Risk Tracker SPY
(77693338)
Subscription terms. You can subscribe to this system for free.
C2Star
C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.
You can read more about C2Star certification requirements here.
Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.
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 Cumulative Rate of Return is calculated
= (Ending_equity - Starting_equity) / Starting_equity
Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.
All results are hypothetical.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2012 | +4.4% | (0.3%) | +4.0% | ||||||||||
| 2013 | +0.6% | (2.5%) | (2.5%) | (2.3%) | (2.8%) | +2.3% | (6.1%) | +2.9% | (3%) | (7.4%) | (4%) | (3.3%) | (25.1%) |
| 2014 | +4.4% | (5.9%) | (3.1%) | (0.2%) | (3.2%) | (6.5%) | +4.3% | (7.9%) | +3.1% | (5.1%) | (4.7%) | (2.7%) | (25.1%) |
| 2015 | +9.2% | (12.8%) | +4.3% | (5.4%) | (0.8%) | +2.0% | +0.6% | +16.7% | +4.2% | (19.5%) | (0.5%) | +4.9% | (2.3%) |
| 2016 | +13.7% | (5.9%) | (9.4%) | (0.7%) | +1.6% | (6.1%) | (11.5%) | (0.4%) | +5.0% | +1.6% | (11%) | (11.3%) | (31.9%) |
| 2017 | (4.8%) | (17.3%) | +1.7% | (7.9%) | (8.6%) | +0.4% | (15.3%) | (3%) | (8.4%) | (29.5%) | (29.8%) | (29.7%) | (82.3%) |
| 2018 | (188.2%) | (103.2%) | +6402.0% | (51.9%) | (79.4%) | (74.5%) | (1961%) | (115%) | (2.7%) | (101.1%) | (845.3%) | (1625.8%) | +148.9% |
| 2019 | (100.8%) | (5788.1%) | (7.3%) | (145.5%) | (1.6%) | (4%) | (7.7%) | (20.6%) | (36.4%) | (29.6%) | (17.8%) | (26.5%) | (342.3%) |
| 2020 | (0.6%) | (15.8%) | (122.4%) | (310.2%) | (82%) | (15%) | (28.2%) | (40.9%) | (29.1%) | (5.1%) | (61.4%) | (5.1%) | (90.6%) |
| 2021 | (2.4%) | (9.2%) | (13.1%) | (15.4%) | (2.3%) | (3.1%) | (16.3%) | (6.8%) | (8.3%) | (11.3%) | (5%) | (2.9%) | (98.5%) |
| 2022 | (15.1%) | (3.5%) | (11.6%) | (18.8%) | (0.6%) | (21.6%) | (13.8%) | (17.7%) | (28.7%) | (4.7%) | (16%) | (12.5%) | - |
| 2023 | (23.3%) | (6.3%) | (6%) | (8.7%) | (2.5%) | (13.2%) | (5.9%) | (6.4%) | (6.4%) | (5.4%) | (23.2%) | (8.9%) | (82%) |
| 2024 | (5.1%) | (11.1%) | (2.6%) | (5.9%) | (10.4%) | (5.5%) | (2.3%) | (1.3%) | (9.1%) | (3.3%) | (3.2%) | (0.6%) | (50.4%) |
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.
| Started | $20,000 | |
| Buy Power | ($62,088) | |
| Cash | $34,226 | |
| Equity | ($62,322) | |
| Cumulative $ | ($70,757) | |
| Includes dividends and cash-settled expirations: | ($8,312) | Itemized |
| Total System Equity | ($50,757) | |
| Margined | $33,993 | |
| Open P/L | ($62,322) |
Trading Record
Statistics
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Strategy began11/16/2012
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Suggested Minimum Cap$20,000
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Strategy Age (days)4416.95
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Age147 months ago
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What it tradesStocks
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# Trades6
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# Profitable3
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% Profitable50.00%
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Avg trade duration736.2 days
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Max peak-to-valley drawdown36.01%
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drawdown periodFeb 19, 2013 - June 20, 2014
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Cumul. Return-2.5%
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Avg win$472.33
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Avg loss$21,287
- Model Account Values (Raw)
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Cash$34,226
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Margin Used$33,993
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Buying Power($62,088)
- Ratios
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W:L ratio-0.11:1
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Sharpe Ratio0.16
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Sortino Ratio0.43
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Calmar Ratio-0.969
- CORRELATION STATISTICS
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Return of Strat Pcnt - Return of SP500 Pcnt (cumu)-33.56%
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Correlation to SP500-0.22030
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Return Percent SP500 (cumu) during strategy life343.75%
- Return Statistics
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Ann Return (w trading costs)-3.9%
- Slump
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Current Slump as Pcnt Equityn/a
- Return Statistics
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Return Pcnt (Compound or Annual, age-based, NFA compliant)-0.025%
- Instruments
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Percent Trades Optionsn/a
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Percent Trades Futuresn/a
- Slump
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Current Slump, time of slump as pcnt of strategy life0.98%
- Instruments
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Percent Trades Stocks1.00%
- Return Statistics
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Return Pcnt Since TOS Statusn/a
- Instruments
-
Percent Trades Forexn/a
- Return Statistics
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Ann Return (Compnd, No Fees)n/a
- Risk of Ruin (Monte-Carlo)
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Chance of 10% account loss100.00%
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Chance of 20% account lossn/a
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Chance of 30% account lossn/a
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Chance of 40% account lossn/a
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Chance of 60% account loss (Monte Carlo)n/a
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Chance of 70% account loss (Monte Carlo)n/a
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Chance of 80% account loss (Monte Carlo)n/a
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Chance of 90% account loss (Monte Carlo)n/a
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Chance of 100% account loss (Monte Carlo)n/a
- Automation
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Percentage Signals Automatedn/a
- Risk of Ruin (Monte-Carlo)
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Chance of 50% account lossn/a
- Trading Style
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Any stock shorts? 0/11
- Trades-Own-System Certification
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Trades Own System?-
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TOS percentn/a
- Win / Loss
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Avg Win$472
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Avg Loss$21,287
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Sum Trade PL (losers)$63,862.000
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# Winners3
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Num Months Winners20
- Age
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Num Months filled monthly returns table63
- Win / Loss
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Sum Trade PL (winners)$1,417.000
- Dividends
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Dividends Received in Model Acct-8312
- Win / Loss
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# Losers3
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% Winners50.0%
- Frequency
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Avg Position Time (mins)1060060.00
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Avg Position Time (hrs)17667.70
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Avg Trade Length736.2 days
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Last Trade Ago4266
- Regression
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Alpha0.00
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Beta-2.06
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Treynor Index0.00
- Maximum Adverse Excursion (MAE)
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MAE:Equity, average, all trades0.02
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MAE:Equity, losing trades only, 95th Percentile Value for this strat-
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MAE:Equity, win trades only, 95th Percentile Value for this strat-
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MAE:PL - Winning Trades - this strat Percentile of All Strats50.40
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MAE:PL (avg, winning trades)-
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MAE:PL - worst single value for strategy-
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MAE:PL (avg, losing trades)-
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MAE:PL (avg, all trades)0.19
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Avg(MAE) / Avg(PL) - All trades-1.068
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MAE:PL - Losing Trades - this strat Percentile of All Strats6.11
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MAE:Equity, 95th Percentile Value for this strat0.00
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MAE:Equity, average, winning trades0.01
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MAE:Equity, average, losing trades0.03
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Avg(MAE) / Avg(PL) - Winning trades0.347
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Avg(MAE) / Avg(PL) - Losing trades-1.037
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Hold-and-Hope Ratio-2.684
- Analysis based on DAILY values, full history
- RATIO STATISTICS
- Ratio statistics of excess return rates
- Statistics related to linear regression on benchmark
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a (intercept, estimate of alpha)1975.23000
- Analysis based on DAILY values, last 6 months only
- Ratio statistics of excess log return rates
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VAR (95 Confidence Intrvl)0.75700
- DRAW DOWN STATISTICS
- Risk estimates based on draw downs (based on Extreme Value T
- assuming Pareto losses only (using partial moments from Sortino statistics)
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Max Equity Drawdown (num days)486
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Last 4 Months - Pcnt Negative1.00%
Strategy Description
Risk Tracker generates three different signals:
RiskOn - traders are looking for risk. Buy stocks and sell volatility
RiskOff - traders are risk averse. Sell or short stocks and buy volatility.
RiskNeutral - stay out of market and wait for new RiskOn phase
In this sub-system we take following positions
RiskOn: 100% long SPY (200% leverage after major sell-offs)
RiskOff: 100% short SPY
RiskNeutral: no position / money market fund
According to 6 years of backtests and almost year of live signals we expect over 30% annual returns with average drawdown of 10% (historical maximum drawdown is 15%).
Backtest details can be on this address:
http://bit.ly/TcbPRD
Latest Activity
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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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.