Collective2 Collective2
Featured Strategy MT3 Algotrading +89.2% Annual Return (Compounded) since Mar 31, 2023 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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Direxion TNA/TZA
(71690126)

Created by: PalAnand PalAnand
Started: 08/2011
Stocks
Last trade: 3,832 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 $89.00 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.

-
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
666
Num Trades
47.0%
Win Trades
0.8 : 1
Profit Factor
9.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2011                                                 +14.8%+162.9%+122.0%+1.4%(35%)+341.7%
2012(11.5%)+23.2%(29.1%)(11.4%)(15.4%)+17.4%(36%)(53.2%)+24.1%(16.2%)(52.9%)+184.1%(71.7%)
2013+102.5%(17.4%)+1.9%+30.7%(40.3%)+42.0%(68.1%)(57.6%)+309.6%+114.1%(93.4%)+12.4%(83.3%)
2014(1199.1%)(58.9%)(1.2%)  -    -    -    -    -    -    -    -    -  (1867.7%)
2015  -    -    -    -  (0.6%)  -    -    -    -  (0.5%)  -    -  (0.1%)
2016  -    -  (0.1%)  -    -    -  (19.3%)(160.8%)  -    -    -    -  (211.5%)
2017  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2018  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2019  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2020  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -    -    -    -    -    -                          

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
2/12/14 13:56 CBMXW COMBIMATRIX CORPORATION WARRANT LONG 13,530 12.62 3/11 10:37 2.41 627.7%
Trade id #85754567
Max drawdown($138,344)
Time3/10/14 16:00
Quant open13,530
Worst price2.39
Drawdown as % of equity627.70%
 ($138,082)
Includes Typical Broker Commissions trade costs of $7.50
2/10/14 10:25 TDH DEUTSCHE X TRACKERS 2020 TARGE LONG 2,584 26.50 2/12 13:18 26.00 1.51%
Trade id #85688343
Max drawdown($1,679)
Time2/10/14 14:04
Quant open2,584
Worst price25.85
Drawdown as % of equity-1.51%
 ($1,297)
Includes Typical Broker Commissions trade costs of $5.00
2/7/14 10:12 NUGT DIREXION DAILY GOLD MINERS BULL 2X LONG 297 370.30 2/7 13:22 374.70 1.08%
Trade id #85660877
Max drawdown($1,188)
Time2/7/14 10:30
Quant open2,972
Worst price36.63
Drawdown as % of equity-1.08%
 $1,301
Includes Typical Broker Commissions trade costs of $5.94
2/3/14 11:23 CARV CARVER BANCORP LONG 8,876 12.10 2/6 14:11 12.00 18.67%
Trade id #85549823
Max drawdown($19,881)
Time2/5/14 9:45
Quant open8,876
Worst price9.86
Drawdown as % of equity-18.67%
 ($893)
Includes Typical Broker Commissions trade costs of $5.00
1/30/14 12:11 CARV CARVER BANCORP LONG 21,892 13.57 1/30 15:35 10.82 35.42%
Trade id #85491040
Max drawdown($60,618)
Time1/30/14 15:03
Quant open21,892
Worst price10.80
Drawdown as % of equity-35.42%
 ($60,211)
Includes Typical Broker Commissions trade costs of $7.50
1/28/14 11:37 DL CHINA DISTANCE EDUCATION LONG 6,765 21.48 1/30 9:31 20.67 4.91%
Trade id #85429218
Max drawdown($8,929)
Time1/29/14 9:40
Quant open6,765
Worst price20.16
Drawdown as % of equity-4.91%
 ($5,485)
Includes Typical Broker Commissions trade costs of $5.00
1/29/14 11:00 ASTC ASTROTECH LONG 17,711 3.75 1/30 9:31 3.63 1.42%
Trade id #85457715
Max drawdown($2,479)
Time1/29/14 16:00
Quant open17,711
Worst price3.61
Drawdown as % of equity-1.42%
 ($2,130)
Includes Typical Broker Commissions trade costs of $5.00
1/28/14 11:08 NVEEW NV5 HOLDINGS INC. WARRANT J LONG 3,950 2.80 1/29 10:47 2.31 1.4%
Trade id #85428108
Max drawdown($2,607)
Time1/28/14 15:50
Quant open3,950
Worst price2.14
Drawdown as % of equity-1.40%
 ($1,941)
Includes Typical Broker Commissions trade costs of $5.00
1/24/14 10:55 UVXY PROSHARES ULTRA VIX SHORT-TERM LONG 78 1662.50 1/28 10:41 1715.50 n/a $5,848
Includes Typical Broker Commissions trade costs of $1.57
1/23/14 11:43 BNSO BONSO ELECTRONICS INTL LONG 76,657 2.60 1/24 9:32 2.20 18.92%
Trade id #85336077
Max drawdown($39,095)
Time1/23/14 12:45
Quant open76,657
Worst price2.09
Drawdown as % of equity-18.92%
 ($30,668)
Includes Typical Broker Commissions trade costs of $5.00
1/23/14 11:20 SILC SILICOM LONG 2,584 60.08 1/23 11:36 59.07 1.33%
Trade id #85335110
Max drawdown($2,739)
Time1/23/14 11:34
Quant open2,584
Worst price59.02
Drawdown as % of equity-1.33%
 ($2,615)
Includes Typical Broker Commissions trade costs of $5.00
1/22/14 10:47 LUNA LUNA INNOVATIONS LONG 99,000 3.18 1/23 10:29 2.10 46.09%
Trade id #85306105
Max drawdown($114,840)
Time1/23/14 9:49
Quant open99,000
Worst price2.02
Drawdown as % of equity-46.09%
 ($106,925)
Includes Typical Broker Commissions trade costs of $5.00
1/21/14 13:38 KOOL NORTH SHORE EQUITY ROTATION ETF LONG 5,500 34.80 1/22 9:30 57.00 1.64%
Trade id #85284790
Max drawdown($3,300)
Time1/21/14 15:04
Quant open110,000
Worst price1.71
Drawdown as % of equity-1.64%
 $122,095
Includes Typical Broker Commissions trade costs of $5.00
1/21/14 11:28 KOOL NORTH SHORE EQUITY ROTATION ETF LONG 5,586 32.60 1/21 12:49 34.40 1.65%
Trade id #85281308
Max drawdown($3,351)
Time1/21/14 11:31
Quant open111,726
Worst price1.60
Drawdown as % of equity-1.65%
 $10,050
Includes Typical Broker Commissions trade costs of $5.00
1/17/14 10:44 KONE KINGTONE WIRELESSINFO LONG 12,543 13.85 1/21 10:34 10.83 20.23%
Trade id #85237619
Max drawdown($41,015)
Time1/21/14 9:31
Quant open12,543
Worst price10.58
Drawdown as % of equity-20.23%
 ($37,890)
Includes Typical Broker Commissions trade costs of $10.00
1/7/14 11:07 VRS VERSO CORPORATION LONG 57,314 4.57 1/17 10:06 3.11 39.24%
Trade id #85029582
Max drawdown($89,667)
Time1/16/14 16:00
Quant open57,314
Worst price3.00
Drawdown as % of equity-39.24%
 ($83,400)
Includes Typical Broker Commissions trade costs of $7.50
1/6/14 10:28 SCTY SOLARCITY LONG 4,181 66.48 1/13 9:57 64.83 5.29%
Trade id #85005260
Max drawdown($16,013)
Time1/7/14 10:18
Quant open4,181
Worst price62.65
Drawdown as % of equity-5.29%
 ($6,921)
Includes Typical Broker Commissions trade costs of $7.50
1/3/14 10:43 JRJC CHINA FINANCE ONLINE LONG 46,368 6.68 1/6 9:56 5.98 10.73%
Trade id #84980604
Max drawdown($36,167)
Time1/6/14 9:38
Quant open46,368
Worst price5.90
Drawdown as % of equity-10.73%
 ($32,463)
Includes Typical Broker Commissions trade costs of $5.00
11/21/13 10:43 CBMXW COMBIMATRIX CORPORATION WARRANT LONG 485,572 1.76 1/3/14 9:48 0.61 97.23%
Trade id #84213077
Max drawdown($562,050)
Time11/27/13 15:23
Quant open364,179
Worst price0.37
Drawdown as % of equity-97.23%
 ($558,421)
Includes Typical Broker Commissions trade costs of $12.50
11/22/13 13:37 PTIX PROTAGENIC THERAPEUTICS INC. LONG 28,657 3.69 11/25 9:58 3.56 0.64%
Trade id #84241758
Max drawdown($4,585)
Time11/22/13 14:16
Quant open28,657
Worst price3.53
Drawdown as % of equity-0.64%
 ($3,730)
Includes Typical Broker Commissions trade costs of $5.00
11/21/13 11:27 FONR FONAR LONG 32,838 20.32 11/22 9:42 21.20 3.57%
Trade id #84214435
Max drawdown($33,713)
Time11/21/13 15:13
Quant open21,892
Worst price19.21
Drawdown as % of equity-3.57%
 $28,997
Includes Typical Broker Commissions trade costs of $10.00
11/20/13 12:41 GALE GALENA BIOPHARMA LONG 28,657 3.35 11/21 11:34 3.48 0.5%
Trade id #84190548
Max drawdown($4,585)
Time11/20/13 14:56
Quant open28,657
Worst price3.19
Drawdown as % of equity-0.50%
 $3,720
Includes Typical Broker Commissions trade costs of $5.00
11/20/13 11:13 AERI AERIE PHARMACEUTICALS INC. CO LONG 17,711 12.44 11/21 10:43 12.01 1.23%
Trade id #84187264
Max drawdown($11,335)
Time11/20/13 15:56
Quant open17,711
Worst price11.80
Drawdown as % of equity-1.23%
 ($7,621)
Includes Typical Broker Commissions trade costs of $5.00
11/20/13 10:44 MARK REMARK HOLDINGS INC LONG 150,050 5.25 11/21 10:42 5.15 4.32%
Trade id #84185986
Max drawdown($39,763)
Time11/20/13 10:48
Quant open75,025
Worst price4.81
Drawdown as % of equity-4.32%
 ($14,263)
Includes Typical Broker Commissions trade costs of $7.50
11/20/13 12:53 PCOM POINTS INTERNATIONAL LONG 8,362 26.49 11/21 10:42 26.17 0.52%
Trade id #84190876
Max drawdown($4,933)
Time11/21/13 10:22
Quant open8,362
Worst price25.90
Drawdown as % of equity-0.52%
 ($2,684)
Includes Typical Broker Commissions trade costs of $7.50
11/20/13 11:49 PLNR PLANAR SYSTEMS LONG 46,368 2.45 11/21 10:42 2.35 0.96%
Trade id #84188798
Max drawdown($8,809)
Time11/20/13 15:42
Quant open46,368
Worst price2.26
Drawdown as % of equity-0.96%
 ($4,642)
Includes Typical Broker Commissions trade costs of $5.00
11/20/13 12:26 ZHNE ZHONE TECHNOLOGIES LONG 17,711 5.10 11/21 10:42 5.07 0.34%
Trade id #84190005
Max drawdown($3,187)
Time11/21/13 9:38
Quant open17,711
Worst price4.92
Drawdown as % of equity-0.34%
 ($536)
Includes Typical Broker Commissions trade costs of $5.00
11/20/13 12:18 ESCA ESCALADE LONG 10,946 9.82 11/20 13:13 9.84 0%
Trade id #84189705
Max drawdown$0
Time11/20/13 12:29
Quant open10,946
Worst price9.82
Drawdown as % of equity0.00%
 $214
Includes Typical Broker Commissions trade costs of $5.00
11/20/13 11:31 ANIP ANI PHARMACEUTICALS LONG 13,530 13.33 11/20 12:40 13.24 0.14%
Trade id #84188263
Max drawdown($1,285)
Time11/20/13 12:40
Quant open0
Worst price13.24
Drawdown as % of equity-0.14%
 ($1,293)
Includes Typical Broker Commissions trade costs of $7.50
11/19/13 13:02 IPCI INTELLIPHARMACEUTICS LONG 46,368 4.37 11/20 11:24 5.30 1.19%
Trade id #84163578
Max drawdown($10,664)
Time11/19/13 13:11
Quant open46,368
Worst price4.14
Drawdown as % of equity-1.19%
 $42,938
Includes Typical Broker Commissions trade costs of $7.50
Next

Statistics

  • Strategy began
    8/22/2011
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    4755.88
  • Age
    159 months ago
  • What it trades
    Stocks
  • # Trades
    666
  • # Profitable
    313
  • % Profitable
    47.00%
  • Avg trade duration
    1.6 days
  • Max peak-to-valley drawdown
    %
  • drawdown period
    Dec , - Dec ,
  • Annual Return (Compounded)
    0.0%
  • Avg win
    $15,342
  • Avg loss
    $16,182
  • Model Account Values (Raw)
  • Cash
    ($810,361)
  • Margin Used
    $0
  • Buying Power
    ($810,361)
  • Ratios
  • W:L ratio
    0.84:1
  • Sharpe Ratio
    0.64
  • Sortino Ratio
    2.73
  • Calmar Ratio
    -0.909
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -555.97%
  • Correlation to SP500
    -0.04330
  • Return Percent SP500 (cumu) during strategy life
    381.44%
  • Return Statistics
  • Ann Return (w trading costs)
    n/a
  • Slump
  • Current Slump as Pcnt Equity
    n/a
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.98%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    n/a
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    n/a
  • 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)
    100.00%
  • Chance of 70% account loss (Monte Carlo)
    100.00%
  • Chance of 80% account loss (Monte Carlo)
    100.00%
  • Chance of 90% account loss (Monte Carlo)
    100.00%
  • Chance of 100% account loss (Monte Carlo)
    100.00%
  • 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
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $16,183
  • Avg Win
    $15,342
  • Sum Trade PL (losers)
    $5,712,520.000
  • Age
  • Num Months filled monthly returns table
    30
  • Win / Loss
  • Sum Trade PL (winners)
    $4,802,160.000
  • # Winners
    313
  • Num Months Winners
    15
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    353
  • % Winners
    47.0%
  • Frequency
  • Avg Position Time (mins)
    2271.33
  • Avg Position Time (hrs)
    37.86
  • Avg Trade Length
    1.6 days
  • Last Trade Ago
    3824
  • Regression
  • Alpha
    0.00
  • Beta
    -1.81
  • Treynor Index
    0.00
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.11
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    80.34
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    43.71
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    1.11
  • MAE:Equity, average, winning trades
    0.04
  • MAE:Equity, average, losing trades
    0.17
  • Avg(MAE) / Avg(PL) - All trades
    -5.364
  • 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
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.492
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.265
  • Hold-and-Hope Ratio
    -0.186
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.57963
  • SD
    1.59514
  • Sharpe ratio (Glass type estimate)
    0.36337
  • Sharpe ratio (Hedges UMVUE)
    0.35684
  • df
    42.00000
  • t
    0.68785
  • p
    0.24766
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.67702
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.39954
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.68136
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.39503
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.74492
  • Upside Potential Ratio
    2.40276
  • Upside part of mean
    1.86960
  • Downside part of mean
    -1.28997
  • Upside SD
    1.38125
  • Downside SD
    0.77811
  • N nonnegative terms
    15.00000
  • N negative terms
    28.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    43.00000
  • Mean of predictor
    0.17475
  • Mean of criterion
    0.57963
  • SD of predictor
    0.14456
  • SD of criterion
    1.59514
  • Covariance
    0.02712
  • r
    0.11759
  • b (slope, estimate of beta)
    1.29748
  • a (intercept, estimate of alpha)
    0.35289
  • Mean Square Error
    2.57050
  • DF error
    41.00000
  • t(b)
    0.75818
  • p(b)
    0.22634
  • t(a)
    0.39288
  • p(a)
    0.34822
  • Lowerbound of 95% confidence interval for beta
    -2.15858
  • Upperbound of 95% confidence interval for beta
    4.75354
  • Lowerbound of 95% confidence interval for alpha
    -1.46109
  • Upperbound of 95% confidence interval for alpha
    2.16686
  • Treynor index (mean / b)
    0.44673
  • Jensen alpha (a)
    0.35289
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -3.22286
  • SD
    6.41502
  • Sharpe ratio (Glass type estimate)
    -0.50239
  • Sharpe ratio (Hedges UMVUE)
    -0.49336
  • df
    42.00000
  • t
    -0.95102
  • p
    0.82648
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.54038
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.54144
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.53411
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.54739
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.50785
  • Upside Potential Ratio
    0.21193
  • Upside part of mean
    1.34491
  • Downside part of mean
    -4.56777
  • Upside SD
    0.88819
  • Downside SD
    6.34603
  • N nonnegative terms
    15.00000
  • N negative terms
    28.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    43.00000
  • Mean of predictor
    0.16342
  • Mean of criterion
    -3.22286
  • SD of predictor
    0.14281
  • SD of criterion
    6.41502
  • Covariance
    -0.05205
  • r
    -0.05682
  • b (slope, estimate of beta)
    -2.55216
  • a (intercept, estimate of alpha)
    -2.80580
  • Mean Square Error
    42.02010
  • DF error
    41.00000
  • t(b)
    -0.36439
  • p(b)
    0.64128
  • t(a)
    -0.77710
  • p(a)
    0.77922
  • Lowerbound of 95% confidence interval for beta
    -16.69690
  • Upperbound of 95% confidence interval for beta
    11.59260
  • Lowerbound of 95% confidence interval for alpha
    -10.09760
  • Upperbound of 95% confidence interval for alpha
    4.48598
  • Treynor index (mean / b)
    1.26280
  • Jensen alpha (a)
    -2.80580
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.96365
  • Expected Shortfall on VaR
    0.98000
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.29056
  • Expected Shortfall on VaR
    0.55552
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    43.00000
  • Minimum
    0.00001
  • Quartile 1
    0.82654
  • Median
    1.00000
  • Quartile 3
    1.09309
  • Maximum
    2.97294
  • Mean of quarter 1
    0.62635
  • Mean of quarter 2
    0.95554
  • Mean of quarter 3
    1.01225
  • Mean of quarter 4
    1.59903
  • Inter Quartile Range
    0.26655
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.02326
  • Mean of outliers low
    0.00001
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.09302
  • Mean of outliers high
    2.13035
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.30136
  • VaR(95%) (moments method)
    0.41037
  • Expected Shortfall (moments method)
    0.66998
  • Extreme Value Index (regression method)
    0.84737
  • VaR(95%) (regression method)
    0.39338
  • Expected Shortfall (regression method)
    1.93099
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    1.00000
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00000
  • 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
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.27907
  • Compounded annual return (geometric extrapolation)
    -0.95976
  • Calmar ratio (compounded annual return / max draw down)
    -0.95976
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -0.97935
  • 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
    0.04785
  • SD
    1.54741
  • Sharpe ratio (Glass type estimate)
    0.03092
  • Sharpe ratio (Hedges UMVUE)
    0.03090
  • df
    1252.00000
  • t
    0.05901
  • p
    0.49917
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.99604
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.05788
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.99605
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.05786
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.05518
  • Upside Potential Ratio
    4.93201
  • Upside part of mean
    4.27703
  • Downside part of mean
    -4.22918
  • Upside SD
    1.28084
  • Downside SD
    0.86720
  • N nonnegative terms
    350.00000
  • N negative terms
    903.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1253.00000
  • Mean of predictor
    0.17510
  • Mean of criterion
    0.04785
  • SD of predictor
    0.16463
  • SD of criterion
    1.54741
  • Covariance
    -0.01053
  • r
    -0.04132
  • b (slope, estimate of beta)
    -0.38835
  • a (intercept, estimate of alpha)
    0.04300
  • Mean Square Error
    2.39230
  • DF error
    1251.00000
  • t(b)
    -1.46261
  • p(b)
    0.52630
  • t(a)
    0.14271
  • p(a)
    0.49743
  • Lowerbound of 95% confidence interval for beta
    -0.90925
  • Upperbound of 95% confidence interval for beta
    0.13256
  • Lowerbound of 95% confidence interval for alpha
    -1.47670
  • Upperbound of 95% confidence interval for alpha
    1.70840
  • Treynor index (mean / b)
    -0.12321
  • Jensen alpha (a)
    0.11585
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -3.17072
  • SD
    5.33580
  • Sharpe ratio (Glass type estimate)
    -0.59424
  • Sharpe ratio (Hedges UMVUE)
    -0.59388
  • df
    1252.00000
  • t
    -1.13411
  • p
    0.51602
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.62134
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.43310
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.62110
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.43334
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.60220
  • Upside Potential Ratio
    0.72167
  • Upside part of mean
    3.79976
  • Downside part of mean
    -6.97048
  • Upside SD
    0.86854
  • Downside SD
    5.26525
  • N nonnegative terms
    350.00000
  • N negative terms
    903.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1253.00000
  • Mean of predictor
    0.16152
  • Mean of criterion
    -3.17072
  • SD of predictor
    0.16458
  • SD of criterion
    5.33580
  • Covariance
    -0.00958
  • r
    -0.01091
  • b (slope, estimate of beta)
    -0.35372
  • a (intercept, estimate of alpha)
    -3.11359
  • Mean Square Error
    28.49010
  • DF error
    1251.00000
  • t(b)
    -0.38591
  • p(b)
    0.50695
  • t(a)
    -1.11174
  • p(a)
    0.52000
  • Lowerbound of 95% confidence interval for beta
    -2.15195
  • Upperbound of 95% confidence interval for beta
    1.44450
  • Lowerbound of 95% confidence interval for alpha
    -8.60807
  • Upperbound of 95% confidence interval for alpha
    2.38089
  • Treynor index (mean / b)
    8.96384
  • Jensen alpha (a)
    -3.11359
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.38271
  • Expected Shortfall on VaR
    0.44965
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03479
  • Expected Shortfall on VaR
    0.07706
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1253.00000
  • Minimum
    0.00005
  • Quartile 1
    0.99607
  • Median
    1.00000
  • Quartile 3
    1.00207
  • Maximum
    2.98812
  • Mean of quarter 1
    0.95129
  • Mean of quarter 2
    0.99973
  • Mean of quarter 3
    1.00013
  • Mean of quarter 4
    1.04968
  • Inter Quartile Range
    0.00600
  • Number outliers low
    242.00000
  • Percentage of outliers low
    0.19314
  • Mean of outliers low
    0.93931
  • Number of outliers high
    222.00000
  • Percentage of outliers high
    0.17717
  • Mean of outliers high
    1.06764
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.42171
  • VaR(95%) (moments method)
    0.02182
  • Expected Shortfall (moments method)
    0.04830
  • Extreme Value Index (regression method)
    0.42481
  • VaR(95%) (regression method)
    0.03983
  • Expected Shortfall (regression method)
    0.09331
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00975
  • Quartile 1
    0.04238
  • Median
    0.06719
  • Quartile 3
    0.46706
  • Maximum
    1.00000
  • Mean of quarter 1
    0.02328
  • Mean of quarter 2
    0.05757
  • Mean of quarter 3
    0.09360
  • Mean of quarter 4
    0.92025
  • Inter Quartile Range
    0.42468
  • 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)
    -0.27454
  • Compounded annual return (geometric extrapolation)
    -0.95761
  • Calmar ratio (compounded annual return / max draw down)
    -0.95761
  • Compounded annual return / average of 25% largest draw downs
    -1.04059
  • Compounded annual return / Expected Shortfall lognormal
    -2.12966
  • 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
    0.06083
  • Mean of criterion
    -0.00995
  • SD of predictor
    0.24705
  • 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
    0.03047
  • Mean of criterion
    -0.00995
  • SD of predictor
    0.24714
  • 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)
    -22262000000000000.00000
  • p(a)
    1.00000
  • VAR (95 Confidence Intrvl)
    0.38200
  • 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)
    -386102999999999985834210686402560.00000
  • 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
    0.50%
  • Expected Shortfall (regression method)
    0.00000
  • Max Equity Drawdown (num days)
    98
  • 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

The expertise of the principal establishes the foundation for an analytical discipline employing a macro, top-down, bottom-up perspective in a framework tailored to the asset allocation challenges facing investment professionals, professional & proprietary traders, brokers, accredited investors, hedge fund & asset managers whose main purpose is to maximize the return. We are uniquely positioned to provide high value-added in the quest for superior returns with an approach geared to the portfolio investors need to choose from among competing asset classes on low risk/high reward (Prudent) basis taking into account the difficulty of picking winners, commission, slippage costs and tax consequences.

Our client services are primarily delivered through http://collective2.com e-mails. Our Model Positions are representative positions that put our best economic forecasts to work. These are not recommendations to buy or sell specific instruments, nor are they personalized investment advice.

Model Positions are created at a size representing a fixed % of the portfolio. Larger versions of similar positions may involve market impact costs or other costs that we do not take into account.

The risk of a trade is defined as the dollar amount that the trade would lose per contract if it were a loss. Commonly, the trade risk is taken as the size of the money management stop applied, if any, to each trade. If your system doesnt use protective (money management) stops, the risk can be taken as the largest historical loss over a period of 30 recent trades. This is a modification of the approach Vince adopted in his book "Portfolio Management Formulas," John Wiley & Sons, New York, 1990. http://www.adaptrade.com/Articles/article-ffps.htm

Day-trading systems specialize in one market, do very well for a while & then suddenly fall to pieces. Many day-trading systems are taking extremely large positions which, in the event of any large intra-day moves or breakdown in exchange trading functions or server outages which happen from time to time, expose the account to wipe-out, even negative equity. Please also note that as with many systems that go for longer terms moves (although not all trades do this), the open equity plot favoured here at C2 sometimes provides a misleading, or we should say incomplete, picture. The most important negative points are those that involve actual (realized) account losses, which are not the same as an open equity (unrealized) drawdown. There are going to be open drawdowns. But in order to get the big moves, you have to be willing to give those profits a chance to run. Most times it works, sometimes it doesnt. What is not shown here on the C2 graph is the closed equity line. Usually, though not always, it shows a far smoother ride than looking at the open equity plot alone, which does tend to oscillate far more, and also with far larger moves than any day-trading system would permit.

Dr. David Druz says, "The more robust a system, the more volatile it tends to be! This is because robust systems are not optimized to particular markets or market conditions. The converse is also true. You can design systems with excellent returns & low volatility on historical testing, but which work only for given periods in given markets. These systems tend to be curve-fit or market-fit & are not robust." This quote comes from: http://www.tacticalnet.com/cgi-bin/t2.exe/VolatiltiyPaper.htm

The Formula for the ETF Long Term Return

The formula for the long term compound annual growth rate of a leveraged ETF cannot be written in terms of just the benchmark return and volatility. It also involves terms containing the skewness and kurtosis of the benchmark. It is derived using a Taylor series expansion. It does not assume that benchmark returns are Gaussian or that returns are continuous as do formulae derived using Ito?s lemma. But it turns out that for the world?s stock markets and for low levels of leverage (up to about 3) the formula can be approximated by this formula:

R = km - 0.5k^2s^2/(1 + km)

where R is the compound daily growth rate of the ETF, k is the ETF leverage (not necessarily an integer or positive), m is the mean daily return of the benchmark, and s is the daily

volatility (i.e. standard deviation) of the daily return of the benchmark. R is the quantity you use to calculate the long term buy-and-hold return of the ETF. You can see from the formula that if the volatility is zero then R = km so that the return of the ETF is k times the return of the benchmark. The 0.5k^2s^2=(1 + km) term is the volatility drag. Since k^2s^2 is always positive and (1+km) is always close to 1 then the volatility drag is always positive. R is a quadratic function of k with a negative coefficient for the square term. That means we will always get the parabola shape and we will always have a maximum for some value of k. Some algebra shows that the maximum is approximately (for small km) at

k = m/s^2

This clearly shows the return/volatility trade-off that determines the optimal leverage. This formula occurs in an appropriate form in the Kelly Criterion (Thorp 2006) and Merton?s Portfolio Problem (Merton 1969). Its appearance here as the result of an optimisation is no surprise.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2011-08-22
Suggested Minimum Capital
$100,000
# Trades
666
# Profitable
313
% Profitable
47.0%
Correlation S&P500
-0.043
Sharpe Ratio
0.64
Sortino Ratio
2.73
Beta
-1.81
Alpha
0.00

Latest Activity

#PERSONNAME#
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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Strategy is now visible

This strategy is now visible to the public. New subscribers will be able to follow it.

If you designate your strategy as Private, it will no longer be visible to the public.

No subscribers and simulations will be allowed. If you have subscribers, the strategy will still be visible to them.
If you have simulations, they will be stopped.

Continue to designate your strategy as Private?

Mark as Private Keep Public

Strategy is no longer visible

This strategy is no longer visible to anyone except current subscribers.

(Current subscribers will remain subscribed. You can see who is subscribed, and control their subscriptions, on your Subscriber Management screen.)

Finally, please note that you can restore public visibility at any time.

This strategy is no longer visible to the public. No subscribers will be allowed.

You can restore public visibility at any time.

Suggested Minimum Capital

This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.