    0.00053
  • Quartile 1
    0.01349
  • Median
    0.02561
  • Quartile 3
    0.05218
  • Maximum
    0.14094
  • Mean of quarter 1
    0.00808
  • Mean of quarter 2
    0.01978
  • Mean of quarter 3
    0.03732
  • Mean of quarter 4
    0.09710
  • Inter Quartile Range
    0.03869
  • 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
    0.14094
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -1.21391
  • VaR(95%) (moments method)
    0.11413
  • Expected Shortfall (moments method)
    0.12127
  • Extreme Value Index (regression method)
    0.41079
  • VaR(95%) (regression method)
    0.14517
  • Expected Shortfall (regression method)
    0.26105
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.31651
  • Compounded annual return (geometric extrapolation)
    0.23030
  • Calmar ratio (compounded annual return / max draw down)
    1.63403
  • Compounded annual return / average of 25% largest draw downs
    2.37187
  • Compounded annual return / Expected Shortfall lognormal
    2.94908
  • 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
    0.20586
  • SD
    0.13976
  • Sharpe ratio (Glass type estimate)
    1.47295
  • Sharpe ratio (Hedges UMVUE)
    1.47212
  • df
    1334.00000
  • t
    2.90168
  • p
    0.46040
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.47619
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.46916
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.47564
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.46860
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.22178
  • Upside Potential Ratio
    10.22080
  • Upside part of mean
    0.94699
  • Downside part of mean
    -0.74114
  • Upside SD
    0.10515
  • Downside SD
    0.09265
  • N nonnegative terms
    641.00000
  • N negative terms
    694.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1335.00000
  • Mean of predictor
    0.10828
  • Mean of criterion
    0.20586
  • SD of predictor
    0.12550
  • SD of criterion
    0.13976
  • Covariance
    0.00852
  • r
    0.48600
  • b (slope, estimate of beta)
    0.54123
  • a (intercept, estimate of alpha)
    0.06600
  • Mean Square Error
    0.01493
  • DF error
    1333.00000
  • t(b)
    20.30320
  • p(b)
    0.20325
  • t(a)
    2.37149
  • p(a)
    0.45876
  • Lowerbound of 95% confidence interval for beta
    0.48894
  • Upperbound of 95% confidence interval for beta
    0.59353
  • Lowerbound of 95% confidence interval for alpha
    0.02544
  • Upperbound of 95% confidence interval for alpha
    0.26906
  • Treynor index (mean / b)
    0.38035
  • Jensen alpha (a)
    0.14725
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.19605
  • SD
    0.13961
  • Sharpe ratio (Glass type estimate)
    1.40422
  • Sharpe ratio (Hedges UMVUE)
    1.40343
  • df
    1334.00000
  • t
    2.76629
  • p
    0.46224
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.40764
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.40032
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.40709
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.39977
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.09406
  • Upside Potential Ratio
    10.05670
  • Upside part of mean
    0.94152
  • Downside part of mean
    -0.74547
  • Upside SD
    0.10404
  • Downside SD
    0.09362
  • N nonnegative terms
    641.00000
  • N negative terms
    694.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1335.00000
  • Mean of predictor
    0.10039
  • Mean of criterion
    0.19605
  • SD of predictor
    0.12555
  • SD of criterion
    0.13961
  • Covariance
    0.00853
  • r
    0.48652
  • b (slope, estimate of beta)
    0.54100
  • a (intercept, estimate of alpha)
    0.14174
  • Mean Square Error
    0.01489
  • DF error
    1333.00000
  • t(b)
    20.33130
  • p(b)
    0.20297
  • t(a)
    2.28614
  • p(a)
    0.46024
  • Lowerbound of 95% confidence interval for beta
    0.48880
  • Upperbound of 95% confidence interval for beta
    0.59320
  • Lowerbound of 95% confidence interval for alpha
    0.02011
  • Upperbound of 95% confidence interval for alpha
    0.26336
  • Treynor index (mean / b)
    0.36238
  • Jensen alpha (a)
    0.14174
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01174
  • Expected Shortfall on VaR
    0.01484
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00503
  • Expected Shortfall on VaR
    0.01035
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1335.00000
  • Minimum
    0.93738
  • Quartile 1
    0.99769
  • Median
    1.00000
  • Quartile 3
    1.00404
  • Maximum
    1.06609
  • Mean of quarter 1
    0.99200
  • Mean of quarter 2
    0.99945
  • Mean of quarter 3
    1.00175
  • Mean of quarter 4
    1.00931
  • Inter Quartile Range
    0.00635
  • Number outliers low
    63.00000
  • Percentage of outliers low
    0.04719
  • Mean of outliers low
    0.98314
  • Number of outliers high
    48.00000
  • Percentage of outliers high
    0.03596
  • Mean of outliers high
    1.02029
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.11334
  • VaR(95%) (moments method)
    0.00659
  • Expected Shortfall (moments method)
    0.00986
  • Extreme Value Index (regression method)
    0.09054
  • VaR(95%) (regression method)
    0.00719
  • Expected Shortfall (regression method)
    0.01077
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    68.00000
  • Minimum
    0.00019
  • Quartile 1
    0.00361
  • Median
    0.01113
  • Quartile 3
    0.03168
  • Maximum
    0.19088
  • Mean of quarter 1
    0.00135
  • Mean of quarter 2
    0.00613
  • Mean of quarter 3
    0.01896
  • Mean of quarter 4
    0.06662
  • Inter Quartile Range
    0.02807
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.05882
  • Mean of outliers high
    0.13559
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.33784
  • VaR(95%) (moments method)
    0.07213
  • Expected Shortfall (moments method)
    0.12262
  • Extreme Value Index (regression method)
    0.58981
  • VaR(95%) (regression method)
    0.06432
  • Expected Shortfall (regression method)
    0.14097
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.31548
  • Compounded annual return (geometric extrapolation)
    0.22875
  • Calmar ratio (compounded annual return / max draw down)
    1.19837
  • Compounded annual return / average of 25% largest draw downs
    3.43392
  • Compounded annual return / Expected Shortfall lognormal
    15.41250
  • 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
    0.00842
  • SD
    0.16177
  • Sharpe ratio (Glass type estimate)
    0.05206
  • Sharpe ratio (Hedges UMVUE)
    0.05183
  • df
    171.00000
  • t
    0.03681
  • p
    0.49821
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.71975
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.82387
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.71998
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.82364
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.07643
  • Upside Potential Ratio
    9.09114
  • Upside part of mean
    1.00183
  • Downside part of mean
    -0.99341
  • Upside SD
    0.11779
  • Downside SD
    0.11020
  • N nonnegative terms
    75.00000
  • N negative terms
    97.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    -0.02907
  • Mean of criterion
    0.00842
  • SD of predictor
    0.17376
  • SD of criterion
    0.16177
  • Covariance
    0.01448
  • r
    0.51521
  • b (slope, estimate of beta)
    0.47965
  • a (intercept, estimate of alpha)
    0.02237
  • Mean Square Error
    0.01934
  • DF error
    170.00000
  • t(b)
    7.83772
  • p(b)
    0.24240
  • t(a)
    0.11372
  • p(a)
    0.49564
  • Lowerbound of 95% confidence interval for beta
    0.35885
  • Upperbound of 95% confidence interval for beta
    0.60046
  • Lowerbound of 95% confidence interval for alpha
    -0.36585
  • Upperbound of 95% confidence interval for alpha
    0.41058
  • Treynor index (mean / b)
    0.01756
  • Jensen alpha (a)
    0.02237
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.00455
  • SD
    0.16142
  • Sharpe ratio (Glass type estimate)
    -0.02818
  • Sharpe ratio (Hedges UMVUE)
    -0.02805
  • df
    171.00000
  • t
    -0.01992
  • p
    0.50097
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.79999
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.74363
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.79986
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.74376
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.04092
  • Upside Potential Ratio
    8.95238
  • Upside part of mean
    0.99497
  • Downside part of mean
    -0.99952
  • Upside SD
    0.11641
  • Downside SD
    0.11114
  • N nonnegative terms
    75.00000
  • N negative terms
    97.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    -0.04411
  • Mean of criterion
    -0.00455
  • SD of predictor
    0.17401
  • SD of criterion
    0.16142
  • Covariance
    0.01454
  • r
    0.51754
  • b (slope, estimate of beta)
    0.48009
  • a (intercept, estimate of alpha)
    0.01663
  • Mean Square Error
    0.01919
  • DF error
    170.00000
  • t(b)
    7.88624
  • p(b)
    0.24123
  • t(a)
    0.08487
  • p(a)
    0.49675
  • VAR (95 Confidence Intrvl)
    0.02700
  • Lowerbound of 95% confidence interval for beta
    0.35992
  • Upperbound of 95% confidence interval for beta
    0.60026
  • Lowerbound of 95% confidence interval for alpha
    -0.37012
  • Upperbound of 95% confidence interval for alpha
    0.40337
  • Treynor index (mean / b)
    -0.00947
  • Jensen alpha (a)
    0.01663
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01423
  • Expected Shortfall on VaR
    0.01780
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00717
  • Expected Shortfall on VaR
    0.01383
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    172.00000
  • Minimum
    0.96665
  • Quartile 1
    0.99672
  • Median
    1.00000
  • Quartile 3
    1.00396
  • Maximum
    1.04076
  • Mean of quarter 1
    0.98962
  • Mean of quarter 2
    0.99889
  • Mean of quarter 3
    1.00167
  • Mean of quarter 4
    1.01003
  • Inter Quartile Range
    0.00724
  • Number outliers low
    8.00000
  • Percentage of outliers low
    0.04651
  • Mean of outliers low
    0.98128
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.03488
  • Mean of outliers high
    1.02456
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.52908
  • VaR(95%) (moments method)
    0.00942
  • Expected Shortfall (moments method)
    0.01091
  • Extreme Value Index (regression method)
    -0.35888
  • VaR(95%) (regression method)
    0.01094
  • Expected Shortfall (regression method)
    0.01338
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.01046
  • Quartile 1
    0.02138
  • Median
    0.04020
  • Quartile 3
    0.06812
  • Maximum
    0.10631
  • Mean of quarter 1
    0.01046
  • Mean of quarter 2
    0.02502
  • Mean of quarter 3
    0.05538
  • Mean of quarter 4
    0.10631
  • Inter Quartile Range
    0.04673
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Max Equity Drawdown (num days)
    38
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.00541
  • Compounded annual return (geometric extrapolation)
    0.00542
  • Calmar ratio (compounded annual return / max draw down)
    0.05095
  • Compounded annual return / average of 25% largest draw downs
    0.05095
  • Compounded annual return / Expected Shortfall lognormal
    0.30433

Strategy Description

The Tradestreaming Hedge Fund Guru Portfolio is a real-world, actionable portfolio that mimics some of the best hedge fund managers in the world.

I've been working on this strategy for over 7 years and played a big part in my book, Tradestream your Way to Profits: Building a Killer Portfolio in the Age of Social Media (Wiley, 2010).

The core strategy is based on a couple of academic works that showed that a strategy that imitates particular investment strategies (long-term, value orientation) can produce an alpha similar to the strategies being mimicked.

I've analyzed over 2500 hedge funds to identify some of the best performing managers that translate well into being piggybacked as part of this portfolio.

It gets even more detailed -- portfolio managers are best imitated in different ways. For some managers, buying their largest holding works well to approximate their returns. For others, buying their largest, newest holding works best.

This portfolio rebalances quarterly where about half the current positions will be swapped out for new ones. The Tradestreaming Hedge Fund Guru Portfolio works well for the long-term, mid-large cap portion of a portfolio.

Questions? Let me know.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2012-02-21
Suggested Minimum Capital
$5,000
# Trades
53
# Profitable
38
% Profitable
71.7%
Net Dividends
$2,574
Correlation S&P500
0.656
Sharpe Ratio
0.43
Sortino Ratio
0.63
Beta
0.95
Alpha
0.00

Latest Activity

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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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