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Goodie Global ETF
(138499113)

Created by: GoodieGlobalAcademy GoodieGlobalAcademy
Started: 12/2021
Stocks
Last trade: 699 days ago
Trading style: Equity 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 $98.00 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
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).
5.6%
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.

(14.4%)
Max Drawdown
105
Num Trades
66.7%
Win Trades
1.9 : 1
Profit Factor
44.8%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2021                                                                             +7.3%+7.3%
2022(1.3%)+1.5%+5.0%(0.4%)(0.6%)+6.8%+1.3%(4.1%)+6.1%(0.3%)(0.8%)(2%)+11.0%
2023(5.4%)+4.2%+0.4%  -  (0.6%)(4.1%)(3%)+2.9%+2.9%+0.7%(3.9%)(2.2%)(8.4%)
2024+3.7%(1.7%)(0.1%)+2.3%                                                +4.2%

Model Account Details

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

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

Trading Record

This strategy has placed 4 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 821 days ago.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
5/18/22 9:30 JJN IPATHA SERIES B BLOOMBERG NICKEL TOTAL RETURN ETN LONG 309 34.48 5/20 9:37 37.47 0.2%
Trade id #140515069
Max drawdown($114)
Time5/18/22 15:37
Quant open309
Worst price34.11
Drawdown as % of equity-0.20%
 $918
Includes Typical Broker Commissions trade costs of $6.18
5/10/22 9:31 SOYB TEUCRIUM SOYBEAN LONG 397 27.31 5/13 9:30 27.74 0.05%
Trade id #140424824
Max drawdown($27)
Time5/10/22 12:35
Quant open397
Worst price27.24
Drawdown as % of equity-0.05%
 $163
Includes Typical Broker Commissions trade costs of $7.94
5/10/22 9:31 CORN TEUCRIUM CORN LONG 382 28.34 5/12 9:30 29.22 0.07%
Trade id #140424815
Max drawdown($40)
Time5/10/22 10:01
Quant open382
Worst price28.23
Drawdown as % of equity-0.07%
 $328
Includes Typical Broker Commissions trade costs of $7.64
5/5/22 9:30 LIT GLOBAL X LITHIUM & BATTERY TECH ETF SHORT 156 69.60 5/9 9:31 64.94 n/a $724
Includes Typical Broker Commissions trade costs of $3.12
5/4/22 9:30 PLTM ETFS PLATINUM ETC SHORT 1,139 9.53 5/9 9:31 9.27 0.5%
Trade id #140359559
Max drawdown($273)
Time5/4/22 15:29
Quant open1,139
Worst price9.77
Drawdown as % of equity-0.50%
 $291
Includes Typical Broker Commissions trade costs of $5.00
5/4/22 9:30 FXI ISHARES FTSE CHINA 25 INDEX FU SHORT 341 30.85 5/6 9:30 29.56 0.52%
Trade id #140359562
Max drawdown($286)
Time5/4/22 15:51
Quant open341
Worst price31.69
Drawdown as % of equity-0.52%
 $433
Includes Typical Broker Commissions trade costs of $6.82
5/3/22 9:30 JJN IPATHA SERIES B BLOOMBERG NICKEL TOTAL RETURN ETN LONG 263 40.63 5/5 9:35 41.14 0.3%
Trade id #140346076
Max drawdown($165)
Time5/4/22 0:00
Quant open263
Worst price40.00
Drawdown as % of equity-0.30%
 $129
Includes Typical Broker Commissions trade costs of $5.26
4/25/22 9:31 EWZ ISHARES MSCI BRAZIL ETF LONG 433 33.95 5/5 9:30 32.32 2.16%
Trade id #140248618
Max drawdown($1,214)
Time5/2/22 0:00
Quant open433
Worst price31.14
Drawdown as % of equity-2.16%
 ($715)
Includes Typical Broker Commissions trade costs of $8.66
4/22/22 9:30 ILF ISHARES S&P LATIN AMERICA 40 I LONG 378 28.38 5/5 9:30 26.15 2.15%
Trade id #140226284
Max drawdown($1,205)
Time5/2/22 0:00
Quant open378
Worst price25.19
Drawdown as % of equity-2.15%
 ($851)
Includes Typical Broker Commissions trade costs of $7.56
4/26/22 9:30 JJC IPATHA SERIES B BLOOMBERG COPPER TOTAL RETURN ETN LONG 477 22.41 5/5 9:30 22.00 1.14%
Trade id #140264198
Max drawdown($639)
Time5/2/22 0:00
Quant open477
Worst price21.07
Drawdown as % of equity-1.14%
 ($206)
Includes Typical Broker Commissions trade costs of $9.54
4/25/22 9:31 JJT IPATHA SERIES B BLOOMBERG TIN TOTAL RETURN ETN LONG 84 120.76 5/2 9:30 119.76 0.15%
Trade id #140248626
Max drawdown($84)
Time5/2/22 9:30
Quant open84
Worst price119.76
Drawdown as % of equity-0.15%
 ($86)
Includes Typical Broker Commissions trade costs of $1.68
4/26/22 9:30 UGL PROSHARES ULTRA GOLD LONG 170 63.78 5/2 9:30 60.60 0.99%
Trade id #140264206
Max drawdown($554)
Time5/2/22 9:30
Quant open170
Worst price60.52
Drawdown as % of equity-0.99%
 ($544)
Includes Typical Broker Commissions trade costs of $3.40
4/28/22 9:31 CANE TEUCRIUM SUGAR LONG 1,139 9.40 4/29 9:30 9.63 0.04%
Trade id #140296468
Max drawdown($22)
Time4/28/22 9:43
Quant open1,139
Worst price9.38
Drawdown as % of equity-0.04%
 $257
Includes Typical Broker Commissions trade costs of $5.00
4/26/22 9:30 IEO ISHARES US OIL & GAS EXPLORATION & PRODUCTION ETF LONG 133 80.78 4/29 9:30 85.05 0.42%
Trade id #140264192
Max drawdown($230)
Time4/27/22 0:00
Quant open133
Worst price79.05
Drawdown as % of equity-0.42%
 $565
Includes Typical Broker Commissions trade costs of $2.66
4/25/22 9:31 IEZ ISHARES DOW JONES US OIL EQUIP LONG 560 18.43 4/29 9:30 18.73 1.19%
Trade id #140248614
Max drawdown($660)
Time4/25/22 11:51
Quant open560
Worst price17.25
Drawdown as % of equity-1.19%
 $163
Includes Typical Broker Commissions trade costs of $5.00
4/19/22 9:30 PLTM ETFS PLATINUM ETC SHORT 1,073 9.90 4/21 9:49 9.62 n/a $295
Includes Typical Broker Commissions trade costs of $5.00
4/13/22 9:30 JJT IPATHA SERIES B BLOOMBERG TIN TOTAL RETURN ETN LONG 83 130.20 4/18 10:50 131.77 0.13%
Trade id #140122446
Max drawdown($72)
Time4/14/22 0:00
Quant open83
Worst price129.33
Drawdown as % of equity-0.13%
 $128
Includes Typical Broker Commissions trade costs of $1.66
4/12/22 9:30 JJU IPATHA SER B BLOOMBERG ALUMINUM TOTAL RETURN ETN LONG 157 68.51 4/18 9:30 69.96 0.36%
Trade id #140108525
Max drawdown($204)
Time4/12/22 9:54
Quant open157
Worst price67.21
Drawdown as % of equity-0.36%
 $225
Includes Typical Broker Commissions trade costs of $3.14
3/30/22 9:30 JETS US GLOBAL JETS ETF SHORT 479 21.57 4/5 9:54 21.57 0.36%
Trade id #139964099
Max drawdown($196)
Time3/31/22 0:00
Quant open479
Worst price21.98
Drawdown as % of equity-0.36%
 ($10)
Includes Typical Broker Commissions trade costs of $9.58
3/30/22 9:30 PHO POWERSHARES WATER RESOURCES PORTFOLIO SHORT 192 54.11 4/1 9:31 53.24 0.02%
Trade id #139964103
Max drawdown($11)
Time3/30/22 10:01
Quant open192
Worst price54.17
Drawdown as % of equity-0.02%
 $163
Includes Typical Broker Commissions trade costs of $3.84
3/30/22 9:30 CUT INVESCO TIMBER SHORT 287 36.17 4/1 9:31 35.51 n/a $183
Includes Typical Broker Commissions trade costs of $5.74
3/30/22 9:30 IWM ISHARES RUSSELL 2000 INDEX SHORT 49 211.37 4/1 9:31 206.18 0.03%
Trade id #139964108
Max drawdown($18)
Time3/30/22 10:00
Quant open49
Worst price211.74
Drawdown as % of equity-0.03%
 $253
Includes Typical Broker Commissions trade costs of $0.98
3/21/22 9:30 GBTC GRAYSCALE BITCOIN TRUST (BTC) SHORT 365 28.19 3/31 15:51 30.59 3.39%
Trade id #139853984
Max drawdown($1,821)
Time3/29/22 0:00
Quant open365
Worst price33.18
Drawdown as % of equity-3.39%
 ($883)
Includes Typical Broker Commissions trade costs of $7.30
3/30/22 9:30 SOXL DIREXION DAILY SEMICONDCT BULL SHORT 229 44.71 3/31 9:30 41.26 0.15%
Trade id #139964112
Max drawdown($82)
Time3/30/22 10:29
Quant open229
Worst price45.07
Drawdown as % of equity-0.15%
 $785
Includes Typical Broker Commissions trade costs of $4.58
3/29/22 9:33 JO IPATHA SERIES B BLOOMBERG COFFEE TOTAL RETURN ETN LONG 182 58.50 3/31 9:30 60.78 0.07%
Trade id #139952553
Max drawdown($37)
Time3/29/22 15:53
Quant open182
Worst price58.30
Drawdown as % of equity-0.07%
 $411
Includes Typical Broker Commissions trade costs of $3.64
3/23/22 9:30 LIT GLOBAL X LITHIUM & BATTERY TECH ETF SHORT 140 75.00 3/29 9:30 75.13 0.4%
Trade id #139886681
Max drawdown($221)
Time3/24/22 0:00
Quant open140
Worst price76.58
Drawdown as % of equity-0.40%
 ($21)
Includes Typical Broker Commissions trade costs of $2.80
3/17/22 9:30 CUT INVESCO TIMBER SHORT 297 35.25 3/24 9:58 35.21 0.46%
Trade id #139817798
Max drawdown($255)
Time3/22/22 0:00
Quant open297
Worst price36.11
Drawdown as % of equity-0.46%
 $6
Includes Typical Broker Commissions trade costs of $5.94
3/21/22 9:30 IHI ISHARES DOW JONES US MEDICAL D SHORT 173 60.26 3/24 9:30 58.63 0.14%
Trade id #139853958
Max drawdown($79)
Time3/22/22 0:00
Quant open173
Worst price60.72
Drawdown as % of equity-0.14%
 $279
Includes Typical Broker Commissions trade costs of $3.46
3/18/22 9:30 DIA SPDR DOW JONES INDUSTRIAL AVER SHORT 30 343.62 3/24 9:30 344.49 0.28%
Trade id #139831990
Max drawdown($153)
Time3/22/22 0:00
Quant open30
Worst price348.72
Drawdown as % of equity-0.28%
 ($27)
Includes Typical Broker Commissions trade costs of $0.60
3/18/22 9:30 EFA ISHARES MSCI EAFE INDEX SHORT 144 72.45 3/24 9:30 73.28 0.44%
Trade id #139831986
Max drawdown($243)
Time3/22/22 0:00
Quant open144
Worst price74.14
Drawdown as % of equity-0.44%
 ($123)
Includes Typical Broker Commissions trade costs of $2.88
Next

Statistics

  • Strategy began
    12/7/2021
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    860.5
  • Age
    29 months ago
  • What it trades
    Stocks
  • # Trades
    105
  • # Profitable
    70
  • % Profitable
    66.70%
  • Avg trade duration
    24.8 days
  • Max peak-to-valley drawdown
    14.43%
  • drawdown period
    May 19, 2022 - May 25, 2022
  • Annual Return (Compounded)
    5.6%
  • Avg win
    $318.21
  • Avg loss
    $266.57
  • Model Account Values (Raw)
  • Cash
    $88,213
  • Margin Used
    $49,233
  • Buying Power
    $41,715
  • Ratios
  • W:L ratio
    1.87:1
  • Sharpe Ratio
    0.29
  • Sortino Ratio
    0.42
  • Calmar Ratio
    1.962
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    5.71%
  • Correlation to SP500
    -0.29540
  • Return Percent SP500 (cumu) during strategy life
    6.92%
  • Return Statistics
  • Ann Return (w trading costs)
    5.6%
  • Slump
  • Current Slump as Pcnt Equity
    8.90%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.56%
  • 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)
    0.056%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    6.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    35.50%
  • Chance of 20% account loss
    2.00%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $267
  • Avg Win
    $318
  • Sum Trade PL (losers)
    $9,330.000
  • Age
  • Num Months filled monthly returns table
    29
  • Win / Loss
  • Sum Trade PL (winners)
    $22,275.000
  • # Winners
    70
  • Num Months Winners
    13
  • Dividends
  • Dividends Received in Model Acct
    -4817
  • Win / Loss
  • # Losers
    35
  • % Winners
    66.7%
  • Frequency
  • Avg Position Time (mins)
    35681.90
  • Avg Position Time (hrs)
    594.70
  • Avg Trade Length
    24.8 days
  • Last Trade Ago
    698
  • Leverage
  • Daily leverage (average)
    0.89
  • Daily leverage (max)
    2.11
  • Regression
  • Alpha
    0.01
  • Beta
    -0.20
  • Treynor Index
    -0.06
  • 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)
    -0.59
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    3.391
  • 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
    0.566
  • Avg(MAE) / Avg(PL) - Losing trades
    -2.162
  • Hold-and-Hope Ratio
    0.339
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.20195
  • SD
    0.11156
  • Sharpe ratio (Glass type estimate)
    1.81018
  • Sharpe ratio (Hedges UMVUE)
    1.60781
  • df
    7.00000
  • t
    1.47801
  • p
    0.09147
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.81885
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.32975
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.93610
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.15172
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.28609
  • Upside Potential Ratio
    5.55504
  • Upside part of mean
    0.26173
  • Downside part of mean
    -0.05979
  • Upside SD
    0.10986
  • Downside SD
    0.04712
  • N nonnegative terms
    6.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    8.00000
  • Mean of predictor
    -0.11094
  • Mean of criterion
    0.20195
  • SD of predictor
    0.22678
  • SD of criterion
    0.11156
  • Covariance
    -0.00064
  • r
    -0.02547
  • b (slope, estimate of beta)
    -0.01253
  • a (intercept, estimate of alpha)
    0.20056
  • Mean Square Error
    0.01451
  • DF error
    6.00000
  • t(b)
    -0.06240
  • p(b)
    0.52387
  • t(a)
    1.34416
  • p(a)
    0.11374
  • Lowerbound of 95% confidence interval for beta
    -0.50379
  • Upperbound of 95% confidence interval for beta
    0.47874
  • Lowerbound of 95% confidence interval for alpha
    -0.16454
  • Upperbound of 95% confidence interval for alpha
    0.56565
  • Treynor index (mean / b)
    -16.11930
  • Jensen alpha (a)
    0.20056
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.19457
  • SD
    0.10938
  • Sharpe ratio (Glass type estimate)
    1.77891
  • Sharpe ratio (Hedges UMVUE)
    1.58003
  • df
    7.00000
  • t
    1.45247
  • p
    0.09484
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.84370
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.29344
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.95910
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.11916
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.05933
  • Upside Potential Ratio
    5.32747
  • Upside part of mean
    0.25535
  • Downside part of mean
    -0.06078
  • Upside SD
    0.10642
  • Downside SD
    0.04793
  • N nonnegative terms
    6.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    8.00000
  • Mean of predictor
    -0.13425
  • Mean of criterion
    0.19457
  • SD of predictor
    0.23020
  • SD of criterion
    0.10938
  • Covariance
    -0.00061
  • r
    -0.02417
  • b (slope, estimate of beta)
    -0.01148
  • a (intercept, estimate of alpha)
    0.19303
  • Mean Square Error
    0.01395
  • DF error
    6.00000
  • t(b)
    -0.05922
  • p(b)
    0.52265
  • t(a)
    1.31336
  • p(a)
    0.11852
  • Lowerbound of 95% confidence interval for beta
    -0.48599
  • Upperbound of 95% confidence interval for beta
    0.46302
  • Lowerbound of 95% confidence interval for alpha
    -0.16660
  • Upperbound of 95% confidence interval for alpha
    0.55266
  • Treynor index (mean / b)
    -16.94350
  • Jensen alpha (a)
    0.19303
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03509
  • Expected Shortfall on VaR
    0.04767
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00663
  • Expected Shortfall on VaR
    0.01647
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    8.00000
  • Minimum
    0.96388
  • Quartile 1
    1.00862
  • Median
    1.01956
  • Quartile 3
    1.02885
  • Maximum
    1.07780
  • Mean of quarter 1
    0.98240
  • Mean of quarter 2
    1.01162
  • Mean of quarter 3
    1.02730
  • Mean of quarter 4
    1.05531
  • Inter Quartile Range
    0.02022
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.12500
  • Mean of outliers low
    0.96388
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.12500
  • Mean of outliers high
    1.07780
  • 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
    0.03612
  • Quartile 1
    0.03612
  • Median
    0.03612
  • Quartile 3
    0.03612
  • Maximum
    0.03612
  • 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)
    0.23982
  • Compounded annual return (geometric extrapolation)
    0.24916
  • Calmar ratio (compounded annual return / max draw down)
    6.89897
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    5.22668
  • 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
    0.20986
  • SD
    0.24111
  • Sharpe ratio (Glass type estimate)
    0.87042
  • Sharpe ratio (Hedges UMVUE)
    0.86694
  • df
    188.00000
  • t
    0.73928
  • p
    0.47308
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.43999
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.17864
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.44236
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.17624
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.28625
  • Upside Potential Ratio
    8.65623
  • Upside part of mean
    1.41235
  • Downside part of mean
    -1.20248
  • Upside SD
    0.17712
  • Downside SD
    0.16316
  • N nonnegative terms
    97.00000
  • N negative terms
    92.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    189.00000
  • Mean of predictor
    0.18537
  • Mean of criterion
    0.20986
  • SD of predictor
    0.33144
  • SD of criterion
    0.24111
  • Covariance
    -0.02594
  • r
    -0.32455
  • b (slope, estimate of beta)
    -0.23610
  • a (intercept, estimate of alpha)
    0.25400
  • Mean Square Error
    0.05229
  • DF error
    187.00000
  • t(b)
    -4.69216
  • p(b)
    0.70293
  • t(a)
    0.94149
  • p(a)
    0.45631
  • Lowerbound of 95% confidence interval for beta
    -0.33536
  • Upperbound of 95% confidence interval for beta
    -0.13684
  • Lowerbound of 95% confidence interval for alpha
    -0.27781
  • Upperbound of 95% confidence interval for alpha
    0.78507
  • Treynor index (mean / b)
    -0.88888
  • Jensen alpha (a)
    0.25363
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.18087
  • SD
    0.24108
  • Sharpe ratio (Glass type estimate)
    0.75026
  • Sharpe ratio (Hedges UMVUE)
    0.74727
  • df
    188.00000
  • t
    0.63723
  • p
    0.47679
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.55954
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.05823
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.56161
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.05614
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.08957
  • Upside Potential Ratio
    8.41461
  • Upside part of mean
    1.39684
  • Downside part of mean
    -1.21597
  • Upside SD
    0.17430
  • Downside SD
    0.16600
  • N nonnegative terms
    97.00000
  • N negative terms
    92.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    189.00000
  • Mean of predictor
    0.13056
  • Mean of criterion
    0.18087
  • SD of predictor
    0.33199
  • SD of criterion
    0.24108
  • Covariance
    -0.02595
  • r
    -0.32417
  • b (slope, estimate of beta)
    -0.23540
  • a (intercept, estimate of alpha)
    0.21161
  • Mean Square Error
    0.05229
  • DF error
    187.00000
  • t(b)
    -4.68600
  • p(b)
    0.70270
  • t(a)
    0.78573
  • p(a)
    0.46350
  • Lowerbound of 95% confidence interval for beta
    -0.33450
  • Upperbound of 95% confidence interval for beta
    -0.13630
  • Lowerbound of 95% confidence interval for alpha
    -0.31967
  • Upperbound of 95% confidence interval for alpha
    0.74288
  • Treynor index (mean / b)
    -0.76837
  • Jensen alpha (a)
    0.21161
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02353
  • Expected Shortfall on VaR
    0.02957
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01033
  • Expected Shortfall on VaR
    0.02096
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    189.00000
  • Minimum
    0.93589
  • Quartile 1
    0.99423
  • Median
    1.00027
  • Quartile 3
    1.00680
  • Maximum
    1.06083
  • Mean of quarter 1
    0.98388
  • Mean of quarter 2
    0.99823
  • Mean of quarter 3
    1.00314
  • Mean of quarter 4
    1.01874
  • Inter Quartile Range
    0.01256
  • Number outliers low
    8.00000
  • Percentage of outliers low
    0.04233
  • Mean of outliers low
    0.96367
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.03704
  • Mean of outliers high
    1.04038
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.29622
  • VaR(95%) (moments method)
    0.01588
  • Expected Shortfall (moments method)
    0.02713
  • Extreme Value Index (regression method)
    0.24371
  • VaR(95%) (regression method)
    0.01585
  • Expected Shortfall (regression method)
    0.02580
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    19.00000
  • Minimum
    0.00006
  • Quartile 1
    0.00477
  • Median
    0.01164
  • Quartile 3
    0.03637
  • Maximum
    0.11835
  • Mean of quarter 1
    0.00161
  • Mean of quarter 2
    0.00933
  • Mean of quarter 3
    0.02475
  • Mean of quarter 4
    0.06530
  • Inter Quartile Range
    0.03159
  • 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
    0.05263
  • Mean of outliers high
    0.11835
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.28926
  • VaR(95%) (moments method)
    0.07111
  • Expected Shortfall (moments method)
    0.08559
  • Extreme Value Index (regression method)
    0.49298
  • VaR(95%) (regression method)
    0.08550
  • Expected Shortfall (regression method)
    0.17015
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.22532
  • Compounded annual return (geometric extrapolation)
    0.23217
  • Calmar ratio (compounded annual return / max draw down)
    1.96179
  • Compounded annual return / average of 25% largest draw downs
    3.55550
  • Compounded annual return / Expected Shortfall lognormal
    7.85160
  • 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
    0.12834
  • SD
    0.27406
  • Sharpe ratio (Glass type estimate)
    0.46828
  • Sharpe ratio (Hedges UMVUE)
    0.46557
  • df
    130.00000
  • t
    0.33112
  • p
    0.48548
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.30496
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.23983
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.30681
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.23796
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.68617
  • Upside Potential Ratio
    8.43572
  • Upside part of mean
    1.57775
  • Downside part of mean
    -1.44942
  • Upside SD
    0.19904
  • Downside SD
    0.18703
  • N nonnegative terms
    63.00000
  • N negative terms
    68.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.40505
  • Mean of criterion
    0.12834
  • SD of predictor
    0.37721
  • SD of criterion
    0.27406
  • Covariance
    -0.03817
  • r
    -0.36918
  • b (slope, estimate of beta)
    -0.26822
  • a (intercept, estimate of alpha)
    0.23698
  • Mean Square Error
    0.06537
  • DF error
    129.00000
  • t(b)
    -4.51179
  • p(b)
    0.72957
  • t(a)
    0.65393
  • p(a)
    0.46343
  • Lowerbound of 95% confidence interval for beta
    -0.38584
  • Upperbound of 95% confidence interval for beta
    -0.15060
  • Lowerbound of 95% confidence interval for alpha
    -0.48002
  • Upperbound of 95% confidence interval for alpha
    0.95398
  • Treynor index (mean / b)
    -0.47847
  • Jensen alpha (a)
    0.23698
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.09105
  • SD
    0.27402
  • Sharpe ratio (Glass type estimate)
    0.33228
  • Sharpe ratio (Hedges UMVUE)
    0.33036
  • df
    130.00000
  • t
    0.23495
  • p
    0.48970
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.44043
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.10378
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.44174
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.10245
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.47807
  • Upside Potential Ratio
    8.18172
  • Upside part of mean
    1.55823
  • Downside part of mean
    -1.46718
  • Upside SD
    0.19563
  • Downside SD
    0.19045
  • N nonnegative terms
    63.00000
  • N negative terms
    68.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.33399
  • Mean of criterion
    0.09105
  • SD of predictor
    0.37800
  • SD of criterion
    0.27402
  • Covariance
    -0.03818
  • r
    -0.36862
  • b (slope, estimate of beta)
    -0.26721
  • a (intercept, estimate of alpha)
    0.18030
  • Mean Square Error
    0.06539
  • DF error
    129.00000
  • t(b)
    -4.50387
  • p(b)
    0.72924
  • t(a)
    0.49782
  • p(a)
    0.47213
  • VAR (95 Confidence Intrvl)
    0.02400
  • Lowerbound of 95% confidence interval for beta
    -0.38460
  • Upperbound of 95% confidence interval for beta
    -0.14983
  • Lowerbound of 95% confidence interval for alpha
    -0.53626
  • Upperbound of 95% confidence interval for alpha
    0.89686
  • Treynor index (mean / b)
    -0.34074
  • Jensen alpha (a)
    0.18030
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02712
  • Expected Shortfall on VaR
    0.03396
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01303
  • Expected Shortfall on VaR
    0.02561
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.93589
  • Quartile 1
    0.99304
  • Median
    1.00000
  • Quartile 3
    1.00744
  • Maximum
    1.06083
  • Mean of quarter 1
    0.98081
  • Mean of quarter 2
    0.99745
  • Mean of quarter 3
    1.00295
  • Mean of quarter 4
    1.02125
  • Inter Quartile Range
    0.01440
  • Number outliers low
    6.00000
  • Percentage of outliers low
    0.04580
  • Mean of outliers low
    0.96064
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.05344
  • Mean of outliers high
    1.04038
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.09786
  • VaR(95%) (moments method)
    0.01787
  • Expected Shortfall (moments method)
    0.02574
  • Extreme Value Index (regression method)
    0.24997
  • VaR(95%) (regression method)
    0.01866
  • Expected Shortfall (regression method)
    0.02994
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    14.00000
  • Minimum
    0.00006
  • Quartile 1
    0.00344
  • Median
    0.01375
  • Quartile 3
    0.03709
  • Maximum
    0.11835
  • Mean of quarter 1
    0.00124
  • Mean of quarter 2
    0.00847
  • Mean of quarter 3
    0.02543
  • Mean of quarter 4
    0.06419
  • Inter Quartile Range
    0.03365
  • 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
    0.11835
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.07690
  • VaR(95%) (moments method)
    0.07101
  • Expected Shortfall (moments method)
    0.09713
  • Extreme Value Index (regression method)
    0.94342
  • VaR(95%) (regression method)
    0.08403
  • Last 4 Months - Pcnt Negative
    0.50%
  • Expected Shortfall (regression method)
    1.05464
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -429639000
  • Max Equity Drawdown (num days)
    6
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.12257
  • Compounded annual return (geometric extrapolation)
    0.12632
  • Calmar ratio (compounded annual return / max draw down)
    1.06738
  • Compounded annual return / average of 25% largest draw downs
    1.96802
  • Compounded annual return / Expected Shortfall lognormal
    3.71947

Strategy Description

Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2021-12-07
Suggested Minimum Capital
$5,000
# Trades
105
# Profitable
70
% Profitable
66.7%
Net Dividends
($4,816)
Correlation S&P500
-0.295
Sharpe Ratio
0.29
Sortino Ratio
0.42
Beta
-0.20
Alpha
0.01
Leverage
0.89 Average
2.11 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.