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ASX Small Specs
(101063215)

Created by: MichaelWang2 MichaelWang2
Started: 03/2016
Stocks
Last trade: 874 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. Subscriptions to this system cost $30.00 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.

-52.3%
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.

(96.4%)
Max Drawdown
15
Num Trades
26.7%
Win Trades
0.1 : 1
Profit Factor
37.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016              +1.1%(3.6%)+42.4%+4.4%(7.1%)+2.0%+19.2%  -  (14.7%)(3.3%)+34.9%
2017(2.2%)(4.5%)(4.8%)  -  (13.1%)(0.9%)(62.3%)  -  +1.8%(1.6%)(70.4%)
2018(5.4%)+0.3%+30.4%  -    -  
2019  -    -                                            

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

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
9/21/16 0:24 ASX.MEB Medibio Limited LONG 10,000 0.420 2/27/17 20:42 0.355 1.49%
Trade id #105986086
Max drawdown($495)
Time2/27/17 20:42
Quant open0
Worst price0.355
Drawdown as % of equity-1.49%
($503)
Includes Typical Broker Commissions trade costs of $7.75
6/10/16 1:43 ASX.MDR MedAdvisor Limited LONG 130,000 0.046 9/20 23:04 0.045 0.36%
Trade id #102775053
Max drawdown($148)
Time9/20/16 23:04
Quant open0
Worst price0.045
Drawdown as % of equity-0.36%
($159)
Includes Typical Broker Commissions trade costs of $11.90
5/19/16 21:38 ASX.DUB Dubber Corporation Limited LONG 6,000 0.610 6/10 1:39 0.495 1.29%
Trade id #102452939
Max drawdown($524)
Time6/10/16 1:39
Quant open0
Worst price0.495
Drawdown as % of equity-1.29%
($531)
Includes Typical Broker Commissions trade costs of $6.63
3/21/16 19:44 ASX.AB1 Animoca Brands Corporation Limited LONG 30,000 0.220 5/19 19:35 0.223 0.43%
Trade id #101390817
Max drawdown($115)
Time4/25/16 0:57
Quant open30,000
Worst price0.000
Drawdown as % of equity-0.43%
$55
Includes Typical Broker Commissions trade costs of $13.29
4/19/16 23:22 ASX.RFX RedFlow Limited LONG 5,500 0.405 4/28 22:56 0.390 0.4%
Trade id #101914552
Max drawdown($101)
Time4/28/16 22:02
Quant open5,500
Worst price0.380
Drawdown as % of equity-0.40%
($67)
Includes Typical Broker Commissions trade costs of $4.38
4/18/16 1:09 ASX.SMA SMARTTRANS FPO LONG 82,500 0.048 4/18 22:45 0.046 0.47%
Trade id #101867260
Max drawdown($125)
Time4/18/16 22:45
Quant open0
Worst price0.046
Drawdown as % of equity-0.47%
($133)
Includes Typical Broker Commissions trade costs of $7.75
4/17/16 20:14 ASX.PLP LONG 220,000 0.020 4/18 20:14 0.022 n/a $325
Includes Typical Broker Commissions trade costs of $9.24
4/17/16 20:41 ASX.LNG LNG LTD FPO LONG 6,000 0.490 4/18 0:21 0.550 n/a $267
Includes Typical Broker Commissions trade costs of $6.24
3/30/16 21:55 ASX.BPF Bulletproof Group Limited LONG 7,500 0.430 4/17 20:18 0.400 0.67%
Trade id #101580147
Max drawdown($171)
Time4/17/16 20:18
Quant open0
Worst price0.400
Drawdown as % of equity-0.67%
($177)
Includes Typical Broker Commissions trade costs of $6.23
4/14/16 23:15 ASX.EMH European Metals Holdings Limited LONG 15,000 0.245 4/17 20:12 0.315 n/a $789
Includes Typical Broker Commissions trade costs of $8.41
3/8/16 21:47 ASX.TV2 TV2U International Limited LONG 285,000 0.017 4/13 0:05 0.015 1.66%
Trade id #101093769
Max drawdown($433)
Time4/13/16 0:05
Quant open0
Worst price0.015
Drawdown as % of equity-1.66%
($442)
Includes Typical Broker Commissions trade costs of $9.12
3/15/16 0:19 ASX.VPC Velpic Limited LONG 80,000 0.057 3/30 0:00 0.054 0.68%
Trade id #101230897
Max drawdown($182)
Time3/30/16 0:00
Quant open0
Worst price0.054
Drawdown as % of equity-0.68%
($191)
Includes Typical Broker Commissions trade costs of $8.88
3/7/16 21:24 ASX.ATC Altech Chemicals Ltd LONG 40,000 0.125 3/17 19:00 0.100 2.9%
Trade id #101063263
Max drawdown($759)
Time3/17/16 19:00
Quant open0
Worst price0.100
Drawdown as % of equity-2.90%
($768)
Includes Typical Broker Commissions trade costs of $9.00

Statistics

  • Strategy began
    3/7/2016
  • Suggested Minimum Cap
    $25,000
  • Strategy Age (days)
    1206.89
  • Age
    41 months ago
  • What it trades
    Stocks
  • # Trades
    15
  • # Profitable
    4
  • % Profitable
    26.70%
  • Avg trade duration
    189.7 days
  • Max peak-to-valley drawdown
    96.38%
  • drawdown period
    Sept 27, 2016 - Jan 18, 2019
  • Annual Return (Compounded)
    -52.3%
  • Avg win
    $368.00
  • Avg loss
    $1,941
  • Model Account Values (Raw)
  • Cash
    $785
  • Margin Used
    $0
  • Buying Power
    $1,342
  • Ratios
  • W:L ratio
    0.07:1
  • Sharpe Ratio
    -0.34
  • Sortino Ratio
    -0.4
  • Calmar Ratio
    -0.977
  • CORRELATION STATISTICS
  • Correlation to SP500
    -0.14130
  • Return Statistics
  • Ann Return (w trading costs)
    -52.3%
  • Ann Return (Compnd, No Fees)
    -48.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    100.00%
  • Chance of 40% account loss
    100.00%
  • Chance of 50% account loss
    100.00%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    30
  • Win / Loss
  • Avg Loss
    $2,168
  • Avg Win
    $368
  • # Winners
    4
  • # Losers
    11
  • % Winners
    26.7%
  • Frequency
  • Avg Position Time (mins)
    273184.00
  • Avg Position Time (hrs)
    4553.07
  • Avg Trade Length
    189.7 days
  • Last Trade Ago
    850
  • Unknown
  • Alpha
    -0.06
  • Beta
    -0.91
  • Treynor Index
    0.11
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.49735
  • SD
    1.46917
  • Sharpe ratio (Glass type estimate)
    -0.33852
  • Sharpe ratio (Hedges UMVUE)
    -0.30937
  • df
    9.00000
  • t
    -0.30903
  • p
    0.61783
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.48192
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.82319
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.46115
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.84241
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.45718
  • Upside Potential Ratio
    1.29635
  • Upside part of mean
    1.41025
  • Downside part of mean
    -1.90760
  • Upside SD
    0.88306
  • Downside SD
    1.08786
  • N nonnegative terms
    3.00000
  • N negative terms
    7.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    10.00000
  • Mean of predictor
    0.43813
  • Mean of criterion
    -0.49735
  • SD of predictor
    0.23744
  • SD of criterion
    1.46917
  • Covariance
    -0.28716
  • r
    -0.82317
  • b (slope, estimate of beta)
    -5.09332
  • a (intercept, estimate of alpha)
    1.73420
  • Mean Square Error
    0.78286
  • DF error
    8.00000
  • t(b)
    -4.10053
  • p(b)
    0.99828
  • t(a)
    1.56013
  • p(a)
    0.07867
  • Lowerbound of 95% confidence interval for beta
    -7.95763
  • Upperbound of 95% confidence interval for beta
    -2.22900
  • Lowerbound of 95% confidence interval for alpha
    -0.82910
  • Upperbound of 95% confidence interval for alpha
    4.29750
  • Treynor index (mean / b)
    0.09765
  • Jensen alpha (a)
    1.73420
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -2.88580
  • SD
    3.00957
  • Sharpe ratio (Glass type estimate)
    -0.95888
  • Sharpe ratio (Hedges UMVUE)
    -0.87629
  • df
    9.00000
  • t
    -0.87533
  • p
    0.79792
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.12470
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.25721
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.06116
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.30857
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.99786
  • Upside Potential Ratio
    0.38887
  • Upside part of mean
    1.12460
  • Downside part of mean
    -4.01040
  • Upside SD
    0.69429
  • Downside SD
    2.89200
  • N nonnegative terms
    3.00000
  • N negative terms
    7.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    10.00000
  • Mean of predictor
    0.40776
  • Mean of criterion
    -2.88580
  • SD of predictor
    0.21440
  • SD of criterion
    3.00957
  • Covariance
    -0.62361
  • r
    -0.96646
  • b (slope, estimate of beta)
    -13.56630
  • a (intercept, estimate of alpha)
    2.64598
  • Mean Square Error
    0.67212
  • DF error
    8.00000
  • t(b)
    -10.64350
  • p(b)
    1.00000
  • t(a)
    2.55004
  • p(a)
    0.01709
  • Lowerbound of 95% confidence interval for beta
    -16.50550
  • Upperbound of 95% confidence interval for beta
    -10.62700
  • Lowerbound of 95% confidence interval for alpha
    0.25321
  • Upperbound of 95% confidence interval for alpha
    5.03874
  • Treynor index (mean / b)
    0.21272
  • Jensen alpha (a)
    2.64598
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.81166
  • Expected Shortfall on VaR
    0.86298
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.44829
  • Expected Shortfall on VaR
    0.82581
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    10.00000
  • Minimum
    0.07370
  • Quartile 1
    0.83131
  • Median
    0.96818
  • Quartile 3
    1.04025
  • Maximum
    1.65824
  • Mean of quarter 1
    0.54525
  • Mean of quarter 2
    0.90692
  • Mean of quarter 3
    0.98851
  • Mean of quarter 4
    1.39407
  • Inter Quartile Range
    0.20894
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.10000
  • Mean of outliers low
    0.07370
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.20000
  • Mean of outliers high
    1.56305
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.25701
  • VaR(95%) (moments method)
    0.47899
  • Expected Shortfall (moments method)
    0.82534
  • Extreme Value Index (regression method)
    2.05666
  • VaR(95%) (regression method)
    1.25444
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.02286
  • Quartile 1
    0.14096
  • Median
    0.25906
  • Quartile 3
    0.60471
  • Maximum
    0.95035
  • Mean of quarter 1
    0.02286
  • Mean of quarter 2
    0.25906
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.95035
  • Inter Quartile Range
    0.46375
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -1.08911
  • Compounded annual return (geometric extrapolation)
    -0.94261
  • Calmar ratio (compounded annual return / max draw down)
    -0.99186
  • Compounded annual return / average of 25% largest draw downs
    -0.99186
  • Compounded annual return / Expected Shortfall lognormal
    -1.09228
  • 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
    -0.94213
  • SD
    1.39463
  • Sharpe ratio (Glass type estimate)
    -0.67554
  • Sharpe ratio (Hedges UMVUE)
    -0.67322
  • df
    219.00000
  • t
    -0.61903
  • p
    0.73173
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.81464
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.46500
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.81303
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.46659
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.77887
  • Upside Potential Ratio
    3.88523
  • Upside part of mean
    4.69959
  • Downside part of mean
    -5.64172
  • Upside SD
    0.69022
  • Downside SD
    1.20960
  • N nonnegative terms
    101.00000
  • N negative terms
    119.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    220.00000
  • Mean of predictor
    0.45665
  • Mean of criterion
    -0.94213
  • SD of predictor
    0.22229
  • SD of criterion
    1.39463
  • Covariance
    -0.06343
  • r
    -0.20461
  • b (slope, estimate of beta)
    -1.28371
  • a (intercept, estimate of alpha)
    -0.35600
  • Mean Square Error
    1.87212
  • DF error
    218.00000
  • t(b)
    -3.08637
  • p(b)
    0.99886
  • t(a)
    -0.23646
  • p(a)
    0.59335
  • Lowerbound of 95% confidence interval for beta
    -2.10347
  • Upperbound of 95% confidence interval for beta
    -0.46395
  • Lowerbound of 95% confidence interval for alpha
    -3.32251
  • Upperbound of 95% confidence interval for alpha
    2.61067
  • Treynor index (mean / b)
    0.73391
  • Jensen alpha (a)
    -0.35592
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -2.70783
  • SD
    2.25484
  • Sharpe ratio (Glass type estimate)
    -1.20090
  • Sharpe ratio (Hedges UMVUE)
    -1.19678
  • df
    219.00000
  • t
    -1.10044
  • p
    0.86383
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.34137
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.94231
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.33860
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.94504
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.25042
  • Upside Potential Ratio
    2.07226
  • Upside part of mean
    4.48755
  • Downside part of mean
    -7.19537
  • Upside SD
    0.63216
  • Downside SD
    2.16553
  • N nonnegative terms
    101.00000
  • N negative terms
    119.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    220.00000
  • Mean of predictor
    0.43214
  • Mean of criterion
    -2.70783
  • SD of predictor
    0.21895
  • SD of criterion
    2.25484
  • Covariance
    -0.14126
  • r
    -0.28612
  • b (slope, estimate of beta)
    -2.94659
  • a (intercept, estimate of alpha)
    -1.43449
  • Mean Square Error
    4.68947
  • DF error
    218.00000
  • t(b)
    -4.40890
  • p(b)
    0.99999
  • t(a)
    -0.60253
  • p(a)
    0.72628
  • Lowerbound of 95% confidence interval for beta
    -4.26380
  • Upperbound of 95% confidence interval for beta
    -1.62938
  • Lowerbound of 95% confidence interval for alpha
    -6.12679
  • Upperbound of 95% confidence interval for alpha
    3.25782
  • Treynor index (mean / b)
    0.91897
  • Jensen alpha (a)
    -1.43449
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.21296
  • Expected Shortfall on VaR
    0.25649
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.05043
  • Expected Shortfall on VaR
    0.11401
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    220.00000
  • Minimum
    0.18604
  • Quartile 1
    0.97822
  • Median
    0.99837
  • Quartile 3
    1.02155
  • Maximum
    1.37594
  • Mean of quarter 1
    0.92634
  • Mean of quarter 2
    0.98785
  • Mean of quarter 3
    1.00761
  • Mean of quarter 4
    1.06425
  • Inter Quartile Range
    0.04333
  • Number outliers low
    8.00000
  • Percentage of outliers low
    0.03636
  • Mean of outliers low
    0.72999
  • Number of outliers high
    10.00000
  • Percentage of outliers high
    0.04545
  • Mean of outliers high
    1.14764
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.71462
  • VaR(95%) (moments method)
    0.07285
  • Expected Shortfall (moments method)
    0.25979
  • Extreme Value Index (regression method)
    0.78177
  • VaR(95%) (regression method)
    0.04728
  • Expected Shortfall (regression method)
    0.17324
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.00436
  • Quartile 1
    0.03451
  • Median
    0.05193
  • Quartile 3
    0.17457
  • Maximum
    0.95363
  • Mean of quarter 1
    0.00929
  • Mean of quarter 2
    0.04558
  • Mean of quarter 3
    0.08413
  • Mean of quarter 4
    0.65453
  • Inter Quartile Range
    0.14006
  • 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
    0.12500
  • Mean of outliers high
    0.95363
  • 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)
    -1.06543
  • Compounded annual return (geometric extrapolation)
    -0.93143
  • Calmar ratio (compounded annual return / max draw down)
    -0.97672
  • Compounded annual return / average of 25% largest draw downs
    -1.42305
  • Compounded annual return / Expected Shortfall lognormal
    -3.63145
  • 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
    -2.10358
  • SD
    1.70416
  • Sharpe ratio (Glass type estimate)
    -1.23438
  • Sharpe ratio (Hedges UMVUE)
    -1.22724
  • df
    130.00000
  • t
    -0.87284
  • p
    0.53817
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.00795
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.54378
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.00306
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.54857
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.38067
  • Upside Potential Ratio
    3.12505
  • Upside part of mean
    4.76131
  • Downside part of mean
    -6.86489
  • Upside SD
    0.75996
  • Downside SD
    1.52360
  • N nonnegative terms
    60.00000
  • N negative terms
    71.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.62447
  • Mean of criterion
    -2.10358
  • SD of predictor
    0.26752
  • SD of criterion
    1.70416
  • Covariance
    -0.11048
  • r
    -0.24233
  • b (slope, estimate of beta)
    -1.54376
  • a (intercept, estimate of alpha)
    -1.13955
  • Mean Square Error
    2.75480
  • DF error
    129.00000
  • t(b)
    -2.83696
  • p(b)
    0.65275
  • t(a)
    -0.48047
  • p(a)
    0.52690
  • Lowerbound of 95% confidence interval for beta
    -2.62039
  • Upperbound of 95% confidence interval for beta
    -0.46713
  • Lowerbound of 95% confidence interval for alpha
    -5.83207
  • Upperbound of 95% confidence interval for alpha
    3.55296
  • Treynor index (mean / b)
    1.36264
  • Jensen alpha (a)
    -1.13955
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -4.89246
  • SD
    2.85783
  • Sharpe ratio (Glass type estimate)
    -1.71195
  • Sharpe ratio (Hedges UMVUE)
    -1.70205
  • df
    130.00000
  • t
    -1.21053
  • p
    0.55279
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.48829
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.07081
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.48157
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.07747
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.75986
  • Upside Potential Ratio
    1.62241
  • Upside part of mean
    4.51033
  • Downside part of mean
    -9.40279
  • Upside SD
    0.68385
  • Downside SD
    2.78003
  • N nonnegative terms
    60.00000
  • N negative terms
    71.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.58906
  • Mean of criterion
    -4.89246
  • SD of predictor
    0.26277
  • SD of criterion
    2.85783
  • Covariance
    -0.24051
  • r
    -0.32028
  • b (slope, estimate of beta)
    -3.48337
  • a (intercept, estimate of alpha)
    -2.84054
  • Mean Square Error
    7.38622
  • DF error
    129.00000
  • t(b)
    -3.83999
  • p(b)
    0.70036
  • t(a)
    -0.73201
  • p(a)
    0.54092
  • Lowerbound of 95% confidence interval for beta
    -5.27815
  • Upperbound of 95% confidence interval for beta
    -1.68859
  • Lowerbound of 95% confidence interval for alpha
    -10.51810
  • Upperbound of 95% confidence interval for alpha
    4.83705
  • Treynor index (mean / b)
    1.40452
  • Jensen alpha (a)
    -2.84054
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.26588
  • Expected Shortfall on VaR
    0.31667
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.06136
  • Expected Shortfall on VaR
    0.13941
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.18604
  • Quartile 1
    0.97782
  • Median
    0.99549
  • Quartile 3
    1.02089
  • Maximum
    1.37594
  • Mean of quarter 1
    0.90920
  • Mean of quarter 2
    0.98729
  • Mean of quarter 3
    1.00692
  • Mean of quarter 4
    1.06535
  • Inter Quartile Range
    0.04307
  • Number outliers low
    7.00000
  • Percentage of outliers low
    0.05344
  • Mean of outliers low
    0.71063
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.04580
  • Mean of outliers high
    1.16413
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.87320
  • VaR(95%) (moments method)
    0.08639
  • Expected Shortfall (moments method)
    0.67574
  • Extreme Value Index (regression method)
    1.24708
  • VaR(95%) (regression method)
    0.05938
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00517
  • Quartile 1
    0.02234
  • Median
    0.07057
  • Quartile 3
    0.14982
  • Maximum
    0.95363
  • Mean of quarter 1
    0.01376
  • Mean of quarter 2
    0.07057
  • Mean of quarter 3
    0.14982
  • Mean of quarter 4
    0.95363
  • Inter Quartile Range
    0.12747
  • 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
    0.20000
  • Mean of outliers high
    0.95363
  • 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)
    -1.82433
  • Compounded annual return (geometric extrapolation)
    -0.99228
  • Calmar ratio (compounded annual return / max draw down)
    -1.04054
  • Compounded annual return / average of 25% largest draw downs
    -1.04054
  • Compounded annual return / Expected Shortfall lognormal
    -3.13351

Strategy Description

The ASX Small Specs portfolio aims to identify small cap/speculative stocks with big growth potential on the Australian market, and invests at an early stage so as to capture the maximum capital gains. Initial positions are monitored on an ongoing basis, and topped up when possible if the invested stocks have shown signs of success. So the portfolio can be overweight in any one particular stock.

Starting investment amount is $5000 or less on individual stocks, and starting capital for the portfolio is AUD$25,000. Followers can start with bigger amounts, and allocate funds into individual stocks proportionally.

The management of this portfolio draws from Michael's experience and knowledge investing in the small end of the Australian market over more than 16 years.

Both fundamental and technical analysis will be utilized in the management of the portfolio. Fundamental factors are the basis for stock selection, and technical analysis will play an important part in timing the entry and subsequent actions.

Summary Statistics

Strategy began
2016-03-07
Suggested Minimum Capital
$5,000
# Trades
15
# Profitable
4
% Profitable
26.7%
Correlation S&P500
-0.141
Sharpe Ratio
-0.34
Sortino Ratio
-0.40
Beta
-0.91
Alpha
-0.06

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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