Collective2 Collective2
Featured Strategy S2Prox0 Followed by live capital $157,000 Hypothetical

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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
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GIR-Short Leveraged ETFs
(83733787)

Created by: GlobalInvestingRep GlobalInvestingRep
Started: 10/2013
Stocks
Last trade: 3,136 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 $49.00 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.

10.1%
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.

-
Max Drawdown
68
Num Trades
44.1%
Win Trades
0.8 : 1
Profit Factor
36.2%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2013                                                               (4.2%)+2.9%+14.5%+12.9%
2014(9.2%)+12.0%+7.1%(14.2%)+9.7%(23%)+5.0%(5.8%)+38.0%+26.6%+20.2%(5.9%)+54.2%
2015+6.7%(13.4%)(8.3%)(0.6%)(6.7%)+1.8%(1.9%)+6.8%(11.4%)(8.1%)+7.7%+10.7%(18.7%)
2016+19.4%(4.2%)(15.8%)(6.5%)(4%)(4.7%)+5.9%(8.8%)(0.8%)+1.1%(4%)(1.9%)(24.8%)
2017(7.3%)(2.6%)+1.7%+0.3%(1.8%)+5.2%(12.9%)+1.8%(6.7%)(6%)(5.4%)(4.5%)(33.1%)
2018(15%)+2.0%+0.9%(1.3%)+5.0%(1.6%)(1%)+1.6%+2.5%(56.3%)(4.2%)+15.8%(55.4%)
2019(22.9%)(14.3%)+9.5%(11.3%)+13.4%+12.0%(15.9%)+24.3%(6.3%)(17.2%)(0.5%)(24%)(50%)
2020+33.2%(12.6%)+92.9%(20.2%)(8%)(36.8%)(33.3%)(33.1%)+28.4%(13.9%)(91%)(148.8%)(102.3%)
2021(1007.3%)(16.9%)(13.6%)(17.9%)(6.5%)(15.2%)(36.7%)(13.1%)(53.5%)(77.9%)(62.7%)(63.8%)(668.7%)
2022(60.1%)(118.5%)(266.5%)(1363.4%)(7.3%)+76.9%+28.7%(33.2%)+137.5%+7.1%(33.6%)(24.1%)(380.7%)
2023(55.8%)+108.7%+34.1%(20.9%)+15.1%(20%)(39.1%)+121.4%+5.0%+33.5%(37.3%)(23.3%)(18%)
2024+53.8%(31%)(5.5%)+22.5%                                                +22.9%

Model Account Details

A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.

Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.

Trading Record

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
9/3/15 11:30 BBP BIOSHARES BIOTECHNOLOGY PRODUC LONG 249 32.95 9/24 15:07 30.34 4.43%
Trade id #97032098
Max drawdown($697)
Time9/24/15 11:18
Quant open249
Worst price30.15
Drawdown as % of equity-4.43%
 ($655)
Includes Typical Broker Commissions trade costs of $4.98
8/27/15 9:37 TBF PROSHARES SHORT 20+ YEAR TREAS LONG 476 25.04 9/24 10:28 25.07 0.99%
Trade id #96884150
Max drawdown($166)
Time8/31/15 9:32
Quant open476
Worst price24.69
Drawdown as % of equity-0.99%
 $4
Includes Typical Broker Commissions trade costs of $9.52
9/11/15 15:49 FDN FIRST TRUST DOW JONES INTERNET LONG 67 68.47 9/24 10:16 67.40 0.5%
Trade id #97188604
Max drawdown($79)
Time9/24/15 9:51
Quant open67
Worst price67.29
Drawdown as % of equity-0.50%
 ($73)
Includes Typical Broker Commissions trade costs of $1.34
9/8/15 15:43 ITB I SHARES US HOME CONSTRUCTION LONG 290 28.35 9/23 15:40 27.13 2.84%
Trade id #97106047
Max drawdown($440)
Time9/22/15 13:31
Quant open290
Worst price26.83
Drawdown as % of equity-2.84%
 ($360)
Includes Typical Broker Commissions trade costs of $5.80
9/1/15 15:32 EUM PROSHARES SHORT MSCI EMERGING LONG 160 30.44 9/11 15:45 29.46 1.28%
Trade id #96986463
Max drawdown($212)
Time9/9/15 9:40
Quant open160
Worst price29.11
Drawdown as % of equity-1.28%
 ($160)
Includes Typical Broker Commissions trade costs of $3.20
8/27/15 14:14 HEWI ISHARES CH MSCI ITALY LONG 307 23.87 9/1 15:29 22.79 1.99%
Trade id #96899711
Max drawdown($332)
Time9/1/15 15:29
Quant open0
Worst price22.79
Drawdown as % of equity-1.99%
 ($338)
Includes Typical Broker Commissions trade costs of $6.14
7/30/15 11:52 EUM PROSHARES SHORT MSCI EMERGING LONG 301 27.29 8/27 11:04 29.10 0.91%
Trade id #96164644
Max drawdown($144)
Time7/31/15 11:43
Quant open301
Worst price26.81
Drawdown as % of equity-0.91%
 $537
Includes Typical Broker Commissions trade costs of $6.02
7/28/15 9:58 RWM PROSHARES SHORT RUSSELL2000 LONG 137 59.91 8/27 10:12 63.30 1.46%
Trade id #96103891
Max drawdown($231)
Time7/31/15 12:19
Quant open137
Worst price58.22
Drawdown as % of equity-1.46%
 $461
Includes Typical Broker Commissions trade costs of $2.74
7/24/15 10:46 MBB ISHARES BARCLAYS MBS BOND LONG 70 109.07 8/27 9:50 109.09 0.23%
Trade id #96057513
Max drawdown($35)
Time8/5/15 10:14
Quant open70
Worst price108.56
Drawdown as % of equity-0.23%
 $0
Includes Typical Broker Commissions trade costs of $1.40
8/10/15 13:36 EWI ISHARES MSCI ITALY ETF LONG 521 15.87 8/12 10:56 15.44 1.5%
Trade id #96542728
Max drawdown($244)
Time8/12/15 10:27
Quant open521
Worst price15.40
Drawdown as % of equity-1.50%
 ($229)
Includes Typical Broker Commissions trade costs of $5.00
6/4/15 10:32 XPH SPDR S&P PHARMACEUTICALS LONG 138 62.73 7/27 9:48 64.71 1.52%
Trade id #94809151
Max drawdown($244)
Time6/29/15 15:48
Quant open69
Worst price121.92
Drawdown as % of equity-1.52%
 $270
Includes Typical Broker Commissions trade costs of $2.76
7/14/15 11:39 HEDJ WISDOMTREE EUROPE HDGD EQY FND LONG 110 64.14 7/24 10:39 64.17 0.13%
Trade id #95877232
Max drawdown($20)
Time7/15/15 14:53
Quant open110
Worst price63.95
Drawdown as % of equity-0.13%
 $1
Includes Typical Broker Commissions trade costs of $2.20
7/15/15 10:38 KRE SPDR S&P REGIONAL BANKING ETF LONG 199 44.91 7/24 10:26 44.10 1.11%
Trade id #95896156
Max drawdown($183)
Time7/24/15 9:38
Quant open199
Worst price43.99
Drawdown as % of equity-1.11%
 ($165)
Includes Typical Broker Commissions trade costs of $3.98
7/2/15 9:37 INDA ISHARES MSCI INDIA ETF LONG 241 30.80 7/24 10:13 30.77 1.27%
Trade id #95674493
Max drawdown($200)
Time7/8/15 16:00
Quant open241
Worst price29.97
Drawdown as % of equity-1.27%
 ($12)
Includes Typical Broker Commissions trade costs of $4.82
6/16/15 11:32 IJT ISHARES S&P SMALLCAP 600 GROWT LONG 67 132.63 7/15 10:28 132.85 1.63%
Trade id #95050405
Max drawdown($262)
Time7/7/15 11:37
Quant open67
Worst price128.71
Drawdown as % of equity-1.63%
 $14
Includes Typical Broker Commissions trade costs of $1.34
7/8/15 10:22 PSQ PROSHARES SHORT QQQ LONG 131 56.52 7/13 9:54 55.21 1.11%
Trade id #95768966
Max drawdown($179)
Time7/13/15 9:51
Quant open131
Worst price55.15
Drawdown as % of equity-1.11%
 ($175)
Includes Typical Broker Commissions trade costs of $2.62
6/3/15 10:07 HACK AMPLIFY CYBER SECURITY ETF LONG 304 30.83 6/29 15:32 31.00 0.52%
Trade id #94781450
Max drawdown($85)
Time6/4/15 14:04
Quant open304
Worst price30.55
Drawdown as % of equity-0.52%
 $46
Includes Typical Broker Commissions trade costs of $6.08
5/15/15 10:22 DTYS IPATH US TREASURY 10 YR BEAR E LONG 407 20.30 6/19 15:23 21.62 1.25%
Trade id #94450231
Max drawdown($195)
Time5/29/15 14:29
Quant open407
Worst price19.82
Drawdown as % of equity-1.25%
 $529
Includes Typical Broker Commissions trade costs of $8.14
6/4/15 9:58 SOCL GLOBAL X SOCIAL MEDIA INDEX ET LONG 446 20.99 6/16 10:22 20.54 1.82%
Trade id #94807814
Max drawdown($303)
Time6/9/15 10:33
Quant open446
Worst price20.31
Drawdown as % of equity-1.82%
 ($210)
Includes Typical Broker Commissions trade costs of $8.92
5/18/15 11:11 SIL GLOBAL X SILVER MINERS ETF LONG 843 9.80 5/27 11:14 8.82 5.49%
Trade id #94479270
Max drawdown($868)
Time5/27/15 9:40
Quant open843
Worst price8.77
Drawdown as % of equity-5.49%
 ($831)
Includes Typical Broker Commissions trade costs of $5.00
5/8/15 15:41 URA GLOBAL X URANIUM ETF LONG 722 11.44 5/19 15:50 11.65 0.64%
Trade id #94329711
Max drawdown($106)
Time5/11/15 10:44
Quant open722
Worst price11.29
Drawdown as % of equity-0.64%
 $138
Includes Typical Broker Commissions trade costs of $9.72
5/5/15 10:53 FXE CURRENCYSHARES EURO TRUST LONG 75 110.05 5/19 15:50 110.82 0.29%
Trade id #94250153
Max drawdown($48)
Time5/11/15 11:57
Quant open75
Worst price109.40
Drawdown as % of equity-0.29%
 $57
Includes Typical Broker Commissions trade costs of $1.50
5/12/15 10:16 RWM PROSHARES SHORT RUSSELL2000 LONG 138 59.96 5/15 11:01 58.84 1.01%
Trade id #94371309
Max drawdown($171)
Time5/14/15 13:37
Quant open553
Worst price14.68
Drawdown as % of equity-1.01%
 ($158)
Includes Typical Broker Commissions trade costs of $2.76
3/13/15 15:44 ERX DIREXION DAILY ENERGY BULL 2X SHORT 246 48.16 3/18 12:44 51.10 4.41%
Trade id #93221009
Max drawdown($747)
Time3/18/15 12:40
Quant open-246
Worst price51.20
Drawdown as % of equity-4.41%
 ($728)
Includes Typical Broker Commissions trade costs of $4.92
3/13/15 11:37 EDC DIREXION DAILY EMRG MKTS BULL SHORT 144 82.36 3/16 15:46 85.96 3.34%
Trade id #93213775
Max drawdown($564)
Time3/16/15 15:04
Quant open-576
Worst price21.57
Drawdown as % of equity-3.34%
 ($521)
Includes Typical Broker Commissions trade costs of $2.88
1/21/15 15:48 TMV DIREXION DAILY 20+ YR TRSY BEA SHORT 450 26.34 2/6 10:16 27.09 3.26%
Trade id #92012524
Max drawdown($612)
Time1/22/15 8:46
Quant open-450
Worst price27.70
Drawdown as % of equity-3.26%
 ($347)
Includes Typical Broker Commissions trade costs of $9.00
11/25/14 11:26 UWTI VELOCITYSHARES 3X LONG CRUDE E SHORT 700 14.42 2/2/15 15:41 3.44 0.72%
Trade id #90986577
Max drawdown($119)
Time11/26/14 8:12
Quant open-700
Worst price14.59
Drawdown as % of equity-0.72%
 $7,681
Includes Typical Broker Commissions trade costs of $5.00
1/2/15 15:52 SRS PROSHARES ULTRASHORT REAL ESTA SHORT 300 49.56 2/2 10:01 47.04 0.89%
Trade id #91639243
Max drawdown($168)
Time1/5/15 9:35
Quant open-1,200
Worst price12.53
Drawdown as % of equity-0.89%
 $750
Includes Typical Broker Commissions trade costs of $6.00
1/12/15 15:16 RUSL DIREXION DAILY RUSSIA BULL 2X SHORT 205 66.12 1/21 9:42 73.08 7.75%
Trade id #91808390
Max drawdown($1,551)
Time1/21/15 9:42
Quant open-821
Worst price18.42
Drawdown as % of equity-7.75%
 ($1,431)
Includes Typical Broker Commissions trade costs of $4.10
1/6/15 13:58 TMV DIREXION DAILY 20+ YR TRSY BEA SHORT 472 27.77 1/8 10:26 28.72 2.45%
Trade id #91696414
Max drawdown($486)
Time1/8/15 10:16
Quant open-472
Worst price28.80
Drawdown as % of equity-2.45%
 ($457)
Includes Typical Broker Commissions trade costs of $9.44
Next

Statistics

  • Strategy began
    10/28/2013
  • Suggested Minimum Cap
    $10,000
  • Strategy Age (days)
    3829.57
  • Age
    128 months ago
  • What it trades
    Stocks
  • # Trades
    68
  • # Profitable
    30
  • % Profitable
    44.10%
  • Avg trade duration
    110.3 days
  • Max peak-to-valley drawdown
    %
  • drawdown period
    Dec , - Dec ,
  • Annual Return (Compounded)
    10.1%
  • Avg win
    $719.20
  • Avg loss
    $763.55
  • Model Account Values (Raw)
  • Cash
    $6,333
  • Margin Used
    $0
  • Buying Power
    ($706)
  • Ratios
  • W:L ratio
    0.76:1
  • Sharpe Ratio
    0.23
  • Sortino Ratio
    0.94
  • Calmar Ratio
    -0.333
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    6.06%
  • Correlation to SP500
    -0.32240
  • Return Percent SP500 (cumu) during strategy life
    187.82%
  • Return Statistics
  • Ann Return (w trading costs)
    10.1%
  • Slump
  • Current Slump as Pcnt Equity
    2438.40%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.89%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.101%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -10.5%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    71.00%
  • Chance of 20% account loss
    50.00%
  • Chance of 30% account loss
    22.50%
  • Chance of 40% account loss
    5.00%
  • 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
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    2.00%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    688
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $764
  • Avg Win
    $719
  • Sum Trade PL (losers)
    $29,015.000
  • Age
  • Num Months filled monthly returns table
    87
  • Win / Loss
  • Sum Trade PL (winners)
    $21,576.000
  • # Winners
    30
  • Num Months Winners
    34
  • Dividends
  • Dividends Received in Model Acct
    568
  • Win / Loss
  • # Losers
    38
  • % Winners
    44.1%
  • Frequency
  • Avg Position Time (mins)
    158884.00
  • Avg Position Time (hrs)
    2648.06
  • Avg Trade Length
    110.3 days
  • Last Trade Ago
    3133
  • Regression
  • Alpha
    0.00
  • Beta
    -2.04
  • Treynor Index
    0.00
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.03
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    58.64
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    24.58
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.33
  • MAE:Equity, average, winning trades
    0.02
  • MAE:Equity, average, losing trades
    0.04
  • Avg(MAE) / Avg(PL) - All trades
    -10.392
  • 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
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    0.277
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.145
  • Hold-and-Hope Ratio
    -0.213
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.27859
  • SD
    0.38837
  • Sharpe ratio (Glass type estimate)
    0.71734
  • Sharpe ratio (Hedges UMVUE)
    0.69365
  • df
    23.00000
  • t
    1.01447
  • p
    0.16045
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.69139
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.11093
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.70668
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.09397
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.41459
  • Upside Potential Ratio
    3.25377
  • Upside part of mean
    0.64080
  • Downside part of mean
    -0.36221
  • Upside SD
    0.33500
  • Downside SD
    0.19694
  • N nonnegative terms
    12.00000
  • N negative terms
    12.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    24.00000
  • Mean of predictor
    0.04009
  • Mean of criterion
    0.27859
  • SD of predictor
    0.09320
  • SD of criterion
    0.38837
  • Covariance
    0.00821
  • r
    0.22681
  • b (slope, estimate of beta)
    0.94514
  • a (intercept, estimate of alpha)
    0.24070
  • Mean Square Error
    0.14957
  • DF error
    22.00000
  • t(b)
    1.09228
  • p(b)
    0.14326
  • t(a)
    0.87316
  • p(a)
    0.19600
  • Lowerbound of 95% confidence interval for beta
    -0.84936
  • Upperbound of 95% confidence interval for beta
    2.73965
  • Lowerbound of 95% confidence interval for alpha
    -0.33099
  • Upperbound of 95% confidence interval for alpha
    0.81238
  • Treynor index (mean / b)
    0.29476
  • Jensen alpha (a)
    0.24070
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.20737
  • SD
    0.37512
  • Sharpe ratio (Glass type estimate)
    0.55281
  • Sharpe ratio (Hedges UMVUE)
    0.53455
  • df
    23.00000
  • t
    0.78179
  • p
    0.22116
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.84806
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.94193
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.85994
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.92903
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.97269
  • Upside Potential Ratio
    2.77127
  • Upside part of mean
    0.59081
  • Downside part of mean
    -0.38344
  • Upside SD
    0.30493
  • Downside SD
    0.21319
  • N nonnegative terms
    12.00000
  • N negative terms
    12.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    24.00000
  • Mean of predictor
    0.03584
  • Mean of criterion
    0.20737
  • SD of predictor
    0.09320
  • SD of criterion
    0.37512
  • Covariance
    0.00709
  • r
    0.20268
  • b (slope, estimate of beta)
    0.81580
  • a (intercept, estimate of alpha)
    0.17813
  • Mean Square Error
    0.14107
  • DF error
    22.00000
  • t(b)
    0.97082
  • p(b)
    0.17110
  • t(a)
    0.66643
  • p(a)
    0.25603
  • Lowerbound of 95% confidence interval for beta
    -0.92692
  • Upperbound of 95% confidence interval for beta
    2.55853
  • Lowerbound of 95% confidence interval for alpha
    -0.37619
  • Upperbound of 95% confidence interval for alpha
    0.73244
  • Treynor index (mean / b)
    0.25419
  • Jensen alpha (a)
    0.17813
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.14857
  • Expected Shortfall on VaR
    0.18559
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.07006
  • Expected Shortfall on VaR
    0.13080
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    24.00000
  • Minimum
    0.80053
  • Quartile 1
    0.95979
  • Median
    1.00113
  • Quartile 3
    1.06885
  • Maximum
    1.26375
  • Mean of quarter 1
    0.90280
  • Mean of quarter 2
    0.97812
  • Mean of quarter 3
    1.03339
  • Mean of quarter 4
    1.18187
  • Inter Quartile Range
    0.10906
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.04167
  • Mean of outliers high
    1.26375
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.01874
  • VaR(95%) (moments method)
    0.09673
  • Expected Shortfall (moments method)
    0.12901
  • Extreme Value Index (regression method)
    0.39913
  • VaR(95%) (regression method)
    0.13433
  • Expected Shortfall (regression method)
    0.25590
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.01610
  • Quartile 1
    0.13456
  • Median
    0.25301
  • Quartile 3
    0.28250
  • Maximum
    0.31198
  • Mean of quarter 1
    0.01610
  • Mean of quarter 2
    0.25301
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.31198
  • Inter Quartile Range
    0.14794
  • 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)
    0.27220
  • Compounded annual return (geometric extrapolation)
    0.24274
  • Calmar ratio (compounded annual return / max draw down)
    0.77806
  • Compounded annual return / average of 25% largest draw downs
    0.77806
  • Compounded annual return / Expected Shortfall lognormal
    1.30793
  • 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
    0.20160
  • SD
    0.32123
  • Sharpe ratio (Glass type estimate)
    0.62758
  • Sharpe ratio (Hedges UMVUE)
    0.62692
  • df
    706.00000
  • t
    0.89971
  • p
    0.18429
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.74017
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.99493
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.74063
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.99446
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.98713
  • Upside Potential Ratio
    8.83839
  • Upside part of mean
    1.80507
  • Downside part of mean
    -1.60347
  • Upside SD
    0.24790
  • Downside SD
    0.20423
  • N nonnegative terms
    281.00000
  • N negative terms
    426.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    707.00000
  • Mean of predictor
    0.06564
  • Mean of criterion
    0.20160
  • SD of predictor
    0.12753
  • SD of criterion
    0.32123
  • Covariance
    0.00259
  • r
    0.06313
  • b (slope, estimate of beta)
    0.15901
  • a (intercept, estimate of alpha)
    0.26800
  • Mean Square Error
    0.10293
  • DF error
    705.00000
  • t(b)
    1.67950
  • p(b)
    0.04675
  • t(a)
    0.85390
  • p(a)
    0.19673
  • Lowerbound of 95% confidence interval for beta
    -0.02687
  • Upperbound of 95% confidence interval for beta
    0.34489
  • Lowerbound of 95% confidence interval for alpha
    -0.24837
  • Upperbound of 95% confidence interval for alpha
    0.63070
  • Treynor index (mean / b)
    1.26785
  • Jensen alpha (a)
    0.19117
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.15070
  • SD
    0.31823
  • Sharpe ratio (Glass type estimate)
    0.47355
  • Sharpe ratio (Hedges UMVUE)
    0.47305
  • df
    706.00000
  • t
    0.67889
  • p
    0.24871
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.89398
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.84078
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.89433
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.84043
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.72284
  • Upside Potential Ratio
    8.51674
  • Upside part of mean
    1.77555
  • Downside part of mean
    -1.62486
  • Upside SD
    0.24027
  • Downside SD
    0.20848
  • N nonnegative terms
    281.00000
  • N negative terms
    426.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    707.00000
  • Mean of predictor
    0.05750
  • Mean of criterion
    0.15070
  • SD of predictor
    0.12768
  • SD of criterion
    0.31823
  • Covariance
    0.00261
  • r
    0.06415
  • b (slope, estimate of beta)
    0.15988
  • a (intercept, estimate of alpha)
    0.14150
  • Mean Square Error
    0.10099
  • DF error
    705.00000
  • t(b)
    1.70674
  • p(b)
    0.04415
  • t(a)
    0.63815
  • p(a)
    0.26179
  • Lowerbound of 95% confidence interval for beta
    -0.02404
  • Upperbound of 95% confidence interval for beta
    0.34380
  • Lowerbound of 95% confidence interval for alpha
    -0.29385
  • Upperbound of 95% confidence interval for alpha
    0.57686
  • Treynor index (mean / b)
    0.94255
  • Jensen alpha (a)
    0.14150
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02740
  • Expected Shortfall on VaR
    0.03433
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01195
  • Expected Shortfall on VaR
    0.02429
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    707.00000
  • Minimum
    0.92339
  • Quartile 1
    0.99468
  • Median
    1.00000
  • Quartile 3
    1.00557
  • Maximum
    1.13426
  • Mean of quarter 1
    0.98264
  • Mean of quarter 2
    0.99881
  • Mean of quarter 3
    1.00162
  • Mean of quarter 4
    1.01939
  • Inter Quartile Range
    0.01089
  • Number outliers low
    45.00000
  • Percentage of outliers low
    0.06365
  • Mean of outliers low
    0.96464
  • Number of outliers high
    49.00000
  • Percentage of outliers high
    0.06931
  • Mean of outliers high
    1.04019
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.27134
  • VaR(95%) (moments method)
    0.01575
  • Expected Shortfall (moments method)
    0.02670
  • Extreme Value Index (regression method)
    0.15771
  • VaR(95%) (regression method)
    0.01607
  • Expected Shortfall (regression method)
    0.02503
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    15.00000
  • Minimum
    0.00058
  • Quartile 1
    0.00843
  • Median
    0.02229
  • Quartile 3
    0.09392
  • Maximum
    0.35012
  • Mean of quarter 1
    0.00287
  • Mean of quarter 2
    0.01613
  • Mean of quarter 3
    0.06074
  • Mean of quarter 4
    0.22731
  • Inter Quartile Range
    0.08549
  • 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
    0.13333
  • Mean of outliers high
    0.34543
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.27670
  • VaR(95%) (moments method)
    0.22874
  • Expected Shortfall (moments method)
    0.28946
  • Extreme Value Index (regression method)
    -2.21417
  • VaR(95%) (regression method)
    0.26310
  • Expected Shortfall (regression method)
    0.26642
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.19034
  • Compounded annual return (geometric extrapolation)
    0.17427
  • Calmar ratio (compounded annual return / max draw down)
    0.49775
  • Compounded annual return / average of 25% largest draw downs
    0.76668
  • Compounded annual return / Expected Shortfall lognormal
    5.07637
  • 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
    -0.34111
  • SD
    0.18286
  • Sharpe ratio (Glass type estimate)
    -1.86546
  • Sharpe ratio (Hedges UMVUE)
    -1.85726
  • df
    171.00000
  • t
    -1.31908
  • p
    0.56379
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.64167
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.91603
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.63605
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.92152
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.40058
  • Upside Potential Ratio
    7.48844
  • Upside part of mean
    1.06407
  • Downside part of mean
    -1.40518
  • Upside SD
    0.11571
  • Downside SD
    0.14209
  • N nonnegative terms
    63.00000
  • N negative terms
    109.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    -0.08665
  • Mean of criterion
    -0.34111
  • SD of predictor
    0.16812
  • SD of criterion
    0.18286
  • Covariance
    -0.00262
  • r
    -0.08538
  • b (slope, estimate of beta)
    -0.09287
  • a (intercept, estimate of alpha)
    -0.34916
  • Mean Square Error
    0.03339
  • DF error
    170.00000
  • t(b)
    -1.11736
  • p(b)
    0.54269
  • t(a)
    -1.35065
  • p(a)
    0.55152
  • Lowerbound of 95% confidence interval for beta
    -0.25694
  • Upperbound of 95% confidence interval for beta
    0.07120
  • Lowerbound of 95% confidence interval for alpha
    -0.85946
  • Upperbound of 95% confidence interval for alpha
    0.16115
  • Treynor index (mean / b)
    3.67304
  • Jensen alpha (a)
    -0.34916
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.35794
  • SD
    0.18321
  • Sharpe ratio (Glass type estimate)
    -1.95376
  • Sharpe ratio (Hedges UMVUE)
    -1.94518
  • df
    171.00000
  • t
    -1.38152
  • p
    0.56676
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.73044
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.82852
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.72464
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.83429
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.49660
  • Upside Potential Ratio
    7.37527
  • Upside part of mean
    1.05741
  • Downside part of mean
    -1.41536
  • Upside SD
    0.11483
  • Downside SD
    0.14337
  • N nonnegative terms
    63.00000
  • N negative terms
    109.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    -0.10074
  • Mean of criterion
    -0.35794
  • SD of predictor
    0.16843
  • SD of criterion
    0.18321
  • Covariance
    -0.00263
  • r
    -0.08521
  • b (slope, estimate of beta)
    -0.09268
  • a (intercept, estimate of alpha)
    -0.36728
  • Mean Square Error
    0.03352
  • DF error
    170.00000
  • t(b)
    -1.11505
  • p(b)
    0.54261
  • t(a)
    -1.41782
  • p(a)
    0.55405
  • VAR (95 Confidence Intrvl)
    0.07300
  • Lowerbound of 95% confidence interval for beta
    -0.25677
  • Upperbound of 95% confidence interval for beta
    0.07140
  • Lowerbound of 95% confidence interval for alpha
    -0.87864
  • Upperbound of 95% confidence interval for alpha
    0.14408
  • Treynor index (mean / b)
    3.86199
  • Jensen alpha (a)
    -0.36728
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01714
  • Expected Shortfall on VaR
    0.02118
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01089
  • Expected Shortfall on VaR
    0.01967
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    172.00000
  • Minimum
    0.96913
  • Quartile 1
    0.99330
  • Median
    1.00000
  • Quartile 3
    1.00426
  • Maximum
    1.02572
  • Mean of quarter 1
    0.98618
  • Mean of quarter 2
    0.99756
  • Mean of quarter 3
    1.00109
  • Mean of quarter 4
    1.01132
  • Inter Quartile Range
    0.01096
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.01744
  • Mean of outliers low
    0.97293
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.01163
  • Mean of outliers high
    1.02347
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.39357
  • VaR(95%) (moments method)
    0.01405
  • Expected Shortfall (moments method)
    0.01643
  • Extreme Value Index (regression method)
    -0.15984
  • VaR(95%) (regression method)
    0.01406
  • Expected Shortfall (regression method)
    0.01751
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00018
  • Quartile 1
    0.00752
  • Median
    0.01043
  • Quartile 3
    0.05066
  • Maximum
    0.22254
  • Mean of quarter 1
    0.00281
  • Mean of quarter 2
    0.01002
  • Mean of quarter 3
    0.02427
  • Mean of quarter 4
    0.14980
  • Inter Quartile Range
    0.04314
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.14286
  • Mean of outliers high
    0.22254
  • 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
    0.75%
  • Expected Shortfall (regression method)
    0.00000
  • Max Equity Drawdown (num days)
    305
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.31940
  • Compounded annual return (geometric extrapolation)
    -0.29390
  • Calmar ratio (compounded annual return / max draw down)
    -1.32064
  • Compounded annual return / average of 25% largest draw downs
    -1.96198
  • Compounded annual return / Expected Shortfall lognormal
    -13.87510

Strategy Description

GIR-Short Leveraged ETFs is a system designed to do just what the title implies. We use the same methodology as our other very successful system (Global Investing Report-Sector Leaders) except rather than going long ETFs, we short the opposite side.

This strategy provides many benefits over buying leveraged ETFs. Leveraged ETFs, due to their structure, are re-balanced daily and experience a steady decay in price. Even if the underlying index moves against us, the trade can be profitable as long as the move is not too great. If the underlying index trades sideways, or in our direction, the trade will be profitable. Shorting leveraged gives us the opportunity to profit regardless of which way the underlying index moves (of course, not ALL trades will be profitable). This is a huge advantage over BUYING leveraged ETFs.

We attempt to trade only the more liquid leveraged ETFs because the availability of sufficient shares to short can become an issue with ETFs with very low trading volume. If you are considering this strategy, please check with your broker and inquire as to their inventory of leveraged ETF shares. Our experience has shown that Interactive Brokers and TD Ameritrade maintain very good inventories of leveraged ETFs due to their size. (These are not recommendation but only suggestions).

We transitioned to this current strategy (Shorting Leveraged ETFs) on 12/11/2013. The original system bought and sold non-leveraged ETFs based on a different criteria. Since the transition, our system equity increased from $9,190 to $19,843 as of the date of this writing (11/30/2014) for a gain of 115.90% in less than 12 months.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2013-10-28
Suggested Minimum Capital
$25,000
# Trades
68
# Profitable
30
% Profitable
44.1%
Net Dividends
$568
Correlation S&P500
-0.322
Sharpe Ratio
0.23
Sortino Ratio
0.94
Beta
-2.04
Alpha
0.00

Latest Activity

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Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.

Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

Material assumptions and methods used when calculating results

The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.

  • Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
  • Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been re-scaled downward to make current go-forward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
  • All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any per-trade AutoTrade fees, plus estimated broker commissions if any.
  • "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.

Trading is risky

There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.

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