Collective2 Collective2
Featured Strategy S2Prox0 +69.6% Annual Return (Compounded) since Dec 23, 2022 Hypothetical

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Beating billionaires
(125765564)

Created by: PeterInvestments PeterInvestments
Started: 10/2019
Stocks
Last trade: 560 days ago
Trading style: Equity Momentum Sector Rotation
Subscriptions not currently available.

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

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.

Trading Category: Equity
Momentum
Category: Equity

Momentum

Aims to capitalize on the continuance of existing trends in the market. Trader takes a long position in an asset in an upward trend, and short-sells a security that has been in a downward trend. While similar to Trend-following, tends to be more forward-looking (predicting oncoming trend), while Momentum is more backward-looking (observing already-established price direction).
Sector Rotation
Category: Equity

Sector Rotation

Uses the proceeds from the sale of securities related to a particular investment sector for the purchase of securities in another sector. This strategy is used as a method for capturing returns from market cycles and diversifying holdings over a specified holding period.
2.1%
Annual Return (Compounded)

Rate of Return Calculations

Overview

To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.

How Annualized (Compounded) Rate of Return is calculated

= ((Ending_equity / Starting_equity) ^ (1 / age_in_years)) - 1

Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.

All results are hypothetical.

(51.3%)
Max Drawdown
145
Num Trades
56.6%
Win Trades
1.1 : 1
Profit Factor
50.9%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019                                                               +1.0%+2.6%+2.6%+6.3%
2020+13.9%+3.5%+6.3%(14%)+3.4%+3.6%+14.6%(3.9%)(7%)+4.6%+5.7%+1.6%+32.9%
2021(3.5%)(5.9%)+3.8%+0.7%+4.7%(0.2%)(0.2%)(1.1%)(0.5%)+13.0%+2.9%(0.8%)+12.3%
2022(14.6%)(0.2%)(5%)(21.3%)(4.1%)(0.1%)  -    -  (11.9%)(3.5%)+7.9%(7%)(47.9%)
2023+13.6%(7.4%)+11.5%(1.9%)+2.1%+6.3%+2.6%(5.9%)(9.8%)(6.6%)+18.7%+1.4%+22.3%
2024+10.2%+1.3%+3.3%(5.9%)                                                +8.5%

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
8/2/22 13:27: Rescaled upward by +-100% of previous Model Account size
5/19/22 9:37 TYD DIREXION DAILY 7-10 YR TRSY BU SHORT 1,172 38.34 5/19 9:37 38.39 0.08%
Trade id #140529811
Max drawdown($116)
Time5/19/22 9:37
Quant open2,344
Worst price38.39
Drawdown as % of equity-0.08%
 ($64)
Includes Typical Broker Commissions trade costs of $5.00
5/19/22 9:30 TYD DIREXION DAILY 7-10 YR TRSY BU LONG 1,172 38.67 5/19 9:36 38.35 0.51%
Trade id #140529446
Max drawdown($740)
Time5/19/22 9:36
Quant open2,344
Worst price38.35
Drawdown as % of equity-0.51%
 ($374)
Includes Typical Broker Commissions trade costs of $5.00
5/19/22 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 3,134 27.54 5/19 9:36 28.10 n/a $1,750
Includes Typical Broker Commissions trade costs of $5.00
5/18/22 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 2,710 31.46 5/18 9:34 31.61 0.26%
Trade id #140515062
Max drawdown($379)
Time5/18/22 9:34
Quant open5,420
Worst price31.39
Drawdown as % of equity-0.26%
 $402
Includes Typical Broker Commissions trade costs of $5.00
5/18/22 9:30 TMF DIREXION DAILY 20-YR TREASURY BULL 3X SHRS LONG 9,450 12.69 5/18 9:33 12.70 0.07%
Trade id #140515059
Max drawdown($94)
Time5/18/22 9:33
Quant open18,900
Worst price12.69
Drawdown as % of equity-0.07%
 $90
Includes Typical Broker Commissions trade costs of $5.00
5/17/22 13:34: Rescaled upward by +-100% of previous Model Account size
10/6/21 9:35 DGP POWERSHARES DB GOLD DOUBLE LON LONG 412 36.56 5/17/22 10:08 38.24 0.09%
Trade id #137689455
Max drawdown($220)
Time12/15/21 0:00
Quant open824
Worst price36.29
Drawdown as % of equity-0.09%
 $685
Includes Typical Broker Commissions trade costs of $8.24
10/6/21 9:30 TMF DIREXION DAILY 20-YR TREASURY BULL 3X SHRS LONG 3,080 26.33 5/17/22 10:08 12.64 57.52%
Trade id #137688917
Max drawdown($88,026)
Time5/9/22 0:00
Quant open6,160
Worst price12.04
Drawdown as % of equity-57.52%
 ($42,170)
Includes Typical Broker Commissions trade costs of $5.00
10/6/21 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 968 60.13 5/17/22 10:08 32.10 46.08%
Trade id #137688916
Max drawdown($64,739)
Time5/12/22 0:00
Quant open1,936
Worst price26.69
Drawdown as % of equity-46.08%
 ($27,138)
Includes Typical Broker Commissions trade costs of $5.00
10/6/21 9:30 UCO PROSHARES ULTRA BLOOMBERG CRUD LONG 160 91.17 5/17/22 10:08 182.96 3.64%
Trade id #137688893
Max drawdown($8,688)
Time12/2/21 0:00
Quant open320
Worst price64.02
Drawdown as % of equity-3.64%
 $14,683
Includes Typical Broker Commissions trade costs of $3.20
10/6/21 9:30 TYD DIREXION DAILY 7-10 YR TRSY BU LONG 572 52.63 5/17/22 10:08 36.83 12.78%
Trade id #137688882
Max drawdown($19,551)
Time5/6/22 0:00
Quant open1,144
Worst price35.54
Drawdown as % of equity-12.78%
 ($9,043)
Includes Typical Broker Commissions trade costs of $5.00
4/7/21 9:30 SCHP SCHWAB U.S. TIPS ETF LONG 584 61.10 10/5 9:30 62.57 0.06%
Trade id #135041142
Max drawdown($116)
Time4/12/21 0:00
Quant open2,336
Worst price61.05
Drawdown as % of equity-0.06%
 $849
Includes Typical Broker Commissions trade costs of $8.34
5/26/21 9:30 RSP INVESCO S&P 500 EQUAL WEIGH LONG 120 149.79 10/5 9:30 151.44 0.98%
Trade id #135780577
Max drawdown($2,006)
Time7/19/21 0:00
Quant open480
Worst price145.61
Drawdown as % of equity-0.98%
 $196
Includes Typical Broker Commissions trade costs of $2.40
4/7/21 9:30 PSCE POWERSHARES S&P SMALLCAP ENERG LONG 3,200 6.37 10/5 9:30 6.86 5.16%
Trade id #135041135
Max drawdown($10,254)
Time4/21/21 0:00
Quant open12,800
Worst price5.57
Drawdown as % of equity-5.16%
 $1,559
Includes Typical Broker Commissions trade costs of $11.70
4/7/21 9:30 XLE ENERGY SELECT SECTOR SPDR LONG 604 49.00 10/5 9:30 52.25 3.34%
Trade id #135041166
Max drawdown($6,644)
Time4/21/21 0:00
Quant open2,416
Worst price46.25
Drawdown as % of equity-3.34%
 $1,957
Includes Typical Broker Commissions trade costs of $8.54
4/7/21 9:30 BND VANGUARD TOTAL BOND MARKET ETF LONG 1,436 84.90 10/5 9:30 85.48 0.68%
Trade id #135041162
Max drawdown($1,394)
Time5/12/21 0:00
Quant open5,712
Worst price84.66
Drawdown as % of equity-0.68%
 $816
Includes Typical Broker Commissions trade costs of $7.32
4/7/21 9:30 GDX VANECK GOLD MINERS ETF LONG 1,104 34.23 10/5 9:30 34.06 6.42%
Trade id #135041157
Max drawdown($13,123)
Time9/29/21 0:00
Quant open2,432
Worst price28.83
Drawdown as % of equity-6.42%
 ($196)
Includes Typical Broker Commissions trade costs of $10.36
4/7/21 9:30 GCC WISDOMTREE ENHANCEDCONTINUOUS COMMODITY FUND LONG 496 20.40 10/5 9:30 22.65 0.14%
Trade id #135041150
Max drawdown($275)
Time4/12/21 0:00
Quant open1,840
Worst price20.17
Drawdown as % of equity-0.14%
 $1,105
Includes Typical Broker Commissions trade costs of $9.92
4/7/21 9:30 RSP INVESCO S&P 500 EQUAL WEIGH LONG 136 144.65 4/23 9:30 146.59 0.34%
Trade id #135041154
Max drawdown($666)
Time4/8/21 0:00
Quant open544
Worst price143.43
Drawdown as % of equity-0.34%
 $261
Includes Typical Broker Commissions trade costs of $2.72
4/1/21 9:41 EPU ISHARES MSCI PERU AND GLOBAL EXPOSURE ETF LONG 324 34.20 4/6 10:40 35.40 n/a $383
Includes Typical Broker Commissions trade costs of $6.48
4/1/21 9:31 TUR ISHARES MSCI TURKEY INVEST MKT LONG 468 23.70 4/6 9:30 23.90 0.15%
Trade id #134964931
Max drawdown($299)
Time4/1/21 9:46
Quant open1,872
Worst price23.54
Drawdown as % of equity-0.15%
 $85
Includes Typical Broker Commissions trade costs of $9.36
4/1/21 9:31 EPHE ISHARES MSCI PHILIPPINES INVST LONG 376 29.24 4/6 9:30 29.50 0.1%
Trade id #134964925
Max drawdown($195)
Time4/1/21 15:48
Quant open1,504
Worst price29.11
Drawdown as % of equity-0.10%
 $90
Includes Typical Broker Commissions trade costs of $7.52
3/30/21 11:34 EGPT VANECK EGYPT INDEX ETF LONG 452 25.36 4/6 9:30 24.82 0.65%
Trade id #134930592
Max drawdown($1,290)
Time4/5/21 0:00
Quant open1,744
Worst price24.62
Drawdown as % of equity-0.65%
 ($254)
Includes Typical Broker Commissions trade costs of $9.04
3/30/21 15:45 SOYB TEUCRIUM SOYBEAN LONG 560 20.50 4/6 9:30 21.57 0.02%
Trade id #134935960
Max drawdown($43)
Time3/30/21 15:59
Quant open2,160
Worst price20.45
Drawdown as % of equity-0.02%
 $593
Includes Typical Broker Commissions trade costs of $5.56
3/30/21 11:17 CPER UNITED STATES COPPER LONG 448 24.69 4/6 9:30 25.42 0.2%
Trade id #134930227
Max drawdown($394)
Time3/30/21 14:00
Quant open1,792
Worst price24.47
Drawdown as % of equity-0.20%
 $317
Includes Typical Broker Commissions trade costs of $8.96
4/5/21 9:30 EEM ISHARES MSCI EMERGING MARKETS LONG 204 54.19 4/6 9:30 54.08 0.1%
Trade id #135002305
Max drawdown($195)
Time4/5/21 9:44
Quant open816
Worst price53.95
Drawdown as % of equity-0.10%
 ($26)
Includes Typical Broker Commissions trade costs of $4.08
4/5/21 9:30 OIH VANECK OIL SERVICES ETF LONG 56 197.49 4/6 9:30 192.58 0.92%
Trade id #135002271
Max drawdown($1,818)
Time4/5/21 13:02
Quant open224
Worst price189.37
Drawdown as % of equity-0.92%
 ($276)
Includes Typical Broker Commissions trade costs of $1.12
4/1/21 9:30 ZROZ PIMCO 25+ YR ZERO CPN U.S. TRS LONG 84 133.03 4/6 9:30 134.26 0.13%
Trade id #134964895
Max drawdown($262)
Time4/5/21 0:00
Quant open336
Worst price132.25
Drawdown as % of equity-0.13%
 $101
Includes Typical Broker Commissions trade costs of $1.68
4/5/21 9:30 FXI ISHARES FTSE CHINA 25 INDEX FU LONG 232 47.82 4/6 9:30 47.43 0.29%
Trade id #135002293
Max drawdown($566)
Time4/6/21 0:00
Quant open928
Worst price47.21
Drawdown as % of equity-0.29%
 ($95)
Includes Typical Broker Commissions trade costs of $4.64
4/5/21 9:30 XHB SPDR S&P HOMEBUILDERS LONG 152 72.41 4/6 9:30 72.50 0.23%
Trade id #135002280
Max drawdown($462)
Time4/5/21 10:09
Quant open608
Worst price71.65
Drawdown as % of equity-0.23%
 $11
Includes Typical Broker Commissions trade costs of $3.04
4/1/21 9:31 WOOD ISHARES GLOBAL TIMBER & FOREST LONG 128 85.97 4/6 9:30 88.07 0.04%
Trade id #134964920
Max drawdown($70)
Time4/1/21 9:56
Quant open512
Worst price85.83
Drawdown as % of equity-0.04%
 $266
Includes Typical Broker Commissions trade costs of $2.56
Next

Statistics

  • Strategy began
    10/14/2019
  • Suggested Minimum Cap
    $146,000
  • Strategy Age (days)
    1645.81
  • Age
    55 months ago
  • What it trades
    Stocks
  • # Trades
    145
  • # Profitable
    82
  • % Profitable
    56.60%
  • Avg trade duration
    56.9 days
  • Max peak-to-valley drawdown
    51.33%
  • drawdown period
    Nov 09, 2021 - Oct 22, 2022
  • Annual Return (Compounded)
    2.1%
  • Avg win
    $2,190
  • Avg loss
    $2,648
  • Model Account Values (Raw)
  • Cash
    $79,249
  • Margin Used
    $0
  • Buying Power
    $95,280
  • Ratios
  • W:L ratio
    1.14:1
  • Sharpe Ratio
    0.1
  • Sortino Ratio
    0.13
  • Calmar Ratio
    0.146
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -60.94%
  • Correlation to SP500
    0.43590
  • Return Percent SP500 (cumu) during strategy life
    69.32%
  • Return Statistics
  • Ann Return (w trading costs)
    2.1%
  • Slump
  • Current Slump as Pcnt Equity
    50.00%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.54%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.021%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    3.4%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    99.50%
  • Chance of 20% account loss
    75.50%
  • Chance of 30% account loss
    42.50%
  • Chance of 40% account loss
    14.50%
  • Chance of 60% account loss (Monte Carlo)
    0.50%
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    3.00%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    443
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $2,649
  • Avg Win
    $2,190
  • Sum Trade PL (losers)
    $166,868.000
  • Age
  • Num Months filled monthly returns table
    55
  • Win / Loss
  • Sum Trade PL (winners)
    $179,604.000
  • # Winners
    82
  • Num Months Winners
    28
  • Dividends
  • Dividends Received in Model Acct
    10844
  • Win / Loss
  • # Losers
    63
  • % Winners
    56.5%
  • Frequency
  • Avg Position Time (mins)
    82001.20
  • Avg Position Time (hrs)
    1366.69
  • Avg Trade Length
    56.9 days
  • Last Trade Ago
    558
  • Leverage
  • Daily leverage (average)
    2.18
  • Daily leverage (max)
    4.24
  • Regression
  • Alpha
    -0.01
  • Beta
    0.55
  • Treynor Index
    0.01
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.06
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -1.28
  • MAE:Equity, average, winning trades
    0.05
  • MAE:Equity, average, losing trades
    0.07
  • Avg(MAE) / Avg(PL) - All trades
    149.187
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    3.705
  • Avg(MAE) / Avg(PL) - Losing trades
    -4.109
  • Hold-and-Hope Ratio
    0.003
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.13994
  • SD
    0.43268
  • Sharpe ratio (Glass type estimate)
    0.32342
  • Sharpe ratio (Hedges UMVUE)
    0.31360
  • df
    25.00000
  • t
    0.47606
  • p
    0.31908
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.01426
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.65477
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.02077
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.64797
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.48159
  • Upside Potential Ratio
    1.76427
  • Upside part of mean
    0.51265
  • Downside part of mean
    -0.37271
  • Upside SD
    0.31179
  • Downside SD
    0.29057
  • N nonnegative terms
    12.00000
  • N negative terms
    14.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    26.00000
  • Mean of predictor
    0.25874
  • Mean of criterion
    0.13994
  • SD of predictor
    0.20586
  • SD of criterion
    0.43268
  • Covariance
    0.06288
  • r
    0.70597
  • b (slope, estimate of beta)
    1.48381
  • a (intercept, estimate of alpha)
    -0.24399
  • Mean Square Error
    0.09782
  • DF error
    24.00000
  • t(b)
    4.88324
  • p(b)
    0.00003
  • t(a)
    -1.07692
  • p(a)
    0.85389
  • Lowerbound of 95% confidence interval for beta
    0.85668
  • Upperbound of 95% confidence interval for beta
    2.11094
  • Lowerbound of 95% confidence interval for alpha
    -0.71159
  • Upperbound of 95% confidence interval for alpha
    0.22361
  • Treynor index (mean / b)
    0.09431
  • Jensen alpha (a)
    -0.24399
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.04113
  • SD
    0.46702
  • Sharpe ratio (Glass type estimate)
    0.08806
  • Sharpe ratio (Hedges UMVUE)
    0.08539
  • df
    25.00000
  • t
    0.12962
  • p
    0.44895
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.24454
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.41897
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.24635
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.41713
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.11312
  • Upside Potential Ratio
    1.29191
  • Upside part of mean
    0.46970
  • Downside part of mean
    -0.42857
  • Upside SD
    0.27871
  • Downside SD
    0.36357
  • N nonnegative terms
    12.00000
  • N negative terms
    14.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    26.00000
  • Mean of predictor
    0.23600
  • Mean of criterion
    0.04113
  • SD of predictor
    0.20105
  • SD of criterion
    0.46702
  • Covariance
    0.06853
  • r
    0.72985
  • b (slope, estimate of beta)
    1.69538
  • a (intercept, estimate of alpha)
    -0.35898
  • Mean Square Error
    0.10618
  • DF error
    24.00000
  • t(b)
    5.23032
  • p(b)
    0.00001
  • t(a)
    -1.53269
  • p(a)
    0.93079
  • Lowerbound of 95% confidence interval for beta
    1.02638
  • Upperbound of 95% confidence interval for beta
    2.36438
  • Lowerbound of 95% confidence interval for alpha
    -0.84237
  • Upperbound of 95% confidence interval for alpha
    0.12441
  • Treynor index (mean / b)
    0.02426
  • Jensen alpha (a)
    -0.35898
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.19614
  • Expected Shortfall on VaR
    0.23924
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.07348
  • Expected Shortfall on VaR
    0.15787
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    26.00000
  • Minimum
    0.59919
  • Quartile 1
    0.97181
  • Median
    1.00120
  • Quartile 3
    1.03435
  • Maximum
    1.34059
  • Mean of quarter 1
    0.89909
  • Mean of quarter 2
    0.98824
  • Mean of quarter 3
    1.01341
  • Mean of quarter 4
    1.15146
  • Inter Quartile Range
    0.06254
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.03846
  • Mean of outliers low
    0.59919
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.15385
  • Mean of outliers high
    1.20334
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.77341
  • VaR(95%) (moments method)
    0.10977
  • Expected Shortfall (moments method)
    0.49799
  • Extreme Value Index (regression method)
    1.92631
  • VaR(95%) (regression method)
    0.09776
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.01390
  • Quartile 1
    0.01855
  • Median
    0.07915
  • Quartile 3
    0.21550
  • Maximum
    0.44738
  • Mean of quarter 1
    0.01390
  • Mean of quarter 2
    0.02009
  • Mean of quarter 3
    0.13820
  • Mean of quarter 4
    0.44738
  • Inter Quartile Range
    0.19695
  • 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)
    0.07446
  • Compounded annual return (geometric extrapolation)
    0.07147
  • Calmar ratio (compounded annual return / max draw down)
    0.15976
  • Compounded annual return / average of 25% largest draw downs
    0.15976
  • Compounded annual return / Expected Shortfall lognormal
    0.29875
  • 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
    0.08963
  • SD
    0.30735
  • Sharpe ratio (Glass type estimate)
    0.29162
  • Sharpe ratio (Hedges UMVUE)
    0.29124
  • df
    567.00000
  • t
    0.42938
  • p
    0.33390
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.03974
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.62276
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.04001
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.62249
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.38308
  • Upside Potential Ratio
    5.77963
  • Upside part of mean
    1.35225
  • Downside part of mean
    -1.26262
  • Upside SD
    0.19896
  • Downside SD
    0.23397
  • N nonnegative terms
    276.00000
  • N negative terms
    292.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    568.00000
  • Mean of predictor
    0.26654
  • Mean of criterion
    0.08963
  • SD of predictor
    0.24568
  • SD of criterion
    0.30735
  • Covariance
    0.04296
  • r
    0.56890
  • b (slope, estimate of beta)
    0.71169
  • a (intercept, estimate of alpha)
    -0.10000
  • Mean Square Error
    0.06400
  • DF error
    566.00000
  • t(b)
    16.45740
  • p(b)
    0.00000
  • t(a)
    -0.58106
  • p(a)
    0.71929
  • Lowerbound of 95% confidence interval for beta
    0.62675
  • Upperbound of 95% confidence interval for beta
    0.79663
  • Lowerbound of 95% confidence interval for alpha
    -0.43830
  • Upperbound of 95% confidence interval for alpha
    0.23818
  • Treynor index (mean / b)
    0.12594
  • Jensen alpha (a)
    -0.10006
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.04109
  • SD
    0.31431
  • Sharpe ratio (Glass type estimate)
    0.13072
  • Sharpe ratio (Hedges UMVUE)
    0.13055
  • df
    567.00000
  • t
    0.19247
  • p
    0.42372
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.20050
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.46183
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.20062
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.46171
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.16645
  • Upside Potential Ratio
    5.39991
  • Upside part of mean
    1.33295
  • Downside part of mean
    -1.29186
  • Upside SD
    0.19415
  • Downside SD
    0.24685
  • N nonnegative terms
    276.00000
  • N negative terms
    292.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    568.00000
  • Mean of predictor
    0.23584
  • Mean of criterion
    0.04109
  • SD of predictor
    0.24832
  • SD of criterion
    0.31431
  • Covariance
    0.04435
  • r
    0.56822
  • b (slope, estimate of beta)
    0.71921
  • a (intercept, estimate of alpha)
    -0.12853
  • Mean Square Error
    0.06701
  • DF error
    566.00000
  • t(b)
    16.42800
  • p(b)
    0.00000
  • t(a)
    -0.72981
  • p(a)
    0.76710
  • Lowerbound of 95% confidence interval for beta
    0.63322
  • Upperbound of 95% confidence interval for beta
    0.80520
  • Lowerbound of 95% confidence interval for alpha
    -0.47446
  • Upperbound of 95% confidence interval for alpha
    0.21739
  • Treynor index (mean / b)
    0.05713
  • Jensen alpha (a)
    -0.12853
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03128
  • Expected Shortfall on VaR
    0.03909
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01098
  • Expected Shortfall on VaR
    0.02434
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    568.00000
  • Minimum
    0.81524
  • Quartile 1
    0.99588
  • Median
    1.00000
  • Quartile 3
    1.00609
  • Maximum
    1.09436
  • Mean of quarter 1
    0.98218
  • Mean of quarter 2
    0.99876
  • Mean of quarter 3
    1.00251
  • Mean of quarter 4
    1.01834
  • Inter Quartile Range
    0.01021
  • Number outliers low
    31.00000
  • Percentage of outliers low
    0.05458
  • Mean of outliers low
    0.95322
  • Number of outliers high
    32.00000
  • Percentage of outliers high
    0.05634
  • Mean of outliers high
    1.04242
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.63092
  • VaR(95%) (moments method)
    0.01662
  • Expected Shortfall (moments method)
    0.05004
  • Extreme Value Index (regression method)
    0.46002
  • VaR(95%) (regression method)
    0.01452
  • Expected Shortfall (regression method)
    0.03136
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    12.00000
  • Minimum
    0.00035
  • Quartile 1
    0.01401
  • Median
    0.02555
  • Quartile 3
    0.06482
  • Maximum
    0.49035
  • Mean of quarter 1
    0.00801
  • Mean of quarter 2
    0.01613
  • Mean of quarter 3
    0.03800
  • Mean of quarter 4
    0.26006
  • Inter Quartile Range
    0.05081
  • 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
    0.16667
  • Mean of outliers high
    0.33090
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.05737
  • VaR(95%) (moments method)
    0.24883
  • Expected Shortfall (moments method)
    0.34779
  • Extreme Value Index (regression method)
    1.58749
  • VaR(95%) (regression method)
    0.48133
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.07442
  • Compounded annual return (geometric extrapolation)
    0.07143
  • Calmar ratio (compounded annual return / max draw down)
    0.14567
  • Compounded annual return / average of 25% largest draw downs
    0.27466
  • Compounded annual return / Expected Shortfall lognormal
    1.82743
  • 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
    0.29927
  • SD
    0.37178
  • Sharpe ratio (Glass type estimate)
    0.80498
  • Sharpe ratio (Hedges UMVUE)
    0.80032
  • df
    130.00000
  • t
    0.56920
  • p
    0.47507
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.97001
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.57706
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.97319
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.57384
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.31202
  • Upside Potential Ratio
    8.58891
  • Upside part of mean
    1.95913
  • Downside part of mean
    -1.65986
  • Upside SD
    0.29236
  • Downside SD
    0.22810
  • N nonnegative terms
    50.00000
  • N negative terms
    81.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.53541
  • Mean of criterion
    0.29927
  • SD of predictor
    0.35037
  • SD of criterion
    0.37178
  • Covariance
    0.07779
  • r
    0.59717
  • b (slope, estimate of beta)
    0.63365
  • a (intercept, estimate of alpha)
    -0.03999
  • Mean Square Error
    0.08962
  • DF error
    129.00000
  • t(b)
    8.45577
  • p(b)
    0.14382
  • t(a)
    -0.09404
  • p(a)
    0.50527
  • Lowerbound of 95% confidence interval for beta
    0.48538
  • Upperbound of 95% confidence interval for beta
    0.78191
  • Lowerbound of 95% confidence interval for alpha
    -0.88138
  • Upperbound of 95% confidence interval for alpha
    0.80140
  • Treynor index (mean / b)
    0.47230
  • Jensen alpha (a)
    -0.03999
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.23136
  • SD
    0.36854
  • Sharpe ratio (Glass type estimate)
    0.62777
  • Sharpe ratio (Hedges UMVUE)
    0.62414
  • df
    130.00000
  • t
    0.44390
  • p
    0.48055
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.14617
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.39942
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.14870
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.39699
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.99173
  • Upside Potential Ratio
    8.22096
  • Upside part of mean
    1.91784
  • Downside part of mean
    -1.68648
  • Upside SD
    0.28384
  • Downside SD
    0.23329
  • N nonnegative terms
    50.00000
  • N negative terms
    81.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.47368
  • Mean of criterion
    0.23136
  • SD of predictor
    0.35174
  • SD of criterion
    0.36854
  • Covariance
    0.07620
  • r
    0.58785
  • b (slope, estimate of beta)
    0.61592
  • a (intercept, estimate of alpha)
    -0.06039
  • Mean Square Error
    0.08957
  • DF error
    129.00000
  • t(b)
    8.25333
  • p(b)
    0.14860
  • t(a)
    -0.14219
  • p(a)
    0.50797
  • VAR (95 Confidence Intrvl)
    0.03100
  • Lowerbound of 95% confidence interval for beta
    0.46827
  • Upperbound of 95% confidence interval for beta
    0.76357
  • Lowerbound of 95% confidence interval for alpha
    -0.90073
  • Upperbound of 95% confidence interval for alpha
    0.77995
  • Treynor index (mean / b)
    0.37563
  • Jensen alpha (a)
    -0.06039
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03591
  • Expected Shortfall on VaR
    0.04500
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01656
  • Expected Shortfall on VaR
    0.03276
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.93473
  • Quartile 1
    0.99259
  • Median
    1.00000
  • Quartile 3
    1.00660
  • Maximum
    1.09436
  • Mean of quarter 1
    0.97667
  • Mean of quarter 2
    0.99844
  • Mean of quarter 3
    1.00155
  • Mean of quarter 4
    1.02834
  • Inter Quartile Range
    0.01401
  • Number outliers low
    7.00000
  • Percentage of outliers low
    0.05344
  • Mean of outliers low
    0.95109
  • Number of outliers high
    12.00000
  • Percentage of outliers high
    0.09160
  • Mean of outliers high
    1.05265
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.28058
  • VaR(95%) (moments method)
    0.02000
  • Expected Shortfall (moments method)
    0.02482
  • Extreme Value Index (regression method)
    -0.28898
  • VaR(95%) (regression method)
    0.02014
  • Expected Shortfall (regression method)
    0.02486
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.01586
  • Quartile 1
    0.03531
  • Median
    0.04803
  • Quartile 3
    0.13662
  • Maximum
    0.19523
  • Mean of quarter 1
    0.02515
  • Mean of quarter 2
    0.03792
  • Mean of quarter 3
    0.05813
  • Mean of quarter 4
    0.17901
  • Inter Quartile Range
    0.10132
  • 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
    0.25%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -333428000
  • Max Equity Drawdown (num days)
    347
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.27682
  • Compounded annual return (geometric extrapolation)
    0.29598
  • Calmar ratio (compounded annual return / max draw down)
    1.51607
  • Compounded annual return / average of 25% largest draw downs
    1.65344
  • Compounded annual return / Expected Shortfall lognormal
    6.57701

Strategy Description

Our website at peterinvestments.com has been updated as of 8/4/20. Please check it out

While there is real-life capital being put at risk in real brokerage accounts ( by our money managers ) following the proprietary timing strategy at our website, you still need to remember that the trading results portrayed here in this website are hypothetical. This means in particular that there is no single real-life trading account that looks exactly like the track record shown here.

Trading is risky

Don't trade with money you cannot afford to lose in the next 3 years

Text us at 321-234-5023 for changes in our portfolio following our proprietary timing algorithm. In your text have the words " please add me "
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2019-10-14
Suggested Minimum Capital
$15,000
# Trades
145
# Profitable
82
% Profitable
56.6%
Net Dividends
$10,844
Correlation S&P500
0.436
Sharpe Ratio
0.10
Sortino Ratio
0.13
Beta
0.55
Alpha
-0.01
Leverage
2.18 Average
4.24 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

#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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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.