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Leveraged ETF Trading
(141736700)

Created by: BlackBoulderTrading BlackBoulderTrading
Started: 09/2022
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 $50.00 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.
48.5%
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.

(26.6%)
Max Drawdown
25
Num Trades
80.0%
Win Trades
3.0 : 1
Profit Factor
50.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022                                                        (0.2%)(5.7%)(5.2%)+19.0%+6.2%
2023(14.5%)+1.5%+45.5%(2.2%)+5.0%+8.0%                                    +39.9%

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 72 hours.

Trading Record

This strategy has placed 5 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 151 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
5/23/23 14:20 FAZ DIREXION DAILY FINANCIAL BEAR SHORT 3,200 21.64 5/23 14:21 21.68 0.19%
Trade id #144723132
Max drawdown($128)
Time5/23/23 14:21
Quant open3,200
Worst price21.68
Drawdown as % of equity-0.19%
 ($133)
Includes Typical Broker Commissions trade costs of $5.00
5/22/23 9:49 FAZ DIREXION DAILY FINANCIAL BEAR LONG 3,200 21.35 5/23 14:19 21.64 0.65%
Trade id #144708367
Max drawdown($448)
Time5/22/23 14:51
Quant open1,600
Worst price20.83
Drawdown as % of equity-0.65%
 $921
Includes Typical Broker Commissions trade costs of $7.50
5/3/23 14:52 FAS DIREXION DAILY FINANCIAL BULL LONG 1,050 57.36 5/22 9:30 58.96 3.73%
Trade id #144516836
Max drawdown($2,358)
Time5/4/23 0:00
Quant open450
Worst price52.12
Drawdown as % of equity-3.73%
 $1,671
Includes Typical Broker Commissions trade costs of $9.50
5/1/23 9:34 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,200 28.16 5/17 12:22 29.68 3.56%
Trade id #144485146
Max drawdown($2,251)
Time5/4/23 0:00
Quant open1,200
Worst price26.28
Drawdown as % of equity-3.56%
 $1,819
Includes Typical Broker Commissions trade costs of $5.00
4/24/23 10:47 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 2,000 17.58 4/25 10:51 17.81 0.4%
Trade id #144404564
Max drawdown($260)
Time4/24/23 16:00
Quant open2,000
Worst price17.45
Drawdown as % of equity-0.40%
 $455
Includes Typical Broker Commissions trade costs of $5.00
4/12/23 11:11 FAZ DIREXION DAILY FINANCIAL BEAR LONG 3,000 21.90 4/17 15:48 20.19 7.77%
Trade id #144270944
Max drawdown($5,310)
Time4/14/23 0:00
Quant open3,000
Worst price20.13
Drawdown as % of equity-7.77%
 ($5,135)
Includes Typical Broker Commissions trade costs of $5.00
4/10/23 13:26 FAZ DIREXION DAILY FINANCIAL BEAR LONG 3,100 22.38 4/11 11:26 21.81 2.67%
Trade id #144243103
Max drawdown($1,874)
Time4/11/23 11:23
Quant open3,100
Worst price21.78
Drawdown as % of equity-2.67%
 ($1,772)
Includes Typical Broker Commissions trade costs of $5.00
4/10/23 12:40 FAS DIREXION DAILY FINANCIAL BULL LONG 1,200 56.36 4/10 13:24 56.67 n/a $367
Includes Typical Broker Commissions trade costs of $5.00
4/10/23 9:54 FAZ DIREXION DAILY FINANCIAL BEAR LONG 3,000 22.47 4/10 12:39 22.49 0.63%
Trade id #144239349
Max drawdown($450)
Time4/10/23 10:37
Quant open3,000
Worst price22.32
Drawdown as % of equity-0.63%
 $55
Includes Typical Broker Commissions trade costs of $5.00
4/6/23 12:16 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,000 27.25 4/6 14:33 27.52 0.17%
Trade id #144213984
Max drawdown($120)
Time4/6/23 13:01
Quant open1,000
Worst price27.13
Drawdown as % of equity-0.17%
 $265
Includes Typical Broker Commissions trade costs of $5.00
4/5/23 12:40 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 2,200 31.23 4/6 9:59 31.54 1.48%
Trade id #144198504
Max drawdown($1,033)
Time4/5/23 15:55
Quant open2,200
Worst price30.76
Drawdown as % of equity-1.48%
 $677
Includes Typical Broker Commissions trade costs of $5.00
4/3/23 13:43 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 2,000 29.88 4/5 12:01 31.05 2.07%
Trade id #144158405
Max drawdown($1,400)
Time4/4/23 0:00
Quant open2,000
Worst price29.18
Drawdown as % of equity-2.07%
 $2,333
Includes Typical Broker Commissions trade costs of $7.50
4/3/23 12:14 FAS DIREXION DAILY FINANCIAL BULL LONG 1,100 57.59 4/3 13:39 57.72 0.13%
Trade id #144157480
Max drawdown($88)
Time4/3/23 12:23
Quant open1,100
Worst price57.51
Drawdown as % of equity-0.13%
 $138
Includes Typical Broker Commissions trade costs of $5.00
3/31/23 12:25 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 2,000 29.91 4/3 12:14 29.99 1.84%
Trade id #144131039
Max drawdown($1,240)
Time3/31/23 15:58
Quant open2,000
Worst price29.29
Drawdown as % of equity-1.84%
 $155
Includes Typical Broker Commissions trade costs of $5.00
3/23/23 10:48 FAS DIREXION DAILY FINANCIAL BULL LONG 1,100 54.24 3/31 9:30 56.83 9.47%
Trade id #144012439
Max drawdown($5,917)
Time3/24/23 0:00
Quant open1,100
Worst price48.86
Drawdown as % of equity-9.47%
 $2,844
Includes Typical Broker Commissions trade costs of $5.00
3/22/23 15:27 FAZ DIREXION DAILY FINANCIAL BEAR LONG 2,000 23.01 3/23 10:47 23.41 0.46%
Trade id #143998221
Max drawdown($300)
Time3/22/23 15:30
Quant open2,000
Worst price22.86
Drawdown as % of equity-0.46%
 $795
Includes Typical Broker Commissions trade costs of $5.00
3/17/23 9:31 FAS DIREXION DAILY FINANCIAL BULL LONG 1,100 55.37 3/22 15:02 55.73 7.22%
Trade id #143943332
Max drawdown($4,609)
Time3/17/23 11:44
Quant open1,100
Worst price51.18
Drawdown as % of equity-7.22%
 $391
Includes Typical Broker Commissions trade costs of $5.00
3/15/23 10:04 FAS DIREXION DAILY FINANCIAL BULL LONG 1,040 53.12 3/16 15:45 57.24 2.86%
Trade id #143911002
Max drawdown($1,735)
Time3/16/23 10:18
Quant open1,040
Worst price51.45
Drawdown as % of equity-2.86%
 $4,276
Includes Typical Broker Commissions trade costs of $9.70
3/13/23 9:46 FAS DIREXION DAILY FINANCIAL BULL LONG 944 55.98 3/14 11:48 59.40 n/a $3,213
Includes Typical Broker Commissions trade costs of $11.94
1/5/23 10:26 FAZ DIREXION DAILY FINANCIAL BEAR LONG 1,340 18.68 3/13 9:34 24.01 11.36%
Trade id #143108461
Max drawdown($4,743)
Time2/7/23 0:00
Quant open1,340
Worst price15.14
Drawdown as % of equity-11.36%
 $7,137
Includes Typical Broker Commissions trade costs of $5.00
12/30/22 15:27 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 928 53.94 3/13/23 9:33 48.80 22.17%
Trade id #143049585
Max drawdown($10,085)
Time2/2/23 0:00
Quant open464
Worst price32.20
Drawdown as % of equity-22.17%
 ($4,785)
Includes Typical Broker Commissions trade costs of $18.56
12/19/22 15:09 TQQQ PROSHARES ULTRAPRO QQQ LONG 2,900 17.60 1/3/23 9:30 17.35 6.42%
Trade id #142930669
Max drawdown($3,377)
Time12/28/22 0:00
Quant open1,400
Worst price16.10
Drawdown as % of equity-6.42%
 ($743)
Includes Typical Broker Commissions trade costs of $12.50
11/25/22 9:45 FAZ DIREXION DAILY FINANCIAL BEAR LONG 1,000 16.87 12/19 13:15 20.58 1.52%
Trade id #142676492
Max drawdown($680)
Time12/1/22 0:00
Quant open1,000
Worst price16.19
Drawdown as % of equity-1.52%
 $3,705
Includes Typical Broker Commissions trade costs of $5.00
10/17/22 11:01 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 800 51.62 12/19 13:15 53.50 14.97%
Trade id #142193035
Max drawdown($7,284)
Time12/13/22 0:00
Quant open600
Worst price39.48
Drawdown as % of equity-14.97%
 $1,486
Includes Typical Broker Commissions trade costs of $16.00
Next

Statistics

  • Strategy began
    9/11/2022
  • Suggested Minimum Cap
    $5,000
  • Strategy Age (days)
    267.49
  • Age
    9 months ago
  • What it trades
    Stocks
  • # Trades
    25
  • # Profitable
    20
  • % Profitable
    80.00%
  • Avg trade duration
    12.8 days
  • Max peak-to-valley drawdown
    26.59%
  • drawdown period
    Jan 05, 2023 - Feb 03, 2023
  • Cumul. Return
    48.5%
  • Avg win
    $1,868
  • Avg loss
    $2,504
  • Model Account Values (Raw)
  • Cash
    $75,176
  • Margin Used
    $0
  • Buying Power
    $75,176
  • Ratios
  • W:L ratio
    3.01:1
  • Sharpe Ratio
    1.26
  • Sortino Ratio
    2.46
  • Calmar Ratio
    3.944
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    43.42%
  • Correlation to SP500
    -0.31330
  • Return Percent SP500 (cumu) during strategy life
    5.08%
  • Return Statistics
  • Ann Return (w trading costs)
    70.4%
  • Slump
  • Current Slump as Pcnt Equity
    1.40%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.01%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.485%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    74.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    45.50%
  • Chance of 20% account loss
    13.50%
  • Chance of 30% account loss
    3.00%
  • 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)
    547
  • Popularity (Last 6 weeks)
    795
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    929
  • Popularity (7 days, Percentile 1000 scale)
    686
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $2,504
  • Avg Win
    $1,869
  • Sum Trade PL (losers)
    $12,521.000
  • Age
  • Num Months filled monthly returns table
    10
  • Win / Loss
  • Sum Trade PL (winners)
    $37,377.000
  • # Winners
    20
  • Num Months Winners
    5
  • Dividends
  • Dividends Received in Model Acct
    320
  • Win / Loss
  • # Losers
    5
  • % Winners
    80.0%
  • Frequency
  • Avg Position Time (mins)
    18403.20
  • Avg Position Time (hrs)
    306.72
  • Avg Trade Length
    12.8 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    2.60
  • Daily leverage (max)
    3.64
  • Regression
  • Alpha
    0.18
  • Beta
    -0.66
  • Treynor Index
    -0.25
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.05
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    1.44
  • MAE:Equity, average, winning trades
    0.04
  • MAE:Equity, average, losing trades
    0.08
  • Avg(MAE) / Avg(PL) - All trades
    2.738
  • 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
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    1.108
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.659
  • Hold-and-Hope Ratio
    0.365
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.93679
  • SD
    0.81952
  • Sharpe ratio (Glass type estimate)
    1.14310
  • Sharpe ratio (Hedges UMVUE)
    0.99292
  • df
    6.00000
  • t
    0.87305
  • p
    0.20810
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.54347
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.74244
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.63404
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.61989
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.53701
  • Upside Potential Ratio
    5.75178
  • Upside part of mean
    1.52338
  • Downside part of mean
    -0.58659
  • Upside SD
    0.76069
  • Downside SD
    0.26485
  • N nonnegative terms
    3.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    7.00000
  • Mean of predictor
    0.05776
  • Mean of criterion
    0.93679
  • SD of predictor
    0.20755
  • SD of criterion
    0.81952
  • Covariance
    -0.03099
  • r
    -0.18217
  • b (slope, estimate of beta)
    -0.71932
  • a (intercept, estimate of alpha)
    0.97834
  • Mean Square Error
    0.77919
  • DF error
    5.00000
  • t(b)
    -0.41428
  • p(b)
    0.65208
  • t(a)
    0.84333
  • p(a)
    0.21876
  • Lowerbound of 95% confidence interval for beta
    -5.18280
  • Upperbound of 95% confidence interval for beta
    3.74417
  • Lowerbound of 95% confidence interval for alpha
    -2.00390
  • Upperbound of 95% confidence interval for alpha
    3.96058
  • Treynor index (mean / b)
    -1.30234
  • Jensen alpha (a)
    0.97834
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.67119
  • SD
    0.71788
  • Sharpe ratio (Glass type estimate)
    0.93497
  • Sharpe ratio (Hedges UMVUE)
    0.81214
  • df
    6.00000
  • t
    0.71410
  • p
    0.25100
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.71923
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.51639
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.79487
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.41915
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.34752
  • Upside Potential Ratio
    4.52998
  • Upside part of mean
    1.29519
  • Downside part of mean
    -0.62400
  • Upside SD
    0.63049
  • Downside SD
    0.28592
  • N nonnegative terms
    3.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    7.00000
  • Mean of predictor
    0.03891
  • Mean of criterion
    0.67119
  • SD of predictor
    0.20929
  • SD of criterion
    0.71788
  • Covariance
    -0.03138
  • r
    -0.20885
  • b (slope, estimate of beta)
    -0.71635
  • a (intercept, estimate of alpha)
    0.69907
  • Mean Square Error
    0.59144
  • DF error
    5.00000
  • t(b)
    -0.47752
  • p(b)
    0.67343
  • t(a)
    0.69310
  • p(a)
    0.25956
  • Lowerbound of 95% confidence interval for beta
    -4.57278
  • Upperbound of 95% confidence interval for beta
    3.14007
  • Lowerbound of 95% confidence interval for alpha
    -1.89377
  • Upperbound of 95% confidence interval for alpha
    3.29191
  • Treynor index (mean / b)
    -0.93696
  • Jensen alpha (a)
    0.69907
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.24794
  • Expected Shortfall on VaR
    0.30835
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.12225
  • Expected Shortfall on VaR
    0.19344
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    7.00000
  • Minimum
    0.82867
  • Quartile 1
    0.93146
  • Median
    0.97553
  • Quartile 3
    1.18944
  • Maximum
    1.51675
  • Mean of quarter 1
    0.87957
  • Mean of quarter 2
    0.95399
  • Mean of quarter 3
    1.15137
  • Mean of quarter 4
    1.37213
  • Inter Quartile Range
    0.25797
  • 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
    3.00000
  • Minimum
    0.06952
  • Quartile 1
    0.07994
  • Median
    0.09036
  • Quartile 3
    0.13084
  • Maximum
    0.17133
  • Mean of quarter 1
    0.06952
  • Mean of quarter 2
    0.09036
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.17133
  • Inter Quartile Range
    0.05090
  • 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)
    0.86318
  • Compounded annual return (geometric extrapolation)
    1.01194
  • Calmar ratio (compounded annual return / max draw down)
    5.90651
  • Compounded annual return / average of 25% largest draw downs
    5.90651
  • Compounded annual return / Expected Shortfall lognormal
    3.28182
  • 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
    0.79439
  • SD
    0.51769
  • Sharpe ratio (Glass type estimate)
    1.53451
  • Sharpe ratio (Hedges UMVUE)
    1.52692
  • df
    152.00000
  • t
    1.17264
  • p
    0.45266
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.03857
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.10261
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.04361
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.09746
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.32341
  • Upside Potential Ratio
    11.18150
  • Upside part of mean
    2.67271
  • Downside part of mean
    -1.87832
  • Upside SD
    0.45991
  • Downside SD
    0.23903
  • N nonnegative terms
    72.00000
  • N negative terms
    81.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    153.00000
  • Mean of predictor
    0.06202
  • Mean of criterion
    0.79439
  • SD of predictor
    0.21567
  • SD of criterion
    0.51769
  • Covariance
    -0.03995
  • r
    -0.35780
  • b (slope, estimate of beta)
    -0.85885
  • a (intercept, estimate of alpha)
    0.84800
  • Mean Square Error
    0.23524
  • DF error
    151.00000
  • t(b)
    -4.70842
  • p(b)
    0.72282
  • t(a)
    1.33534
  • p(a)
    0.43136
  • Lowerbound of 95% confidence interval for beta
    -1.21925
  • Upperbound of 95% confidence interval for beta
    -0.49845
  • Lowerbound of 95% confidence interval for alpha
    -0.40655
  • Upperbound of 95% confidence interval for alpha
    2.10186
  • Treynor index (mean / b)
    -0.92495
  • Jensen alpha (a)
    0.84766
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.67043
  • SD
    0.48825
  • Sharpe ratio (Glass type estimate)
    1.37312
  • Sharpe ratio (Hedges UMVUE)
    1.36634
  • df
    152.00000
  • t
    1.04931
  • p
    0.45760
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.19849
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.94039
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.20305
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.93573
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.74400
  • Upside Potential Ratio
    10.55130
  • Upside part of mean
    2.57796
  • Downside part of mean
    -1.90753
  • Upside SD
    0.42291
  • Downside SD
    0.24433
  • N nonnegative terms
    72.00000
  • N negative terms
    81.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    153.00000
  • Mean of predictor
    0.03884
  • Mean of criterion
    0.67043
  • SD of predictor
    0.21613
  • SD of criterion
    0.48825
  • Covariance
    -0.03822
  • r
    -0.36221
  • b (slope, estimate of beta)
    -0.81825
  • a (intercept, estimate of alpha)
    0.70221
  • Mean Square Error
    0.20849
  • DF error
    151.00000
  • t(b)
    -4.77512
  • p(b)
    0.72544
  • t(a)
    1.17516
  • p(a)
    0.43949
  • Lowerbound of 95% confidence interval for beta
    -1.15682
  • Upperbound of 95% confidence interval for beta
    -0.47968
  • Lowerbound of 95% confidence interval for alpha
    -0.47842
  • Upperbound of 95% confidence interval for alpha
    1.88285
  • Treynor index (mean / b)
    -0.81935
  • Jensen alpha (a)
    0.70221
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04597
  • Expected Shortfall on VaR
    0.05786
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01711
  • Expected Shortfall on VaR
    0.03332
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    153.00000
  • Minimum
    0.91807
  • Quartile 1
    0.99177
  • Median
    1.00000
  • Quartile 3
    1.01033
  • Maximum
    1.27474
  • Mean of quarter 1
    0.97497
  • Mean of quarter 2
    0.99705
  • Mean of quarter 3
    1.00445
  • Mean of quarter 4
    1.03683
  • Inter Quartile Range
    0.01856
  • Number outliers low
    7.00000
  • Percentage of outliers low
    0.04575
  • Mean of outliers low
    0.95135
  • Number of outliers high
    11.00000
  • Percentage of outliers high
    0.07190
  • Mean of outliers high
    1.07424
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.40021
  • VaR(95%) (moments method)
    0.02180
  • Expected Shortfall (moments method)
    0.02611
  • Extreme Value Index (regression method)
    -0.32165
  • VaR(95%) (regression method)
    0.02786
  • Expected Shortfall (regression method)
    0.03483
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.00277
  • Quartile 1
    0.02037
  • Median
    0.05881
  • Quartile 3
    0.11586
  • Maximum
    0.25620
  • Mean of quarter 1
    0.01080
  • Mean of quarter 2
    0.05682
  • Mean of quarter 3
    0.09058
  • Mean of quarter 4
    0.19412
  • Inter Quartile Range
    0.09549
  • 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)
    -0.01014
  • VaR(95%) (moments method)
    0.19593
  • Expected Shortfall (moments method)
    0.24867
  • Extreme Value Index (regression method)
    1.93965
  • VaR(95%) (regression method)
    0.35381
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.86224
  • Compounded annual return (geometric extrapolation)
    1.01041
  • Calmar ratio (compounded annual return / max draw down)
    3.94386
  • Compounded annual return / average of 25% largest draw downs
    5.20510
  • Compounded annual return / Expected Shortfall lognormal
    17.46370
  • 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
    0.97904
  • SD
    0.55358
  • Sharpe ratio (Glass type estimate)
    1.76857
  • Sharpe ratio (Hedges UMVUE)
    1.75834
  • df
    130.00000
  • t
    1.25056
  • p
    0.44549
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.01483
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.54531
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.02169
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.53838
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.87598
  • Upside Potential Ratio
    11.81340
  • Upside part of mean
    2.98396
  • Downside part of mean
    -2.00492
  • Upside SD
    0.49393
  • Downside SD
    0.25259
  • N nonnegative terms
    68.00000
  • N negative terms
    63.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.24576
  • Mean of criterion
    0.97904
  • SD of predictor
    0.18669
  • SD of criterion
    0.55358
  • Covariance
    -0.04335
  • r
    -0.41948
  • b (slope, estimate of beta)
    -1.24388
  • a (intercept, estimate of alpha)
    1.28474
  • Mean Square Error
    0.25448
  • DF error
    129.00000
  • t(b)
    -5.24844
  • p(b)
    0.75899
  • t(a)
    1.79484
  • p(a)
    0.40103
  • Lowerbound of 95% confidence interval for beta
    -1.71279
  • Upperbound of 95% confidence interval for beta
    -0.77497
  • Lowerbound of 95% confidence interval for alpha
    -0.13148
  • Upperbound of 95% confidence interval for alpha
    2.70096
  • Treynor index (mean / b)
    -0.78709
  • Jensen alpha (a)
    1.28474
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.83725
  • SD
    0.52156
  • Sharpe ratio (Glass type estimate)
    1.60528
  • Sharpe ratio (Hedges UMVUE)
    1.59600
  • df
    130.00000
  • t
    1.13510
  • p
    0.45047
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.17641
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.38092
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.18259
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.37459
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.24094
  • Upside Potential Ratio
    11.12820
  • Upside part of mean
    2.87483
  • Downside part of mean
    -2.03757
  • Upside SD
    0.45375
  • Downside SD
    0.25834
  • N nonnegative terms
    68.00000
  • N negative terms
    63.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.22842
  • Mean of criterion
    0.83725
  • SD of predictor
    0.18603
  • SD of criterion
    0.52156
  • Covariance
    -0.04126
  • r
    -0.42526
  • b (slope, estimate of beta)
    -1.19227
  • a (intercept, estimate of alpha)
    1.10959
  • Mean Square Error
    0.22456
  • DF error
    129.00000
  • t(b)
    -5.33659
  • p(b)
    0.76233
  • t(a)
    1.65093
  • p(a)
    0.40874
  • VAR (95 Confidence Intrvl)
    0.04600
  • Lowerbound of 95% confidence interval for beta
    -1.63430
  • Upperbound of 95% confidence interval for beta
    -0.75024
  • Lowerbound of 95% confidence interval for alpha
    -0.22018
  • Upperbound of 95% confidence interval for alpha
    2.43937
  • Treynor index (mean / b)
    -0.70223
  • Jensen alpha (a)
    1.10959
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04859
  • Expected Shortfall on VaR
    0.06124
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01721
  • Expected Shortfall on VaR
    0.03379
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.91807
  • Quartile 1
    0.99030
  • Median
    1.00151
  • Quartile 3
    1.01150
  • Maximum
    1.27474
  • Mean of quarter 1
    0.97306
  • Mean of quarter 2
    0.99685
  • Mean of quarter 3
    1.00572
  • Mean of quarter 4
    1.03980
  • Inter Quartile Range
    0.02120
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.03053
  • Mean of outliers low
    0.94496
  • Number of outliers high
    8.00000
  • Percentage of outliers high
    0.06107
  • Mean of outliers high
    1.08657
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.22120
  • VaR(95%) (moments method)
    0.02462
  • Expected Shortfall (moments method)
    0.03086
  • Extreme Value Index (regression method)
    -0.36550
  • VaR(95%) (regression method)
    0.03028
  • Expected Shortfall (regression method)
    0.03701
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.00277
  • Quartile 1
    0.01759
  • Median
    0.05682
  • Quartile 3
    0.11990
  • Maximum
    0.25620
  • Mean of quarter 1
    0.00601
  • Mean of quarter 2
    0.03759
  • Mean of quarter 3
    0.08733
  • Mean of quarter 4
    0.19412
  • Inter Quartile Range
    0.10231
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    0.25%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -353035000
  • Max Equity Drawdown (num days)
    29
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.08246
  • Compounded annual return (geometric extrapolation)
    1.37539
  • Calmar ratio (compounded annual return / max draw down)
    5.36844
  • Compounded annual return / average of 25% largest draw downs
    7.08525
  • Compounded annual return / Expected Shortfall lognormal
    22.45800

Strategy Description

I will trade leveraged ETFs using the rules I have developed over the past 20+ years of studying the markets. These rules help make both bull and bear market years profitable. Using leveraged products means there will potentially be wider swings than most systems however with good strategy management, the gains should far outweigh the losses.
I will send a message to subscribers at least each week to communicate about the strategy position.
For those not subscribed, the position closings will have a 72 hour delay.
My goal is to be the best stock trading system in terms of average yearly returns that exists on collective2!!!
When my account is doubled (50k to 100k), I will rebalance back to 50k.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2022-09-11
Suggested Minimum Capital
$5,000
Rank at C2 %
Top 7.1%
Rank # 
#57
# Trades
25
# Profitable
20
% Profitable
80.0%
Net Dividends
$319
Correlation S&P500
-0.313
Sharpe Ratio
1.26
Sortino Ratio
2.46
Beta
-0.66
Alpha
0.18
Leverage
2.60 Average
3.64 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

Collective2 calculates the maximum leverage used by a strategy in each day. We then display the average of these measurements (i.e. the average daily maximum leverage) and the greatest of these measurements (maximum daily leverage).

Leverage is the ratio of total notional value controlled by a strategy divided by its Model Account equity. Generally higher leverage implies greater risk.

Example of calculation:
The Strategy buys 100 shares of stock at $12 per share.
The Model Account equity during that day is $5,000.
The leverage is: $1200 / $5,000 = 0.24

This is a useful measurement, but it should be considered in context. This measurement doesn't take into account important factors, such as when multiple positions are held that are inversely correlated. Nor does the measurement take into account the volatility of the instruments being held.

In addition, certain asset classes are inherently more leveraged than others. For example, futures contracts are highly leveraged. Forex positions are often even more leveraged than futures.

Latest Activity

#PERSONNAME#
subscribed on started simulation #SUBSCRIBEDDATE#

Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.

Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

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

Material assumptions and methods used when calculating results

The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.

  • Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
  • Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been re-scaled downward to make current go-forward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
  • All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any per-trade AutoTrade fees, plus estimated broker commissions if any.
  • "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.

Trading is risky

There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.

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Suggested Minimum Capital

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