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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 134
# trading signals executed in manager's Interactive Brokers (Stocks, Options, Futures) account 134
Percent signals followed since 03/10/2020 100%
This information was last updated 8/13/20 19:53 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 that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

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

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

AI SOXL SOXS swing
(127841340)

Created by: QuantTiger QuantTiger
Started: 03/2020
Stocks
Last trade: 2 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 $120.00 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.
94.4%
Cumul. Return

Rate of Return Calculations

Overview

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

How Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

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

All results are hypothetical.

(36.1%)
Max Drawdown
65
Num Trades
46.2%
Win Trades
1.7 : 1
Profit Factor
83.3%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020              +19.0%(15.4%)+32.5%+25.5%+12.3%+3.4%                        +94.4%

Model Account Details

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

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

System developer has asked us to delay this information by 24 hours.

Trading Record

This strategy has placed 130 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
8/11/20 15:47 SOXS DIREXION DAILY SEMICONDCT BEAR LONG 4,500 4.02 8/11 15:59 4.03 0.09%
Trade id #130567423
Max drawdown($41)
Time8/11/20 15:50
Quant open4,500
Worst price4.01
Drawdown as % of equity-0.09%
$65
Includes Typical Broker Commissions trade costs of $5.00
8/10/20 15:59 SOXL DIREXION DAILY SEMICONDCT BULL LONG 160 240.36 8/11 15:47 233.42 2.48%
Trade id #130546143
Max drawdown($1,147)
Time8/11/20 15:47
Quant open160
Worst price233.19
Drawdown as % of equity-2.48%
($1,114)
Includes Typical Broker Commissions trade costs of $3.20
8/10/20 9:30 SOXS DIREXION DAILY SEMICONDCT BEAR LONG 4,800 3.88 8/10 15:59 3.90 0.27%
Trade id #130535965
Max drawdown($123)
Time8/10/20 9:38
Quant open4,800
Worst price3.85
Drawdown as % of equity-0.27%
$112
Includes Typical Broker Commissions trade costs of $5.00
8/7/20 15:59 SOXL DIREXION DAILY SEMICONDCT BULL LONG 160 239.93 8/10 9:30 241.89 n/a $310
Includes Typical Broker Commissions trade costs of $3.20
8/6/20 15:59 SOXL DIREXION DAILY SEMICONDCT BULL LONG 161 248.40 8/7 14:23 231.87 5.83%
Trade id #130497651
Max drawdown($2,672)
Time8/7/20 14:23
Quant open161
Worst price231.79
Drawdown as % of equity-5.83%
($2,664)
Includes Typical Broker Commissions trade costs of $3.22
8/6/20 9:48 SOXS DIREXION DAILY SEMICONDCT BEAR LONG 5,000 3.84 8/6 15:59 3.78 0.87%
Trade id #130487750
Max drawdown($422)
Time8/6/20 14:42
Quant open5,000
Worst price3.76
Drawdown as % of equity-0.87%
($327)
Includes Typical Broker Commissions trade costs of $5.00
8/5/20 15:59 SOXL DIREXION DAILY SEMICONDCT BULL LONG 168 249.55 8/6 9:48 244.58 1.73%
Trade id #130476612
Max drawdown($848)
Time8/6/20 9:48
Quant open168
Worst price244.50
Drawdown as % of equity-1.73%
($838)
Includes Typical Broker Commissions trade costs of $3.36
8/5/20 12:29 SOXS DIREXION DAILY SEMICONDCT BEAR LONG 5,500 3.81 8/5 15:59 3.77 0.64%
Trade id #130472404
Max drawdown($319)
Time8/5/20 14:05
Quant open5,500
Worst price3.75
Drawdown as % of equity-0.64%
($242)
Includes Typical Broker Commissions trade costs of $5.00
7/31/20 15:58 SOXL DIREXION DAILY SEMICONDCT BULL LONG 170 225.56 8/5 12:28 246.94 n/a $3,631
Includes Typical Broker Commissions trade costs of $3.40
7/31/20 10:21 SOXS DIREXION DAILY SEMICONDCT BEAR LONG 4,597 4.31 8/3 11:38 4.02 2.73%
Trade id #130388721
Max drawdown($1,306)
Time8/3/20 10:20
Quant open3,197
Worst price3.90
Drawdown as % of equity-2.73%
($1,357)
Includes Typical Broker Commissions trade costs of $7.50
7/23/20 15:58 SOXL DIREXION DAILY SEMICONDCT BULL LONG 179 207.64 7/31 10:21 219.10 7.12%
Trade id #130247100
Max drawdown($3,253)
Time7/24/20 0:00
Quant open179
Worst price189.46
Drawdown as % of equity-7.12%
$2,048
Includes Typical Broker Commissions trade costs of $3.58
7/23/20 13:52 SOXS DIREXION DAILY SEMICONDCT BEAR LONG 4,213 4.68 7/23 15:58 4.66 0.46%
Trade id #130244031
Max drawdown($210)
Time7/23/20 15:00
Quant open4,213
Worst price4.63
Drawdown as % of equity-0.46%
($72)
Includes Typical Broker Commissions trade costs of $5.00
7/21/20 15:57 SOXL DIREXION DAILY SEMICONDCT BULL LONG 180 215.29 7/23 13:52 206.70 3.68%
Trade id #130196108
Max drawdown($1,696)
Time7/23/20 13:50
Quant open180
Worst price205.87
Drawdown as % of equity-3.68%
($1,551)
Includes Typical Broker Commissions trade costs of $3.60
7/21/20 9:31 SOXS DIREXION DAILY SEMICONDCT BEAR LONG 3,476 4.34 7/21 15:57 4.51 0.04%
Trade id #130186071
Max drawdown($20)
Time7/21/20 9:34
Quant open3,476
Worst price4.33
Drawdown as % of equity-0.04%
$600
Includes Typical Broker Commissions trade costs of $5.00
7/16/20 9:32 SOXL DIREXION DAILY SEMICONDCT BULL LONG 170 200.02 7/20 15:58 220.93 1.24%
Trade id #130113988
Max drawdown($530)
Time7/16/20 10:02
Quant open170
Worst price196.90
Drawdown as % of equity-1.24%
$3,551
Includes Typical Broker Commissions trade costs of $3.40
7/14/20 11:41 SOXL DIREXION DAILY SEMICONDCT BULL LONG 184 202.18 7/15 12:06 198.65 2.18%
Trade id #130073128
Max drawdown($952)
Time7/15/20 12:04
Quant open184
Worst price197.00
Drawdown as % of equity-2.18%
($653)
Includes Typical Broker Commissions trade costs of $3.68
7/14/20 11:19 SOXS DIREXION DAILY SEMICONDCT BEAR LONG 2,800 4.93 7/14 11:41 4.85 0.57%
Trade id #130072716
Max drawdown($248)
Time7/14/20 11:41
Quant open2,800
Worst price4.84
Drawdown as % of equity-0.57%
($225)
Includes Typical Broker Commissions trade costs of $5.00
6/29/20 10:40 SOXL DIREXION DAILY SEMICONDCT BULL LONG 189 170.12 7/14 11:19 198.86 1.09%
Trade id #129802593
Max drawdown($417)
Time6/29/20 11:18
Quant open189
Worst price167.91
Drawdown as % of equity-1.09%
$5,428
Includes Typical Broker Commissions trade costs of $3.78
6/26/20 10:35 SOXS DIREXION DAILY SEMICONDCT BEAR LONG 3,258 5.94 6/29 10:40 5.92 1.23%
Trade id #129774709
Max drawdown($472)
Time6/26/20 13:38
Quant open3,258
Worst price5.79
Drawdown as % of equity-1.23%
($49)
Includes Typical Broker Commissions trade costs of $5.00
6/25/20 15:24 SOXL DIREXION DAILY SEMICONDCT BULL LONG 189 176.90 6/26 10:35 169.75 3.76%
Trade id #129762317
Max drawdown($1,456)
Time6/26/20 10:33
Quant open189
Worst price169.19
Drawdown as % of equity-3.76%
($1,355)
Includes Typical Broker Commissions trade costs of $3.78
6/24/20 11:12 SOXS DIREXION DAILY SEMICONDCT BEAR LONG 3,546 5.74 6/25 15:24 5.72 0.75%
Trade id #129727844
Max drawdown($301)
Time6/24/20 15:19
Quant open3,546
Worst price5.66
Drawdown as % of equity-0.75%
($76)
Includes Typical Broker Commissions trade costs of $5.00
6/1/20 9:55 BND VANGUARD TOTAL BOND MARKET ETF LONG 76 87.59 6/25 12:30 88.03 0.11%
Trade id #129287068
Max drawdown($42)
Time6/5/20 0:00
Quant open76
Worst price87.03
Drawdown as % of equity-0.11%
$31
Includes Typical Broker Commissions trade costs of $1.52
6/25/20 12:09 TQQQ PROSHARES ULTRAPRO QQQ LONG 305 94.35 6/25 12:11 94.41 n/a $12
Includes Typical Broker Commissions trade costs of $6.10
6/15/20 12:50 SOXL DIREXION DAILY SEMICONDCT BULL LONG 175 166.08 6/24 11:12 176.51 0.5%
Trade id #129560716
Max drawdown($189)
Time6/15/20 13:49
Quant open175
Worst price165.00
Drawdown as % of equity-0.50%
$1,822
Includes Typical Broker Commissions trade costs of $3.50
6/12/20 10:42 SOXS DIREXION DAILY SEMICONDCT BEAR LONG 1,954 6.13 6/15 12:50 6.17 0.31%
Trade id #129530590
Max drawdown($117)
Time6/12/20 10:47
Quant open1,954
Worst price6.07
Drawdown as % of equity-0.31%
$73
Includes Typical Broker Commissions trade costs of $5.00
6/12/20 9:44 SOXL DIREXION DAILY SEMICONDCT BULL LONG 160 172.55 6/12 10:42 166.78 2.65%
Trade id #129529160
Max drawdown($1,030)
Time6/12/20 10:40
Quant open160
Worst price166.11
Drawdown as % of equity-2.65%
($926)
Includes Typical Broker Commissions trade costs of $3.20
6/11/20 10:14 SOXS DIREXION DAILY SEMICONDCT BEAR LONG 2,570 5.85 6/12 9:44 5.89 0.2%
Trade id #129493661
Max drawdown($77)
Time6/11/20 10:40
Quant open2,570
Worst price5.82
Drawdown as % of equity-0.20%
$98
Includes Typical Broker Commissions trade costs of $5.00
6/8/20 9:35 SOXL DIREXION DAILY SEMICONDCT BULL LONG 165 195.10 6/11 10:14 181.29 9.25%
Trade id #129409006
Max drawdown($3,811)
Time6/11/20 9:43
Quant open165
Worst price172.00
Drawdown as % of equity-9.25%
($2,282)
Includes Typical Broker Commissions trade costs of $3.30
6/5/20 12:29 SOXS DIREXION DAILY SEMICONDCT BEAR LONG 2,166 5.31 6/8 9:33 5.45 0.32%
Trade id #129383766
Max drawdown($129)
Time6/5/20 12:32
Quant open2,166
Worst price5.25
Drawdown as % of equity-0.32%
$301
Includes Typical Broker Commissions trade costs of $5.00
5/28/20 10:48 SOXL DIREXION DAILY SEMICONDCT BULL LONG 162 154.58 6/5 12:29 200.80 6.72%
Trade id #129238814
Max drawdown($2,199)
Time5/28/20 15:51
Quant open162
Worst price141.00
Drawdown as % of equity-6.72%
$7,485
Includes Typical Broker Commissions trade costs of $3.24

Statistics

  • Strategy began
    3/4/2020
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    162.61
  • Age
    163 days ago
  • What it trades
    Stocks
  • # Trades
    65
  • # Profitable
    30
  • % Profitable
    46.20%
  • Avg trade duration
    3.5 days
  • Max peak-to-valley drawdown
    36.08%
  • drawdown period
    March 26, 2020 - April 22, 2020
  • Cumul. Return
    94.4%
  • Avg win
    $1,923
  • Avg loss
    $948.51
  • Model Account Values (Raw)
  • Cash
    $21,902
  • Margin Used
    $0
  • Buying Power
    $21,902
  • Ratios
  • W:L ratio
    1.74:1
  • Sharpe Ratio
    1.91
  • Sortino Ratio
    3.28
  • Calmar Ratio
    11.97
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    86.59%
  • Correlation to SP500
    0.33440
  • Return Percent SP500 (cumu) during strategy life
    7.77%
  • Return Statistics
  • Ann Return (w trading costs)
    332.4%
  • Slump
  • Current Slump as Pcnt Equity
    3.60%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.05%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.944%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    360.7%
  • Automation
  • Percentage Signals Automated
    n/a
  • Popularity
  • Popularity (Today)
    921
  • Popularity (Last 6 weeks)
    967
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    988
  • Popularity (7 days, Percentile 1000 scale)
    964
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Strat abandoned?
    0
  • Trades-Own-System Certification
  • Trades Own System?
    Yes
  • TOS percent
    100%
  • Win / Loss
  • Avg Loss
    $949
  • Avg Win
    $1,924
  • Sum Trade PL (losers)
    $33,198.000
  • AUM
  • AUM (AutoTrader num accounts)
    5
  • Age
  • Num Months filled monthly returns table
    6
  • Win / Loss
  • Sum Trade PL (winners)
    $57,712.000
  • # Winners
    30
  • Num Months Winners
    5
  • Dividends
  • Dividends Received in Model Acct
    65
  • AUM
  • AUM (AutoTrader live capital)
    158283
  • Win / Loss
  • # Losers
    35
  • % Winners
    46.1%
  • Frequency
  • Avg Position Time (mins)
    5088.87
  • Avg Position Time (hrs)
    84.81
  • Avg Trade Length
    3.5 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    2.35
  • Daily leverage (max)
    4.08
  • Regression
  • Alpha
    0.45
  • Beta
    0.55
  • Treynor Index
    0.88
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.03
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.97
  • MAE:Equity, average, winning trades
    0.02
  • MAE:Equity, average, losing trades
    0.04
  • Avg(MAE) / Avg(PL) - All trades
    4.763
  • 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
    0.331
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.334
  • Hold-and-Hope Ratio
    0.210
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.80627
  • SD
    0.34724
  • Sharpe ratio (Glass type estimate)
    5.20182
  • Sharpe ratio (Hedges UMVUE)
    4.15045
  • df
    4.00000
  • t
    3.35776
  • p
    0.01418
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.47815
  • Upperbound of 95% confidence interval for Sharpe Ratio
    9.69682
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.03180
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    8.33271
  • Statistics related to Sortino ratio
  • Sortino ratio
    205.45400
  • Upside Potential Ratio
    207.00300
  • Upside part of mean
    1.81989
  • Downside part of mean
    -0.01362
  • Upside SD
    0.60685
  • Downside SD
    0.00879
  • N nonnegative terms
    4.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    5.00000
  • Mean of predictor
    0.19951
  • Mean of criterion
    1.80627
  • SD of predictor
    0.47096
  • SD of criterion
    0.34724
  • Covariance
    0.15305
  • r
    0.93591
  • b (slope, estimate of beta)
    0.69004
  • a (intercept, estimate of alpha)
    1.66860
  • Mean Square Error
    0.01995
  • DF error
    3.00000
  • t(b)
    4.60197
  • p(b)
    0.00965
  • t(a)
    7.55577
  • p(a)
    0.00240
  • Lowerbound of 95% confidence interval for beta
    0.21285
  • Upperbound of 95% confidence interval for beta
    1.16724
  • Lowerbound of 95% confidence interval for alpha
    0.96579
  • Upperbound of 95% confidence interval for alpha
    2.37140
  • Treynor index (mean / b)
    2.61761
  • Jensen alpha (a)
    1.66860
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.64104
  • SD
    0.31123
  • Sharpe ratio (Glass type estimate)
    5.27268
  • Sharpe ratio (Hedges UMVUE)
    4.20699
  • df
    4.00000
  • t
    3.40350
  • p
    0.01359
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.51444
  • Upperbound of 95% confidence interval for Sharpe Ratio
    9.80399
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.00230
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    8.41628
  • Statistics related to Sortino ratio
  • Sortino ratio
    186.56500
  • Upside Potential Ratio
    188.11400
  • Upside part of mean
    1.65467
  • Downside part of mean
    -0.01363
  • Upside SD
    0.54939
  • Downside SD
    0.00880
  • N nonnegative terms
    4.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    5.00000
  • Mean of predictor
    0.10367
  • Mean of criterion
    1.64104
  • SD of predictor
    0.49557
  • SD of criterion
    0.31123
  • Covariance
    0.14605
  • r
    0.94692
  • b (slope, estimate of beta)
    0.59469
  • a (intercept, estimate of alpha)
    1.57939
  • Mean Square Error
    0.01335
  • DF error
    3.00000
  • t(b)
    5.10194
  • p(b)
    0.00728
  • t(a)
    8.80443
  • p(a)
    0.00154
  • Lowerbound of 95% confidence interval for beta
    0.22374
  • Upperbound of 95% confidence interval for beta
    0.96564
  • Lowerbound of 95% confidence interval for alpha
    1.00850
  • Upperbound of 95% confidence interval for alpha
    2.15028
  • Treynor index (mean / b)
    2.75948
  • Jensen alpha (a)
    1.57939
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01097
  • Expected Shortfall on VaR
    0.04689
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00129
  • Expected Shortfall on VaR
    0.00320
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    5.00000
  • Minimum
    0.99665
  • Quartile 1
    1.11831
  • Median
    1.18461
  • Quartile 3
    1.21048
  • Maximum
    1.25420
  • Mean of quarter 1
    1.05748
  • Mean of quarter 2
    1.18461
  • Mean of quarter 3
    1.21048
  • Mean of quarter 4
    1.25420
  • Inter Quartile Range
    0.09217
  • 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)
    0.00000
  • 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
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.00335
  • Quartile 1
    0.00335
  • Median
    0.00335
  • Quartile 3
    0.00335
  • Maximum
    0.00335
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • 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)
    2.41080
  • Compounded annual return (geometric extrapolation)
    4.30658
  • Calmar ratio (compounded annual return / max draw down)
    1286.83000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    91.84580
  • 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
    1.77516
  • SD
    0.73469
  • Sharpe ratio (Glass type estimate)
    2.41620
  • Sharpe ratio (Hedges UMVUE)
    2.40041
  • df
    115.00000
  • t
    1.60772
  • p
    0.40596
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.55095
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.37307
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.56146
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.36227
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.29901
  • Upside Potential Ratio
    12.04220
  • Upside part of mean
    4.97251
  • Downside part of mean
    -3.19735
  • Upside SD
    0.61371
  • Downside SD
    0.41292
  • N nonnegative terms
    67.00000
  • N negative terms
    49.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    116.00000
  • Mean of predictor
    0.25079
  • Mean of criterion
    1.77516
  • SD of predictor
    0.46753
  • SD of criterion
    0.73469
  • Covariance
    0.14006
  • r
    0.40776
  • b (slope, estimate of beta)
    0.64076
  • a (intercept, estimate of alpha)
    1.61400
  • Mean Square Error
    0.45397
  • DF error
    114.00000
  • t(b)
    4.76806
  • p(b)
    0.29612
  • t(a)
    1.59349
  • p(a)
    0.42619
  • Lowerbound of 95% confidence interval for beta
    0.37455
  • Upperbound of 95% confidence interval for beta
    0.90698
  • Lowerbound of 95% confidence interval for alpha
    -0.39260
  • Upperbound of 95% confidence interval for alpha
    3.62153
  • Treynor index (mean / b)
    2.77039
  • Jensen alpha (a)
    1.61446
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.51243
  • SD
    0.71498
  • Sharpe ratio (Glass type estimate)
    2.11535
  • Sharpe ratio (Hedges UMVUE)
    2.10153
  • df
    115.00000
  • t
    1.40754
  • p
    0.41739
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.84739
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.06907
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.85654
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.05959
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.53367
  • Upside Potential Ratio
    11.21210
  • Upside part of mean
    4.79886
  • Downside part of mean
    -3.28642
  • Upside SD
    0.57648
  • Downside SD
    0.42801
  • N nonnegative terms
    67.00000
  • N negative terms
    49.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    116.00000
  • Mean of predictor
    0.14117
  • Mean of criterion
    1.51243
  • SD of predictor
    0.47161
  • SD of criterion
    0.71498
  • Covariance
    0.13383
  • r
    0.39690
  • b (slope, estimate of beta)
    0.60172
  • a (intercept, estimate of alpha)
    1.42749
  • Mean Square Error
    0.43444
  • DF error
    114.00000
  • t(b)
    4.61695
  • p(b)
    0.30155
  • t(a)
    1.44082
  • p(a)
    0.43313
  • Lowerbound of 95% confidence interval for beta
    0.34354
  • Upperbound of 95% confidence interval for beta
    0.85990
  • Lowerbound of 95% confidence interval for alpha
    -0.53518
  • Upperbound of 95% confidence interval for alpha
    3.39015
  • Treynor index (mean / b)
    2.51352
  • Jensen alpha (a)
    1.42749
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06470
  • Expected Shortfall on VaR
    0.08168
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02515
  • Expected Shortfall on VaR
    0.05100
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    116.00000
  • Minimum
    0.88524
  • Quartile 1
    0.98613
  • Median
    1.00695
  • Quartile 3
    1.02434
  • Maximum
    1.24077
  • Mean of quarter 1
    0.95545
  • Mean of quarter 2
    0.99679
  • Mean of quarter 3
    1.01612
  • Mean of quarter 4
    1.05917
  • Inter Quartile Range
    0.03821
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.03448
  • Mean of outliers low
    0.90844
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.05172
  • Mean of outliers high
    1.12672
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.35014
  • VaR(95%) (moments method)
    0.03905
  • Expected Shortfall (moments method)
    0.04754
  • Extreme Value Index (regression method)
    0.04415
  • VaR(95%) (regression method)
    0.03864
  • Expected Shortfall (regression method)
    0.05466
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    14.00000
  • Minimum
    0.00347
  • Quartile 1
    0.01177
  • Median
    0.06765
  • Quartile 3
    0.07989
  • Maximum
    0.30628
  • Mean of quarter 1
    0.00588
  • Mean of quarter 2
    0.04588
  • Mean of quarter 3
    0.07190
  • Mean of quarter 4
    0.16666
  • Inter Quartile Range
    0.06812
  • 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
    0.07143
  • Mean of outliers high
    0.30628
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.29335
  • VaR(95%) (moments method)
    0.17790
  • Expected Shortfall (moments method)
    0.21942
  • Extreme Value Index (regression method)
    0.50184
  • VaR(95%) (regression method)
    0.27308
  • Expected Shortfall (regression method)
    0.61458
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    2.20847
  • Compounded annual return (geometric extrapolation)
    3.66617
  • Calmar ratio (compounded annual return / max draw down)
    11.97020
  • Compounded annual return / average of 25% largest draw downs
    21.99850
  • Compounded annual return / Expected Shortfall lognormal
    44.88590
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess log return rates
  • Statistics related to linear regression on benchmark
  • VAR (95 Confidence Intrvl)
    0.06500
  • DRAW DOWN STATISTICS
  • Risk estimates based on draw downs (based on Extreme Value T
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • Last 4 Months - Pcnt Negative
    n/a
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -266821000
  • Max Equity Drawdown (num days)
    27

Strategy Description

NOTE: SOXL is a very very high risk/reward ETF. For something that's still extremely high risk/reward but more stable than SOXL, look at "AI TQQQ SQQQ swing" which trades the 3x leveraged NASDAQ bull fund TQQQ.

Leveraged ETFs are great for making outsized returns (due to being leveraged 3x). The disadvantage is the huge potential drawdowns (again due to 3x leverage). You can think of this strategy as one that buys and holds SOXL, and tries to exit during what could be a drawdown for a buy-and-hold investor, and re-enter when the downtrend appears to change. We use machine learning (AI) to determine when to temporarily exit, and also machine learning (AI) to determine when to re-enter. We usually will be in SOXS when out of SOXL.

NOTES:
1. Minimum dedicated to system of as low as $5000 is ok to start, but account size system resides in must be $25k+ to avoid day trading restrictions.
2. In margin at times. Must have margin account.
3. No Martingale used.
4. Stops used, but still exposed to overnight gap risk. This is the "price" to pay for higher rewards of system.
5. May be out of market on a huge up day, again this is "price" to pay so that we can avoid the huge drawdowns of buying and holding a 3x leveraged ETF.
6. If starting system, enter any existing open positions.
7. Suggest auto-trading be used.
8. Not IRA compatible, due to swapping which can result in being in both opposing positions for short periods of time (seconds), trades back and forth can violate 2--day rule of IRA's, and flexibility of being slightly in margin at times is useful.

Summary Statistics

Strategy began
2020-03-04
Suggested Minimum Capital
$35,000
Rank at C2 %
Top 1.2%
Rank # 
#8
# Trades
65
# Profitable
30
% Profitable
46.2%
Net Dividends
Correlation S&P500
0.334
Sharpe Ratio
1.91
Sortino Ratio
3.28
Beta
0.55
Alpha
0.45
Leverage
2.35 Average
4.08 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.

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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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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.