SQT Stocks Long Portfolio 2x
- hypothetical · Annual Return (Compounded)
- 55.0%
- Max Drawdown
- 18.3%
- Trades
- 2339
- Win Trades
- 48.6%
- Profit Factor
- 1.40
- Win Months
- 69.2%
About this strategy
Strategy Overview
SQT Stocks Long Portfolio 2x is an institutional-style, fully automated long-only equity strategy designed to pursue enhanced returns through systematic stock selection.
The strategy maintains a portfolio of 50 stocks selected from the S&P 500 Index constituents, with daily rebalancing and a target leverage of approximately 2x.
Investment Approach
Portfolio construction is driven by a proprietary Machine Learning Ranking Engine that evaluates and ranks S&P 500 stocks using multiple quantitative factors. The model systematically selects the 50 highest-ranked opportunities.
The portfolio follows an equal-weight allocation, with each position representing approximately 2% of capital before leverage, or 4% of account equity at 2x leverage.
All investment decisions, portfolio adjustments, and trading signals are generated automatically, without discretionary intervention.
Portfolio Management
The strategy follows a dynamic allocation approach:
- 50 equally weighted long positions selected from the S&P 500 universe.
- Daily rebalancing based on updated model rankings.
- 10–20% portfolio rotation on a typical day, representing approximately 5–10 stock replacements.
- Holding periods ranging from one trading day to several months.
- 100% automated portfolio management and signal generation.
The relatively high number of reported trades reflects systematic portfolio rotation and rebalancing rather than short-term speculative trading.
Risk Profile
This is a high-return-potential, high-risk strategy designed for investors willing to accept significant volatility and substantial drawdowns in pursuit of higher returns.
The use of approximately 2x leverage amplifies both gains and losses. Extended periods of negative performance and significant capital losses are possible.
Disclaimer:
Trading involves substantial risk of loss. Leverage increases exposure to market movements. Collective2 performance results may be hypothetical and may differ from actual investor results. Past performance does not guarantee future returns.
SQT Stocks Long Portfolio 2x is an institutional-style, fully automated long-only equity strategy designed to pursue enhanced returns through systematic stock selection.
The strategy maintains a portfolio of 50 stocks selected from the S&P 500 Index constituents, with daily rebalancing and a target leverage of approximately 2x.
Investment Approach
Portfolio construction is driven by a proprietary Machine Learning Ranking Engine that evaluates and ranks S&P 500 stocks using multiple quantitative factors. The model systematically selects the 50 highest-ranked opportunities.
The portfolio follows an equal-weight allocation, with each position representing approximately 2% of capital before leverage, or 4% of account equity at 2x leverage.
All investment decisions, portfolio adjustments, and trading signals are generated automatically, without discretionary intervention.
Portfolio Management
The strategy follows a dynamic allocation approach:
- 50 equally weighted long positions selected from the S&P 500 universe.
- Daily rebalancing based on updated model rankings.
- 10–20% portfolio rotation on a typical day, representing approximately 5–10 stock replacements.
- Holding periods ranging from one trading day to several months.
- 100% automated portfolio management and signal generation.
The relatively high number of reported trades reflects systematic portfolio rotation and rebalancing rather than short-term speculative trading.
Risk Profile
This is a high-return-potential, high-risk strategy designed for investors willing to accept significant volatility and substantial drawdowns in pursuit of higher returns.
The use of approximately 2x leverage amplifies both gains and losses. Extended periods of negative performance and significant capital losses are possible.
Disclaimer:
Trading involves substantial risk of loss. Leverage increases exposure to market movements. Collective2 performance results may be hypothetical and may differ from actual investor results. Past performance does not guarantee future returns.
Trend-following
Hypothetical Monthly Returns (includes fees/commissions)
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2025 | -0.5 | 8.0 | -1.1 | 6.2 | |||||||||
| 2026 | 11.7 | 12.1 | -13.5 | 16.3 | 11.7 | 1.4 | -5.1 | 3.7 | 2.4 | 3.0 | 48.1 |
Statistics
Overview
| Strategy began | 10/6/2025 |
|---|---|
| Suggested Minimum Capital | $15,000 |
| Age | 12 months |
| C2 Rank | 993 |
| Rank at C2 % | Top 0.7% |
| Rank # | #5 |
| What it trades | Stocks |
| # Trades | 2339 |
| # Profitable | 1136 |
| % Profitable | 48.6% |
| Avg trade duration | 8.0 days |
| Max peak-to-valley drawdown | 18.3% |
| drawdown period | Feb 25, 2026 - March 30, 2026 |
| Annual Return (Compounded) | 55.0% |
| Avg win | $96 |
| Avg loss | $66 |
Ratios
| W:L ratio | 1.38 |
|---|---|
| Sharpe Ratio | 1.66 |
| Sortino Ratio | 2.56 |
| Calmar Ratio | 3.87 |
CORRELATION STATISTICS
| Correlation to SP500 | 0.46 |
|---|---|
| Return Percent SP500 (cumu) during strategy life | 14.6% |
| Return of Strat Pcnt - Return of SP500 Pcnt (cumu) | 42.5% |
Return Statistics
| Ann Return (w trading costs) | 55.0% |
|---|---|
| Return Pcnt (Compound or Annual, age-based, NFA compliant) | 0.6% |
| Return Pcnt Since TOS Status | 0.0% |
| Ann Return (Compnd, No Fees) | 58.1% |
Slump
| Current Slump as Pcnt Equity | 2.6% |
|---|---|
| Current Slump, time of slump as pcnt of strategy life | 0.0% |
Instruments
| Percent Trades Forex | 0.0% |
|---|---|
| Percent Trades Futures | 0.0% |
| Percent Trades Options | 0.0% |
| Short Options - Percent Covered | 100.0% |
| Percent Trades Stocks | 1.0% |
Automation
| Percentage Signals Automated | 100.0% |
|---|
Popularity
| Popularity (Today) | 966 |
|---|---|
| Popularity (Last 6 weeks) | 811 |
| C2 Score | 993 |
| Popularity (7 days, Percentile 1000 scale) | 821 |
Trading Style
| Any stock shorts? 0/1 | 0 |
|---|
Trades-Own-System Certification
| Trades Own System? | 0 |
|---|---|
| TOS percent | 0.0% |
Win / Loss
| Avg Loss | $66 |
|---|---|
| Avg Win | $96 |
| # Winners | 1136 |
| Sum Trade PL (losers) | $79,856 |
| Sum Trade PL (winners) | $108,504 |
| Num Months Winners | 9 |
| # Losers | 1203 |
| % Winners | 48.6% |
Dividends
| Dividends Received in Model Acct | 1428 |
|---|
Age
| Num Months filled monthly returns table | 13 |
|---|
Frequency
| Avg Position Time (mins) | 11543.88 |
|---|---|
| Avg Position Time (hrs) | 192.40 |
| Avg Trade Length | 8 |
| Last Trade Ago | 0 |
Leverage
| Daily leverage (average) | 1.69 |
|---|---|
| Daily leverage (max) | 2.10 |
Regression
| Alpha | 0.09 |
|---|---|
| Beta | 0.79 |
| Treynor Index | 0.15 |
Maximum Adverse Excursion (MAE)
| MAE:Equity, average, all trades | 0 |
|---|---|
| MAE:Equity, 95th Percentile Value for this strat | 0 |
| MAE:Equity, average, losing trades | 0 |
| MAE:Equity, losing trades only, 95th Percentile Value for this strat | — |
| MAE:Equity, average, winning trades | 0 |
| MAE:Equity, win trades only, 95th Percentile Value for this strat | — |
| Avg(MAE) / Avg(PL) - All trades | 7.87 |
| MAE:PL (avg, all trades) | -0.64 |
| MAE:PL (avg, losing trades) | — |
| MAE:PL (avg, winning trades) | — |
| MAE:PL - worst single value for strategy | — |
| Avg(MAE) / Avg(PL) - Winning trades | 0.38 |
| Avg(MAE) / Avg(PL) - Losing trades | -1.47 |
| Hold-and-Hope Ratio | 0.14 |
RATIO STATISTICS
| Mean | 0.51 |
|---|---|
| SD | 0.20 |
| Sharpe ratio (Glass type estimate) | 2.53 |
| Sharpe ratio (Hedges UMVUE) | 2.34 |
| df | 10 |
| t | 2.42 |
| p | 0.02 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | 0.16 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 4.80 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.05 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 4.62 |
| Sortino ratio | 13.10 |
| Upside Potential Ratio | 14.66 |
| Upside part of mean | 0.57 |
| Downside part of mean | -0.06 |
| Upside SD | 0.24 |
| Downside SD | 0.04 |
| N nonnegative terms | 8 |
| N negative terms | 3 |
| N of observations | 11 |
| Mean of predictor | 0.13 |
| Mean of criterion | 0.51 |
| SD of predictor | 0.11 |
| SD of criterion | 0.20 |
| Covariance | 0.01 |
| r | 0.50 |
| b (slope, estimate of beta) | 0.90 |
| a (intercept, estimate of alpha) | 0.40 |
| Mean Square Error | 0.03 |
| DF error | 9 |
| t(b) | 1.71 |
| p(b) | 0.06 |
| t(a) | 1.92 |
| p(a) | 0.04 |
| Lowerbound of 95% confidence interval for beta | -0.29 |
| Upperbound of 95% confidence interval for beta | 2.10 |
| Lowerbound of 95% confidence interval for alpha | -0.07 |
| Upperbound of 95% confidence interval for alpha | 0.86 |
| Treynor index (mean / b) | 0.57 |
| Jensen alpha (a) | 0.40 |
| Mean | 0.49 |
| SD | 0.19 |
| Sharpe ratio (Glass type estimate) | 2.54 |
| Sharpe ratio (Hedges UMVUE) | 2.35 |
| df | 10 |
| t | 2.44 |
| p | 0.02 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | 0.17 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 4.82 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.06 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 4.64 |
| Sortino ratio | 12.21 |
| Upside Potential Ratio | 13.77 |
| Upside part of mean | 0.55 |
| Downside part of mean | -0.06 |
| Upside SD | 0.23 |
| Downside SD | 0.04 |
| N nonnegative terms | 8 |
| N negative terms | 3 |
| N of observations | 11 |
| Mean of predictor | 0.12 |
| Mean of criterion | 0.49 |
| SD of predictor | 0.11 |
| SD of criterion | 0.19 |
| Covariance | 0.01 |
| r | 0.47 |
| b (slope, estimate of beta) | 0.83 |
| a (intercept, estimate of alpha) | 0.38 |
| Mean Square Error | 0.03 |
| DF error | 9 |
| t(b) | 1.60 |
| p(b) | 0.07 |
| t(a) | 1.95 |
| p(a) | 0.04 |
| Lowerbound of 95% confidence interval for beta | -0.35 |
| Upperbound of 95% confidence interval for beta | 2.00 |
| Lowerbound of 95% confidence interval for alpha | -0.06 |
| Upperbound of 95% confidence interval for alpha | 0.83 |
| Treynor index (mean / b) | 0.59 |
| Jensen alpha (a) | 0.38 |
| VaR(95%) | 0.05 |
| Expected Shortfall on VaR | 0.07 |
| VaR(95%) | 0.01 |
| Expected Shortfall on VaR | 0.02 |
| Mean | 0.49 |
| SD | 0.22 |
| Sharpe ratio (Glass type estimate) | 2.24 |
| Sharpe ratio (Hedges UMVUE) | 2.23 |
| df | 258 |
| t | 2.23 |
| p | 0.01 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | 0.26 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 4.22 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.25 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 4.22 |
| Sortino ratio | 3.54 |
| Upside Potential Ratio | 11.34 |
| Upside part of mean | 1.58 |
| Downside part of mean | -1.09 |
| Upside SD | 0.17 |
| Downside SD | 0.14 |
| N nonnegative terms | 144 |
| N negative terms | 115 |
| N of observations | 259 |
| Mean of predictor | 0.15 |
| Mean of criterion | 0.49 |
| SD of predictor | 0.13 |
| SD of criterion | 0.22 |
| Covariance | 0.01 |
| r | 0.46 |
| b (slope, estimate of beta) | 0.78 |
| a (intercept, estimate of alpha) | 0.38 |
| Mean Square Error | 0.04 |
| DF error | 257 |
| t(b) | 8.40 |
| p(b) | 0 |
| t(a) | 1.91 |
| p(a) | 0.03 |
| Lowerbound of 95% confidence interval for beta | 0.60 |
| Upperbound of 95% confidence interval for beta | 0.97 |
| Lowerbound of 95% confidence interval for alpha | -0.01 |
| Upperbound of 95% confidence interval for alpha | 0.77 |
| Treynor index (mean / b) | 0.63 |
| Jensen alpha (a) | 0.38 |
| Mean | 0.47 |
| SD | 0.22 |
| Sharpe ratio (Glass type estimate) | 2.13 |
| Sharpe ratio (Hedges UMVUE) | 2.13 |
| df | 258 |
| t | 2.12 |
| p | 0.02 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | 0.15 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 4.11 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.15 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 4.11 |
| Sortino ratio | 3.32 |
| Upside Potential Ratio | 11.10 |
| Upside part of mean | 1.57 |
| Downside part of mean | -1.10 |
| Upside SD | 0.17 |
| Downside SD | 0.14 |
| N nonnegative terms | 144 |
| N negative terms | 115 |
| N of observations | 259 |
| Mean of predictor | 0.14 |
| Mean of criterion | 0.47 |
| SD of predictor | 0.13 |
| SD of criterion | 0.22 |
| Covariance | 0.01 |
| r | 0.47 |
| b (slope, estimate of beta) | 0.78 |
| a (intercept, estimate of alpha) | 0.36 |
| Mean Square Error | 0.04 |
| DF error | 257 |
| t(b) | 8.44 |
| p(b) | 0 |
| t(a) | 1.83 |
| p(a) | 0.03 |
| Lowerbound of 95% confidence interval for beta | 0.60 |
| Upperbound of 95% confidence interval for beta | 0.97 |
| Lowerbound of 95% confidence interval for alpha | -0.03 |
| Upperbound of 95% confidence interval for alpha | 0.75 |
| Treynor index (mean / b) | 0.60 |
| Jensen alpha (a) | 0.36 |
| VaR(95%) | 0.02 |
| Expected Shortfall on VaR | 0.03 |
| VaR(95%) | 0.01 |
| Expected Shortfall on VaR | 0.02 |
| Mean | 0.61 |
| SD | 0.23 |
| Sharpe ratio (Glass type estimate) | 2.68 |
| Sharpe ratio (Hedges UMVUE) | 2.67 |
| df | 130 |
| t | 1.90 |
| p | 0.42 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.11 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 5.47 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.12 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 5.46 |
| Sortino ratio | 4.51 |
| Upside Potential Ratio | 12.50 |
| Upside part of mean | 1.68 |
| Downside part of mean | -1.07 |
| Upside SD | 0.18 |
| Downside SD | 0.13 |
| N nonnegative terms | 73 |
| N negative terms | 58 |
| N of observations | 131 |
| Mean of predictor | 0.32 |
| Mean of criterion | 0.61 |
| SD of predictor | 0.12 |
| SD of criterion | 0.23 |
| Covariance | 0.01 |
| r | 0.38 |
| b (slope, estimate of beta) | 0.69 |
| a (intercept, estimate of alpha) | 0.38 |
| Mean Square Error | 0.04 |
| DF error | 129 |
| t(b) | 4.67 |
| p(b) | 0.26 |
| t(a) | 1.27 |
| p(a) | 0.43 |
| Lowerbound of 95% confidence interval for beta | 0.40 |
| Upperbound of 95% confidence interval for beta | 0.98 |
| Lowerbound of 95% confidence interval for alpha | -0.21 |
| Upperbound of 95% confidence interval for alpha | 0.98 |
| Treynor index (mean / b) | 0.88 |
| Jensen alpha (a) | 0.38 |
| Mean | 0.58 |
| SD | 0.22 |
| Sharpe ratio (Glass type estimate) | 2.58 |
| Sharpe ratio (Hedges UMVUE) | 2.56 |
| df | 130 |
| t | 1.82 |
| p | 0.42 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.22 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 5.36 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.23 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 5.35 |
| Sortino ratio | 4.26 |
| Upside Potential Ratio | 12.23 |
| Upside part of mean | 1.66 |
| Downside part of mean | -1.08 |
| Upside SD | 0.18 |
| Downside SD | 0.14 |
| N nonnegative terms | 73 |
| N negative terms | 58 |
| N of observations | 131 |
| Mean of predictor | 0.32 |
| Mean of criterion | 0.58 |
| SD of predictor | 0.12 |
| SD of criterion | 0.22 |
| Covariance | 0.01 |
| r | 0.38 |
| b (slope, estimate of beta) | 0.69 |
| a (intercept, estimate of alpha) | 0.36 |
| Mean Square Error | 0.04 |
| DF error | 129 |
| t(b) | 4.68 |
| p(b) | 0.26 |
| t(a) | 1.21 |
| p(a) | 0.43 |
| Lowerbound of 95% confidence interval for beta | 0.40 |
| VAR (95 Confidence Intrvl) | 0.02 |
| Upperbound of 95% confidence interval for beta | 0.98 |
| Lowerbound of 95% confidence interval for alpha | -0.23 |
| Upperbound of 95% confidence interval for alpha | 0.95 |
| Treynor index (mean / b) | 0.84 |
| Jensen alpha (a) | 0.36 |
| VaR(95%) | 0.02 |
| Expected Shortfall on VaR | 0.03 |
| VaR(95%) | 0.01 |
| Expected Shortfall on VaR | 0.02 |
ORDER STATISTICS
| Number of observations | 11 |
|---|---|
| Minimum | 0.97 |
| Quartile 1 | 1.00 |
| Median | 1.04 |
| Quartile 3 | 1.07 |
| Maximum | 1.17 |
| Mean of quarter 1 | 0.98 |
| Mean of quarter 2 | 1.03 |
| Mean of quarter 3 | 1.05 |
| Mean of quarter 4 | 1.12 |
| Inter Quartile Range | 0.06 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 1 |
| Percentage of outliers high | 0.09 |
| Mean of outliers high | 1.17 |
| Extreme Value Index (moments method) | -2.76 |
| VaR(95%) (moments method) | 0.02 |
| Expected Shortfall (moments method) | 0.02 |
| Extreme Value Index (regression method) | 0.13 |
| VaR(95%) (regression method) | 0.04 |
| Expected Shortfall (regression method) | 0.06 |
| Number of observations | 259 |
| Minimum | 0.96 |
| Quartile 1 | 0.99 |
| Median | 1.00 |
| Quartile 3 | 1.01 |
| Maximum | 1.06 |
| Mean of quarter 1 | 0.99 |
| Mean of quarter 2 | 1.00 |
| Mean of quarter 3 | 1.01 |
| Mean of quarter 4 | 1.02 |
| Inter Quartile Range | 0.01 |
| Number outliers low | 9 |
| Percentage of outliers low | 0.03 |
| Mean of outliers low | 0.97 |
| Number of outliers high | 5 |
| Percentage of outliers high | 0.02 |
| Mean of outliers high | 1.04 |
| Extreme Value Index (moments method) | -0.12 |
| VaR(95%) (moments method) | 0.01 |
| Expected Shortfall (moments method) | 0.02 |
| Extreme Value Index (regression method) | -0.26 |
| VaR(95%) (regression method) | 0.01 |
| Expected Shortfall (regression method) | 0.02 |
| Number of observations | 131 |
| Minimum | 0.96 |
| Quartile 1 | 0.99 |
| Median | 1.00 |
| Quartile 3 | 1.01 |
| Maximum | 1.06 |
| Mean of quarter 1 | 0.99 |
| Mean of quarter 2 | 1.00 |
| Mean of quarter 3 | 1.01 |
| Mean of quarter 4 | 1.02 |
| Inter Quartile Range | 0.02 |
| Number outliers low | 3 |
| Percentage of outliers low | 0.02 |
| Mean of outliers low | 0.97 |
| Number of outliers high | 3 |
| Percentage of outliers high | 0.02 |
| Mean of outliers high | 1.04 |
| Extreme Value Index (moments method) | -0.11 |
| VaR(95%) (moments method) | 0.01 |
| Expected Shortfall (moments method) | 0.02 |
| Extreme Value Index (regression method) | -0.26 |
| VaR(95%) (regression method) | 0.01 |
| Expected Shortfall (regression method) | 0.02 |
DRAW DOWN STATISTICS
| Number of observations | 3 |
|---|---|
| Minimum | 0.01 |
| Quartile 1 | 0.01 |
| Median | 0.02 |
| Quartile 3 | 0.02 |
| Maximum | 0.03 |
| Mean of quarter 1 | 0.01 |
| Mean of quarter 2 | 0.02 |
| Mean of quarter 3 | 0 |
| Mean of quarter 4 | 0.03 |
| Inter Quartile Range | 0.01 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 0 |
| Percentage of outliers high | 0 |
| Mean of outliers high | 0 |
| Extreme Value Index (moments method) | 0 |
| VaR(95%) (moments method) | 0 |
| Expected Shortfall (moments method) | 0 |
| Extreme Value Index (regression method) | 0 |
| VaR(95%) (regression method) | 0 |
| Expected Shortfall (regression method) | 0 |
| Number of observations | 16 |
| Minimum | 0.00 |
| Quartile 1 | 0.01 |
| Median | 0.02 |
| Quartile 3 | 0.04 |
| Maximum | 0.16 |
| Mean of quarter 1 | 0.00 |
| Mean of quarter 2 | 0.01 |
| Mean of quarter 3 | 0.03 |
| Mean of quarter 4 | 0.10 |
| Inter Quartile Range | 0.03 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 2 |
| Percentage of outliers high | 0.12 |
| Mean of outliers high | 0.13 |
| Extreme Value Index (moments method) | -3.39 |
| VaR(95%) (moments method) | 0.10 |
| Expected Shortfall (moments method) | 0.10 |
| Extreme Value Index (regression method) | -0.61 |
| VaR(95%) (regression method) | 0.15 |
| Expected Shortfall (regression method) | 0.18 |
| Number of observations | 7 |
| Minimum | 0.00 |
| Quartile 1 | 0.01 |
| Median | 0.01 |
| Quartile 3 | 0.04 |
| Maximum | 0.11 |
| Mean of quarter 1 | 0.00 |
| Mean of quarter 2 | 0.01 |
| Mean of quarter 3 | 0.03 |
| Mean of quarter 4 | 0.08 |
| Inter Quartile Range | 0.03 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 1 |
| Percentage of outliers high | 0.14 |
| Mean of outliers high | 0.11 |
| Extreme Value Index (moments method) | 0 |
| VaR(95%) (moments method) | 0 |
| Expected Shortfall (moments method) | 0 |
| Extreme Value Index (regression method) | 0 |
| VaR(95%) (regression method) | 0 |
| Expected Shortfall (regression method) | 0 |
| Strat Max DD how much worse than SP500 max DD during strat life? | -371027904 |
| Max Equity Drawdown (num days) | 33 |
| Last 4 Months - Pcnt Negative | 0.2% |
COMBINED STATISTICS
| Annualized return (arithmetic extrapolation) | 0.61 |
|---|---|
| Compounded annual return (geometric extrapolation) | 0.63 |
| Calmar ratio (compounded annual return / max draw down) | 18.71 |
| Compounded annual return / average of 25% largest draw downs | 18.71 |
| Compounded annual return / Expected Shortfall lognormal | 8.88 |
| j156mfCOMBRisPar | 0 |
| j157mfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | 0.60 |
| Compounded annual return (geometric extrapolation) | 0.60 |
| Calmar ratio (compounded annual return / max draw down) | 3.87 |
| Compounded annual return / average of 25% largest draw downs | 6.25 |
| Compounded annual return / Expected Shortfall lognormal | 23.15 |
| j313dfCOMBRisPar | 0 |
| j314dfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | 0.67 |
| Compounded annual return (geometric extrapolation) | 0.78 |
| Calmar ratio (compounded annual return / max draw down) | 7.31 |
| Compounded annual return / average of 25% largest draw downs | 10.34 |
| Compounded annual return / Expected Shortfall lognormal | 30.12 |
Trading record
| Symbol | Side | Qty | Opened | Closed | P/L |
|---|---|---|---|---|---|
| ABNB | long | 14 | Oct 12, 2026 | Oct 15, 2026 | $147 |
| CTVA | long | 165 | Oct 7, 2026 | Oct 15, 2026 | ($297) |
| BNY | long | 16 | Oct 7, 2026 | Oct 15, 2026 | $1 |
| DLTR | long | 20 | Oct 7, 2026 | Oct 12, 2026 | $30 |
| CRM | long | 10 | Oct 7, 2026 | Oct 12, 2026 | $89 |
| CB | long | 6 | Oct 8, 2026 | Oct 9, 2026 | ($14) |
| ABNB | long | 14 | Oct 7, 2026 | Oct 9, 2026 | $68 |
| AMZN | long | 9 | Oct 7, 2026 | Oct 8, 2026 | ($46) |
| ACN | long | 12 | Oct 7, 2026 | Oct 8, 2026 | $141 |
| ECHO | long | 24 | Oct 6, 2026 | Oct 7, 2026 | ($49) |
| SWKS | long | 28 | Oct 6, 2026 | Oct 7, 2026 | $9 |
| EXPE | long | 9 | Oct 6, 2026 | Oct 7, 2026 | $1 |
| VTRS | long | 136 | Oct 6, 2026 | Oct 7, 2026 | ($19) |
| KLAC | long | 11 | Oct 6, 2026 | Oct 7, 2026 | ($3) |
| XOM | long | 14 | Oct 5, 2026 | Oct 7, 2026 | $12 |
| OXY | long | 41 | Oct 5, 2026 | Oct 7, 2026 | $4 |
| HPQ | long | 76 | Oct 5, 2026 | Oct 7, 2026 | $64 |
| IQV | long | 9 | Oct 5, 2026 | Oct 7, 2026 | ($67) |
| VRSN | long | 8 | Oct 5, 2026 | Oct 7, 2026 | $2 |
| PFE | long | 87 | Oct 5, 2026 | Oct 7, 2026 | $52 |
| MU | long | 2 | Oct 5, 2026 | Oct 7, 2026 | $43 |
| MTD | long | 1 | Oct 5, 2026 | Oct 7, 2026 | ($8) |
| TMO | long | 3 | Oct 1, 2026 | Oct 7, 2026 | $20 |
| WST | long | 6 | Oct 1, 2026 | Oct 7, 2026 | ($0) |
| BMY | long | 39 | Oct 1, 2026 | Oct 5, 2026 | ($107) |
| GILD | long | 16 | Oct 1, 2026 | Oct 5, 2026 | ($52) |
| P | long | 17 | Oct 1, 2026 | Oct 5, 2026 | $166 |
| EXPE | long | 9 | Oct 1, 2026 | Oct 5, 2026 | ($18) |
| CF | long | 20 | Oct 1, 2026 | Oct 5, 2026 | $28 |
| DOW | long | 87 | Oct 1, 2026 | Oct 5, 2026 | $74 |
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.