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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 03/10/2020
Most recent certification approved 3/10/20 9:45 ET
Trades at broker Interactive Brokers (Stocks, Options, Futures)
Scaling percentage used 100%
# trading signals issued by system since certification 765
# trading signals executed in manager's Interactive Brokers (Stocks, Options, Futures) account 765
Percent signals followed since 03/10/2020 100%
This information was last updated 11/29/22 15:49 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 03/10/2020, 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. Hypothetical performance results have many inherent limitations, some of which are described below. No representation is being made that any account will or is likely to achieve profits or losses similar to those shown. In fact, there are frequently sharp differences between hypothetical performance results and the actual results subsequently achieved by any particular trading program.

One of the limitations of hypothetical performance results is that they are generally prepared with the benefit of hindsight. 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.

AI SOXL SOXS swing
(127841340)

Created by: QuantTiger QuantTiger
Started: 03/2020
Stocks
Last trade: 13 days ago
Trading style: Equity Trend-following Sector: Technology

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 $140.00 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.
Sector: Technology
Category: Equity

Sector: Technology

Focuses primarily on stocks of technology companies.
26.7%
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.

(57.7%)
Max Drawdown
370
Num Trades
45.9%
Win Trades
1.1 : 1
Profit Factor
57.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020              (3.2%)+3.6%+32.4%+25.5%+12.2%+6.1%(17%)+2.8%+33.0%+10.8%+149.3%
2021+1.5%+19.3%(23.5%)+5.0%(5.1%)+8.1%(12.6%)+12.2%(8.3%)(5.1%)+43.3%+19.7%+46.0%
2022(3.7%)(20%)+1.9%(23.3%)+16.5%(12.4%)+61.9%(35%)(5%)+6.3%(19.4%)      (47.3%)

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 36 hours.

Trading Record

This strategy has placed 765 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
11/15/22 15:59 SOXS DIREXION DAILY SEMICONDCT BEAR LONG 934 32.14 11/16 15:59 36.13 n/a $3,714
Includes Typical Broker Commissions trade costs of $5.00
11/11/22 14:59 SOXL DIREXION DAILY SEMICONDCT BULL LONG 3,252 13.41 11/15 15:59 13.86 5.1%
Trade id #142539586
Max drawdown($2,213)
Time11/14/22 0:00
Quant open3,252
Worst price12.73
Drawdown as % of equity-5.10%
$1,450
Includes Typical Broker Commissions trade costs of $5.00
11/7/22 15:59 SOXS DIREXION DAILY SEMICONDCT BEAR LONG 732 53.18 11/11 14:05 33.74 32.12%
Trade id #142473868
Max drawdown($14,272)
Time11/11/22 14:05
Quant open732
Worst price33.68
Drawdown as % of equity-32.12%
($14,233)
Includes Typical Broker Commissions trade costs of $5.00
11/4/22 15:59 SOXS DIREXION DAILY SEMICONDCT BEAR LONG 702 57.16 11/7 14:34 53.46 4.4%
Trade id #142448354
Max drawdown($2,603)
Time11/7/22 14:34
Quant open702
Worst price53.45
Drawdown as % of equity-4.40%
($2,603)
Includes Typical Broker Commissions trade costs of $5.00
11/2/22 15:59 SOXL DIREXION DAILY SEMICONDCT BULL LONG 6,723 8.28 11/4 15:59 8.97 8.95%
Trade id #142417334
Max drawdown($5,009)
Time11/3/22 0:00
Quant open6,723
Worst price7.53
Drawdown as % of equity-8.95%
$4,669
Includes Typical Broker Commissions trade costs of $5.00
10/31/22 15:59 SOXL DIREXION DAILY SEMICONDCT BULL LONG 6,401 8.89 11/2 15:28 8.41 5.49%
Trade id #142386629
Max drawdown($3,296)
Time11/2/22 15:28
Quant open6,401
Worst price8.38
Drawdown as % of equity-5.49%
($3,109)
Includes Typical Broker Commissions trade costs of $5.00
10/28/22 15:59 SOXS DIREXION DAILY SEMICONDCT BEAR LONG 677 55.80 10/31 15:59 59.47 n/a $2,481
Includes Typical Broker Commissions trade costs of $5.00
10/26/22 15:59 SOXL DIREXION DAILY SEMICONDCT BULL LONG 5,704 8.98 10/28 15:59 9.52 5.28%
Trade id #142333347
Max drawdown($2,845)
Time10/27/22 0:00
Quant open5,704
Worst price8.48
Drawdown as % of equity-5.28%
$3,108
Includes Typical Broker Commissions trade costs of $5.00
10/19/22 15:59 SOXS DIREXION DAILY SEMICONDCT BEAR LONG 541 72.63 10/26 15:59 60.13 17.47%
Trade id #142234579
Max drawdown($9,054)
Time10/26/22 11:39
Quant open541
Worst price55.89
Drawdown as % of equity-17.47%
($6,763)
Includes Typical Broker Commissions trade costs of $5.00
10/18/22 15:59 SOXL DIREXION DAILY SEMICONDCT BULL LONG 7,628 7.39 10/19 15:59 7.57 2.4%
Trade id #142217126
Max drawdown($1,425)
Time10/19/22 9:49
Quant open7,628
Worst price7.20
Drawdown as % of equity-2.40%
$1,416
Includes Typical Broker Commissions trade costs of $5.00
10/3/22 15:59 SOXS DIREXION DAILY SEMICONDCT BEAR LONG 558 62.77 10/18 15:59 74.60 15.03%
Trade id #142018676
Max drawdown($7,072)
Time10/6/22 0:00
Quant open558
Worst price50.10
Drawdown as % of equity-15.03%
$6,594
Includes Typical Broker Commissions trade costs of $5.00
9/29/22 15:59 SOXS DIREXION DAILY SEMICONDCT BEAR LONG 534 67.18 10/3 10:03 64.61 2.78%
Trade id #141983880
Max drawdown($1,498)
Time9/30/22 0:00
Quant open534
Worst price64.37
Drawdown as % of equity-2.78%
($1,376)
Includes Typical Broker Commissions trade costs of $5.00
9/28/22 15:59 SOXL DIREXION DAILY SEMICONDCT BULL LONG 5,485 10.24 9/29 9:41 9.34 9.33%
Trade id #141967777
Max drawdown($5,072)
Time9/29/22 9:41
Quant open5,485
Worst price9.32
Drawdown as % of equity-9.33%
($4,967)
Includes Typical Broker Commissions trade costs of $5.00
9/26/22 15:59 SOXS DIREXION DAILY SEMICONDCT BEAR LONG 652 65.70 9/28 15:33 60.92 5.34%
Trade id #141935858
Max drawdown($3,308)
Time9/27/22 0:00
Quant open652
Worst price60.63
Drawdown as % of equity-5.34%
($3,126)
Includes Typical Broker Commissions trade costs of $5.00
9/23/22 15:59 SOXL DIREXION DAILY SEMICONDCT BULL LONG 6,205 9.94 9/26 15:59 9.56 4.39%
Trade id #141913414
Max drawdown($2,728)
Time9/26/22 13:59
Quant open6,205
Worst price9.50
Drawdown as % of equity-4.39%
($2,355)
Includes Typical Broker Commissions trade costs of $5.00
9/21/22 15:59 SOXS DIREXION DAILY SEMICONDCT BEAR LONG 767 55.38 9/23 15:59 63.30 n/a $6,071
Includes Typical Broker Commissions trade costs of $5.00
9/16/22 15:59 SOXL DIREXION DAILY SEMICONDCT BULL LONG 4,684 12.09 9/21 15:59 11.46 5.61%
Trade id #141837838
Max drawdown($3,339)
Time9/21/22 15:59
Quant open4,684
Worst price11.38
Drawdown as % of equity-5.61%
($2,967)
Includes Typical Broker Commissions trade costs of $5.00
9/7/22 15:59 SOXS DIREXION DAILY SEMICONDCT BEAR LONG 796 51.44 9/16 15:59 52.83 10.59%
Trade id #141695397
Max drawdown($5,861)
Time9/12/22 0:00
Quant open796
Worst price44.08
Drawdown as % of equity-10.59%
$1,101
Includes Typical Broker Commissions trade costs of $5.00
8/26/22 15:59 SOXS DIREXION DAILY SEMICONDCT BEAR LONG 648 42.50 9/7 15:16 50.25 0.28%
Trade id #141563006
Max drawdown($153)
Time8/29/22 0:00
Quant open648
Worst price42.26
Drawdown as % of equity-0.28%
$5,016
Includes Typical Broker Commissions trade costs of $5.00
8/25/22 15:59 SOXL DIREXION DAILY SEMICONDCT BULL LONG 2,785 19.33 8/26 11:04 17.38 9.78%
Trade id #141549745
Max drawdown($5,457)
Time8/26/22 11:04
Quant open2,785
Worst price17.37
Drawdown as % of equity-9.78%
($5,447)
Includes Typical Broker Commissions trade costs of $5.00
8/24/22 15:59 SOXS DIREXION DAILY SEMICONDCT BEAR LONG 799 40.74 8/25 15:59 36.22 6.01%
Trade id #141529288
Max drawdown($3,690)
Time8/25/22 15:59
Quant open799
Worst price36.12
Drawdown as % of equity-6.01%
($3,615)
Includes Typical Broker Commissions trade costs of $5.00
8/23/22 15:59 SOXL DIREXION DAILY SEMICONDCT BULL LONG 3,340 17.35 8/24 15:59 17.41 3.07%
Trade id #141514292
Max drawdown($1,950)
Time8/24/22 10:06
Quant open3,340
Worst price16.77
Drawdown as % of equity-3.07%
$181
Includes Typical Broker Commissions trade costs of $5.00
8/22/22 15:59 SOXS DIREXION DAILY SEMICONDCT BEAR LONG 777 41.83 8/23 15:59 40.85 3.36%
Trade id #141500101
Max drawdown($2,118)
Time8/23/22 10:16
Quant open777
Worst price39.10
Drawdown as % of equity-3.36%
($762)
Includes Typical Broker Commissions trade costs of $5.00
8/11/22 15:59 SOXL DIREXION DAILY SEMICONDCT BULL LONG 3,188 19.80 8/22 9:30 17.98 9.18%
Trade id #141392394
Max drawdown($6,305)
Time8/22/22 9:30
Quant open3,188
Worst price17.82
Drawdown as % of equity-9.18%
($5,832)
Includes Typical Broker Commissions trade costs of $5.00
8/9/22 15:59 SOXS DIREXION DAILY SEMICONDCT BEAR LONG 889 42.53 8/11 15:59 37.28 11.04%
Trade id #141356919
Max drawdown($7,582)
Time8/11/22 10:19
Quant open889
Worst price34.00
Drawdown as % of equity-11.04%
($4,669)
Includes Typical Broker Commissions trade costs of $5.00
8/5/22 15:59 SOXL DIREXION DAILY SEMICONDCT BULL LONG 3,767 21.53 8/9 11:05 17.71 19.05%
Trade id #141322669
Max drawdown($14,422)
Time8/9/22 11:05
Quant open3,767
Worst price17.70
Drawdown as % of equity-19.05%
($14,377)
Includes Typical Broker Commissions trade costs of $5.00
8/5/22 9:30 SOXS DIREXION DAILY SEMICONDCT BEAR LONG 1,208 36.58 8/5 15:59 35.67 2.39%
Trade id #141314824
Max drawdown($2,148)
Time8/5/22 10:24
Quant open1,208
Worst price34.80
Drawdown as % of equity-2.39%
($1,097)
Includes Typical Broker Commissions trade costs of $5.00
8/2/22 15:59 SOXL DIREXION DAILY SEMICONDCT BULL LONG 3,918 19.96 8/5 9:30 20.94 0.42%
Trade id #141276527
Max drawdown($362)
Time8/3/22 0:00
Quant open3,918
Worst price19.87
Drawdown as % of equity-0.42%
$3,813
Includes Typical Broker Commissions trade costs of $5.00
8/1/22 15:59 SOXS DIREXION DAILY SEMICONDCT BEAR LONG 1,168 38.74 8/2 12:25 37.32 1.91%
Trade id #141259472
Max drawdown($1,680)
Time8/2/22 12:25
Quant open1,168
Worst price37.30
Drawdown as % of equity-1.91%
($1,668)
Includes Typical Broker Commissions trade costs of $5.00
7/29/22 15:59 SOXS DIREXION DAILY SEMICONDCT BEAR LONG 1,168 39.04 8/1 11:00 37.64 1.91%
Trade id #141236422
Max drawdown($1,717)
Time8/1/22 11:00
Quant open1,168
Worst price37.57
Drawdown as % of equity-1.91%
($1,642)
Includes Typical Broker Commissions trade costs of $5.00

Statistics

  • Strategy began
    3/4/2020
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    1000.5
  • Age
    33 months ago
  • What it trades
    Stocks
  • # Trades
    370
  • # Profitable
    170
  • % Profitable
    45.90%
  • Avg trade duration
    2.8 days
  • Max peak-to-valley drawdown
    57.72%
  • drawdown period
    Feb 10, 2022 - Nov 15, 2022
  • Annual Return (Compounded)
    26.7%
  • Avg win
    $3,027
  • Avg loss
    $2,421
  • Model Account Values (Raw)
  • Cash
    $32,264
  • Margin Used
    $0
  • Buying Power
    $32,337
  • Ratios
  • W:L ratio
    1.06:1
  • Sharpe Ratio
    0.55
  • Sortino Ratio
    0.8
  • Calmar Ratio
    0.695
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    65.63%
  • Correlation to SP500
    0.13890
  • Return Percent SP500 (cumu) during strategy life
    26.32%
  • Return Statistics
  • Ann Return (w trading costs)
    26.7%
  • Slump
  • Current Slump as Pcnt Equity
    107.00%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.29%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.267%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    33.9%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    85.00%
  • Chance of 20% account loss
    71.50%
  • Chance of 30% account loss
    52.50%
  • Chance of 40% account loss
    34.50%
  • Chance of 60% account loss (Monte Carlo)
    8.00%
  • Chance of 70% account loss (Monte Carlo)
    1.50%
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 100% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    20.00%
  • Popularity
  • Popularity (Today)
    578
  • Popularity (Last 6 weeks)
    926
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    872
  • Popularity (7 days, Percentile 1000 scale)
    792
  • Trades-Own-System Certification
  • Trades Own System?
    Yes
  • TOS percent
    100%
  • Win / Loss
  • Avg Loss
    $2,421
  • Avg Win
    $3,028
  • Sum Trade PL (losers)
    $484,264.000
  • Age
  • Num Months filled monthly returns table
    33
  • Win / Loss
  • Sum Trade PL (winners)
    $514,695.000
  • # Winners
    170
  • Num Months Winners
    19
  • Dividends
  • Dividends Received in Model Acct
    289
  • AUM
  • AUM (AutoTrader live capital)
    70228
  • Win / Loss
  • # Losers
    200
  • % Winners
    46.0%
  • Frequency
  • Avg Position Time (mins)
    4053.78
  • Avg Position Time (hrs)
    67.56
  • Avg Trade Length
    2.8 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    2.35
  • Daily leverage (max)
    5.25
  • Regression
  • Alpha
    0.12
  • Beta
    0.38
  • Treynor Index
    0.33
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.04
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.21
  • MAE:Equity, average, winning trades
    0.02
  • MAE:Equity, average, losing trades
    0.05
  • Avg(MAE) / Avg(PL) - All trades
    -5.001
  • 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
    0.10
  • Avg(MAE) / Avg(PL) - Winning trades
    0.463
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.206
  • Hold-and-Hope Ratio
    -0.200
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.48346
  • SD
    0.66730
  • Sharpe ratio (Glass type estimate)
    0.72450
  • Sharpe ratio (Hedges UMVUE)
    0.70680
  • df
    31.00000
  • t
    1.18310
  • p
    0.12288
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.49476
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.93243
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.50625
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.91986
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.48304
  • Upside Potential Ratio
    3.44525
  • Upside part of mean
    1.12313
  • Downside part of mean
    -0.63967
  • Upside SD
    0.58701
  • Downside SD
    0.32599
  • N nonnegative terms
    16.00000
  • N negative terms
    16.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    32.00000
  • Mean of predictor
    0.07442
  • Mean of criterion
    0.48346
  • SD of predictor
    0.17515
  • SD of criterion
    0.66730
  • Covariance
    -0.00442
  • r
    -0.03786
  • b (slope, estimate of beta)
    -0.14424
  • a (intercept, estimate of alpha)
    0.49419
  • Mean Square Error
    0.45947
  • DF error
    30.00000
  • t(b)
    -0.20750
  • p(b)
    0.58149
  • t(a)
    1.18142
  • p(a)
    0.12336
  • Lowerbound of 95% confidence interval for beta
    -1.56383
  • Upperbound of 95% confidence interval for beta
    1.27535
  • Lowerbound of 95% confidence interval for alpha
    -0.36010
  • Upperbound of 95% confidence interval for alpha
    1.34849
  • Treynor index (mean / b)
    -3.35186
  • Jensen alpha (a)
    0.49419
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.28293
  • SD
    0.62167
  • Sharpe ratio (Glass type estimate)
    0.45511
  • Sharpe ratio (Hedges UMVUE)
    0.44399
  • df
    31.00000
  • t
    0.74319
  • p
    0.23148
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.75401
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.65701
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.76131
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.64930
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.77323
  • Upside Potential Ratio
    2.68632
  • Upside part of mean
    0.98294
  • Downside part of mean
    -0.70001
  • Upside SD
    0.49717
  • Downside SD
    0.36590
  • N nonnegative terms
    16.00000
  • N negative terms
    16.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    32.00000
  • Mean of predictor
    0.05901
  • Mean of criterion
    0.28293
  • SD of predictor
    0.17733
  • SD of criterion
    0.62167
  • Covariance
    0.00079
  • r
    0.00714
  • b (slope, estimate of beta)
    0.02504
  • a (intercept, estimate of alpha)
    0.28145
  • Mean Square Error
    0.39934
  • DF error
    30.00000
  • t(b)
    0.03913
  • p(b)
    0.48452
  • t(a)
    0.72387
  • p(a)
    0.23738
  • Lowerbound of 95% confidence interval for beta
    -1.28208
  • Upperbound of 95% confidence interval for beta
    1.33217
  • Lowerbound of 95% confidence interval for alpha
    -0.51262
  • Upperbound of 95% confidence interval for alpha
    1.07552
  • Treynor index (mean / b)
    11.29740
  • Jensen alpha (a)
    0.28145
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.23785
  • Expected Shortfall on VaR
    0.29139
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.12432
  • Expected Shortfall on VaR
    0.22217
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    32.00000
  • Minimum
    0.70902
  • Quartile 1
    0.91545
  • Median
    1.00867
  • Quartile 3
    1.20563
  • Maximum
    1.61504
  • Mean of quarter 1
    0.83486
  • Mean of quarter 2
    0.95657
  • Mean of quarter 3
    1.07571
  • Mean of quarter 4
    1.30332
  • Inter Quartile Range
    0.29017
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.49107
  • VaR(95%) (moments method)
    0.17411
  • Expected Shortfall (moments method)
    0.20131
  • Extreme Value Index (regression method)
    -0.09729
  • VaR(95%) (regression method)
    0.19931
  • Expected Shortfall (regression method)
    0.25971
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.03512
  • Quartile 1
    0.17314
  • Median
    0.31115
  • Quartile 3
    0.35923
  • Maximum
    0.40730
  • Mean of quarter 1
    0.03512
  • Mean of quarter 2
    0.31115
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.40730
  • Inter Quartile Range
    0.18609
  • 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)
    0.48405
  • Compounded annual return (geometric extrapolation)
    0.36456
  • Calmar ratio (compounded annual return / max draw down)
    0.89509
  • Compounded annual return / average of 25% largest draw downs
    0.89509
  • Compounded annual return / Expected Shortfall lognormal
    1.25114
  • 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
    0.47534
  • SD
    0.64207
  • Sharpe ratio (Glass type estimate)
    0.74032
  • Sharpe ratio (Hedges UMVUE)
    0.73953
  • df
    706.00000
  • t
    1.21612
  • p
    0.11217
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.45367
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.93385
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.45423
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.93329
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.07503
  • Upside Potential Ratio
    9.35118
  • Upside part of mean
    4.13474
  • Downside part of mean
    -3.65940
  • Upside SD
    0.46587
  • Downside SD
    0.44216
  • N nonnegative terms
    373.00000
  • N negative terms
    334.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    707.00000
  • Mean of predictor
    0.09036
  • Mean of criterion
    0.47534
  • SD of predictor
    0.25219
  • SD of criterion
    0.64207
  • Covariance
    0.02770
  • r
    0.17105
  • b (slope, estimate of beta)
    0.43549
  • a (intercept, estimate of alpha)
    0.43600
  • Mean Square Error
    0.40076
  • DF error
    705.00000
  • t(b)
    4.60970
  • p(b)
    0.00000
  • t(a)
    1.13105
  • p(a)
    0.12921
  • Lowerbound of 95% confidence interval for beta
    0.25001
  • Upperbound of 95% confidence interval for beta
    0.62098
  • Lowerbound of 95% confidence interval for alpha
    -0.32082
  • Upperbound of 95% confidence interval for alpha
    1.19280
  • Treynor index (mean / b)
    1.09149
  • Jensen alpha (a)
    0.43599
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.26867
  • SD
    0.64373
  • Sharpe ratio (Glass type estimate)
    0.41736
  • Sharpe ratio (Hedges UMVUE)
    0.41692
  • df
    706.00000
  • t
    0.68560
  • p
    0.24660
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.77611
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.61056
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.77641
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.61025
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.58449
  • Upside Potential Ratio
    8.76864
  • Upside part of mean
    4.03060
  • Downside part of mean
    -3.76193
  • Upside SD
    0.45032
  • Downside SD
    0.45966
  • N nonnegative terms
    373.00000
  • N negative terms
    334.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    707.00000
  • Mean of predictor
    0.05835
  • Mean of criterion
    0.26867
  • SD of predictor
    0.25367
  • SD of criterion
    0.64373
  • Covariance
    0.02817
  • r
    0.17253
  • b (slope, estimate of beta)
    0.43783
  • a (intercept, estimate of alpha)
    0.24312
  • Mean Square Error
    0.40263
  • DF error
    705.00000
  • t(b)
    4.65077
  • p(b)
    0.00000
  • t(a)
    0.62934
  • p(a)
    0.26466
  • Lowerbound of 95% confidence interval for beta
    0.25300
  • Upperbound of 95% confidence interval for beta
    0.62267
  • Lowerbound of 95% confidence interval for alpha
    -0.51533
  • Upperbound of 95% confidence interval for alpha
    1.00157
  • Treynor index (mean / b)
    0.61363
  • Jensen alpha (a)
    0.24312
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06236
  • Expected Shortfall on VaR
    0.07771
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03119
  • Expected Shortfall on VaR
    0.06005
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    707.00000
  • Minimum
    0.85128
  • Quartile 1
    0.97949
  • Median
    1.00174
  • Quartile 3
    1.02424
  • Maximum
    1.15010
  • Mean of quarter 1
    0.95294
  • Mean of quarter 2
    0.99156
  • Mean of quarter 3
    1.01251
  • Mean of quarter 4
    1.05074
  • Inter Quartile Range
    0.04475
  • Number outliers low
    14.00000
  • Percentage of outliers low
    0.01980
  • Mean of outliers low
    0.88982
  • Number of outliers high
    10.00000
  • Percentage of outliers high
    0.01414
  • Mean of outliers high
    1.11256
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.08944
  • VaR(95%) (moments method)
    0.04579
  • Expected Shortfall (moments method)
    0.06433
  • Extreme Value Index (regression method)
    0.01490
  • VaR(95%) (regression method)
    0.04270
  • Expected Shortfall (regression method)
    0.05684
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    26.00000
  • Minimum
    0.00347
  • Quartile 1
    0.03760
  • Median
    0.07096
  • Quartile 3
    0.17036
  • Maximum
    0.49677
  • Mean of quarter 1
    0.01089
  • Mean of quarter 2
    0.06587
  • Mean of quarter 3
    0.09794
  • Mean of quarter 4
    0.32025
  • Inter Quartile Range
    0.13276
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.11539
  • Mean of outliers high
    0.45451
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.32922
  • VaR(95%) (moments method)
    0.34728
  • Expected Shortfall (moments method)
    0.41179
  • Extreme Value Index (regression method)
    -1.47047
  • VaR(95%) (regression method)
    0.41135
  • Expected Shortfall (regression method)
    0.42497
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.45441
  • Compounded annual return (geometric extrapolation)
    0.34524
  • Calmar ratio (compounded annual return / max draw down)
    0.69498
  • Compounded annual return / average of 25% largest draw downs
    1.07804
  • Compounded annual return / Expected Shortfall lognormal
    4.44248
  • 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
    -0.23570
  • SD
    0.69318
  • Sharpe ratio (Glass type estimate)
    -0.34003
  • Sharpe ratio (Hedges UMVUE)
    -0.33806
  • df
    130.00000
  • t
    -0.24043
  • p
    0.51054
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.11154
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.43269
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.11017
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.43405
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.46100
  • Upside Potential Ratio
    8.15035
  • Upside part of mean
    4.16705
  • Downside part of mean
    -4.40275
  • Upside SD
    0.46437
  • Downside SD
    0.51127
  • N nonnegative terms
    65.00000
  • N negative terms
    66.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.09984
  • Mean of criterion
    -0.23570
  • SD of predictor
    0.24834
  • SD of criterion
    0.69318
  • Covariance
    -0.00675
  • r
    -0.03919
  • b (slope, estimate of beta)
    -0.10938
  • a (intercept, estimate of alpha)
    -0.24662
  • Mean Square Error
    0.48348
  • DF error
    129.00000
  • t(b)
    -0.44544
  • p(b)
    0.52494
  • t(a)
    -0.25072
  • p(a)
    0.51405
  • Lowerbound of 95% confidence interval for beta
    -0.59524
  • Upperbound of 95% confidence interval for beta
    0.37648
  • Lowerbound of 95% confidence interval for alpha
    -2.19279
  • Upperbound of 95% confidence interval for alpha
    1.69955
  • Treynor index (mean / b)
    2.15477
  • Jensen alpha (a)
    -0.24662
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.47749
  • SD
    0.70030
  • Sharpe ratio (Glass type estimate)
    -0.68184
  • Sharpe ratio (Hedges UMVUE)
    -0.67790
  • df
    130.00000
  • t
    -0.48213
  • p
    0.52112
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.45368
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.09242
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.45093
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.09513
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.89437
  • Upside Potential Ratio
    7.61070
  • Upside part of mean
    4.06322
  • Downside part of mean
    -4.54071
  • Upside SD
    0.45001
  • Downside SD
    0.53388
  • N nonnegative terms
    65.00000
  • N negative terms
    66.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.13042
  • Mean of criterion
    -0.47749
  • SD of predictor
    0.24815
  • SD of criterion
    0.70030
  • Covariance
    -0.00669
  • r
    -0.03852
  • b (slope, estimate of beta)
    -0.10870
  • a (intercept, estimate of alpha)
    -0.49167
  • Mean Square Error
    0.49348
  • DF error
    129.00000
  • t(b)
    -0.43778
  • p(b)
    0.52451
  • t(a)
    -0.49464
  • p(a)
    0.52769
  • VAR (95 Confidence Intrvl)
    0.06200
  • Lowerbound of 95% confidence interval for beta
    -0.59994
  • Upperbound of 95% confidence interval for beta
    0.38255
  • Lowerbound of 95% confidence interval for alpha
    -2.45830
  • Upperbound of 95% confidence interval for alpha
    1.47497
  • Treynor index (mean / b)
    4.39285
  • Jensen alpha (a)
    -0.49167
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07039
  • Expected Shortfall on VaR
    0.08692
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03919
  • Expected Shortfall on VaR
    0.07300
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.86508
  • Quartile 1
    0.97660
  • Median
    0.99978
  • Quartile 3
    1.02177
  • Maximum
    1.09331
  • Mean of quarter 1
    0.94645
  • Mean of quarter 2
    0.98706
  • Mean of quarter 3
    1.01220
  • Mean of quarter 4
    1.05151
  • Inter Quartile Range
    0.04517
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.03053
  • Mean of outliers low
    0.88675
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.01527
  • Mean of outliers high
    1.09190
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.16445
  • VaR(95%) (moments method)
    0.05390
  • Expected Shortfall (moments method)
    0.07995
  • Extreme Value Index (regression method)
    -0.01047
  • VaR(95%) (regression method)
    0.05161
  • Expected Shortfall (regression method)
    0.06874
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00793
  • Quartile 1
    0.02981
  • Median
    0.14652
  • Quartile 3
    0.31615
  • Maximum
    0.49677
  • Mean of quarter 1
    0.00793
  • Mean of quarter 2
    0.03710
  • Mean of quarter 3
    0.25594
  • Mean of quarter 4
    0.49677
  • Inter Quartile Range
    0.28634
  • 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
    0.75%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -362047000
  • Max Equity Drawdown (num days)
    278
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.40263
  • Compounded annual return (geometric extrapolation)
    -0.36211
  • Calmar ratio (compounded annual return / max draw down)
    -0.72892
  • Compounded annual return / average of 25% largest draw downs
    -0.72892
  • Compounded annual return / Expected Shortfall lognormal
    -4.16575

Strategy Description

Trades SOXL (3x long semiconductors ETF) long/short (short via SOXS). Strategy uses machine learning (Artificial Intelligence). Positions are swing/day traded. $30k+ required, margin required, autotrading highly required.

System may rescale down (ex: to $80k) whenever it reaches a higher amount (ex: $200k). Leveraged ETFs are great for making outsized returns. The disadvantage is the huge potential drawdowns due to 3x leverage. Think of this strategy as one that buys and holds SOXL, and tries to be short (by being long SOXS) during some of the drops. We use machine learning (AI) to determine the proper moves. SOXL itself is highly volatile! Because of this, only use risk money (money you are comfortable with losing 100% with this strategy. System is 100% algorithmic (non-discretionary).

1. 3x ETFs are EXTREMELY VOLATILE and risky, should be part of your total account only
2. Margin required. No martingale or margin used (if IRA, IRA margin required)
3. If starting system, *** ENTER EXISTING OPEN POSITIONS ***
4. Position size is part of the strategy, be sure to set scaling properly
5. ETFs not available on IB in Europe https://europoor.com/how-to-buy-leveraged-etfs-from-europe/
6. $30k+ account size recommended
7. Auto-trading *** HIGHLY *** recommended.

* AI TQQQ SQQQ swing: long/short, autotrading, $30k+, collective2.com/details/128265049
* AI TQQQ only swing: long only, autotrading, $10k+, collective2.com/details/131561344
* AI SOXL SOXS swing: long/short, autotrading, $30k+, collective2.com/details/127841340
* AI TQQQ longer term: long/short, manual ok, $10k+, collective2.com/details/139526503

Summary Statistics

Strategy began
2020-03-04
Suggested Minimum Capital
$35,000
Rank at C2 
#102
# Trades
370
# Profitable
170
% Profitable
45.9%
Net Dividends
Correlation S&P500
0.139
Sharpe Ratio
0.55
Sortino Ratio
0.80
Beta
0.38
Alpha
0.12
Leverage
2.35 Average
5.25 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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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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Finally, please note that you can restore public visibility at any time.

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

You can restore public visibility at any time.

Suggested Minimum Capital

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