Collective2 Collective2
Featured Strategy Quant AI pro +16.8% Cumul. Return since Dec 2, 2024 Hypothetical

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Saivers US ETF
(126444124)

Created by: Bren_Worth Bren_Worth
Started: 12/2019
Stocks
Last trade: 789 days ago
Trading style: Equity Trend-following Momentum

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
Trend-following
Category: Equity

Trend-following

Tries to take advantage of long, medium or short-term moves that seem to play out in various markets. Typically, trend-following analysis is backward looking; that is, it attempts to recognize and profit from already-established trends.
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).
3.3%
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.

(100.0%)
Max Drawdown
313
Num Trades
65.2%
Win Trades
1.1 : 1
Profit Factor
60.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019                                                                             +3.3%+3.3%
2020+2.2%(12.9%)+7.2%+17.0%+10.8%+2.1%+2.2%+3.1%(1.6%)(1.9%)+9.2%+5.3%+47.9%
2021(3.6%)+14.7%+6.3%+7.8%+5.5%+2.2%+0.1%+0.6%(3.4%)+4.6%(2.8%)+3.5%+40.1%
2022(2.5%)(3%)(2.2%)(4%)+24.2%(19.5%)+2.3%(0.1%)(7.1%)+3.4%+10.1%(5%)(8.8%)
2023+4.1%(5%)(37%)+11.0%(8.4%)+4.4%+9.7%(4.7%)(7.3%)(1.9%)+10.1%+2.7%(28.9%)
2024(0.9%)+2.9%+8.6%(1.8%)+6.7%(43.9%)+3.2%+5.5%  -  +11.0%(4.3%)(15.1%)

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 168 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 900 days ago.

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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
9/20/22 10:21 PDBC POWERSHARES DB OPT YLD DIV COM LONG 2,084 16.79 9/28 9:30 16.15 2.18%
Trade id #141863744
Max drawdown($1,990)
Time9/26/22 0:00
Quant open2,084
Worst price15.84
Drawdown as % of equity-2.18%
 ($1,339)
Includes Typical Broker Commissions trade costs of $5.00
9/20/22 10:21 DIVO AMPLIFY CWP ENHANCED DIVIDEND INCOME ETF LONG 1,033 33.89 9/28 9:30 32.35 1.9%
Trade id #141863735
Max drawdown($1,694)
Time9/27/22 0:00
Quant open1,033
Worst price32.25
Drawdown as % of equity-1.90%
 ($1,596)
Includes Typical Broker Commissions trade costs of $5.00
9/20/22 10:21 QVAL ALPHA ARCHITECT U.S. QUANTITATIVE VALUE ETF LONG 1,150 30.39 9/28 9:30 28.77 3.19%
Trade id #141863729
Max drawdown($2,909)
Time9/26/22 0:00
Quant open1,150
Worst price27.86
Drawdown as % of equity-3.19%
 ($1,868)
Includes Typical Broker Commissions trade costs of $5.00
9/20/22 10:20 YOLO ADVISORSHARES PURE CANNABIS ETF LONG 7,172 4.90 9/28 9:30 4.15 6.37%
Trade id #141863727
Max drawdown($5,665)
Time9/27/22 0:00
Quant open7,172
Worst price4.11
Drawdown as % of equity-6.37%
 ($5,384)
Includes Typical Broker Commissions trade costs of $5.00
9/20/22 10:20 BCI ABRDN BLOOMBERG ALL MMODITY STRATEGY K-1 FREE LONG 1,293 27.06 9/23 11:13 26.02 1.46%
Trade id #141863716
Max drawdown($1,422)
Time9/23/22 9:40
Quant open1,293
Worst price25.96
Drawdown as % of equity-1.46%
 ($1,350)
Includes Typical Broker Commissions trade costs of $5.00
9/13/22 9:57 QID PROSHARES ULTRASHORT QQQ LONG 2,750 22.00 9/20 9:30 23.65 0.08%
Trade id #141763633
Max drawdown($82)
Time9/13/22 10:18
Quant open2,750
Worst price21.97
Drawdown as % of equity-0.08%
 $4,533
Includes Typical Broker Commissions trade costs of $5.00
6/21/22 10:08 QID PROSHARES ULTRASHORT QQQ LONG 2,302 26.00 7/5 9:30 26.50 6.47%
Trade id #140818689
Max drawdown($5,881)
Time6/27/22 0:00
Quant open2,302
Worst price23.44
Drawdown as % of equity-6.47%
 $1,162
Includes Typical Broker Commissions trade costs of $5.00
5/24/22 9:55 NTSX WISDOMTREE US EFFICIENT CORE FUND LONG 1,037 34.73 6/21 10:07 32.81 3.21%
Trade id #140577914
Max drawdown($3,115)
Time6/16/22 0:00
Quant open1,037
Worst price31.73
Drawdown as % of equity-3.21%
 ($1,993)
Includes Typical Broker Commissions trade costs of $5.00
5/24/22 9:53 ARKK ARK INNOVATION ETF LONG 904 39.82 6/21 9:30 39.90 4.17%
Trade id #140577842
Max drawdown($3,767)
Time6/14/22 0:00
Quant open904
Worst price35.65
Drawdown as % of equity-4.17%
 $66
Includes Typical Broker Commissions trade costs of $5.00
5/24/22 9:53 ARKG ARK GENOMIC REVOLUTION ETF LONG 1,142 31.53 6/21 9:30 30.08 6.5%
Trade id #140577824
Max drawdown($5,880)
Time6/14/22 0:00
Quant open1,142
Worst price26.38
Drawdown as % of equity-6.50%
 ($1,660)
Includes Typical Broker Commissions trade costs of $5.00
5/24/22 9:54 SCHG SCHWAB U.S. LARGE-CAP GROWTH E LONG 613 58.64 6/21 9:30 57.28 2.16%
Trade id #140577889
Max drawdown($2,092)
Time6/16/22 0:00
Quant open613
Worst price55.23
Drawdown as % of equity-2.16%
 ($841)
Includes Typical Broker Commissions trade costs of $5.00
5/24/22 9:53 QVAL ALPHA ARCHITECT U.S. QUANTITATIVE VALUE ETF LONG 1,066 33.77 6/21 9:30 31.24 4.3%
Trade id #140577805
Max drawdown($3,788)
Time6/17/22 0:00
Quant open1,066
Worst price30.22
Drawdown as % of equity-4.30%
 ($2,710)
Includes Typical Broker Commissions trade costs of $5.00
5/24/22 9:54 FFSG FORMULAFOLIOS SMART GROWTH ETF LONG 1,120 31.94 6/21 9:30 30.09 3.03%
Trade id #140577860
Max drawdown($2,668)
Time6/17/22 0:00
Quant open1,120
Worst price29.56
Drawdown as % of equity-3.03%
 ($2,082)
Includes Typical Broker Commissions trade costs of $5.00
5/3/22 9:35 QID PROSHARES ULTRASHORT QQQ LONG 2,645 22.04 5/24 9:30 25.86 4.92%
Trade id #140346296
Max drawdown($4,653)
Time5/4/22 0:00
Quant open2,645
Worst price20.28
Drawdown as % of equity-4.92%
 $10,100
Includes Typical Broker Commissions trade costs of $5.00
4/26/22 9:44 GMOM CAMBRIA ETF TRUST LONG 1,076 31.57 5/3 9:30 30.87 1.04%
Trade id #140264945
Max drawdown($991)
Time5/2/22 0:00
Quant open1,076
Worst price30.65
Drawdown as % of equity-1.04%
 ($761)
Includes Typical Broker Commissions trade costs of $5.00
4/26/22 9:44 AESR ANFIELD US EQUITY SECTOR ROTATION ETF LONG 2,679 12.60 5/3 9:30 12.12 1.75%
Trade id #140264912
Max drawdown($1,816)
Time5/3/22 9:30
Quant open2,679
Worst price11.92
Drawdown as % of equity1.75%
 ($1,290)
Includes Typical Broker Commissions trade costs of $5.00
4/26/22 9:46 SCHX SCHWAB U.S. LARGE-CAP ETF LONG 673 50.47 5/3 9:30 49.31 1.63%
Trade id #140265001
Max drawdown($1,554)
Time5/2/22 0:00
Quant open673
Worst price48.16
Drawdown as % of equity-1.63%
 ($786)
Includes Typical Broker Commissions trade costs of $5.00
4/26/22 9:45 COMT ISHARES GSCI COMMODITY DYNAMIC ROLL STRATEGY ETF LONG 832 40.77 5/3 9:30 41.54 0.18%
Trade id #140264994
Max drawdown($177)
Time4/26/22 10:23
Quant open832
Worst price40.56
Drawdown as % of equity-0.18%
 $635
Includes Typical Broker Commissions trade costs of $5.00
4/26/22 9:45 IEFN ISHARES EVOLVED US FINANCIALS ETF LONG 1,091 30.91 5/3 9:30 29.90 1.28%
Trade id #140264981
Max drawdown($1,282)
Time4/29/22 0:00
Quant open1,091
Worst price29.73
Drawdown as % of equity-1.28%
 ($1,101)
Includes Typical Broker Commissions trade costs of $5.00
4/26/22 9:45 DFNL DAVIS SELECT FINANCIAL ETF LONG 1,167 29.15 5/3 9:30 28.28 1.78%
Trade id #140264961
Max drawdown($1,692)
Time5/2/22 0:00
Quant open1,167
Worst price27.70
Drawdown as % of equity-1.78%
 ($1,021)
Includes Typical Broker Commissions trade costs of $5.00
4/19/22 9:33 QID PROSHARES ULTRASHORT QQQ LONG 2,967 19.83 4/26 9:30 21.03 3.59%
Trade id #140180344
Max drawdown($3,406)
Time4/21/22 0:00
Quant open2,967
Worst price18.68
Drawdown as % of equity-3.59%
 $3,562
Includes Typical Broker Commissions trade costs of $5.00
3/29/22 9:32 RFDI FIRST TRUST RIVERFRONT DYN DEV INTL LONG 520 66.87 4/19 9:30 63.47 1.98%
Trade id #139952480
Max drawdown($1,866)
Time4/12/22 0:00
Quant open520
Worst price63.28
Drawdown as % of equity-1.98%
 ($1,775)
Includes Typical Broker Commissions trade costs of $5.00
3/29/22 9:31 FTGC FIRST TRUST GLOBAL TACTICAL CO LONG 1,233 28.16 4/19 9:30 29.64 0.15%
Trade id #139952440
Max drawdown($156)
Time3/29/22 9:41
Quant open1,233
Worst price28.03
Drawdown as % of equity-0.15%
 $1,821
Includes Typical Broker Commissions trade costs of $5.00
3/29/22 9:30 AFLG FIRST TRUST ACTIVE FACTOR LARGE CAP ETF LONG 1,279 27.21 4/19 9:30 26.22 1.33%
Trade id #139952197
Max drawdown($1,304)
Time4/19/22 9:30
Quant open1,279
Worst price26.19
Drawdown as % of equity-1.33%
 ($1,281)
Includes Typical Broker Commissions trade costs of $7.50
3/29/22 9:33 WBIT WBI BULLBEAR TREND SWITCH US 3000 TOTAL RETURN LONG 1,568 22.26 4/19 9:30 21.00 2.02%
Trade id #139952590
Max drawdown($1,980)
Time4/18/22 0:00
Quant open1,568
Worst price21.00
Drawdown as % of equity-2.02%
 ($1,983)
Includes Typical Broker Commissions trade costs of $5.00
3/29/22 9:33 LRNZ TRUESHARES TECHNOLOGY AI & DEEP LEARNING ETF LONG 865 40.39 4/19 9:30 35.18 4.89%
Trade id #139952543
Max drawdown($4,795)
Time4/18/22 0:00
Quant open865
Worst price34.84
Drawdown as % of equity-4.89%
 ($4,507)
Includes Typical Broker Commissions trade costs of $5.00
3/29/22 9:32 COMT ISHARES GSCI COMMODITY DYNAMIC ROLL STRATEGY ETF LONG 885 39.23 4/19 9:30 42.02 0.17%
Trade id #139952498
Max drawdown($163)
Time4/7/22 0:00
Quant open885
Worst price39.05
Drawdown as % of equity-0.17%
 $2,458
Includes Typical Broker Commissions trade costs of $5.00
2/8/22 10:12 DWEQ ADVISORSHARES DORSEY WRIGHT ALP LONG 1,544 23.84 2/22 9:30 23.43 1.19%
Trade id #139302512
Max drawdown($1,320)
Time2/17/22 0:00
Quant open1,544
Worst price22.99
Drawdown as % of equity-1.19%
 ($643)
Includes Typical Broker Commissions trade costs of $5.00
2/8/22 10:14 FTLS FIRST TRUST LONG SHORT EQUITY LONG 733 50.14 2/22 9:30 49.73 0.35%
Trade id #139302581
Max drawdown($376)
Time2/14/22 0:00
Quant open733
Worst price49.63
Drawdown as % of equity-0.35%
 ($308)
Includes Typical Broker Commissions trade costs of $5.00
2/8/22 10:13 AVEM AVANTIS EMERGING MARKETS EQUITY ETF LONG 579 63.14 2/22 9:30 62.33 0.46%
Trade id #139302551
Max drawdown($474)
Time2/22/22 9:30
Quant open579
Worst price62.32
Drawdown as % of equity-0.46%
 ($472)
Includes Typical Broker Commissions trade costs of $5.00
Next

Statistics

  • Strategy began
    12/2/2019
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    1840.27
  • Age
    62 months ago
  • What it trades
    Stocks
  • # Trades
    313
  • # Profitable
    204
  • % Profitable
    65.20%
  • Avg trade duration
    38.0 days
  • Max peak-to-valley drawdown
    100%
  • drawdown period
    Dec 27, 2019 - June 20, 2023
  • Annual Return (Compounded)
    3.3%
  • Avg win
    $715.65
  • Avg loss
    $1,342
  • Model Account Values (Raw)
  • Cash
    $24,738
  • Margin Used
    $0
  • Buying Power
    $47,301
  • Ratios
  • W:L ratio
    1.09:1
  • Sharpe Ratio
    0.27
  • Sortino Ratio
    0.62
  • Calmar Ratio
    0.086
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -76.46%
  • Correlation to SP500
    0.07880
  • Return Percent SP500 (cumu) during strategy life
    90.47%
  • Return Statistics
  • Ann Return (w trading costs)
    3.3%
  • Slump
  • Current Slump as Pcnt Equity
    109.30%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.50%
  • 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)
    0.033%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    4.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    100.00%
  • Chance of 40% account loss
    100.00%
  • Chance of 60% account loss (Monte Carlo)
    100.00%
  • Chance of 70% account loss (Monte Carlo)
    100.00%
  • Chance of 80% account loss (Monte Carlo)
    100.00%
  • Chance of 90% account loss (Monte Carlo)
    100.00%
  • Chance of 100% account loss (Monte Carlo)
    100.00%
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    100.00%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    333
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    371
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $1,342
  • Avg Win
    $716
  • Sum Trade PL (losers)
    $146,323.000
  • Age
  • Num Months filled monthly returns table
    61
  • Win / Loss
  • Sum Trade PL (winners)
    $145,993.000
  • # Winners
    204
  • Num Months Winners
    36
  • Dividends
  • Dividends Received in Model Acct
    13025
  • Win / Loss
  • # Losers
    109
  • % Winners
    65.2%
  • Frequency
  • Avg Position Time (mins)
    54786.40
  • Avg Position Time (hrs)
    913.11
  • Avg Trade Length
    38.0 days
  • Last Trade Ago
    782
  • Leverage
  • Daily leverage (average)
    1.24
  • Daily leverage (max)
    3.03
  • Regression
  • Alpha
    0.02
  • Beta
    0.15
  • Treynor Index
    0.18
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.05
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    3.135
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    0.506
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.561
  • Hold-and-Hope Ratio
    -0.006
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.03718
  • SD
    0.34656
  • Sharpe ratio (Glass type estimate)
    0.10729
  • Sharpe ratio (Hedges UMVUE)
    0.10560
  • df
    48.00000
  • t
    0.21680
  • p
    0.41464
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.86343
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.07691
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.86456
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.07576
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.13245
  • Upside Potential Ratio
    1.46577
  • Upside part of mean
    0.41149
  • Downside part of mean
    -0.37431
  • Upside SD
    0.19738
  • Downside SD
    0.28074
  • N nonnegative terms
    29.00000
  • N negative terms
    20.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    49.00000
  • Mean of predictor
    0.12818
  • Mean of criterion
    0.03718
  • SD of predictor
    0.21305
  • SD of criterion
    0.34656
  • Covariance
    0.01867
  • r
    0.25289
  • b (slope, estimate of beta)
    0.41137
  • a (intercept, estimate of alpha)
    -0.01555
  • Mean Square Error
    0.11482
  • DF error
    47.00000
  • t(b)
    1.79195
  • p(b)
    0.03979
  • t(a)
    -0.09132
  • p(a)
    0.53619
  • Lowerbound of 95% confidence interval for beta
    -0.05046
  • Upperbound of 95% confidence interval for beta
    0.87319
  • Lowerbound of 95% confidence interval for alpha
    -0.35804
  • Upperbound of 95% confidence interval for alpha
    0.32695
  • Treynor index (mean / b)
    0.09039
  • Jensen alpha (a)
    -0.01555
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.03127
  • SD
    0.39016
  • Sharpe ratio (Glass type estimate)
    -0.08014
  • Sharpe ratio (Hedges UMVUE)
    -0.07888
  • df
    48.00000
  • t
    -0.16193
  • p
    0.56398
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.04979
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.89034
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.04894
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.89118
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.09238
  • Upside Potential Ratio
    1.15990
  • Upside part of mean
    0.39255
  • Downside part of mean
    -0.42382
  • Upside SD
    0.18617
  • Downside SD
    0.33844
  • N nonnegative terms
    29.00000
  • N negative terms
    20.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    49.00000
  • Mean of predictor
    0.10477
  • Mean of criterion
    -0.03127
  • SD of predictor
    0.21609
  • SD of criterion
    0.39016
  • Covariance
    0.01692
  • r
    0.20065
  • b (slope, estimate of beta)
    0.36228
  • a (intercept, estimate of alpha)
    -0.06922
  • Mean Square Error
    0.14920
  • DF error
    47.00000
  • t(b)
    1.40413
  • p(b)
    0.08343
  • t(a)
    -0.35857
  • p(a)
    0.63924
  • Lowerbound of 95% confidence interval for beta
    -0.15677
  • Upperbound of 95% confidence interval for beta
    0.88134
  • Lowerbound of 95% confidence interval for alpha
    -0.45760
  • Upperbound of 95% confidence interval for alpha
    0.31915
  • Treynor index (mean / b)
    -0.08630
  • Jensen alpha (a)
    -0.06922
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.17127
  • Expected Shortfall on VaR
    0.20869
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.06119
  • Expected Shortfall on VaR
    0.13543
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    49.00000
  • Minimum
    0.60591
  • Quartile 1
    0.97672
  • Median
    1.01359
  • Quartile 3
    1.05771
  • Maximum
    1.18422
  • Mean of quarter 1
    0.89123
  • Mean of quarter 2
    0.99779
  • Mean of quarter 3
    1.03734
  • Mean of quarter 4
    1.10487
  • Inter Quartile Range
    0.08099
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.06122
  • Mean of outliers low
    0.70698
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.02041
  • Mean of outliers high
    1.18422
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.53161
  • VaR(95%) (moments method)
    0.09557
  • Expected Shortfall (moments method)
    0.23944
  • Extreme Value Index (regression method)
    0.67291
  • VaR(95%) (regression method)
    0.10525
  • Expected Shortfall (regression method)
    0.35686
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00380
  • Quartile 1
    0.01468
  • Median
    0.02344
  • Quartile 3
    0.14153
  • Maximum
    0.56600
  • Mean of quarter 1
    0.00912
  • Mean of quarter 2
    0.01537
  • Mean of quarter 3
    0.03150
  • Mean of quarter 4
    0.37210
  • Inter Quartile Range
    0.12685
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.16667
  • Mean of outliers high
    0.56600
  • 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)
    -0.00334
  • Compounded annual return (geometric extrapolation)
    -0.00335
  • Calmar ratio (compounded annual return / max draw down)
    -0.00593
  • Compounded annual return / average of 25% largest draw downs
    -0.00901
  • Compounded annual return / Expected Shortfall lognormal
    -0.01607
  • 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
    0.32398
  • SD
    0.86777
  • Sharpe ratio (Glass type estimate)
    0.37334
  • Sharpe ratio (Hedges UMVUE)
    0.37308
  • df
    1081.00000
  • t
    0.75870
  • p
    0.48531
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.59131
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.33784
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.59151
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.33767
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.78191
  • Upside Potential Ratio
    4.00172
  • Upside part of mean
    1.65806
  • Downside part of mean
    -1.33409
  • Upside SD
    0.76227
  • Downside SD
    0.41434
  • N nonnegative terms
    559.00000
  • N negative terms
    523.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1082.00000
  • Mean of predictor
    0.16138
  • Mean of criterion
    0.32398
  • SD of predictor
    0.23378
  • SD of criterion
    0.86777
  • Covariance
    0.00847
  • r
    0.04177
  • b (slope, estimate of beta)
    0.15504
  • a (intercept, estimate of alpha)
    0.29900
  • Mean Square Error
    0.75241
  • DF error
    1080.00000
  • t(b)
    1.37386
  • p(b)
    0.47912
  • t(a)
    0.69975
  • p(a)
    0.48936
  • Lowerbound of 95% confidence interval for beta
    -0.06639
  • Upperbound of 95% confidence interval for beta
    0.37648
  • Lowerbound of 95% confidence interval for alpha
    -0.53934
  • Upperbound of 95% confidence interval for alpha
    1.13724
  • Treynor index (mean / b)
    2.08959
  • Jensen alpha (a)
    0.29895
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.03672
  • SD
    0.74635
  • Sharpe ratio (Glass type estimate)
    0.04920
  • Sharpe ratio (Hedges UMVUE)
    0.04917
  • df
    1081.00000
  • t
    0.09999
  • p
    0.49806
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.91526
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.01367
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.91529
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.01363
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.06511
  • Upside Potential Ratio
    2.65715
  • Upside part of mean
    1.49875
  • Downside part of mean
    -1.46203
  • Upside SD
    0.48825
  • Downside SD
    0.56405
  • N nonnegative terms
    559.00000
  • N negative terms
    523.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1082.00000
  • Mean of predictor
    0.13393
  • Mean of criterion
    0.03672
  • SD of predictor
    0.23450
  • SD of criterion
    0.74635
  • Covariance
    0.00896
  • r
    0.05121
  • b (slope, estimate of beta)
    0.16298
  • a (intercept, estimate of alpha)
    0.01490
  • Mean Square Error
    0.55610
  • DF error
    1080.00000
  • t(b)
    1.68498
  • p(b)
    0.47440
  • t(a)
    0.04057
  • p(a)
    0.49938
  • Lowerbound of 95% confidence interval for beta
    -0.02681
  • Upperbound of 95% confidence interval for beta
    0.35276
  • Lowerbound of 95% confidence interval for alpha
    -0.70558
  • Upperbound of 95% confidence interval for alpha
    0.73537
  • Treynor index (mean / b)
    0.22533
  • Jensen alpha (a)
    0.01490
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07291
  • Expected Shortfall on VaR
    0.09047
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01088
  • Expected Shortfall on VaR
    0.02599
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1082.00000
  • Minimum
    0.39330
  • Quartile 1
    0.99627
  • Median
    1.00049
  • Quartile 3
    1.00604
  • Maximum
    2.49766
  • Mean of quarter 1
    0.98100
  • Mean of quarter 2
    0.99890
  • Mean of quarter 3
    1.00306
  • Mean of quarter 4
    1.02241
  • Inter Quartile Range
    0.00976
  • Number outliers low
    57.00000
  • Percentage of outliers low
    0.05268
  • Mean of outliers low
    0.94310
  • Number of outliers high
    57.00000
  • Percentage of outliers high
    0.05268
  • Mean of outliers high
    1.06539
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.65352
  • VaR(95%) (moments method)
    0.01534
  • Expected Shortfall (moments method)
    0.04901
  • Extreme Value Index (regression method)
    0.50883
  • VaR(95%) (regression method)
    0.01394
  • Expected Shortfall (regression method)
    0.03284
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    51.00000
  • Minimum
    0.00009
  • Quartile 1
    0.00277
  • Median
    0.00596
  • Quartile 3
    0.02608
  • Maximum
    0.77538
  • Mean of quarter 1
    0.00121
  • Mean of quarter 2
    0.00463
  • Mean of quarter 3
    0.01465
  • Mean of quarter 4
    0.13091
  • Inter Quartile Range
    0.02331
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.13725
  • Mean of outliers high
    0.21035
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.84556
  • VaR(95%) (moments method)
    0.12570
  • Expected Shortfall (moments method)
    0.85650
  • Extreme Value Index (regression method)
    0.98450
  • VaR(95%) (regression method)
    0.07439
  • Expected Shortfall (regression method)
    3.75917
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.07408
  • Compounded annual return (geometric extrapolation)
    0.06676
  • Calmar ratio (compounded annual return / max draw down)
    0.08610
  • Compounded annual return / average of 25% largest draw downs
    0.51001
  • Compounded annual return / Expected Shortfall lognormal
    0.73798
  • 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
    0.07904
  • SD
    0.53968
  • Sharpe ratio (Glass type estimate)
    0.14646
  • Sharpe ratio (Hedges UMVUE)
    0.14561
  • df
    130.00000
  • t
    0.10356
  • p
    0.49546
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.62565
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.91808
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.62625
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.91748
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.16692
  • Upside Potential Ratio
    3.42771
  • Upside part of mean
    1.62314
  • Downside part of mean
    -1.54410
  • Upside SD
    0.25459
  • Downside SD
    0.47354
  • N nonnegative terms
    83.00000
  • N negative terms
    48.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.67266
  • Mean of criterion
    0.07904
  • SD of predictor
    0.17715
  • SD of criterion
    0.53968
  • Covariance
    0.02756
  • r
    0.28824
  • b (slope, estimate of beta)
    0.87809
  • a (intercept, estimate of alpha)
    -0.51162
  • Mean Square Error
    0.26912
  • DF error
    129.00000
  • t(b)
    3.41890
  • p(b)
    0.31907
  • t(a)
    -0.67879
  • p(a)
    0.53796
  • Lowerbound of 95% confidence interval for beta
    0.36994
  • Upperbound of 95% confidence interval for beta
    1.38625
  • Lowerbound of 95% confidence interval for alpha
    -2.00287
  • Upperbound of 95% confidence interval for alpha
    0.97963
  • Treynor index (mean / b)
    0.09001
  • Jensen alpha (a)
    -0.51162
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.08490
  • SD
    0.59417
  • Sharpe ratio (Glass type estimate)
    -0.14289
  • Sharpe ratio (Hedges UMVUE)
    -0.14206
  • df
    130.00000
  • t
    -0.10104
  • p
    0.50443
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.91451
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.62922
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.91392
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.62980
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.15762
  • Upside Potential Ratio
    2.95579
  • Upside part of mean
    1.59212
  • Downside part of mean
    -1.67701
  • Upside SD
    0.24543
  • Downside SD
    0.53864
  • N nonnegative terms
    83.00000
  • N negative terms
    48.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.65648
  • Mean of criterion
    -0.08490
  • SD of predictor
    0.17460
  • SD of criterion
    0.59417
  • Covariance
    0.02509
  • r
    0.24185
  • b (slope, estimate of beta)
    0.82305
  • a (intercept, estimate of alpha)
    -0.62522
  • Mean Square Error
    0.33497
  • DF error
    129.00000
  • t(b)
    2.83094
  • p(b)
    0.34755
  • t(a)
    -0.74390
  • p(a)
    0.54158
  • VAR (95 Confidence Intrvl)
    0.07300
  • Lowerbound of 95% confidence interval for beta
    0.24782
  • Upperbound of 95% confidence interval for beta
    1.39827
  • Lowerbound of 95% confidence interval for alpha
    -2.28807
  • Upperbound of 95% confidence interval for alpha
    1.03764
  • Treynor index (mean / b)
    -0.10315
  • Jensen alpha (a)
    -0.62522
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05890
  • Expected Shortfall on VaR
    0.07314
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01023
  • Expected Shortfall on VaR
    0.02553
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.74283
  • Quartile 1
    0.99746
  • Median
    1.00200
  • Quartile 3
    1.00558
  • Maximum
    1.11415
  • Mean of quarter 1
    0.97726
  • Mean of quarter 2
    1.00004
  • Mean of quarter 3
    1.00387
  • Mean of quarter 4
    1.02057
  • Inter Quartile Range
    0.00811
  • Number outliers low
    7.00000
  • Percentage of outliers low
    0.05344
  • Mean of outliers low
    0.92026
  • Number of outliers high
    9.00000
  • Percentage of outliers high
    0.06870
  • Mean of outliers high
    1.04929
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.95259
  • VaR(95%) (moments method)
    0.01532
  • Expected Shortfall (moments method)
    0.34434
  • Extreme Value Index (regression method)
    0.67411
  • VaR(95%) (regression method)
    0.01302
  • Expected Shortfall (regression method)
    0.04572
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.00005
  • Quartile 1
    0.00315
  • Median
    0.01170
  • Quartile 3
    0.04260
  • Maximum
    0.42773
  • Mean of quarter 1
    0.00143
  • Mean of quarter 2
    0.00437
  • Mean of quarter 3
    0.02653
  • Mean of quarter 4
    0.17294
  • Inter Quartile Range
    0.03945
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.10000
  • Mean of outliers high
    0.42773
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    1.11851
  • VaR(95%) (moments method)
    0.21499
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    8.90840
  • VaR(95%) (regression method)
    8.85965
  • 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?
    -374181000
  • Max Equity Drawdown (num days)
    1271
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.05619
  • Compounded annual return (geometric extrapolation)
    -0.05540
  • Calmar ratio (compounded annual return / max draw down)
    -0.12952
  • Compounded annual return / average of 25% largest draw downs
    -0.32032
  • Compounded annual return / Expected Shortfall lognormal
    -0.75746

Strategy Description

This automated trading system employs an advanced Reinforcement Learning agent that is based on a cognitive model of the human brain. Incorporating concepts from cognitive neuroscience and psychology including: emotions, working memory, attention and more. The agent is ideally suited to trading in markets with non-stationary statistical dynamics.

Ok so maybe a little technical, but the main point is that the algorithm automatically adapts to changing markets. It is always trying to balance risk/reward to achieve the highest gains over time while minimizing draw down. This algorithm has been under test for 3 years and optimized for the retail trader.

The basic trading workflow includes: 1. Selecting securities to trade in for Long positions. 2. Computing Long/Flat/Cash portfolio allocation. 3. Rebalance portfolio on weekly or longer basis depending on market conditions. The adaptive allocation management allows the portfolio to distribute resources into long, flat (fixed income ETFs) and cash. Our testing has shown that the adaptive allocation model significantly improves long term performance of the portfolio while controlling execution costs and complexity.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2019-12-02
Suggested Minimum Capital
$15,000
# Trades
313
# Profitable
204
% Profitable
65.2%
Net Dividends
$13,025
Correlation S&P500
0.079
Sharpe Ratio
0.27
Sortino Ratio
0.62
Beta
0.15
Alpha
0.02
Leverage
1.24 Average
3.03 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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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.