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This strategy is no longer supported by its creator.
These are hypothetical performance results that have certain inherent limitations. Learn more

mvp 9
(76772464)

Created by: StephenNorris StephenNorris
Started: 09/2012
Stocks
Last trade: 3,548 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 $5.00 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.

4.3%
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.

(15.1%)
Max Drawdown
23
Num Trades
60.9%
Win Trades
1.5 : 1
Profit Factor
8.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2012                                                        (3.9%)(2.5%)(7.6%)+6.1%(8.2%)
2013+10.2%+1.7%(0.4%)+3.3%+2.2%(10.3%)+12.8%+3.3%(10%)+2.6%(0.4%)(0.4%)+13.2%
2014(0.4%)+12.1%+1.2%+0.2%(0.3%)(0.3%)(2.6%)  -    -    -    -    -  +9.6%
2015  -    -    -    -    -    -    -    -    -  (1.3%)  -    -  (1.3%)
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

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 120 hours.

Trading Record

This strategy has placed 8 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 3667 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
7/9/14 9:30 TNA DIREXION DAILY SMALL CAP BULL 3X LONG 100 77.71 7/11 9:30 74.72 4.3%
Trade id #88496518
Max drawdown($540)
Time7/10/14 9:31
Quant open100
Worst price72.31
Drawdown as % of equity-4.30%
($301)
Includes Typical Broker Commissions trade costs of $2.00
4/24/14 9:30 UWM PROSHARES ULTRA RUSSELL2000 LONG 95 83.52 4/28 9:31 79.74 3.8%
Trade id #87216072
Max drawdown($475)
Time4/25/14 14:32
Quant open95
Worst price78.51
Drawdown as % of equity-3.80%
($361)
Includes Typical Broker Commissions trade costs of $1.90
4/8/14 9:30 TNA DIREXION DAILY SMALL CAP BULL 3X LONG 160 69.85 4/17 15:38 71.10 9.17%
Trade id #86921137
Max drawdown($1,081)
Time4/15/14 13:03
Quant open160
Worst price63.09
Drawdown as % of equity-9.17%
$197
Includes Typical Broker Commissions trade costs of $3.20
3/27/14 9:30 UWM PROSHARES ULTRA RUSSELL2000 LONG 90 83.91 4/4 9:30 88.73 1.05%
Trade id #86715274
Max drawdown($128)
Time3/27/14 11:53
Quant open90
Worst price82.48
Drawdown as % of equity-1.05%
$432
Includes Typical Broker Commissions trade costs of $1.80
3/13/14 9:30 UWM PROSHARES ULTRA RUSSELL2000 LONG 85 89.74 3/14 9:30 86.70 2.53%
Trade id #86449117
Max drawdown($312)
Time3/13/14 15:20
Quant open85
Worst price86.06
Drawdown as % of equity-2.53%
($260)
Includes Typical Broker Commissions trade costs of $1.70
3/4/14 9:30 UWM PROSHARES ULTRA RUSSELL2000 LONG 135 88.91 3/11 9:30 90.63 n/a $229
Includes Typical Broker Commissions trade costs of $2.70
2/5/14 9:30 MVV PROSHARES ULTRA MIDCAP400 LONG 190 56.70 2/20 9:30 63.51 1.56%
Trade id #85599002
Max drawdown($171)
Time2/5/14 10:25
Quant open190
Worst price55.80
Drawdown as % of equity-1.56%
$1,290
Includes Typical Broker Commissions trade costs of $3.80
10/24/13 9:40 MVV PROSHARES ULTRA MIDCAP400 LONG 110 58.48 10/31 9:40 58.58 0.28%
Trade id #83687831
Max drawdown($30)
Time10/30/13 14:28
Quant open55
Worst price116.40
Drawdown as % of equity-0.28%
$9
Includes Typical Broker Commissions trade costs of $2.20
10/4/13 9:40 MVV PROSHARES ULTRA MIDCAP400 LONG 180 54.29 10/16 9:40 55.97 3.72%
Trade id #83303454
Max drawdown($390)
Time10/9/13 11:24
Quant open90
Worst price104.25
Drawdown as % of equity-3.72%
$297
Includes Typical Broker Commissions trade costs of $3.60
8/29/13 9:45 TZA DIREXION DAILY SMALL CAP BEAR LONG 88 106.72 9/16 14:39 96.12 10.88%
Trade id #82761646
Max drawdown($1,177)
Time9/16/13 9:31
Quant open350
Worst price23.32
Drawdown as % of equity-10.88%
($935)
Includes Typical Broker Commissions trade costs of $1.76
8/7/13 9:45 TNA DIREXION DAILY SMALL CAP BULL 3X LONG 165 58.90 8/13 9:45 58.92 2.44%
Trade id #82401889
Max drawdown($283)
Time8/12/13 9:31
Quant open165
Worst price57.18
Drawdown as % of equity-2.44%
$1
Includes Typical Broker Commissions trade costs of $3.30
7/30/13 9:50 TNA DIREXION DAILY SMALL CAP BULL 3X LONG 165 57.79 8/2 9:45 59.43 0.63%
Trade id #82254295
Max drawdown($71)
Time7/30/13 13:48
Quant open110
Worst price56.92
Drawdown as % of equity-0.63%
$268
Includes Typical Broker Commissions trade costs of $3.30
6/28/13 11:00 TNA DIREXION DAILY SMALL CAP BULL 3X LONG 120 47.93 7/17 9:45 57.66 2.02%
Trade id #81764414
Max drawdown($207)
Time6/28/13 16:01
Quant open120
Worst price46.20
Drawdown as % of equity-2.02%
$1,166
Includes Typical Broker Commissions trade costs of $2.40
6/24/13 9:45 TZA DIREXION DAILY SMALL CAP BEAR LONG 71 136.08 6/28 10:51 125.84 8.35%
Trade id #81666628
Max drawdown($853)
Time6/27/13 15:55
Quant open280
Worst price31.26
Drawdown as % of equity-8.35%
($854)
Includes Typical Broker Commissions trade costs of $1.41
5/23/13 9:30 TNA DIREXION DAILY SMALL CAP BULL 3X LONG 200 47.73 6/7 9:45 47.89 4.06%
Trade id #81056149
Max drawdown($433)
Time6/6/13 12:28
Quant open200
Worst price45.56
Drawdown as % of equity-4.06%
$29
Includes Typical Broker Commissions trade costs of $4.00
4/18/13 9:50 TNA DIREXION DAILY SMALL CAP BULL 3X LONG 225 38.02 4/23 9:50 40.73 1.71%
Trade id #80328604
Max drawdown($175)
Time4/18/13 14:58
Quant open150
Worst price37.18
Drawdown as % of equity-1.71%
$607
Includes Typical Broker Commissions trade costs of $4.50
4/8/13 9:50 TNA DIREXION DAILY SMALL CAP BULL 3X LONG 145 40.78 4/16 9:50 39.25 3.74%
Trade id #80110638
Max drawdown($387)
Time4/15/13 15:39
Quant open145
Worst price38.11
Drawdown as % of equity-3.74%
($225)
Includes Typical Broker Commissions trade costs of $2.90
1/31/13 9:50 TNA DIREXION DAILY SMALL CAP BULL 3X LONG 230 37.99 2/7 9:50 39.17 0.34%
Trade id #78954014
Max drawdown($35)
Time1/31/13 10:05
Quant open75
Worst price75.03
Drawdown as % of equity-0.34%
$264
Includes Typical Broker Commissions trade costs of $4.60
12/26/12 9:50 TNA DIREXION DAILY SMALL CAP BULL 3X LONG 240 30.97 1/16/13 9:50 35.80 3.46%
Trade id #78326144
Max drawdown($304)
Time12/27/12 12:54
Quant open80
Worst price59.03
Drawdown as % of equity-3.46%
$1,153
Includes Typical Broker Commissions trade costs of $4.80
12/14/12 9:50 TNA DIREXION DAILY SMALL CAP BULL 3X LONG 240 29.46 12/21 9:50 31.20 0.83%
Trade id #78160678
Max drawdown($72)
Time12/14/12 15:27
Quant open80
Worst price57.82
Drawdown as % of equity-0.83%
$414
Includes Typical Broker Commissions trade costs of $4.80
11/23/12 9:50 TZA DIREXION DAILY SMALL CAP BEAR LONG 19 263.36 12/14 9:50 238.08 7.83%
Trade id #77805246
Max drawdown($669)
Time12/12/12 12:53
Quant open300
Worst price14.23
Drawdown as % of equity-7.83%
($480)
Includes Typical Broker Commissions trade costs of $0.38
10/12/12 9:50 TNA DIREXION DAILY SMALL CAP BULL 3X LONG 160 29.83 11/23 9:50 26.75 12.33%
Trade id #77115776
Max drawdown($1,072)
Time11/16/12 11:29
Quant open80
Worst price46.26
Drawdown as % of equity-12.33%
($495)
Includes Typical Broker Commissions trade costs of $3.20
9/25/12 9:50 TNA DIREXION DAILY SMALL CAP BULL 3X LONG 240 32.19 10/9 9:50 30.77 4.21%
Trade id #76786305
Max drawdown($410)
Time10/3/12 10:04
Quant open120
Worst price60.97
Drawdown as % of equity-4.21%
($346)
Includes Typical Broker Commissions trade costs of $4.80

Statistics

  • Strategy began
    9/24/2012
  • Suggested Minimum Cap
    $10,000
  • Strategy Age (days)
    4195.33
  • Age
    140 months ago
  • What it trades
    Stocks
  • # Trades
    23
  • # Profitable
    14
  • % Profitable
    60.90%
  • Avg trade duration
    11.1 days
  • Max peak-to-valley drawdown
    15.15%
  • drawdown period
    Sept 24, 2012 - Dec 12, 2012
  • Annual Return (Compounded)
    4.2%
  • Avg win
    $457.50
  • Avg loss
    $470.78
  • Model Account Values (Raw)
  • Cash
    $12,166
  • Margin Used
    $0
  • Buying Power
    $12,166
  • Ratios
  • W:L ratio
    1.51:1
  • Sharpe Ratio
    -0.09
  • Sortino Ratio
    -0.14
  • Calmar Ratio
    0.289
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -36.13%
  • Correlation to SP500
    0.11270
  • Return Percent SP500 (cumu) during strategy life
    260.25%
  • Return Statistics
  • Ann Return (w trading costs)
    4.2%
  • Slump
  • Current Slump as Pcnt Equity
    10.70%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.87%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.043%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    1.7%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    13.33%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • 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
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    358
  • 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
    $471
  • Avg Win
    $458
  • Sum Trade PL (losers)
    $4,237.000
  • Age
  • Num Months filled monthly returns table
    139
  • Win / Loss
  • Sum Trade PL (winners)
    $6,405.000
  • # Winners
    14
  • Num Months Winners
    11
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    9
  • % Winners
    60.9%
  • Frequency
  • Avg Position Time (mins)
    15994.00
  • Avg Position Time (hrs)
    266.57
  • Avg Trade Length
    11.1 days
  • Last Trade Ago
    3541
  • Regression
  • Alpha
    -0.00
  • Beta
    0.05
  • Treynor Index
    -0.04
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.04
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    90.21
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    16.98
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    3.73
  • MAE:Equity, average, winning trades
    0.03
  • MAE:Equity, average, losing trades
    0.07
  • Avg(MAE) / Avg(PL) - All trades
    4.795
  • 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
    0.05
  • Avg(MAE) / Avg(PL) - Winning trades
    0.548
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.392
  • Hold-and-Hope Ratio
    0.209
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.04778
  • SD
    0.10519
  • Sharpe ratio (Glass type estimate)
    0.45417
  • Sharpe ratio (Hedges UMVUE)
    0.44638
  • df
    44.00000
  • t
    0.87950
  • p
    0.19195
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.56488
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.46817
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.57003
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.46279
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.78858
  • Upside Potential Ratio
    2.07538
  • Upside part of mean
    0.12574
  • Downside part of mean
    -0.07796
  • Upside SD
    0.08567
  • Downside SD
    0.06059
  • N nonnegative terms
    12.00000
  • N negative terms
    33.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    45.00000
  • Mean of predictor
    0.09888
  • Mean of criterion
    0.04778
  • SD of predictor
    0.10971
  • SD of criterion
    0.10519
  • Covariance
    0.00202
  • r
    0.17539
  • b (slope, estimate of beta)
    0.16817
  • a (intercept, estimate of alpha)
    0.03115
  • Mean Square Error
    0.01097
  • DF error
    43.00000
  • t(b)
    1.16825
  • p(b)
    0.12457
  • t(a)
    0.55681
  • p(a)
    0.29027
  • Lowerbound of 95% confidence interval for beta
    -0.12213
  • Upperbound of 95% confidence interval for beta
    0.45848
  • Lowerbound of 95% confidence interval for alpha
    -0.08166
  • Upperbound of 95% confidence interval for alpha
    0.14396
  • Treynor index (mean / b)
    0.28409
  • Jensen alpha (a)
    0.03115
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.04233
  • SD
    0.10401
  • Sharpe ratio (Glass type estimate)
    0.40701
  • Sharpe ratio (Hedges UMVUE)
    0.40002
  • df
    44.00000
  • t
    0.78817
  • p
    0.21741
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.61094
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.42039
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.61554
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.41559
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.67760
  • Upside Potential Ratio
    1.95504
  • Upside part of mean
    0.12214
  • Downside part of mean
    -0.07981
  • Upside SD
    0.08261
  • Downside SD
    0.06247
  • N nonnegative terms
    12.00000
  • N negative terms
    33.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    45.00000
  • Mean of predictor
    0.09256
  • Mean of criterion
    0.04233
  • SD of predictor
    0.10943
  • SD of criterion
    0.10401
  • Covariance
    0.00197
  • r
    0.17330
  • b (slope, estimate of beta)
    0.16472
  • a (intercept, estimate of alpha)
    0.02709
  • Mean Square Error
    0.01074
  • DF error
    43.00000
  • t(b)
    1.15390
  • p(b)
    0.12746
  • t(a)
    0.49142
  • p(a)
    0.31281
  • Lowerbound of 95% confidence interval for beta
    -0.12317
  • Upperbound of 95% confidence interval for beta
    0.45261
  • Lowerbound of 95% confidence interval for alpha
    -0.08407
  • Upperbound of 95% confidence interval for alpha
    0.13824
  • Treynor index (mean / b)
    0.25699
  • Jensen alpha (a)
    0.02709
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04482
  • Expected Shortfall on VaR
    0.05667
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01874
  • Expected Shortfall on VaR
    0.03881
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    45.00000
  • Minimum
    0.92058
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00099
  • Maximum
    1.10597
  • Mean of quarter 1
    0.97792
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00009
  • Mean of quarter 4
    1.04368
  • Inter Quartile Range
    0.00099
  • Number outliers low
    7.00000
  • Percentage of outliers low
    0.15556
  • Mean of outliers low
    0.96215
  • Number of outliers high
    11.00000
  • Percentage of outliers high
    0.24444
  • Mean of outliers high
    1.04368
  • 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)
    -0.32785
  • VaR(95%) (regression method)
    0.03775
  • Expected Shortfall (regression method)
    0.05622
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.03286
  • Quartile 1
    0.05089
  • Median
    0.06816
  • Quartile 3
    0.08271
  • Maximum
    0.09260
  • Mean of quarter 1
    0.03286
  • Mean of quarter 2
    0.05690
  • Mean of quarter 3
    0.07942
  • Mean of quarter 4
    0.09260
  • Inter Quartile Range
    0.03182
  • 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)
    0.05776
  • Compounded annual return (geometric extrapolation)
    0.05367
  • Calmar ratio (compounded annual return / max draw down)
    0.57963
  • Compounded annual return / average of 25% largest draw downs
    0.57963
  • Compounded annual return / Expected Shortfall lognormal
    0.94707
  • 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
    0.04692
  • SD
    0.10238
  • Sharpe ratio (Glass type estimate)
    0.45826
  • Sharpe ratio (Hedges UMVUE)
    0.45799
  • df
    1305.00000
  • t
    0.89290
  • p
    0.48427
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.54788
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.46423
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.54806
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.46405
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.69570
  • Upside Potential Ratio
    4.82277
  • Upside part of mean
    0.32524
  • Downside part of mean
    -0.27833
  • Upside SD
    0.07702
  • Downside SD
    0.06744
  • N nonnegative terms
    138.00000
  • N negative terms
    1168.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1306.00000
  • Mean of predictor
    0.11589
  • Mean of criterion
    0.04692
  • SD of predictor
    0.13355
  • SD of criterion
    0.10238
  • Covariance
    0.00303
  • r
    0.22156
  • b (slope, estimate of beta)
    0.16985
  • a (intercept, estimate of alpha)
    0.00700
  • Mean Square Error
    0.00998
  • DF error
    1304.00000
  • t(b)
    8.20467
  • p(b)
    0.38922
  • t(a)
    0.53070
  • p(a)
    0.49265
  • Lowerbound of 95% confidence interval for beta
    0.12924
  • Upperbound of 95% confidence interval for beta
    0.21046
  • Lowerbound of 95% confidence interval for alpha
    -0.07344
  • Upperbound of 95% confidence interval for alpha
    0.12790
  • Treynor index (mean / b)
    0.27623
  • Jensen alpha (a)
    0.02723
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.04169
  • SD
    0.10216
  • Sharpe ratio (Glass type estimate)
    0.40809
  • Sharpe ratio (Hedges UMVUE)
    0.40786
  • df
    1305.00000
  • t
    0.79515
  • p
    0.48599
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.59799
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.41406
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.59817
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.41388
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.61102
  • Upside Potential Ratio
    4.72381
  • Upside part of mean
    0.32232
  • Downside part of mean
    -0.28063
  • Upside SD
    0.07602
  • Downside SD
    0.06823
  • N nonnegative terms
    138.00000
  • N negative terms
    1168.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1306.00000
  • Mean of predictor
    0.10696
  • Mean of criterion
    0.04169
  • SD of predictor
    0.13362
  • SD of criterion
    0.10216
  • Covariance
    0.00301
  • r
    0.22064
  • b (slope, estimate of beta)
    0.16870
  • a (intercept, estimate of alpha)
    0.02365
  • Mean Square Error
    0.00994
  • DF error
    1304.00000
  • t(b)
    8.16892
  • p(b)
    0.38968
  • t(a)
    0.46181
  • p(a)
    0.49361
  • Lowerbound of 95% confidence interval for beta
    0.12819
  • Upperbound of 95% confidence interval for beta
    0.20921
  • Lowerbound of 95% confidence interval for alpha
    -0.07681
  • Upperbound of 95% confidence interval for alpha
    0.12411
  • Treynor index (mean / b)
    0.24714
  • Jensen alpha (a)
    0.02365
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00890
  • Expected Shortfall on VaR
    0.01118
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00263
  • Expected Shortfall on VaR
    0.00580
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1306.00000
  • Minimum
    0.96258
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.05677
  • Mean of quarter 1
    0.99687
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00379
  • Inter Quartile Range
    0.00000
  • Number outliers low
    123.00000
  • Percentage of outliers low
    0.09418
  • Mean of outliers low
    0.99168
  • Number of outliers high
    138.00000
  • Percentage of outliers high
    0.10567
  • Mean of outliers high
    1.00898
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.08060
  • VaR(95%) (moments method)
    0.00195
  • Expected Shortfall (moments method)
    0.00379
  • Extreme Value Index (regression method)
    0.12734
  • VaR(95%) (regression method)
    0.00300
  • Expected Shortfall (regression method)
    0.00790
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    16.00000
  • Minimum
    0.00018
  • Quartile 1
    0.00301
  • Median
    0.01334
  • Quartile 3
    0.06862
  • Maximum
    0.14600
  • Mean of quarter 1
    0.00098
  • Mean of quarter 2
    0.00852
  • Mean of quarter 3
    0.03212
  • Mean of quarter 4
    0.11038
  • Inter Quartile Range
    0.06561
  • 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)
    -4.72064
  • VaR(95%) (moments method)
    0.11839
  • Expected Shortfall (moments method)
    0.11846
  • Extreme Value Index (regression method)
    -0.82058
  • VaR(95%) (regression method)
    0.14100
  • Expected Shortfall (regression method)
    0.15255
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.05705
  • Compounded annual return (geometric extrapolation)
    0.05300
  • Calmar ratio (compounded annual return / max draw down)
    0.36301
  • Compounded annual return / average of 25% largest draw downs
    0.48014
  • Compounded annual return / Expected Shortfall lognormal
    4.74230
  • 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
    -0.00995
  • 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
    -18.54720
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.00995
  • Upside SD
    0.00000
  • Downside SD
    0.00054
  • N nonnegative terms
    0.00000
  • N negative terms
    172.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.33702
  • Mean of criterion
    -0.00995
  • SD of predictor
    0.13418
  • 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
    -0.00995
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    -31576300000000000.00000
  • Sharpe ratio (Hedges UMVUE)
    -31437600000000000.00000
  • df
    171.00000
  • t
    -22327800000000000.00000
  • 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
    -34769500000000000.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -28105800000000000.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -18.54720
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.00995
  • Upside SD
    0.00000
  • Downside SD
    0.00054
  • N nonnegative terms
    0.00000
  • N negative terms
    172.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.32792
  • Mean of criterion
    -0.00995
  • SD of predictor
    0.13389
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    -0.00995
  • Mean Square Error
    0.00000
  • DF error
    170.00000
  • t(b)
    0.00000
  • p(b)
    0.50000
  • t(a)
    -22069800000000000.00000
  • p(a)
    1.00000
  • VAR (95 Confidence Intrvl)
    0.00900
  • 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
    -0.00995
  • Upperbound of 95% confidence interval for alpha
    -0.00995
  • Treynor index (mean / b)
    -49957299999999997444742694567936.00000
  • Jensen alpha (a)
    -0.00995
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00003
  • Expected Shortfall on VaR
    0.00003
  • 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
    172.00000
  • 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
  • Max Equity Drawdown (num days)
    79
  • 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

(note in 2012-2013 mvp-9 occasionally took short positions by going long TZA, it no longer takes any short position) If you download the csv trade file and look at long positions only, % results and trade statistics are much higher.

mvp-9 trades the SP400 midcap index, bullish positions only, using mdy itself or 2X or 3X vehicles, depending on overall volatility , using a mechanical signal generating program created using visual basic in an excel spreadsheet. There are no discretionary aspects to this program.

It retains the core original main buys from prior versions, while also using new code to detect tradeable buys when vix is at historical lows.

It retains changes made the past few years, including no use of margin, and staying with trends longer.

It also banks a portion of any profit which exceeds historical standards. Banked amounts are never used again, meaning the program takes profit off the table permanently. It also means that even with an add-on trade, all the capital is never used.

Fees are based on public audited performance here at C2 and will only increase if successively higher levels are attained by the program.

Summary Statistics

Strategy began
2012-09-24
Suggested Minimum Capital
$5,000
# Trades
23
# Profitable
14
% Profitable
60.9%
Correlation S&P500
0.113
Sharpe Ratio
-0.09
Sortino Ratio
-0.14
Beta
0.05
Alpha
-0.00

Latest Activity

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subscribed on started simulation #SUBSCRIBEDDATE#

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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