Collective2 Collective2
Featured Strategy QUANT AI Gold and Silver +38.3% Cumul. Return since Sep 23, 2025 Hypothetical

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Small Cap (5X) Turbo Timer
(76094756)

Created by: GilbertArevalo GilbertArevalo
Started: 08/2012
Stocks
Last trade: 4,100 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.

-5.9%
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.

(76.3%)
Max Drawdown
29
Num Trades
24.1%
Win Trades
0.6 : 1
Profit Factor
7.3%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2012                                                 +0.8%(8.1%)+0.1%+12.5%+17.1%+22.3%
2013+29.0%(5.8%)+4.0%(28.9%)+15.2%(11.2%)(12.7%)(3.9%)(4.7%)(14%)(0.9%)(2.9%)(39.1%)
2014(6%)+8.4%(7.7%)(7.3%)(4.1%)+8.0%(12.1%)(3.4%)(8.8%)+1.5%+0.1%(14.8%)(39.6%)
2015+3.6%(7.2%)(0.1%)  -    -    -    -    -    -    -    -    -  (3.9%)
2016  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2017  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2018  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2019  -    -    -    -    -    -    -    -    -    -    -  0.0
2020  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2025  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2026  -    -    -    -    -                                            

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.

System developer has asked us to delay this information by 168 hours.

Trading Record

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Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
3/19/15 15:17 JDST DIREXION DAILY JUNIOR GOLD MINERS BEAR 2X ETF LONG 25 46.84 3/19 15:38 46.88 0.01%
Trade id #93356119
Max drawdown($6)
Time3/19/15 15:32
Quant open100
Worst price11.65
Drawdown as % of equity-0.01%
 $1
Includes Typical Broker Commissions trade costs of $0.50
12/17/14 9:30 TZA DIREXION DAILY SMALL CAP BEAR 3X ETF LONG 446 57.32 2/17/15 9:32 44.32 12.9%
Trade id #91376349
Max drawdown($5,908)
Time2/17/15 8:01
Quant open1,785
Worst price11.02
Drawdown as % of equity-12.90%
 ($5,807)
Includes Typical Broker Commissions trade costs of $8.92
10/22/14 9:30 TNA DIREXION DAILY SMALL CAP BULL 3X ETF LONG 559 67.52 12/17 9:30 68.60 2.42%
Trade id #90383908
Max drawdown($1,202)
Time10/22/14 16:00
Quant open359
Worst price61.94
Drawdown as % of equity-2.42%
 $594
Includes Typical Broker Commissions trade costs of $11.18
10/2/14 9:31 TZA DIREXION DAILY SMALL CAP BEAR 3X ETF LONG 530 69.41 10/22 9:30 64.36 5.27%
Trade id #90030242
Max drawdown($2,673)
Time10/22/14 9:30
Quant open596
Worst price15.97
Drawdown as % of equity-5.27%
 ($2,684)
Includes Typical Broker Commissions trade costs of $10.60
8/15/14 9:30 TNA DIREXION DAILY SMALL CAP BULL 3X ETF LONG 376 72.68 10/2 9:30 60.75 8.87%
Trade id #89101113
Max drawdown($4,715)
Time10/1/14 15:25
Quant open376
Worst price60.14
Drawdown as % of equity-8.87%
 ($4,494)
Includes Typical Broker Commissions trade costs of $7.52
8/6/14 9:30 TZA DIREXION DAILY SMALL CAP BEAR 3X ETF LONG 468 67.12 8/15 9:30 60.52 5.3%
Trade id #88948346
Max drawdown($3,090)
Time8/15/14 9:30
Quant open0
Worst price15.13
Drawdown as % of equity-5.30%
 ($3,098)
Includes Typical Broker Commissions trade costs of $9.36
5/28/14 9:30 TNA DIREXION DAILY SMALL CAP BULL 3X ETF LONG 784 75.08 8/6 9:30 70.14 7.22%
Trade id #87798629
Max drawdown($4,406)
Time8/1/14 12:03
Quant open415
Worst price64.46
Drawdown as % of equity-7.22%
 ($3,886)
Includes Typical Broker Commissions trade costs of $15.68
4/7/14 9:31 TZA DIREXION DAILY SMALL CAP BEAR 3X ETF LONG 676 66.27 5/28 9:30 65.05 2.27%
Trade id #86893555
Max drawdown($1,473)
Time4/9/14 16:00
Quant open2,416
Worst price15.94
Drawdown as % of equity-2.27%
 ($832)
Includes Typical Broker Commissions trade costs of $6.44
4/2/14 9:31 TNA DIREXION DAILY SMALL CAP BULL 3X ETF LONG 557 81.70 4/7 9:31 73.18 7.21%
Trade id #86818156
Max drawdown($4,762)
Time4/7/14 9:31
Quant open557
Worst price73.15
Drawdown as % of equity-7.21%
 ($4,751)
Includes Typical Broker Commissions trade costs of $5.00
3/27/14 9:31 TZA DIREXION DAILY SMALL CAP BEAR 3X ETF LONG 569 65.64 4/2 9:30 59.44 5%
Trade id #86715518
Max drawdown($3,528)
Time4/2/14 9:30
Quant open0
Worst price14.86
Drawdown as % of equity-5.00%
 ($3,533)
Includes Typical Broker Commissions trade costs of $5.00
2/12/14 9:30 TNA DIREXION DAILY SMALL CAP BULL 3X ETF LONG 1,048 73.26 3/27 9:31 76.62 1.81%
Trade id #85747594
Max drawdown($1,276)
Time2/13/14 9:31
Quant open769
Worst price68.65
Drawdown as % of equity-1.81%
 $3,507
Includes Typical Broker Commissions trade costs of $10.51
10/9/13 9:30 TZA DIREXION DAILY SMALL CAP BEAR 3X ETF LONG 1,401 84.02 2/12/14 9:30 76.55 14.85%
Trade id #83389905
Max drawdown($10,473)
Time2/12/14 9:30
Quant open2,665
Worst price17.96
Drawdown as % of equity-14.85%
 ($10,492)
Includes Typical Broker Commissions trade costs of $23.18
12/23/13 9:30 TNA DIREXION DAILY SMALL CAP BULL 3X ETF LONG 749 75.04 1/30/14 9:30 70.83 6.53%
Trade id #84787613
Max drawdown($4,711)
Time1/27/14 12:22
Quant open749
Worst price68.75
Drawdown as % of equity-6.53%
 ($3,157)
Includes Typical Broker Commissions trade costs of $5.97
11/25/13 9:30 TNA DIREXION DAILY SMALL CAP BULL 3X ETF LONG 544 71.87 12/5 9:30 70.59 2.38%
Trade id #84260149
Max drawdown($1,827)
Time12/4/13 13:32
Quant open544
Worst price68.51
Drawdown as % of equity-2.38%
 ($701)
Includes Typical Broker Commissions trade costs of $5.00
9/10/13 9:30 TNA DIREXION DAILY SMALL CAP BULL 3X ETF LONG 1,835 61.29 10/9 9:30 58.94 5.99%
Trade id #82915103
Max drawdown($5,311)
Time10/8/13 14:56
Quant open1,583
Worst price57.93
Drawdown as % of equity-5.99%
 ($4,312)
Includes Typical Broker Commissions trade costs of $10.02
8/16/13 9:31 TZA DIREXION DAILY SMALL CAP BEAR 3X ETF LONG 546 107.16 9/10 9:30 97.52 5.85%
Trade id #82567508
Max drawdown($5,263)
Time9/10/13 9:30
Quant open0
Worst price24.38
Drawdown as % of equity-5.85%
 ($5,268)
Includes Typical Broker Commissions trade costs of $5.00
7/12/13 9:30 TNA DIREXION DAILY SMALL CAP BULL 3X ETF LONG 2,000 56.85 8/16 9:30 55.52 3.39%
Trade id #81972329
Max drawdown($3,254)
Time8/15/13 15:42
Quant open1,565
Worst price54.77
Drawdown as % of equity-3.39%
 ($2,671)
Includes Typical Broker Commissions trade costs of $13.51
6/21/13 9:30 TZA DIREXION DAILY SMALL CAP BEAR 3X ETF LONG 811 132.72 7/12 9:30 106.36 21.65%
Trade id #81637060
Max drawdown($21,611)
Time7/11/13 9:34
Quant open3,245
Worst price26.52
Drawdown as % of equity-21.65%
 ($21,383)
Includes Typical Broker Commissions trade costs of $5.00
6/14/13 9:30 TNA DIREXION DAILY SMALL CAP BULL 3X ETF LONG 2,354 49.05 6/21 9:30 45.14 8.18%
Trade id #81497896
Max drawdown($10,404)
Time6/20/13 15:34
Quant open2,354
Worst price44.63
Drawdown as % of equity-8.18%
 ($9,209)
Includes Typical Broker Commissions trade costs of $5.00
6/12/13 9:31 TZA DIREXION DAILY SMALL CAP BEAR 3X ETF LONG 901 124.24 6/14 9:30 124.28 1.02%
Trade id #81442761
Max drawdown($1,333)
Time6/13/13 15:50
Quant open3,603
Worst price30.69
Drawdown as % of equity-1.02%
 $31
Includes Typical Broker Commissions trade costs of $5.00
4/30/13 9:30 TNA DIREXION DAILY SMALL CAP BULL 3X ETF LONG 3,656 44.31 6/12 9:30 49.19 5.7%
Trade id #80595743
Max drawdown($5,922)
Time5/1/13 16:00
Quant open2,341
Worst price40.41
Drawdown as % of equity-5.70%
 $17,836
Includes Typical Broker Commissions trade costs of $15.30
4/18/13 9:30 TZA DIREXION DAILY SMALL CAP BEAR 3X ETF LONG 665 166.08 4/30 9:30 147.88 11.95%
Trade id #80326998
Max drawdown($13,024)
Time4/25/13 13:30
Quant open2,658
Worst price36.62
Drawdown as % of equity-11.95%
 ($12,108)
Includes Typical Broker Commissions trade costs of $5.00
3/6/13 9:31 TNA DIREXION DAILY SMALL CAP BULL 3X ETF LONG 5,680 41.69 4/18 9:30 38.52 21.18%
Trade id #79564678
Max drawdown($25,020)
Time4/17/13 11:09
Quant open5,680
Worst price37.28
Drawdown as % of equity-21.18%
 ($17,982)
Includes Typical Broker Commissions trade costs of $5.00
2/26/13 9:31 TZA DIREXION DAILY SMALL CAP BEAR 3X ETF LONG 842 176.64 3/6 9:30 159.20 10.42%
Trade id #79414793
Max drawdown($14,689)
Time3/6/13 9:30
Quant open0
Worst price9.95
Drawdown as % of equity-10.42%
 ($14,689)
Includes Typical Broker Commissions trade costs of $5.00
2/11/13 9:31 TNA DIREXION DAILY SMALL CAP BULL 3X ETF LONG 6,600 39.65 2/26 9:31 37.75 10.02%
Trade id #79134502
Max drawdown($16,038)
Time2/25/13 15:58
Quant open3,300
Worst price74.44
Drawdown as % of equity-10.02%
 ($12,545)
Includes Typical Broker Commissions trade costs of $5.00
11/26/12 9:31 TNA DIREXION DAILY SMALL CAP BULL 3X ETF LONG 5,748 27.08 2/11/13 9:30 39.65 4.15%
Trade id #77827591
Max drawdown($3,994)
Time11/28/12 10:05
Quant open2,874
Worst price52.77
Drawdown as % of equity-4.15%
 $72,247
Includes Typical Broker Commissions trade costs of $5.00
10/11/12 9:30 TZA DIREXION DAILY SMALL CAP BEAR 3X ETF LONG 189 239.84 11/26 9:30 259.68 0%
Trade id #77090398
Max drawdown$0
Time11/2/12 9:31
Quant open3,017
Worst price14.99
Drawdown as % of equity0.00%
 $3,746
Includes Typical Broker Commissions trade costs of $3.78
9/7/12 9:31 TNA DIREXION DAILY SMALL CAP BULL 3X ETF LONG 5,090 30.89 10/11 9:30 30.35 8.77%
Trade id #76479304
Max drawdown($7,736)
Time10/10/12 13:03
Quant open2,545
Worst price58.75
Drawdown as % of equity-8.77%
 ($2,779)
Includes Typical Broker Commissions trade costs of $5.00
8/20/12 9:37 TZA DIREXION DAILY SMALL CAP BEAR 3X ETF LONG 288 261.60 9/7 9:30 239.20 7.04%
Trade id #76111597
Max drawdown($6,684)
Time9/6/12 12:12
Quant open4,610
Worst price14.90
Drawdown as % of equity-7.04%
 ($6,457)
Includes Typical Broker Commissions trade costs of $5.76

Statistics

  • Strategy began
    8/17/2012
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    5031.5
  • Age
    168 months ago
  • What it trades
    Stocks
  • # Trades
    29
  • # Profitable
    7
  • % Profitable
    24.10%
  • Avg trade duration
    33.1 days
  • Max peak-to-valley drawdown
    76.27%
  • drawdown period
    Feb 19, 2013 - March 19, 2015
  • Annual Return (Compounded)
    -5.9%
  • Avg win
    $14,001
  • Avg loss
    $6,939
  • Model Account Values (Raw)
  • Cash
    $45,796
  • Margin Used
    $0
  • Buying Power
    $45,796
  • Ratios
  • W:L ratio
    0.64:1
  • Sharpe Ratio
    -0.43
  • Sortino Ratio
    -0.6
  • Calmar Ratio
    -0.219
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -487.08%
  • Correlation to SP500
    0.04860
  • Return Percent SP500 (cumu) during strategy life
    422.21%
  • Return Statistics
  • Ann Return (w trading costs)
    -5.9%
  • Slump
  • Current Slump as Pcnt Equity
    321.20%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.96%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.059%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -5.5%
  • 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 60% account loss (Monte Carlo)
    46.00%
  • Chance of 70% account loss (Monte Carlo)
    5.00%
  • Chance of 80% account loss (Monte Carlo)
    0.50%
  • 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
    100.00%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $6,939
  • Avg Win
    $14,002
  • Sum Trade PL (losers)
    $152,665.000
  • Age
  • Num Months filled monthly returns table
    166
  • Win / Loss
  • Sum Trade PL (winners)
    $98,013.000
  • # Winners
    7
  • Num Months Winners
    13
  • Dividends
  • Dividends Received in Model Acct
    448
  • Win / Loss
  • # Losers
    22
  • % Winners
    24.1%
  • Frequency
  • Avg Position Time (mins)
    47621.50
  • Avg Position Time (hrs)
    793.69
  • Avg Trade Length
    33.1 days
  • Last Trade Ago
    4088
  • Regression
  • Alpha
    -0.02
  • Beta
    0.05
  • Treynor Index
    -0.43
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.07
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    92.05
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    15.45
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.60
  • MAE:Equity, average, winning trades
    0.02
  • MAE:Equity, average, losing trades
    0.09
  • Avg(MAE) / Avg(PL) - All trades
    -3.483
  • 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
    0.06
  • Avg(MAE) / Avg(PL) - Winning trades
    0.140
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.157
  • Hold-and-Hope Ratio
    -0.287
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.15675
  • SD
    0.31697
  • Sharpe ratio (Glass type estimate)
    -0.49452
  • Sharpe ratio (Hedges UMVUE)
    -0.48722
  • df
    51.00000
  • t
    -1.02944
  • p
    0.84593
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.43855
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.45424
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.43349
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.45905
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.64319
  • Upside Potential Ratio
    1.10290
  • Upside part of mean
    0.26878
  • Downside part of mean
    -0.42553
  • Upside SD
    0.20296
  • Downside SD
    0.24370
  • N nonnegative terms
    11.00000
  • N negative terms
    41.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    52.00000
  • Mean of predictor
    0.36340
  • Mean of criterion
    -0.15675
  • SD of predictor
    0.23820
  • SD of criterion
    0.31697
  • Covariance
    0.00792
  • r
    0.10491
  • b (slope, estimate of beta)
    0.13959
  • a (intercept, estimate of alpha)
    -0.20748
  • Mean Square Error
    0.10135
  • DF error
    50.00000
  • t(b)
    0.74592
  • p(b)
    0.22961
  • t(a)
    -1.23961
  • p(a)
    0.88955
  • Lowerbound of 95% confidence interval for beta
    -0.23630
  • Upperbound of 95% confidence interval for beta
    0.51548
  • Lowerbound of 95% confidence interval for alpha
    -0.54365
  • Upperbound of 95% confidence interval for alpha
    0.12870
  • Treynor index (mean / b)
    -1.12288
  • Jensen alpha (a)
    -0.20748
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.20813
  • SD
    0.32277
  • Sharpe ratio (Glass type estimate)
    -0.64483
  • Sharpe ratio (Hedges UMVUE)
    -0.63530
  • df
    51.00000
  • t
    -1.34232
  • p
    0.90728
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.59153
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.30804
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.58487
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.31427
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.78033
  • Upside Potential Ratio
    0.93670
  • Upside part of mean
    0.24984
  • Downside part of mean
    -0.45797
  • Upside SD
    0.18613
  • Downside SD
    0.26672
  • N nonnegative terms
    11.00000
  • N negative terms
    41.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    52.00000
  • Mean of predictor
    0.33163
  • Mean of criterion
    -0.20813
  • SD of predictor
    0.22744
  • SD of criterion
    0.32277
  • Covariance
    0.00807
  • r
    0.10993
  • b (slope, estimate of beta)
    0.15601
  • a (intercept, estimate of alpha)
    -0.25987
  • Mean Square Error
    0.10498
  • DF error
    50.00000
  • t(b)
    0.78208
  • p(b)
    0.21893
  • t(a)
    -1.53657
  • p(a)
    0.93465
  • Lowerbound of 95% confidence interval for beta
    -0.24465
  • Upperbound of 95% confidence interval for beta
    0.55667
  • Lowerbound of 95% confidence interval for alpha
    -0.59956
  • Upperbound of 95% confidence interval for alpha
    0.07982
  • Treynor index (mean / b)
    -1.33412
  • Jensen alpha (a)
    -0.25987
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.15685
  • Expected Shortfall on VaR
    0.18856
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.10689
  • Expected Shortfall on VaR
    0.19493
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    52.00000
  • Minimum
    0.77586
  • Quartile 1
    0.96475
  • Median
    1.00000
  • Quartile 3
    1.00001
  • Maximum
    1.24859
  • Mean of quarter 1
    0.87618
  • Mean of quarter 2
    0.98929
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.09160
  • Inter Quartile Range
    0.03525
  • Number outliers low
    9.00000
  • Percentage of outliers low
    0.17308
  • Mean of outliers low
    0.84376
  • Number of outliers high
    8.00000
  • Percentage of outliers high
    0.15385
  • Mean of outliers high
    1.13777
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -1.07146
  • VaR(95%) (moments method)
    0.10271
  • Expected Shortfall (moments method)
    0.11098
  • Extreme Value Index (regression method)
    -0.75464
  • VaR(95%) (regression method)
    0.12835
  • Expected Shortfall (regression method)
    0.14540
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.14476
  • Quartile 1
    0.29318
  • Median
    0.44160
  • Quartile 3
    0.59002
  • Maximum
    0.73844
  • Mean of quarter 1
    0.14476
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.73844
  • Inter Quartile Range
    0.29684
  • 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)
    -0.12509
  • Compounded annual return (geometric extrapolation)
    -0.16492
  • Calmar ratio (compounded annual return / max draw down)
    -0.22333
  • Compounded annual return / average of 25% largest draw downs
    -0.22333
  • Compounded annual return / Expected Shortfall lognormal
    -0.87460
  • 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
    -0.17775
  • SD
    0.23756
  • Sharpe ratio (Glass type estimate)
    -0.74824
  • Sharpe ratio (Hedges UMVUE)
    -0.74775
  • df
    1148.00000
  • t
    -1.56693
  • p
    0.52310
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.68452
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.18832
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.68417
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.18867
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.02748
  • Upside Potential Ratio
    5.15920
  • Upside part of mean
    0.89253
  • Downside part of mean
    -1.07028
  • Upside SD
    0.16303
  • Downside SD
    0.17300
  • N nonnegative terms
    311.00000
  • N negative terms
    838.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1149.00000
  • Mean of predictor
    0.38721
  • Mean of criterion
    -0.17775
  • SD of predictor
    0.26214
  • SD of criterion
    0.23756
  • Covariance
    0.00318
  • r
    0.05113
  • b (slope, estimate of beta)
    0.04634
  • a (intercept, estimate of alpha)
    -0.19600
  • Mean Square Error
    0.05634
  • DF error
    1147.00000
  • t(b)
    1.73394
  • p(b)
    0.46746
  • t(a)
    -1.71945
  • p(a)
    0.53227
  • Lowerbound of 95% confidence interval for beta
    -0.00610
  • Upperbound of 95% confidence interval for beta
    0.09877
  • Lowerbound of 95% confidence interval for alpha
    -0.41900
  • Upperbound of 95% confidence interval for alpha
    0.02761
  • Treynor index (mean / b)
    -3.83610
  • Jensen alpha (a)
    -0.19570
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.20599
  • SD
    0.23756
  • Sharpe ratio (Glass type estimate)
    -0.86708
  • Sharpe ratio (Hedges UMVUE)
    -0.86651
  • df
    1148.00000
  • t
    -1.81580
  • p
    0.52676
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.80351
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.06968
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.80310
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.07008
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.16306
  • Upside Potential Ratio
    4.96657
  • Upside part of mean
    0.87962
  • Downside part of mean
    -1.08561
  • Upside SD
    0.15869
  • Downside SD
    0.17711
  • N nonnegative terms
    311.00000
  • N negative terms
    838.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1149.00000
  • Mean of predictor
    0.35191
  • Mean of criterion
    -0.20599
  • SD of predictor
    0.26616
  • SD of criterion
    0.23756
  • Covariance
    0.00327
  • r
    0.05173
  • b (slope, estimate of beta)
    0.04618
  • a (intercept, estimate of alpha)
    -0.22224
  • Mean Square Error
    0.05634
  • DF error
    1147.00000
  • t(b)
    1.75443
  • p(b)
    0.46708
  • t(a)
    -1.95430
  • p(a)
    0.53665
  • Lowerbound of 95% confidence interval for beta
    -0.00546
  • Upperbound of 95% confidence interval for beta
    0.09782
  • Lowerbound of 95% confidence interval for alpha
    -0.44536
  • Upperbound of 95% confidence interval for alpha
    0.00088
  • Treynor index (mean / b)
    -4.46095
  • Jensen alpha (a)
    -0.22224
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02462
  • Expected Shortfall on VaR
    0.03057
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01175
  • Expected Shortfall on VaR
    0.02416
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1149.00000
  • Minimum
    0.89001
  • Quartile 1
    0.99745
  • Median
    1.00000
  • Quartile 3
    1.00118
  • Maximum
    1.13461
  • Mean of quarter 1
    0.98421
  • Mean of quarter 2
    0.99980
  • Mean of quarter 3
    1.00005
  • Mean of quarter 4
    1.01371
  • Inter Quartile Range
    0.00372
  • Number outliers low
    186.00000
  • Percentage of outliers low
    0.16188
  • Mean of outliers low
    0.97831
  • Number of outliers high
    182.00000
  • Percentage of outliers high
    0.15840
  • Mean of outliers high
    1.01931
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.26798
  • VaR(95%) (moments method)
    0.01024
  • Expected Shortfall (moments method)
    0.01828
  • Extreme Value Index (regression method)
    0.05671
  • VaR(95%) (regression method)
    0.01419
  • Expected Shortfall (regression method)
    0.02221
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    14.00000
  • Minimum
    0.00001
  • Quartile 1
    0.00406
  • Median
    0.01736
  • Quartile 3
    0.06683
  • Maximum
    0.74464
  • Mean of quarter 1
    0.00152
  • Mean of quarter 2
    0.00860
  • Mean of quarter 3
    0.03289
  • Mean of quarter 4
    0.26996
  • Inter Quartile Range
    0.06276
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.14286
  • Mean of outliers high
    0.46246
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.87535
  • VaR(95%) (moments method)
    0.31235
  • Expected Shortfall (moments method)
    2.64195
  • Extreme Value Index (regression method)
    2.71767
  • VaR(95%) (regression method)
    0.63566
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.12360
  • Compounded annual return (geometric extrapolation)
    -0.16312
  • Calmar ratio (compounded annual return / max draw down)
    -0.21907
  • Compounded annual return / average of 25% largest draw downs
    -0.60427
  • Compounded annual return / Expected Shortfall lognormal
    -5.33639
  • 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
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    0.00000
  • Sharpe ratio (Hedges UMVUE)
    0.00000
  • df
    0.00000
  • t
    0.00000
  • p
    0.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    1.18446
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.49193
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    0.00000
  • Mean Square Error
    0.00000
  • DF error
    0.00000
  • t(b)
    0.00000
  • p(b)
    0.00000
  • t(a)
    0.00000
  • p(a)
    0.00000
  • Lowerbound of 95% confidence interval for beta
    0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    0.00000
  • Upperbound of 95% confidence interval for alpha
    0.00000
  • Treynor index (mean / b)
    0.00000
  • Jensen alpha (a)
    0.00000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    -9748420000000000.00000
  • Sharpe ratio (Hedges UMVUE)
    -9692070000000000.00000
  • df
    130.00000
  • t
    -6893170000000000.00000
  • p
    1.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -10870200000000000.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -8513980000000000.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    1.06067
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.49601
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    -0.02791
  • Mean Square Error
    0.00000
  • DF error
    129.00000
  • t(b)
    0.00000
  • p(b)
    0.50000
  • t(a)
    -6807010000000000.00000
  • p(a)
    1.00000
  • VAR (95 Confidence Intrvl)
    0.02500
  • Lowerbound of 95% confidence interval for beta
    -0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    -0.02791
  • Upperbound of 95% confidence interval for alpha
    -0.02791
  • Treynor index (mean / b)
    -129844000000000012758908485500928.00000
  • Jensen alpha (a)
    -0.02791
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00011
  • Expected Shortfall on VaR
    0.00011
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    1.00000
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00000
  • Mean of quarter 1
    1.00000
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • 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
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • 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
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -379722000
  • Max Equity Drawdown (num days)
    758
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.00000
  • Compounded annual return (geometric extrapolation)
    0.00000
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    0.00000

Strategy Description

Welcome! Our proven EOD long-term system capitalizes on uptrends and downtrends. This trend following ETF system trades Direxion Daily Small Cap Bull/Bear 3X Shares (TNA and TZA).

All 100% mechanical (long-only) trades placed before 9:30 am EST to be executed at the US Stock Market open. Appropriate leverage (5.0X max) ALWAYS used.

Investors Business Daily or IBD provides extensive research for institutional clients. Historically, every market uptrend has been "confirmed" with a follow-through day. Conversely, a multiple distribution day stack can point to a market correction.

This system is designed to profit from IBD's market shift calls as outlined in the newspaper's "The Big Picture". Other proprietary measures are used that have been back-tested for over 5 years at Collective2.

Capital preservation is the top priority. The system is developed to greatly out-perform stocks for the long-term, while keeping loss periods contained.

Thank you for considering Small Cap (5X) Timer!

Gilbert J. Arevalo
Kingdom Capital Management

Affiliate site: best-tradingsystems.collective2.com
Trade this strategy at Tradier

Summary Statistics

Strategy began
2012-08-17
Suggested Minimum Capital
$100,000
# Trades
29
# Profitable
7
% Profitable
24.1%
Net Dividends
$448
Correlation S&P500
0.049
Sharpe Ratio
-0.43
Sortino Ratio
-0.60
Beta
0.05
Alpha
-0.02

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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