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These are hypothetical performance results that have certain inherent limitations. Learn more

Trades-Own-Strategy Certification

This system has earned Trades-Own-Strategy (TOS) Certification. This means that the manager of this system trades his own strategy in a real-life, funded brokerage account.

Trades-Own-Strategy (TOS) Certification Details
Certification process started 04/03/2020
Most recent certification approved 4/7/20 17:04 ET
Trades at broker Interactive Brokers (Stocks, Options, Futures)
Scaling percentage used 5%
# trading signals issued by system since certification 11
# trading signals executed in manager's Interactive Brokers (Stocks, Options, Futures) account 8
Percent signals followed since 04/03/2020 72.7%
This information was last updated 6/30/20 14:30 ET

Warning: System trading results are still hypothetical.

Even though the system developer is currently trading his own system in a real-life brokerage account, the trading results presented on this Web site must still be regarded as purely hypothetical results. This is because (among other reasons) the system developer may not have traded all signals, particularly those that occurred before 04/03/2020, and the system developer's results may not match the system results presented here. In addition, not all subscribers have received the same trades or prices as the system manager has. For these reasons, and others, it is extremely important you remember the following:

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.

You may be interested to learn more technical details about how Collective2 calculates the hypothetical results you see on this web site.

Ethos Swing
(124277653)

Created by: EthosPortfolio EthosPortfolio
Started: 06/2019
Stocks
Last trade: 85 days ago
Trading style: Equity Short-term Reversal

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.

Trading Category: Equity
Short-term Reversal
Category: Equity

Short-term Reversal

Exploits the tendency of stocks with strong gains and stocks with strong losses to reverse in a short-term time frame (up to one month).
27.4%
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.

(26.7%)
Max Drawdown
17
Num Trades
52.9%
Win Trades
2.0 : 1
Profit Factor
56.2%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019                                   (0.8%)(2.4%)+8.4%+1.5%+18.0%+9.3%+5.3%+44.7%
2020(0.3%)+12.1%+0.3%(11.4%)(4.2%)(8.2%)+11.8%+15.7%(16.7%)                  (6%)

Model Account Details

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

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

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

Trading Record

This strategy has placed 32 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
6/11/20 11:40 SPXU PROSHARES ULTRAPRO SHORT S&P50 LONG 570 12.36 6/30 14:27 12.02 4.9%
Trade id #129495581
Max drawdown($626)
Time6/23/20 0:00
Quant open570
Worst price11.26
Drawdown as % of equity-4.90%
($197)
Includes Typical Broker Commissions trade costs of $5.00
6/5/20 11:11 UPRO PROSHARES ULTRAPRO S&P500 LONG 140 49.75 6/11 11:39 44.38 5.75%
Trade id #129381014
Max drawdown($758)
Time6/11/20 11:36
Quant open140
Worst price44.33
Drawdown as % of equity-5.75%
($754)
Includes Typical Broker Commissions trade costs of $2.80
4/15/20 15:25 SPXU PROSHARES ULTRAPRO SHORT S&P50 LONG 225 17.91 6/3 15:15 12.03 9.53%
Trade id #128584281
Max drawdown($1,326)
Time6/3/20 14:48
Quant open225
Worst price12.01
Drawdown as % of equity-9.53%
($1,327)
Includes Typical Broker Commissions trade costs of $4.50
4/3/20 12:47 SPXU PROSHARES ULTRAPRO SHORT S&P50 LONG 150 26.84 4/7 12:09 19.11 7.75%
Trade id #128408015
Max drawdown($1,213)
Time4/7/20 9:33
Quant open150
Worst price18.75
Drawdown as % of equity-7.75%
($1,162)
Includes Typical Broker Commissions trade costs of $3.00
4/1/20 14:32 SPXU PROSHARES ULTRAPRO SHORT S&P50 LONG 150 27.24 4/3 12:29 26.93 2.04%
Trade id #128364205
Max drawdown($332)
Time4/3/20 9:42
Quant open150
Worst price25.02
Drawdown as % of equity-2.04%
($50)
Includes Typical Broker Commissions trade costs of $3.00
3/24/20 15:25 UPRO PROSHARES ULTRAPRO S&P500 LONG 225 23.19 3/27 10:50 26.60 0.75%
Trade id #128228335
Max drawdown($119)
Time3/25/20 0:00
Quant open225
Worst price22.66
Drawdown as % of equity-0.75%
$762
Includes Typical Broker Commissions trade costs of $4.50
3/3/20 14:07 SPXU PROSHARES ULTRAPRO SHORT S&P50 LONG 160 23.96 3/4 13:07 21.68 3.28%
Trade id #127832151
Max drawdown($529)
Time3/4/20 0:00
Quant open160
Worst price20.65
Drawdown as % of equity-3.28%
($367)
Includes Typical Broker Commissions trade costs of $3.20
2/25/20 10:27 SPXU PROSHARES ULTRAPRO SHORT S&P50 LONG 300 20.18 3/2 12:33 23.28 0.41%
Trade id #127698285
Max drawdown($62)
Time2/25/20 10:46
Quant open300
Worst price19.97
Drawdown as % of equity-0.41%
$924
Includes Typical Broker Commissions trade costs of $6.00
2/3/20 15:35 UPRO PROSHARES ULTRAPRO S&P500 LONG 100 71.43 2/20 12:09 77.79 0.46%
Trade id #127342227
Max drawdown($67)
Time2/3/20 15:53
Quant open100
Worst price70.75
Drawdown as % of equity-0.46%
$634
Includes Typical Broker Commissions trade costs of $2.00
1/28/20 12:26 UPRO PROSHARES ULTRAPRO S&P500 LONG 200 73.23 1/31 11:06 71.13 3.5%
Trade id #127253314
Max drawdown($525)
Time1/30/20 0:00
Quant open200
Worst price70.60
Drawdown as % of equity-3.50%
($424)
Includes Typical Broker Commissions trade costs of $4.00
1/24/20 14:18 SPXU PROSHARES ULTRAPRO SHORT S&P50 LONG 750 18.97 1/28 12:25 19.08 1.15%
Trade id #127213180
Max drawdown($171)
Time1/24/20 15:23
Quant open750
Worst price18.74
Drawdown as % of equity-1.15%
$75
Includes Typical Broker Commissions trade costs of $10.00
10/9/19 9:51 UPRO PROSHARES ULTRAPRO S&P500 LONG 300 56.57 1/24/20 14:16 69.15 0.58%
Trade id #125697326
Max drawdown($66)
Time10/9/19 11:14
Quant open200
Worst price51.35
Drawdown as % of equity-0.58%
$3,768
Includes Typical Broker Commissions trade costs of $6.00
9/24/19 13:40 SPXU PROSHARES ULTRAPRO SHORT S&P50 LONG 410 26.41 10/9 9:49 27.47 3.19%
Trade id #125485962
Max drawdown($343)
Time10/1/19 0:00
Quant open410
Worst price25.57
Drawdown as % of equity-3.19%
$427
Includes Typical Broker Commissions trade costs of $8.20
8/15/19 11:47 UPRO PROSHARES ULTRAPRO S&P500 LONG 200 48.76 9/24 13:40 54.62 2.39%
Trade id #124952180
Max drawdown($236)
Time8/15/19 13:55
Quant open200
Worst price47.58
Drawdown as % of equity-2.39%
$1,168
Includes Typical Broker Commissions trade costs of $4.00
8/2/19 10:11 SPXU PROSHARES ULTRAPRO SHORT S&P50 LONG 330 28.18 8/15 11:46 30.14 2.79%
Trade id #124738362
Max drawdown($266)
Time8/2/19 10:11
Quant open330
Worst price27.37
Drawdown as % of equity-2.79%
$640
Includes Typical Broker Commissions trade costs of $6.60
7/3/19 11:57 UPRO PROSHARES ULTRAPRO S&P500 LONG 175 57.07 8/2 10:09 53.41 6.56%
Trade id #124327799
Max drawdown($654)
Time7/3/19 11:57
Quant open175
Worst price53.33
Drawdown as % of equity-6.56%
($645)
Includes Typical Broker Commissions trade costs of $3.50

Statistics

  • Strategy began
    6/30/2019
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    451.85
  • Age
    15 months ago
  • What it trades
    Stocks
  • # Trades
    17
  • # Profitable
    9
  • % Profitable
    52.90%
  • Avg trade duration
    23.8 days
  • Max peak-to-valley drawdown
    26.71%
  • drawdown period
    March 26, 2020 - June 23, 2020
  • Annual Return (Compounded)
    27.4%
  • Avg win
    $1,080
  • Avg loss
    $612.00
  • Model Account Values (Raw)
  • Cash
    $7,073
  • Margin Used
    $0
  • Buying Power
    $8,353
  • Ratios
  • W:L ratio
    2.02:1
  • Sharpe Ratio
    1.01
  • Sortino Ratio
    1.46
  • Calmar Ratio
    1.808
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    25.14%
  • Correlation to SP500
    0.01840
  • Return Percent SP500 (cumu) during strategy life
    10.03%
  • Return Statistics
  • Ann Return (w trading costs)
    27.4%
  • Slump
  • Current Slump as Pcnt Equity
    21.90%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.05%
  • Return Statistics
  • Return Pcnt Since TOS Status
    -13.030%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.274%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    38.0%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    18.00%
  • Chance of 20% account loss
    0.50%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    820
  • Popularity (Last 6 weeks)
    951
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    831
  • Popularity (7 days, Percentile 1000 scale)
    910
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Strat abandoned?
    0
  • Trades-Own-System Certification
  • Trades Own System?
    Yes
  • TOS percent
    5%
  • Win / Loss
  • Avg Loss
    $612
  • Avg Win
    $1,081
  • Sum Trade PL (losers)
    $4,896.000
  • AUM
  • AUM (AutoTrader num accounts)
    8
  • Age
  • Num Months filled monthly returns table
    16
  • Win / Loss
  • Sum Trade PL (winners)
    $9,726.000
  • # Winners
    9
  • Num Months Winners
    9
  • Dividends
  • Dividends Received in Model Acct
    79
  • AUM
  • AUM (AutoTrader live capital)
    127041
  • Win / Loss
  • # Losers
    8
  • % Winners
    52.9%
  • Frequency
  • Avg Position Time (mins)
    34222.80
  • Avg Position Time (hrs)
    570.38
  • Avg Trade Length
    23.8 days
  • Last Trade Ago
    85
  • Leverage
  • Daily leverage (average)
    2.07
  • Daily leverage (max)
    3.01
  • Regression
  • Alpha
    0.08
  • Beta
    0.01
  • Treynor Index
    5.62
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.03
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.79
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.06
  • Avg(MAE) / Avg(PL) - All trades
    1.305
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.05
  • Avg(MAE) / Avg(PL) - Winning trades
    0.130
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.219
  • Hold-and-Hope Ratio
    0.659
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.48674
  • SD
    0.24938
  • Sharpe ratio (Glass type estimate)
    1.95178
  • Sharpe ratio (Hedges UMVUE)
    1.83659
  • df
    13.00000
  • t
    2.10816
  • p
    0.19289
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.04073
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.88061
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.11047
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.78365
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.60742
  • Upside Potential Ratio
    6.23629
  • Upside part of mean
    0.65882
  • Downside part of mean
    -0.17208
  • Upside SD
    0.25755
  • Downside SD
    0.10564
  • N nonnegative terms
    9.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    14.00000
  • Mean of predictor
    0.14056
  • Mean of criterion
    0.48674
  • SD of predictor
    0.27136
  • SD of criterion
    0.24938
  • Covariance
    -0.01409
  • r
    -0.20826
  • b (slope, estimate of beta)
    -0.19140
  • a (intercept, estimate of alpha)
    0.51364
  • Mean Square Error
    0.06445
  • DF error
    12.00000
  • t(b)
    -0.73762
  • p(b)
    0.60413
  • t(a)
    2.15948
  • p(a)
    0.23549
  • Lowerbound of 95% confidence interval for beta
    -0.75675
  • Upperbound of 95% confidence interval for beta
    0.37396
  • Lowerbound of 95% confidence interval for alpha
    -0.00460
  • Upperbound of 95% confidence interval for alpha
    1.03188
  • Treynor index (mean / b)
    -2.54311
  • Jensen alpha (a)
    0.51364
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.44903
  • SD
    0.24226
  • Sharpe ratio (Glass type estimate)
    1.85353
  • Sharpe ratio (Hedges UMVUE)
    1.74414
  • df
    13.00000
  • t
    2.00204
  • p
    0.20356
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.12394
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.76973
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.19032
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.67859
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.10556
  • Upside Potential Ratio
    5.72858
  • Upside part of mean
    0.62655
  • Downside part of mean
    -0.17751
  • Upside SD
    0.24359
  • Downside SD
    0.10937
  • N nonnegative terms
    9.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    14.00000
  • Mean of predictor
    0.10340
  • Mean of criterion
    0.44903
  • SD of predictor
    0.28452
  • SD of criterion
    0.24226
  • Covariance
    -0.01364
  • r
    -0.19793
  • b (slope, estimate of beta)
    -0.16853
  • a (intercept, estimate of alpha)
    0.46646
  • Mean Square Error
    0.06109
  • DF error
    12.00000
  • t(b)
    -0.69950
  • p(b)
    0.59897
  • t(a)
    2.02650
  • p(a)
    0.24753
  • Lowerbound of 95% confidence interval for beta
    -0.69347
  • Upperbound of 95% confidence interval for beta
    0.35641
  • Lowerbound of 95% confidence interval for alpha
    -0.03506
  • Upperbound of 95% confidence interval for alpha
    0.96798
  • Treynor index (mean / b)
    -2.66441
  • Jensen alpha (a)
    0.46646
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07468
  • Expected Shortfall on VaR
    0.10103
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02627
  • Expected Shortfall on VaR
    0.05526
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    14.00000
  • Minimum
    0.92058
  • Quartile 1
    0.99549
  • Median
    1.05365
  • Quartile 3
    1.09673
  • Maximum
    1.15622
  • Mean of quarter 1
    0.95299
  • Mean of quarter 2
    1.02640
  • Mean of quarter 3
    1.07561
  • Mean of quarter 4
    1.12062
  • Inter Quartile Range
    0.10124
  • 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)
    -20.85180
  • VaR(95%) (moments method)
    0.01942
  • Expected Shortfall (moments method)
    0.01942
  • Extreme Value Index (regression method)
    -1.85565
  • VaR(95%) (regression method)
    0.09771
  • Expected Shortfall (regression method)
    0.10052
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.00106
  • Quartile 1
    0.00336
  • Median
    0.00566
  • Quartile 3
    0.08883
  • Maximum
    0.17200
  • Mean of quarter 1
    0.00106
  • Mean of quarter 2
    0.00566
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.17200
  • Inter Quartile Range
    0.08547
  • 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)
    0.63809
  • Compounded annual return (geometric extrapolation)
    0.61114
  • Calmar ratio (compounded annual return / max draw down)
    3.55318
  • Compounded annual return / average of 25% largest draw downs
    3.55318
  • Compounded annual return / Expected Shortfall lognormal
    6.04930
  • 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
    0.35166
  • SD
    0.24058
  • Sharpe ratio (Glass type estimate)
    1.46172
  • Sharpe ratio (Hedges UMVUE)
    1.45828
  • df
    319.00000
  • t
    1.61543
  • p
    0.05360
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.31646
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.23768
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.31879
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.23536
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.16422
  • Upside Potential Ratio
    9.51575
  • Upside part of mean
    1.54620
  • Downside part of mean
    -1.19454
  • Upside SD
    0.17823
  • Downside SD
    0.16249
  • N nonnegative terms
    173.00000
  • N negative terms
    147.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    320.00000
  • Mean of predictor
    0.09331
  • Mean of criterion
    0.35166
  • SD of predictor
    0.31262
  • SD of criterion
    0.24058
  • Covariance
    0.00179
  • r
    0.02385
  • b (slope, estimate of beta)
    0.01835
  • a (intercept, estimate of alpha)
    0.35000
  • Mean Square Error
    0.05803
  • DF error
    318.00000
  • t(b)
    0.42541
  • p(b)
    0.33541
  • t(a)
    1.60523
  • p(a)
    0.05472
  • Lowerbound of 95% confidence interval for beta
    -0.06653
  • Upperbound of 95% confidence interval for beta
    0.10323
  • Lowerbound of 95% confidence interval for alpha
    -0.07897
  • Upperbound of 95% confidence interval for alpha
    0.77887
  • Treynor index (mean / b)
    19.16070
  • Jensen alpha (a)
    0.34995
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.32256
  • SD
    0.24066
  • Sharpe ratio (Glass type estimate)
    1.34031
  • Sharpe ratio (Hedges UMVUE)
    1.33716
  • df
    319.00000
  • t
    1.48126
  • p
    0.06976
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.43720
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.11579
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.43934
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.11366
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.95452
  • Upside Potential Ratio
    9.27370
  • Upside part of mean
    1.53045
  • Downside part of mean
    -1.20789
  • Upside SD
    0.17578
  • Downside SD
    0.16503
  • N nonnegative terms
    173.00000
  • N negative terms
    147.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    320.00000
  • Mean of predictor
    0.04412
  • Mean of criterion
    0.32256
  • SD of predictor
    0.31496
  • SD of criterion
    0.24066
  • Covariance
    0.00201
  • r
    0.02646
  • b (slope, estimate of beta)
    0.02022
  • a (intercept, estimate of alpha)
    0.32166
  • Mean Square Error
    0.05806
  • DF error
    318.00000
  • t(b)
    0.47209
  • p(b)
    0.31859
  • t(a)
    1.47530
  • p(a)
    0.07056
  • Lowerbound of 95% confidence interval for beta
    -0.06405
  • Upperbound of 95% confidence interval for beta
    0.10449
  • Lowerbound of 95% confidence interval for alpha
    -0.10730
  • Upperbound of 95% confidence interval for alpha
    0.75063
  • Treynor index (mean / b)
    15.95130
  • Jensen alpha (a)
    0.32166
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02296
  • Expected Shortfall on VaR
    0.02899
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00987
  • Expected Shortfall on VaR
    0.02023
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    320.00000
  • Minimum
    0.95127
  • Quartile 1
    0.99440
  • Median
    1.00134
  • Quartile 3
    1.00783
  • Maximum
    1.04715
  • Mean of quarter 1
    0.98355
  • Mean of quarter 2
    0.99852
  • Mean of quarter 3
    1.00451
  • Mean of quarter 4
    1.01921
  • Inter Quartile Range
    0.01343
  • Number outliers low
    14.00000
  • Percentage of outliers low
    0.04375
  • Mean of outliers low
    0.96304
  • Number of outliers high
    14.00000
  • Percentage of outliers high
    0.04375
  • Mean of outliers high
    1.03655
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.33971
  • VaR(95%) (moments method)
    0.01630
  • Expected Shortfall (moments method)
    0.02927
  • Extreme Value Index (regression method)
    0.03661
  • VaR(95%) (regression method)
    0.01617
  • Expected Shortfall (regression method)
    0.02311
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    28.00000
  • Minimum
    0.00048
  • Quartile 1
    0.00482
  • Median
    0.01441
  • Quartile 3
    0.04624
  • Maximum
    0.23210
  • Mean of quarter 1
    0.00202
  • Mean of quarter 2
    0.00784
  • Mean of quarter 3
    0.02667
  • Mean of quarter 4
    0.10277
  • Inter Quartile Range
    0.04142
  • 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
    0.07143
  • Mean of outliers high
    0.19772
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.48422
  • VaR(95%) (moments method)
    0.11792
  • Expected Shortfall (moments method)
    0.24256
  • Extreme Value Index (regression method)
    1.03395
  • VaR(95%) (regression method)
    0.11618
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.43742
  • Compounded annual return (geometric extrapolation)
    0.41973
  • Calmar ratio (compounded annual return / max draw down)
    1.80835
  • Compounded annual return / average of 25% largest draw downs
    4.08403
  • Compounded annual return / Expected Shortfall lognormal
    14.47670
  • 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
    -0.12847
  • SD
    0.25158
  • Sharpe ratio (Glass type estimate)
    -0.51065
  • Sharpe ratio (Hedges UMVUE)
    -0.50770
  • df
    130.00000
  • t
    -0.36108
  • p
    0.51583
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.28219
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.26282
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.28019
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.26480
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.66556
  • Upside Potential Ratio
    7.10890
  • Upside part of mean
    1.37220
  • Downside part of mean
    -1.50067
  • Upside SD
    0.16004
  • Downside SD
    0.19303
  • N nonnegative terms
    68.00000
  • N negative terms
    63.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.56992
  • Mean of criterion
    -0.12847
  • SD of predictor
    0.27707
  • SD of criterion
    0.25158
  • Covariance
    0.00577
  • r
    0.08279
  • b (slope, estimate of beta)
    0.07517
  • a (intercept, estimate of alpha)
    -0.17131
  • Mean Square Error
    0.06335
  • DF error
    129.00000
  • t(b)
    0.94352
  • p(b)
    0.44736
  • t(a)
    -0.47742
  • p(a)
    0.52673
  • Lowerbound of 95% confidence interval for beta
    -0.08246
  • Upperbound of 95% confidence interval for beta
    0.23280
  • Lowerbound of 95% confidence interval for alpha
    -0.88125
  • Upperbound of 95% confidence interval for alpha
    0.53863
  • Treynor index (mean / b)
    -1.70903
  • Jensen alpha (a)
    -0.17131
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.16011
  • SD
    0.25283
  • Sharpe ratio (Glass type estimate)
    -0.63325
  • Sharpe ratio (Hedges UMVUE)
    -0.62959
  • df
    130.00000
  • t
    -0.44777
  • p
    0.51962
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.40492
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.14084
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.40245
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.14328
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.81569
  • Upside Potential Ratio
    6.92594
  • Upside part of mean
    1.35945
  • Downside part of mean
    -1.51956
  • Upside SD
    0.15814
  • Downside SD
    0.19628
  • N nonnegative terms
    68.00000
  • N negative terms
    63.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.53134
  • Mean of criterion
    -0.16011
  • SD of predictor
    0.27635
  • SD of criterion
    0.25283
  • Covariance
    0.00615
  • r
    0.08803
  • b (slope, estimate of beta)
    0.08054
  • a (intercept, estimate of alpha)
    -0.20290
  • Mean Square Error
    0.06392
  • DF error
    129.00000
  • t(b)
    1.00370
  • p(b)
    0.44403
  • t(a)
    -0.56348
  • p(a)
    0.53153
  • VAR (95 Confidence Intrvl)
    0.02300
  • Lowerbound of 95% confidence interval for beta
    -0.07822
  • Upperbound of 95% confidence interval for beta
    0.23930
  • Lowerbound of 95% confidence interval for alpha
    -0.91534
  • Upperbound of 95% confidence interval for alpha
    0.50954
  • Treynor index (mean / b)
    -1.98796
  • Jensen alpha (a)
    -0.20290
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02596
  • Expected Shortfall on VaR
    0.03228
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01285
  • Expected Shortfall on VaR
    0.02551
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.95127
  • Quartile 1
    0.99261
  • Median
    1.00089
  • Quartile 3
    1.00711
  • Maximum
    1.03754
  • Mean of quarter 1
    0.98001
  • Mean of quarter 2
    0.99750
  • Mean of quarter 3
    1.00357
  • Mean of quarter 4
    1.01750
  • Inter Quartile Range
    0.01450
  • Number outliers low
    8.00000
  • Percentage of outliers low
    0.06107
  • Mean of outliers low
    0.96142
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.03053
  • Mean of outliers high
    1.03271
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.37360
  • VaR(95%) (moments method)
    0.02090
  • Expected Shortfall (moments method)
    0.03869
  • Extreme Value Index (regression method)
    -0.11257
  • VaR(95%) (regression method)
    0.02059
  • Expected Shortfall (regression method)
    0.02723
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.16334
  • Quartile 1
    0.18053
  • Median
    0.19772
  • Quartile 3
    0.21491
  • Maximum
    0.23210
  • Mean of quarter 1
    0.16334
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.23210
  • Inter Quartile Range
    0.03438
  • 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
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -297257000
  • Max Equity Drawdown (num days)
    89
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.12793
  • Compounded annual return (geometric extrapolation)
    -0.12383
  • Calmar ratio (compounded annual return / max draw down)
    -0.53353
  • Compounded annual return / average of 25% largest draw downs
    -0.53353
  • Compounded annual return / Expected Shortfall lognormal
    -3.83604

Strategy Description

“Stock markets attract those who need money fast but rewards those who are willing to get rich slowly”

“When any guy offers you a chance to earn lots of money with out risk, don't listen to rest of his sentence. Follow this, and you'll save yourself a lot of misery”

Ethos Swing is a market timing strategy that aims to place trades at medium term reversal areas in the S&P 500. This is a macro focused strategy which uses a number of sentiment, market breadth, economic strength and volatility indicators to forecast major reversal areas in the S&P.

This system only executes long trades in two ETFs: UPRO and SPXU. Both are ProShares 3x leveraged funds that attempt to replicate the performance of the S&P 500 index, but in opposite directions. Trades are placed in UPRO when the system believes the market is rising and SPXU when declining. Subscribers can expect to be in one of these two ETFs 95% of the time and in cash the other 5%. Since this system is designed to find medium term swings you can plan on placing a modest 5-15 trades per year. More trades are placed when the market is in a range and fewer when it’s trending.

Ethos Swing is compatible with IRA and other retirement accounts since it only holds long positions in popular ETFs. Annual commissions are low because very few trades are placed throughout the year. The ETFs we trade are extremely liquid making this strategy easily scalable for account sizes from $10,000 to over a million dollars. This strategy is compatible with auto trading and manual trading on Collective2. If you decide to manually trade Ethos Swing you can choose to trade ETFs pairs with less leverage, and therefore smaller draw downs and less risk, such as SSO/SDS (2x leverage), SPY/SH (no leverage), or even ES futures and mutual funds.

I detail every trade in advance and email my Ethos Update every weekend to subscribers. It summarizes the economic events of the previous week and explains what my strategy is forecasting for the upcoming week.

Please visit http://ethosportfolio.com/strategies/ethos-swing/ for more information and to view the FAQ. Message me on C2 or via email at info@ethosportfolio.com if you have any other questions about my Ethos Swing strategy.

- Strategy Type: Medium term market reversal

- Account Compatibility: Any stock trading account (IRA and retirement account friendly)

- Instruments Traded: UPRO and SPXU - Long Only

- Trading Times: Only during live US market hours

- Position Sizing: Usually 100% of capital on each trade (depending on market volatility)

- Positions Held Overnight: Yes

- Positions Held Through Weekends: Yes

- Average Holding Time: 3 Weeks - 4 Months

- Number of Trades per Year: 5 - 15

- Update Messages: Every weekend / Early notification if a trade is planned (where possible)

Summary Statistics

Strategy began
2019-06-30
Suggested Minimum Capital
$15,000
Rank at C2 
#111
# Trades
17
# Profitable
9
% Profitable
52.9%
Net Dividends
Correlation S&P500
0.018
Sharpe Ratio
1.01
Sortino Ratio
1.46
Beta
0.01
Alpha
0.08
Leverage
2.07 Average
3.01 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

Collective2 calculates the maximum leverage used by a strategy in each day. We then display the average of these measurements (i.e. the average daily maximum leverage) and the greatest of these measurements (maximum daily leverage).

Leverage is the ratio of total notional value controlled by a strategy divided by its Model Account equity. Generally higher leverage implies greater risk.

Example of calculation:
The Strategy buys 100 shares of stock at $12 per share.
The Model Account equity during that day is $5,000.
The leverage is: $1200 / $5,000 = 0.24

This is a useful measurement, but it should be considered in context. This measurement doesn't take into account important factors, such as when multiple positions are held that are inversely correlated. Nor does the measurement take into account the volatility of the instruments being held.

In addition, certain asset classes are inherently more leveraged than others. For example, futures contracts are highly leveraged. Forex positions are often even more leveraged than futures.

Latest Activity

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subscribed on started simulation #SUBSCRIBEDDATE#

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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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.